The goal of decentralized optimization over a network is to optimize a global objective formed by a sum of local (possibly nonsmooth) convex functions using only local computation and communication. It arises in various application domains, including distributed tracking and localization, multi-agent coordination, estimation in sensor networks, and large-scale machine learning. We develop and analyze distributed algorithms based on dual subgradient averaging, and we provide sharp bounds on their convergence rates as a function of the network size and topology. Our analysis allows us to clearly separate the convergence of the optimization algorithm itself and the effects of communication dependent on the network structure. We show that the number of iterations required by our algorithm scales inversely in the spectral gap of the network, and confirm this prediction's sharpness both by theoretical lower bounds and simulations for various networks. Our approach includes the cases of deterministic optimization and communication, as well as problems with stochastic optimization and or communication.
As discussed in the introduction, other researchers have designed algorithms for solving the problem . Most previous work @cite_21 @cite_5 @cite_6 @cite_30 studies convergence of a (projected) gradient method in which each node @math in the network maintains @math , and at time @math performs the update for @math . With the update , Corollary 5.5 in the paper @cite_30 shows that (we use our notation and assumptions from Theorem ). The above bound is minimized by setting the stepsize @math , giving convergence rate @math . It is clear that this convergence rate is substantially slower than all the rates in Corollary .
@cite_30 @cite_5 @cite_21 @cite_6
2246636461 2952033860 1836708065 1987083649
We study the problem of recovering the subspace spanned by the first @math principal components of @math -dimensional data under the streaming setting, with a memory bound of @math . Two families of algorithms are known for this problem. The first family is based on the framework of stochastic gradient descent. Nevertheless, the convergence rate of the family can be seriously affected by the learning rate of the descent steps and deserves more serious study. The second family is based on the power method over blocks of data, but setting the block size for its existing algorithms is not an easy task. In this paper, we analyze the convergence rate of a representative algorithm with decayed learning rate (Oja and Karhunen, 1985) in the first family for the general @math case. Moreover, we propose a novel algorithm for the second family that sets the block sizes automatically and dynamically with faster convergence rate. We then conduct empirical studies that fairly compare the two families on real-world data. The studies reveal the advantages and disadvantages of these two families. We analyze the convergence of gradient-based optimization algorithms that base their updates on delayed stochastic gradient information. The main application of our results is to the development of gradient-based distributed optimization algorithms where a master node performs parameter updates while worker nodes compute stochastic gradients based on local information in parallel, which may give rise to delays due to asynchrony. We take motivation from statistical problems where the size of the data is so large that it cannot fit on one computer; with the advent of huge datasets in biology, astronomy, and the internet, such problems are now common. Our main contribution is to show that for smooth stochastic problems, the delays are asymptotically negligible and we can achieve order-optimal convergence results. In application to distributed optimization, we develop procedures that overcome communication bottlenecks and synchronization requirements. We show @math -node architectures whose optimization error in stochastic problems---in spite of asynchronous delays---scales asymptotically as @math after @math iterations. This rate is known to be optimal for a distributed system with @math nodes even in the absence of delays. We additionally complement our theoretical results with numerical experiments on a statistical machine learning task. We study the minimization of a convex function @math over the set of @math positive semi-definite matrices, but when the problem is recast as @math , with @math and @math . We study the performance of gradient descent on @math ---which we refer to as Factored Gradient Descent (FGD)---under standard assumptions on the original function @math . We provide a rule for selecting the step size and, with this choice, show that the local convergence rate of FGD mirrors that of standard gradient descent on the original @math : i.e., after @math steps, the error is @math for smooth @math , and exponentially small in @math when @math is (restricted) strongly convex. In addition, we provide a procedure to initialize FGD for (restricted) strongly convex objectives and when one only has access to @math via a first-order oracle; for several problem instances, such proper initialization leads to global convergence guarantees. FGD and similar procedures are widely used in practice for problems that can be posed as matrix factorization. To the best of our knowledge, this is the first paper to provide precise convergence rate guarantees for general convex functions under standard convex assumptions. In this paper, we generalize the well-known Nesterov's accelerated gradient (AG) method, originally designed for convex smooth optimization, to solve nonconvex and possibly stochastic optimization problems. We demonstrate that by properly specifying the stepsize policy, the AG method exhibits the best known rate of convergence for solving general nonconvex smooth optimization problems by using first-order information, similarly to the gradient descent method. We then consider an important class of composite optimization problems and show that the AG method can solve them uniformly, i.e., by using the same aggressive stepsize policy as in the convex case, even if the problem turns out to be nonconvex. We demonstrate that the AG method exhibits an optimal rate of convergence if the composite problem is convex, and improves the best known rate of convergence if the problem is nonconvex. Based on the AG method, we also present new nonconvex stochastic approximation methods and show that they can improve a few existing rates of convergence for nonconvex stochastic optimization. To the best of our knowledge, this is the first time that the convergence of the AG method has been established for solving nonconvex nonlinear programming in the literature.