Decentralized Projection free Optimization for Convex and Non convex Problems.
Decentralized optimization algorithms have received much attention as fueled by the recent advances in network information processing and the tremendous amount of data that is generated by human activities. However, conventional decentralized algorithms based on projected gradient descent are incapable of handling high dimensional constrained problems, as the projection step becomes computationally prohibitive to compute. To address this problem, we adopt a projection free optimization approach, a.k.a. the Frank Wolfe (FW) or conditional gradient algorithm. We first develop a decentralized FW (DeFW) algorithm from the classical FW algorithm. The convergence of the proposed algorithm is studied by viewing the decentralized algorithm as an \emph{inexact} FW algorithm. Using a diminishing step size rule and letting $t$ be the iteration number, we show that the DeFW algorithm's convergence rate is \cal O}(1/t) for convex objectives; is \cal O}(1/t^2) for strongly convex objectives with the optimal solution in the interior of the constraint set; and is \cal O}(1/\sqrt{t} towards a stationary point for smooth but non convex objectives. We then show that a gossip based implementation meets the above guarantees with two communication rounds per iteration. Furthermore, we demonstrate the advantages of the proposed DeFW algorithm on two applications including low complexity robust matrix completion and communication efficient sparse learning. Numerical results on synthetic and realistic data are presented to support our findings.