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Edge-Based Stochastic Gradient Algorithm for Distributed Optimization
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DOI：10.1109/TNSE.2019.2933177.png)
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This paper investigates distributed optimization problems where a group of networked nodes collaboratively minimizes the sum of all local objective functions. The local objective function of each node is further set as an average of a finite set of subfunctions. This adjustment is motivated by machine learning problems with large training samples distributed and known privately to individual computational nodes. An augmented Lagrange (AL) stochastic gradient algorithm is presented to address the distributed optimization problem, which is integrated with the factorization of weighted Laplacian and local unbiased stochastic averaging gradient methods. At each iteration, only one randomly selected gradient of a subfunction is evaluated at a node, and a variance-reduced stochastic averaging gradient technique is applied to approximate the gradient of local objective function. Strong convexity of the local subfunction and Lipschitz continuity of its gradient are shown to ensure a linear convergence rate of the proposed algorithm in expectation. Numerical experiments on a logistic regression problem demonstrate the correctness of theoretical results.
Keyword:
Convergence
Optimization
Linear programming
Convex functions
Laplace equations
Machine learning
Training
Distributed convex optimization
machine learning
augmented Lagrange
stochastic averaging gradient
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