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arXiv 1906.04870stat.MLcs.LGmath.OCstat.CO
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通信高效的精确统计估计

Communication-Efficient Accurate Statistical Estimation

Princeton University(普林斯顿大学);Columbia University(哥伦比亚大学)

Jianqing Fan, Yongyi Guo, Kaizheng Wang

摘要:

当数据以分布式方式存储时,由于通信成本和隐私问题,传统统计推断过程的直接应用通常是禁止的。本文开发和研究了两个通信效率的准确统计估计(CEASE),通过迭代算法实现分布式优化。在每次迭代中,节点机并行执行计算并与中央处理器通信,然后中央处理器将聚合信息广播到节点机以进行新的更新。该算法适应节点机上损失函数之间的相似性,当每个节点机具有足够大的样本量时,算法收敛速度较快。此外,他们不需要良好的初始化,并享有线性收敛保证在一般情况下。给出了优化误差的收缩率,并揭示了其对局部样本量的依赖性。此外,改进的统计精度每次迭代推导。通过将所提出的方法视为多步统计估计,我们表明,在典型的统计应用中,可以在有限的步骤中实现统计效率。此外,我们给出了一步CEASE估计是统计有效的条件。大量的数值实验的合成和真实数据验证了理论结果,并证明了我们的算法的优越性能。

英文摘要:

When the data are stored in a distributed manner, direct application of traditional statistical inference procedures is often prohibitive due to communication cost and privacy concerns. This paper develops and investigates two Communication-Efficient Accurate Statistical Estimators (CEASE), implemented through iterative algorithms for distributed optimization. In each iteration, node machines carry out computation in parallel and communicate with the central processor, which then broadcasts aggregated information to node machines for new updates. The algorithms adapt to the similarity among loss functions on node machines, and converge rapidly when each node machine has large enough sample size. Moreover, they do not require good initialization and enjoy linear converge guarantees under general conditions. The contraction rate of optimization errors is presented explicitly, with dependence on the local sample size unveiled. In addition, the improved statistical accuracy per iteration is derived. By regarding the proposed method as a multi-step statistical estimator, we show that statistical efficiency can be achieved in finite steps in typical statistical applications. In addition, we give the conditions under which the one-step CEASE estimator is statistically efficient. Extensive numerical experiments on both synthetic and real data validate the theoretical results and demonstrate the superior performance of our algorithms.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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