Decentralized methods to solve finite-sum minimization problems are important in many signal processing and machine learning tasks where the data is distributed over a network of nodes and raw data sharing is not permitted due to privacy and/or resource constraints. In this article, we review decentralized stochastic first-order methods and provide a unified algorithmic framework that combines variance-reduction with gradient tracking to achieve both robust performance and fast convergence. We provide explicit theoretical guarantees of the corresponding methods when the objective functions are smooth and strongly-convex, and show their applicability to non-convex problems via numerical experiments. Throughout the article, we provide intuitive illustrations of the main technical ideas by casting appropriate tradeoffs and comparisons among the methods of interest and by highlighting applications to decentralized training of machine learning models.
This paper considers decentralized stochastic optimization over a network of $n$ nodes, where each node possesses a smooth non-convex local cost function and the goal of the networked nodes is to find an $ε$-accurate first-order stationary point of the sum of the local costs. We focus on an online setting, where each node accesses its local cost only by means of a stochastic first-order oracle that returns a noisy version of the exact gradient. In this context, we propose a novel single-loop decentralized hybrid variance-reduced stochastic gradient method, called GT-HSGD, that outperforms the …
University of Toronto（多伦多大学）；Westlake University（西湖大学）；EPFL（洛桑联邦理工学院）；CISPA Helmholtz Center for Information Security（亥姆霍兹信息安全中心）
Gradient tracking (GT) is an algorithm designed for solving decentralized optimization problems over a network (such as training a machine learning model). A key feature of GT is a tracking mechanism that allows to overcome data heterogeneity between nodes. We develop a novel decentralized tracking mechanism, $K$-GT, that enables communication-efficient local updates in GT while inheriting the data-independence property of GT. We prove a convergence rate for $K$-GT on smooth non-convex functions and prove that it reduces the communication overhead asymptotically by a linear factor $K$, where $…
Decentralized solutions to finite-sum minimization are of significant importance in many signal processing, control, and machine learning applications. In such settings, the data is distributed over a network of arbitrarily-connected nodes and raw data sharing is prohibitive often due to communication or privacy constraints. In this article, we review decentralized stochastic first-order optimization methods and illustrate some recent improvements based on gradient tracking and variance reduction, focusing particularly on smooth and strongly-convex objective functions. We provide intuitive ill…
Decentralized stochastic optimization has recently benefited from gradient tracking methods \cite{DSGT_Pu,DSGT_Xin} providing efficient solutions for large-scale empirical risk minimization problems. In Part I \cite{GT_SAGA} of this work, we develop \textbf{\texttt{GT-SAGA}} that is based on a decentralized implementation of SAGA \cite{SAGA} using gradient tracking and discuss regimes of practical interest where \textbf{\texttt{GT-SAGA}} outperforms existing decentralized approaches in terms of the total number of local gradient computations. In this paper, we describe \textbf{\texttt{GT-SVRG}…
University of Minnesota Twin Cities（明尼苏达大学双城分校）；IBM Research AI（IBM研究院AI）；IBM Thomas J. Watson Research Center（IBM托马斯·J·沃森研究中心）
Many modern large-scale machine learning problems benefit from decentralized and stochastic optimization. Recent works have shown that utilizing both decentralized computing and local stochastic gradient estimates can outperform state-of-the-art centralized algorithms, in applications involving highly non-convex problems, such as training deep neural networks. In this work, we propose a decentralized stochastic algorithm to deal with certain smooth non-convex problems where there are $m$ nodes in the system, and each node has a large number of samples (denoted as $n$). Differently from the maj…
Department of Computer Science, University of Rochester（罗切斯特大学计算机科学系）；Department of Computational Mathematics, Science and Engineering, Michigan State University（密歇根州立大学计算数学、科学与工程系）；Department of Computer Science, ETH Zurich（苏黎世联邦理工学院计算机科学系）；Tencent AI Lab（腾讯AI实验室）
While training a machine learning model using multiple workers, each of which collects data from their own data sources, it would be most useful when the data collected from different workers can be {\em unique} and {\em different}. Ironically, recent analysis of decentralized parallel stochastic gradient descent (D-PSGD) relies on the assumption that the data hosted on different workers are {\em not too different}. In this paper, we ask the question: {\em Can we design a decentralized parallel stochastic gradient descent algorithm that is less sensitive to the data variance across workers?} I…
This paper studies a decentralized stochastic gradient tracking (DSGT) algorithm for non-convex empirical risk minimization problems over a peer-to-peer network of nodes, which is in sharp contrast to the existing DSGT only for convex problems. To ensure exact convergence and handle the variance among decentralized datasets, each node performs a stochastic gradient (SG) tracking step by using a mini-batch of samples, where the batch size is designed to be proportional to the size of the local dataset. We explicitly evaluate the convergence rate of DSGT with respect to the number of iterations …
In this paper, we propose Push-SAGA, a decentralized stochastic first-order method for finite-sum minimization over a directed network of nodes. Push-SAGA combines node-level variance reduction to remove the uncertainty caused by stochastic gradients, network-level gradient tracking to address the distributed nature of the data, and push-sum consensus to tackle the challenge of directed communication links. We show that Push-SAGA achieves linear convergence to the exact solution for smooth and strongly convex problems and is thus the first linearly-convergent stochastic algorithm over arbitrar…
Decentralized Nonconvex Composite Federated Learning with Gradient Tracking and Momentum
School of Cyber Science & Engineering, Southeast University（东南大学网络空间科学与工程学院）；Institute of Artificial Intelligence (TeleAI) of China Telecom（中国电信人工智能研究院）；School of Mathematics, Southeast University（东南大学数学学院）；Purple Mountain Laboratories（紫金山实验室）
University of Cambridge（剑桥大学）；University of Pennsylvania（宾夕法尼亚大学）；University of Maryland（马里兰大学）
The problem of decentralized multi-robot target tracking asks for jointly selecting actions, e.g., motion primitives, for the robots to maximize target tracking performance with local communications. One major challenge for practical implementations is to make target tracking approaches scalable for large-scale problem instances. In this work, we propose a general-purpose learning architecture toward collaborative target tracking at scale, with decentralized communications. Particularly, our learning architecture leverages a graph neural network (GNN) to capture local interactions of the robot…
Compressed Gradient Tracking for Decentralized Optimization Over General Directed Networks
Shanghai Center for Mathematical Sciences, Fudan University（复旦大学上海数学中心）；Shenzhen Research Institute of Big Data（深圳大数据研究院）；School of Data Science, The Chinese University of Hong Kong, Shenzhen（香港中文大学（深圳）数据科学学院）；Department of Mathematics, Michigan State University（密歇根州立大学数学系）
This paper studies decentralized convex-concave minimax optimization problems of the form $\min_x\max_y f(x,y) \triangleq\frac{1}{m}\sum_{i=1}^m f_i(x,y)$, where $m$ is the number of agents and each local function can be written as $f_i(x,y)=\frac{1}{n}\sum_{j=1}^n f_{i,j}(x,y)$. We propose a novel decentralized optimization algorithm, called multi-consensus stochastic variance reduced extragradient, which achieves the best known stochastic first-order oracle (SFO) complexity for this problem. Specifically, each agent requires $\mathcal O((n+κ\sqrt{n})\log(1/\varepsilon))$ SFO calls for strong…
Fudan University（复旦大学）；Tsinghua University（清华大学）；Beijing National Research Center for Information Science and Technology（北京信息科学与技术国家研究中心）；The Chinese University of Hong Kong（香港中文大学）
In decentralized learning, a network of nodes cooperate to minimize an overall objective function that is usually the finite-sum of their local objectives, and incorporates a non-smooth regularization term for the better generalization ability. Decentralized stochastic proximal gradient (DSPG) method is commonly used to train this type of learning models, while the convergence rate is retarded by the variance of stochastic gradients. In this paper, we propose a novel algorithm, namely DPSVRG, to accelerate the decentralized training by leveraging the variance reduction technique. The basic ide…
A Variance-Reduced Stochastic Gradient Tracking Algorithm for Decentralized Optimization with Orthogonality Constraints
State Key Laboratory of Scientific and Engineering Computing, Academy of Mathematics and Systems Science, Chinese Academy of Sciences（中国科学院数学与系统科学研究院科学与工程计算国家重点实验室）；University of Chinese Academy of Sciences（中国科学院大学）
ADP-VRSGP: Decentralized Learning with Adaptive Differential Privacy via Variance-Reduced Stochastic Gradient Push
Key Laboratory of Computing Power Network and Information Security, Ministry of Education, Shandong Computer Science Center, Qilu University of Technology (Shandong Academy of Sciences)（计算能力网络与信息安全重点实验室，教育部，山东计算机科学中心，齐鲁大学（山东科学院））；Shandong Provincial Key Laboratory of Industrial Network and Information System Security, Shandong Fundamental Research Center for Computer Science（山东省工业网络与信息系统安全重点实验室，山东省计算机科学基础研究中心）；School of Information and Software Engineering, University of Electronic Science and Technology of China（信息与软件工程学院，电子科技大学）
CISPA Helmholtz Center for Information Security（亥姆霍兹信息安全研究中心）；EPFL（洛桑联邦理工学院）
We consider decentralized machine learning over a network where the training data is distributed across $n$ agents, each of which can compute stochastic model updates on their local data. The agent's common goal is to find a model that minimizes the average of all local loss functions. While gradient tracking (GT) algorithms can overcome a key challenge, namely accounting for differences between workers' local data distributions, the known convergence rates for GT algorithms are not optimal with respect to their dependence on the mixing parameter $p$ (related to the spectral gap of the connect…
This paper considers decentralized minimization of $N:=nm$ smooth non-convex cost functions equally divided over a directed network of $n$ nodes. Specifically, we describe a stochastic first-order gradient method, called GT-SARAH, that employs a SARAH-type variance reduction technique and gradient tracking (GT) to address the stochastic and decentralized nature of the problem. We show that GT-SARAH, with appropriate algorithmic parameters, finds an $ε$-accurate first-order stationary point with $O\big(\max\big\{N^{\frac{1}{2}},n(1-λ)^{-2},n^{\frac{2}{3}}m^{\frac{1}{3}}(1-λ)^{-1}\big\}Lε^{-2}\b…
Johnson Controls Inc.（江森自控有限公司）；Iowa State University（爱荷华州立大学）；New York University（纽约大学）
We propose a novel policy gradient method for multi-agent reinforcement learning, which leverages two different variance-reduction techniques and does not require large batches over iterations. Specifically, we propose a momentum-based decentralized policy gradient tracking (MDPGT) where a new momentum-based variance reduction technique is used to approximate the local policy gradient surrogate with importance sampling, and an intermediate parameter is adopted to track two consecutive policy gradient surrogates. Moreover, MDPGT provably achieves the best available sample complexity of $\mathca…
Sporadic Gradient Tracking over Directed Graphs: A Theoretical Perspective on Decentralized Federated Learning
School of Electrical and Computer Engineering, Purdue University, West Lafayette, IN, USA（电气与计算机工程学院，普渡大学，西拉法基，印第安纳州，美国）；Department of Computer Science and Engineering, Yonsei University, Seoul, South Korea（计算机科学与工程系，延世大学，首尔，韩国）；Department of Electrical Engineering, University at Buffalo -- SUNY, Buffalo, NY, USA（电气工程系，布法罗大学——SUNY，布法罗，纽约州，美国）
Decentralized Federated Learning with Gradient Tracking over Time-Varying Directed Networks
School of Electrical, Computer and Energy Engineering, Arizona State University（亚利桑那州立大学电气、计算机与能源工程学院）；Department of Electrical and Computer Engineering, Princeton University（普林斯顿大学电气与计算机工程系）
We study stochastic decentralized optimization for the problem of training machine learning models with large-scale distributed data. We extend the widely used EXTRA and DIGing methods with variance reduction (VR), and propose two methods: VR-EXTRA and VR-DIGing. The proposed VR-EXTRA requires the time of $O((κ_s+n)\log\frac{1}ε)$ stochastic gradient evaluations and $O((κ_b+κ_c)\log\frac{1}ε)$ communication rounds to reach precision $ε$, which are the best complexities among the non-accelerated gradient-type methods, where $κ_s$ and $κ_b$ are the stochastic condition number and batch condition…
INRIA（法国国家信息与自动化研究所）；LTCI, Télécom-Paristech, Université Paris-Saclay（巴黎萨克雷大学巴黎高等电信学院LTCI实验室）；Google Brain（谷歌大脑）；Département d’Informatique de l’ENS（巴黎高等师范学院计算机系）
Our goal is to improve variance reducing stochastic methods through better control variates. We first propose a modification of SVRG which uses the Hessian to track gradients over time, rather than to recondition, increasing the correlation of the control variates and leading to faster theoretical convergence close to the optimum. We then propose accurate and computationally efficient approximations to the Hessian, both using a diagonal and a low-rank matrix. Finally, we demonstrate the effectiveness of our method on a wide range of problems.
SPARKLE: A Unified Single-Loop Primal-Dual Framework for Decentralized Bilevel Optimization
Peking University（北京大学）；IBM Research（IBM研究院）；University of Pennsylvania（宾夕法尼亚大学）；National Engineering Labratory for Big Data Analytics and Applications（国家大数据分析与应用工程实验室）；AI for Science Institute（科学智能研究所）
Decentralized Optimization on Compact Submanifolds by Quantized Riemannian Gradient Tracking
National Special Education Resource Center for Children with Autism, Zhejiang Normal University（浙江师范大学生自闭症教育资源中心）；School of Computer Science and Technology, Zhejiang Normal University（浙江师范大学计算机科学与技术学院）；China Mobile Research Institute（中国移动研究院）；Institute of Cyber-Systems and Control, Zhejiang University（浙江大学控制系统研究所）；SGIT AI Lab, State Grid Corporation of China（国网SGIT人工智能实验室）；Zhejiang Key Laboratory of Intelligent Education Technology and Application, Zhejiang Normal University（浙江智能教育技术与应用重点实验室）；School of Information Engineering, Huzhou University（湖州大学信息工程学院）；Centre for Frontier Artificial Intelligence Research, A*STAR（A*STAR前沿人工智能研究中心）
There is growing interest in large-scale machine learning and optimization over decentralized networks, e.g. in the context of multi-agent learning and federated learning. Due to the imminent need to alleviate the communication burden, the investigation of communication-efficient distributed optimization algorithms - particularly for empirical risk minimization - has flourished in recent years. A large fraction of these algorithms have been developed for the master/slave setting, relying on a central parameter server that can communicate with all agents. This paper focuses on distributed optim…
In this paper, we present Neural-Swarm, a nonlinear decentralized stable controller for close-proximity flight of multirotor swarms. Close-proximity control is challenging due to the complex aerodynamic interaction effects between multirotors, such as downwash from higher vehicles to lower ones. Conventional methods often fail to properly capture these interaction effects, resulting in controllers that must maintain large safety distances between vehicles, and thus are not capable of close-proximity flight. Our approach combines a nominal dynamics model with a regularized permutation-invariant…
We study the decentralized optimization problem where a network of $n$ agents seeks to minimize the average of a set of heterogeneous non-convex cost functions distributedly. State-of-the-art decentralized algorithms like Exact Diffusion~(ED) and Gradient Tracking~(GT) involve communicating every iteration. However, communication is expensive, resource intensive, and slow. In this work, we analyze a locally updated GT method (LU-GT), where agents perform local recursions before interacting with their neighbors. While local updates have been shown to reduce communication overhead in practice, t…
The Ohio State University（俄亥俄州立大学）；Wayne State University（韦恩州立大学）；Air Force Research Laboratory（美国空军研究实验室）
Decentralized bilevel optimization has received increasing attention recently due to its foundational role in many emerging multi-agent learning paradigms (e.g., multi-agent meta-learning and multi-agent reinforcement learning) over peer-to-peer edge networks. However, to work with the limited computation and communication capabilities of edge networks, a major challenge in developing decentralized bilevel optimization techniques is to lower sample and communication complexities. This motivates us to develop a new decentralized bilevel optimization called DIAMOND (decentralized single-timescal…
Distributed descent-based methods are an essential toolset to solving optimization problems in multi-agent system scenarios. Here the agents seek to optimize a global objective function through mutual cooperation. Oftentimes, cooperation is achieved over a wireless communication network that is prone to delays and errors. There are many scenarios wherein the objective function is either non-differentiable or merely observable. In this paper, we present a cross-entropy based distributed stochastic approximation algorithm (SA) that finds a minimum of the objective, using only samples. We call th…
Sorbonne Université（索邦大学）；CNRS（法国国家科学研究中心）；Électricité de France R&D（法国电力研发中心）
We consider the problem of time series forecasting in an adaptive setting. We focus on the inference of state-space models under unknown and potentially time-varying noise variances. We introduce an augmented model in which the variances are represented as auxiliary gaussian latent variables in a tracking mode. As variances are nonnegative, a transformation is chosen and applied to these latent variables. The inference relies on the online variational Bayesian methodology, which consists in minimizing a Kullback-Leibler divergence at each time step. We observe that the minimum of the Kullback-…
Accelerated Gradient Tracking over Time-varying Graphs for Decentralized Optimization
Institute of Robotics and Automatic Information Systems, College of Artificial Intelligence, Nankai University（南开大学人工智能学院机器人与自动信息系统研究所）；State Key Lab of General AI, School of Intelligence Science and Technology, Peking University（北京大学智能科学与技术学院通用人工智能省部共建国家重点实验室）
Purdue University（普渡大学）；University of Rome “La Sapienza”（罗马第一大学）；U.S. Army Research Laboratory（美国陆军研究实验室）
This paper studies Dictionary Learning problems wherein the learning task is distributed over a multi-agent network, modeled as a time-varying directed graph. This formulation is relevant, for instance, in Big Data scenarios where massive amounts of data are collected/stored in different locations (e.g., sensors, clouds) and aggregating and/or processing all data in a fusion center might be inefficient or unfeasible, due to resource limitations, communication overheads or privacy issues. We develop a unified decentralized algorithmic framework for this class of nonconvex problems, which is pro…
Distributed Optimization with Streaming Data: A Temporal Weighting Perspective
School of Electrical, Computer and Energy Engineering, Arizona State University（亚利桑那州立大学电气、计算机与能源工程学院）；Department of Electrical Engineering (ISY), Linköping University（林雪平大学电气工程系）
Decentralized Sparse Linear Regression via Gradient-Tracking: Linear Convergence and Statistical Guarantees
Texas A&M University（德克萨斯农工大学）；Purdue University（普渡大学）；The Pennsylvania State University（宾夕法尼亚州立大学）；The University of California, Los Angeles（加利福尼亚大学洛杉矶分校）
Texas A&M University（德克萨斯农工大学）；University of Minnesota（明尼苏达大学）
We consider a distributed non-convex optimization where a network of agents aims at minimizing a global function over the Stiefel manifold. The global function is represented as a finite sum of smooth local functions, where each local function is associated with one agent and agents communicate with each other over an undirected connected graph. The problem is non-convex as local functions are possibly non-convex (but smooth) and the Steifel manifold is a non-convex set. We present a decentralized Riemannian stochastic gradient method (DRSGD) with the convergence rate of $\mathcal{O}(1/\sqrt{K…
Distributed algorithms have been playing an increasingly important role in many applications such as machine learning, signal processing, and control. Significant research efforts have been devoted to developing and analyzing new algorithms for various applications. In this work, we provide a fresh perspective to understand, analyze, and design distributed optimization algorithms. Through the lens of multi-rate feedback control, we show that a wide class of distributed algorithms, including popular decentralized/federated schemes, can be viewed as discretizing a certain continuous-time feedbac…
