Distributed Online Optimization via Gradient Tracking with Adaptive Momentum

This paper deals with a network of computing agents aiming to solve an online optimization problem in a distributed fashion, i.e., by means of local computation and communication, without any central coordinator. We propose the gradient tracking with adaptive momentum estimation (GTAdam) distributed algorithm, which combines a gradient tracking mechanism with first and second order momentum estimates of the gradient. The algorithm is analyzed in the online setting for strongly convex and smooth cost functions. We prove that the average dynamic regret is bounded and that the convergence rate is linear. The algorithm is tested on a time-varying classification problem, on a (moving) target localization problem and in a stochastic optimization setup from image classification. In these numerical experiments from multi-agent learning, GTAdam outperforms state-of-the-art distributed optimization methods

Multi-Agent Online Optimization with Delays: Asynchronicity, Adaptivity, and Optimism

Online learning has been successfully applied to many problems in which data are revealed over time. In this paper, we provide a general framework for studying multi-agent online learning problems in the presence of delays and asynchronicities. Specifically, we propose and analyze a class of adaptive dual averaging schemes in which agents only need to accumulate gradient feedback received from the whole system, without requiring any between-agent coordination. In the single-agent case, the adaptivity of the proposed method allows us to extend a range of existing results to problems with potentially unbounded delays between playing an action and receiving the corresponding feedback. In the multi-agent case, the situation is significantly more complicated because agents may not have access to a global clock to use as a reference point; to overcome this, we focus on the information that is available for producing each prediction rather than the actual delay associated with each feedback. This allows us to derive adaptive learning strategies with optimal regret bounds, at both the agent and network levels. Finally, we also analyze an "optimistic" variant of the proposed algorithm which is capable of exploiting the predictability of problems with a slower variation and leads to improved regret bounds