Coordinate Descent with Bandit Sampling

Coordinate descent methods usually minimize a cost function by updating a random decision variable (corresponding to one coordinate) at a time. Ideally, we would update the decision variable that yields the largest decrease in the cost function. However, finding this coordinate would require checking all of them, which would effectively negate the improvement in computational tractability that coordinate descent is intended to afford. To address this, we propose a new adaptive method for selecting a coordinate. First, we find a lower bound on the amount the cost function decreases when a coordinate is updated. We then use a multi-armed bandit algorithm to learn which coordinates result in the largest lower bound by interleaving this learning with conventional coordinate descent updates except that the coordinate is selected proportionately to the expected decrease. We show that our approach improves the convergence of coordinate descent methods both theoretically and experimentally.Comment: appearing at NeurIPS 201

CoCoA: A General Framework for Communication-Efficient Distributed Optimization

The scale of modern datasets necessitates the development of efficient distributed optimization methods for machine learning. We present a general-purpose framework for distributed computing environments, CoCoA, that has an efficient communication scheme and is applicable to a wide variety of problems in machine learning and signal processing. We extend the framework to cover general non-strongly-convex regularizers, including L1-regularized problems like lasso, sparse logistic regression, and elastic net regularization, and show how earlier work can be derived as a special case. We provide convergence guarantees for the class of convex regularized loss minimization objectives, leveraging a novel approach in handling non-strongly-convex regularizers and non-smooth loss functions. The resulting framework has markedly improved performance over state-of-the-art methods, as we illustrate with an extensive set of experiments on real distributed datasets

Sparsified SGD with Memory

Huge scale machine learning problems are nowadays tackled by distributed optimization algorithms, i.e. algorithms that leverage the compute power of many devices for training. The communication overhead is a key bottleneck that hinders perfect scalability. Various recent works proposed to use quantization or sparsification techniques to reduce the amount of data that needs to be communicated, for instance by only sending the most significant entries of the stochastic gradient (top-k sparsification). Whilst such schemes showed very promising performance in practice, they have eluded theoretical analysis so far. In this work we analyze Stochastic Gradient Descent (SGD) with k-sparsification or compression (for instance top-k or random-k) and show that this scheme converges at the same rate as vanilla SGD when equipped with error compensation (keeping track of accumulated errors in memory). That is, communication can be reduced by a factor of the dimension of the problem (sometimes even more) whilst still converging at the same rate. We present numerical experiments to illustrate the theoretical findings and the good scalability for distributed applications

Communication-Efficient Distributed Deep Learning: A Comprehensive Survey

Distributed deep learning becomes very common to reduce the overall training time by exploiting multiple computing devices (e.g., GPUs/TPUs) as the size of deep models and data sets increases. However, data communication between computing devices could be a potential bottleneck to limit the system scalability. How to address the communication problem in distributed deep learning is becoming a hot research topic recently. In this paper, we provide a comprehensive survey of the communication-efficient distributed training algorithms in both system-level and algorithmic-level optimizations. In the system-level, we demystify the system design and implementation to reduce the communication cost. In algorithmic-level, we compare different algorithms with theoretical convergence bounds and communication complexity. Specifically, we first propose the taxonomy of data-parallel distributed training algorithms, which contains four main dimensions: communication synchronization, system architectures, compression techniques, and parallelism of communication and computing. Then we discuss the studies in addressing the problems of the four dimensions to compare the communication cost. We further compare the convergence rates of different algorithms, which enable us to know how fast the algorithms can converge to the solution in terms of iterations. According to the system-level communication cost analysis and theoretical convergence speed comparison, we provide the readers to understand what algorithms are more efficient under specific distributed environments and extrapolate potential directions for further optimizations