Large-Scale Distributed Bayesian Matrix Factorization using Stochastic Gradient MCMC

Despite having various attractive qualities such as high prediction accuracy and the ability to quantify uncertainty and avoid over-fitting, Bayesian Matrix Factorization has not been widely adopted because of the prohibitive cost of inference. In this paper, we propose a scalable distributed Bayesian matrix factorization algorithm using stochastic gradient MCMC. Our algorithm, based on Distributed Stochastic Gradient Langevin Dynamics, can not only match the prediction accuracy of standard MCMC methods like Gibbs sampling, but at the same time is as fast and simple as stochastic gradient descent. In our experiments, we show that our algorithm can achieve the same level of prediction accuracy as Gibbs sampling an order of magnitude faster. We also show that our method reduces the prediction error as fast as distributed stochastic gradient descent, achieving a 4.1% improvement in RMSE for the Netflix dataset and an 1.8% for the Yahoo music dataset

Optimal Scaling of a Gradient Method for Distributed Resource Allocation

We consider a class of weighted gradient methods for distributed resource allocation over a network. Each node of the network is associated with a local variable and a convex cost function; the sum of the variables (resources) across the network is fixed. Starting with a feasible allocation, each node updates its local variable in proportion to the differences between the marginal costs of itself and its neighbors. We focus on how to choose the proportional weights on the edges (scaling factors for the gradient method) to make this distributed algorithm converge and on how to make the convergence as fast as possible. We give sufficient conditions on the edge weights for the algorithm to converge monotonically to the optimal solution; these conditions have the form of a linear matrix inequality. We give some simple, explicit methods to choose the weights that satisfy these conditions. We derive a guaranteed convergence rate for the algorithm and find the weights that minimize this rate by solving a semidefinite program. Finally, we extend the main results to problems with general equality constraints and problems with block separable objective function