467,205 research outputs found
Dual Averaging for Distributed Optimization: Convergence Analysis and Network Scaling
The goal of decentralized optimization over a network is to optimize a global
objective formed by a sum of local (possibly nonsmooth) convex functions using
only local computation and communication. It arises in various application
domains, including distributed tracking and localization, multi-agent
co-ordination, estimation in sensor networks, and large-scale optimization in
machine learning. We develop and analyze distributed algorithms based on dual
averaging of subgradients, and we provide sharp bounds on their convergence
rates as a function of the network size and topology. Our method of analysis
allows for a clear separation between the convergence of the optimization
algorithm itself and the effects of communication constraints arising from the
network structure. In particular, we show that the number of iterations
required by our algorithm scales inversely in the spectral gap of the network.
The sharpness of this prediction is confirmed both by theoretical lower bounds
and simulations for various networks. Our approach includes both the cases of
deterministic optimization and communication, as well as problems with
stochastic optimization and/or communication.Comment: 40 pages, 4 figure
Non-Convex Distributed Optimization
We study distributed non-convex optimization on a time-varying multi-agent
network. Each node has access to its own smooth local cost function, and the
collective goal is to minimize the sum of these functions. We generalize the
results obtained previously to the case of non-convex functions. Under some
additional technical assumptions on the gradients we prove the convergence of
the distributed push-sum algorithm to some critical point of the objective
function. By utilizing perturbations on the update process, we show the almost
sure convergence of the perturbed dynamics to a local minimum of the global
objective function. Our analysis shows that this noised procedure converges at
a rate of
Distributed Parameter Estimation via Pseudo-likelihood
Estimating statistical models within sensor networks requires distributed
algorithms, in which both data and computation are distributed across the nodes
of the network. We propose a general approach for distributed learning based on
combining local estimators defined by pseudo-likelihood components,
encompassing a number of combination methods, and provide both theoretical and
experimental analysis. We show that simple linear combination or max-voting
methods, when combined with second-order information, are statistically
competitive with more advanced and costly joint optimization. Our algorithms
have many attractive properties including low communication and computational
cost and "any-time" behavior.Comment: Appears in Proceedings of the 29th International Conference on
Machine Learning (ICML 2012
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