A Primal-Dual SGD Algorithm for Distributed Nonconvex Optimization
Xinlei Yi, Shengjun Zhang, Tao Yang, Tianyou Chai, Karl Henrik Johansson
Abstract
The distributed nonconvex optimization problem of minimizing a global cost function formed by a sum of <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$n$</tex> local cost functions by using local information exchange is considered. This problem is an important component of many machine learning techniques with data parallelism, such as deep learning and federated learning. We propose a distributed primal-dual stochastic gradient descent (SGD) algorithm, suitable for arbitrarily connected communication networks and any smooth (possibly nonconvex) cost functions. We show that the proposed algorithm achieves the linear speedup convergence rate <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$\mathcal{O}(1/\sqrt{nT})$</tex> for general nonconvex cost functions and the linear speedup convergence rate <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$\mathcal{O}(1/(nT))$</tex> when the global cost function satisfies the Polyak-Łojasiewicz (P-Ł) condition, where <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$T$</tex> is the total number of iterations. We also show that the output of the proposed algorithm with constant parameters linearly converges to a neighborhood of a global optimum. We demonstrate through numerical experiments the efficiency of our algorithm in comparison with the baseline centralized SGD and recently proposed distributed SGD algorithms.