Distributed Learning in Non-Convex Environments— Part II: Polynomial Escape From Saddle-Points
Stefan Vlaski, Ali H. Sayed
Abstract
The diffusion strategy for distributed learning from streaming data employs local stochastic gradient updates along with exchange of iterates over neighborhoods. In Part I [3] of this work we established that agents cluster around a network centroid and proceeded to study the dynamics of this point. We established expected descent in non-convex environments in the large-gradient regime and introduced a short-term model to examine the dynamics over finite-time horizons. Using this model, we establish in this work that the diffusion strategy is able to escape from strict saddle-points in O(1/μ) iterations, where μ denotes the step-size; it is also able to return approximately second-order stationary points in a polynomial number of iterations. Relative to prior works on the polynomial escape from saddle-points, most of which focus on centralized perturbed or stochastic gradient descent, our approach requires less restrictive conditions on the gradient noise process.