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Decentralized Convex Finite-Sum Optimization with Better Dependence on Condition Numbers

ICML 2024 · Optimization › Nonconvex and smooth optimization · approach: Proximal finite-sum methods

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Proposes CESAR, a decentralized stochastic variance-reduced accelerated method with node-specific non-uniform mini-batch sampling (Bernoulli sampling with probabilities depending on smoothness), whose complexity depends on the global condition number rather than local ones.

Problem

Decentralized convex finite-sum optimization where each node's local objective is an average of convex component functions and the global objective is strongly convex; prior stochastic methods' complexity depends only on local condition numbers.

Approach

Each node draws its stochastic variance-reduced gradient estimator with node- and component-specific Bernoulli sampling probabilities (proportional to component smoothness), so different nodes use different mini-batch sizes per iteration; combined with Katyusha-like acceleration, multi-consensus Chebyshev steps and gradient tracking, this yields complexity bounds that depend on global condition nu

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use CESAR's non-uniform sampling with node-specific stochastic gradient batch sizesDecentralized convex finite-sum optimization · Decentralized convex finite-sum optimizationcomputation time complexity: ˜O((√(n¯κmax/m) + √κ + n) log(1/ε))Helped
Use CESAR's non-uniform sampling with node-specific stochastic gradient batch sizesDecentralized convex finite-sum optimization · Decentralized convex finite-sum optimizationcommunication rounds: ˜O(√(κ/γ) log(1/ε))Helped
Use CESAR's non-uniform sampling with node-specific stochastic gradient batch sizesDecentralized convex finite-sum optimization · Decentralized convex finite-sum optimizationLIFO calls: O((√(mn¯κmax) + mn) log(1/ε))Helped
Use CESAR instead of Acc-VR-DIGing or Acc-VR-EXTRADecentralized logistic regression · a9aoptimal gap versus computationHelped
Use CESAR instead of Acc-VR-DIGing or Acc-VR-EXTRADecentralized logistic regression · w6aoptimal gap versus communicationHelped
Use CESAR instead of MudagDecentralized logistic regression · a9a and w6aoptimal gap versus computation and LIFO callsHelped
Use CESAR instead of MudagDecentralized logistic regression · a9a and w6acommunication costNo clear effect

Surprising findings

Limitations

Experimental setup

Datasets: a9a w6a

Benchmarks: a9a w6a

Metrics: optimality gap versus # computation optimality gap versus # communication optimality gap versus # LIFO calls

Baselines: Mudag Acc-VR-DIGing Acc-VR-EXTRA ADFS DSA GT-SVRG

Builds on: Katyusha L-Katyusha Mudag ADFS Acc-VR-EXTRA FastMix

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