Fast Distributed Gradient Methods

We study distributed optimization problems when N nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex, have Lipschitz continuous gradient (with constant L), and bounded gradient. We propose two fast distributed gradient algorithms based on the c...

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Vydáno v:IEEE transactions on automatic control Ročník 59; číslo 5; s. 1131 - 1146
Hlavní autoři: Jakovetic, Dusan, Xavier, Joao, Moura, Jose M. F.
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York IEEE 01.05.2014
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Témata:
ISSN:0018-9286, 1558-2523
On-line přístup:Získat plný text
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Abstract We study distributed optimization problems when N nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex, have Lipschitz continuous gradient (with constant L), and bounded gradient. We propose two fast distributed gradient algorithms based on the centralized Nesterov gradient algorithm and establish their convergence rates in terms of the per-node communications K and the per-node gradient evaluations k. Our first method, Distributed Nesterov Gradient, achieves rates O( logK/K) and O(logk/k). Our second method, Distributed Nesterov gradient with Consensus iterations, assumes at all nodes knowledge of L and μ(W) - the second largest singular value of the N ×N doubly stochastic weight matrix W. It achieves rates O( 1/ K 2-ξ ) and O( 1/k 2 ) ( ξ > 0 arbitrarily small). Further, we give for both methods explicit dependence of the convergence constants on N and W. Simulation examples illustrate our findings.
AbstractList We study distributed optimization problems when N nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex, have Lipschitz continuous gradient (with constant L), and bounded gradient. We propose two fast distributed gradient algorithms based on the centralized Nesterov gradient algorithm and establish their convergence rates in terms of the per-node communications K and the per-node gradient evaluations k. Our first method, Distributed Nesterov Gradient, achieves rates O( logK/K) and O(logk/k). Our second method, Distributed Nesterov gradient with Consensus iterations, assumes at all nodes knowledge of L and μ(W) - the second largest singular value of the N ×N doubly stochastic weight matrix W. It achieves rates O( 1/ K 2-ξ ) and O( 1/k 2 ) ( ξ > 0 arbitrarily small). Further, we give for both methods explicit dependence of the convergence constants on N and W. Simulation examples illustrate our findings.
We study distributed optimization problems when [Formula Omitted] nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex, have Lipschitz continuous gradient (with constant [Formula Omitted]), and bounded gradient. We propose two fast distributed gradient algorithms based on the centralized Nesterov gradient algorithm and establish their convergence rates in terms of the per-node communications [Formula Omitted] and the per-node gradient evaluations [Formula Omitted]. Our first method, Distributed Nesterov Gradient, achieves rates [Formula Omitted] and [Formula Omitted]. Our second method, Distributed Nesterov gradient with Consensus iterations, assumes at all nodes knowledge of [Formula Omitted] and [Formula Omitted] - the second largest singular value of the [Formula Omitted] doubly stochastic weight matrix [Formula Omitted]. It achieves rates [Formula Omitted] and [Formula Omitted] ([Formula Omitted] arbitrarily small). Further, we give for both methods explicit dependence of the convergence constants on [Formula Omitted] and [Formula Omitted]. Simulation examples illustrate our findings.
We study distributed optimization problems when N nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex, have Lipschitz continuous gradient (with constant L ), and bounded gradient. We propose two fast distributed gradient algorithms based on the centralized Nesterov gradient algorithm and establish their convergence rates in terms of the per-node communications calK and the per-node gradient evaluations k . Our first method, Distributed Nesterov Gradient, achieves rates syntax error at token { and syntax error at token { . Our second method, Distributed Nesterov gradient with Consensus iterations, assumes at all nodes knowledge of L and mu openbracket W [ closebracket ] - the second largest singular value of the N timesN doubly stochastic weight matrix W . It achieves rates syntax error at token { and syntax error at token { ( xi > 0 arbitrarily small). Further, we give for both methods explicit dependence of the convergence constants on N and W . Simulation examples illustrate our findings.
Author Xavier, Joao
Moura, Jose M. F.
Jakovetic, Dusan
Author_xml – sequence: 1
  givenname: Dusan
  surname: Jakovetic
  fullname: Jakovetic, Dusan
  email: djakovet@uns.ac.rs
  organization: Inst. for Syst. & Robot., Univ. of Lisbon, Lisbon, Portugal
– sequence: 2
  givenname: Joao
  surname: Xavier
  fullname: Xavier, Joao
  email: jxavier@isr.ist.utl.pt
  organization: Inst. de Sist. e Robot. (ISR), Univ. of Lisbon, Lisbon, Portugal
– sequence: 3
  givenname: Jose M. F.
  surname: Moura
  fullname: Moura, Jose M. F.
  email: moura@ece.cmu.edu
  organization: Dept. of Electr. & Comput. Eng., Carnegie Mellon Univ., Pittsburgh, PA, USA
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Snippet We study distributed optimization problems when N nodes minimize the sum of their individual costs subject to a common vector variable. The costs are convex,...
We study distributed optimization problems when [Formula Omitted] nodes minimize the sum of their individual costs subject to a common vector variable. The...
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SubjectTerms Acceleration
Algorithm design and analysis
Algorithms
Consensus
Constants
Convergence
convergence rate
Costs
distributed optimization
Educational institutions
Errors
Gradient methods
Mathematical analysis
Nesterov gradient
Optimization
Syntax
Vectors
Title Fast Distributed Gradient Methods
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