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A Stochastic Second-Order Proximal Method for Distributed Optimization

St-SoPro proposes a distributed stochastic second-order proximal method that achieves linear convergence to an arbitrarily small error bound for strongly convex problems while reducing computation and communication costs.

Qiu, Chenyang, Shanying Zhu, Zichong Ou, Jie Lu

Published Nov 19, 2022arXiv ↗

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Abstract

In this paper, we propose a distributed stochastic second-order proximal method that enables agents in a network to cooperatively minimize the sum of their local loss functions without any centralized coordination. The proposed algorithm, referred to as St-SoPro, incorporates a decentralized second-order approximation into an augmented Lagrangian function, and then randomly samples the local gradients and Hessian matrices of the agents, so that it is computationally and memory-wise efficient, particularly for large-scale optimization problems. We show that for globally restricted strongly convex problems, the expected optimality error of St-SoPro asymptotically drops below an explicit error bound at a linear rate, and the error bound can be arbitrarily small with proper parameter settings. Simulations over real machine learning datasets demonstrate that St-SoPro outperforms several state-of-the-art distributed stochastic first-order methods in terms of convergence speed as well as computation and communication costs.