WIAS Preprint No. 2691, (2020)

Optimal decentralized distributed algorithms for stochastic convex optimization



Authors

  • Gorbunov, Eduard
  • Dvinskikh, Darina
  • Gasnikov, Alexander
    ORCID: 0000-0003-1201-2343

2010 Mathematics Subject Classification

  • 90C25 90C06 90C90

Keywords

  • Convex optimization, stochastic optimization, primal and dual methods, distributed methods, decentralized algorithms, first-order methods, optimal complexity bounds, mini-batch

DOI

10.20347/WIAS.PREPRINT.2691

Abstract

We consider stochastic convex optimization problems with affine constraints and develop several methods using either primal or dual approach to solve it. In the primal case we use special penalization technique to make the initial problem more convenient for using optimization methods. We propose algorithms to solve it based on Similar Triangles Method with Inexact Proximal Step for the convex smooth and strongly convex smooth objective functions and methods based on Gradient Sliding algorithm to solve the same problems in the non-smooth case. We prove the convergence guarantees in smooth convex case with deterministic first-order oracle. We propose and analyze three novel methods to handle stochastic convex optimization problems with affine constraints: SPDSTM, R-RRMA-AC-SA and SSTM_sc. All methods use stochastic dual oracle. SPDSTM is the stochastic primal-dual modification of STM and it is applied for the dual problem when the primal functional is strongly convex and Lipschitz continuous on some ball. R-RRMA-AC-SA is an accelerated stochastic method based on the restarts of RRMA-AC-SA and SSTM_sc is just stochastic STM for strongly convex problems. Both methods are applied to the dual problem when the primal functional is strongly convex, smooth and Lipschitz continuous on some ball and use stochastic dual first-order oracle. We develop convergence analysis for these methods for the unbiased and biased oracles respectively. Finally, we apply all aforementioned results and approaches to solve decentralized distributed optimization problem and discuss optimality of the obtained results in terms of communication rounds and number of oracle calls per node.

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