<p>The gradient-push algorithm is a fundamental algorithm for the distributed optimization problem <Equation ID="Equ55"> <EquationSource Format="TEX">\(\begin{aligned} \min _{x \in {\mathbb{R}}^d} f(x) = \sum _{i=1}^n f_i (x), \end{aligned}\)</EquationSource> </Equation>where each local cost <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(f_i\)</EquationSource> </InlineEquation> is only known to agent <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(a_i\)</EquationSource> </InlineEquation> for <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(1 \le i \le n\)</EquationSource> </InlineEquation> and the agents are connected by a directed graph. In this paper, we obtain convergence results for the gradient-push algorithm with constant stepsize whose range is sharp in terms the order of the smoothness constant <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(L&gt;0\)</EquationSource> </InlineEquation>. Precisely, under the two settings: (1) Each local cost <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(f_i\)</EquationSource> </InlineEquation> is strongly convex and <i>L</i>-smooth, (2) each local cost <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(f_i\)</EquationSource> </InlineEquation> is convex quadratic and <i>L</i>-smooth while the aggregate cost <i>f</i> is strongly convex, we show that the gradient-push algorithm with stepsize <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(\alpha&gt;0\)</EquationSource> </InlineEquation> converges to an <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(O(\alpha )\)</EquationSource> </InlineEquation>-neighborhood of the minimizer of <i>f</i> for a range <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\(\alpha \in (0, c/L]\)</EquationSource> </InlineEquation> with a value <InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(c&gt;0\)</EquationSource> </InlineEquation> independent of <InlineEquation ID="IEq11"> <EquationSource Format="TEX">\(L&gt;0\)</EquationSource> </InlineEquation>. As a benefit of the result, we suggest a hybrid algorithm that performs the gradient-push algorithm with a relatively large stepsize <InlineEquation ID="IEq12"> <EquationSource Format="TEX">\(\alpha&gt;0\)</EquationSource> </InlineEquation> for a number of iterations and then go over to perform the Push-DIGing algorithm. It is verified by a numerical test that the hybrid algorithm enhances the performance of the Push-DIGing algorithm significantly. The convergence results of the gradient-push algorithm are also supported by numerical tests.</p>

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An improved convergence guarantee for the gradient-push algorithm with a constant stepsize

  • Hyogi Choi,
  • Woocheol Choi,
  • Gwangil Kim

摘要

The gradient-push algorithm is a fundamental algorithm for the distributed optimization problem \(\begin{aligned} \min _{x \in {\mathbb{R}}^d} f(x) = \sum _{i=1}^n f_i (x), \end{aligned}\) where each local cost \(f_i\) is only known to agent \(a_i\) for \(1 \le i \le n\) and the agents are connected by a directed graph. In this paper, we obtain convergence results for the gradient-push algorithm with constant stepsize whose range is sharp in terms the order of the smoothness constant \(L>0\) . Precisely, under the two settings: (1) Each local cost \(f_i\) is strongly convex and L-smooth, (2) each local cost \(f_i\) is convex quadratic and L-smooth while the aggregate cost f is strongly convex, we show that the gradient-push algorithm with stepsize \(\alpha>0\) converges to an \(O(\alpha )\) -neighborhood of the minimizer of f for a range \(\alpha \in (0, c/L]\) with a value \(c>0\) independent of \(L>0\) . As a benefit of the result, we suggest a hybrid algorithm that performs the gradient-push algorithm with a relatively large stepsize \(\alpha>0\) for a number of iterations and then go over to perform the Push-DIGing algorithm. It is verified by a numerical test that the hybrid algorithm enhances the performance of the Push-DIGing algorithm significantly. The convergence results of the gradient-push algorithm are also supported by numerical tests.