Distributed Stochastic Consensus Optimization with Momentum for Nonconvex Nonsmooth Problems

• URL: http://arxiv.org/abs/2011.05082v1
• Date: Tue, 10 Nov 2020 13:12:21 GMT
• Title: Distributed Stochastic Consensus Optimization with Momentum for Nonconvex Nonsmooth Problems
• Authors: Zhiguo Wang, Jiawei Zhang, Tsung-Hui Chang, Jian Li and Zhi-Quan Luo
• Abstract summary: This paper presents a new distributed optimization algorithm for non-smooth problems. We show that the proposed algorithm can achieve an overcal communication. Experiments are presented to illustrate the effectiveness of the proposed algorithms.
• Score: 45.88640334610308
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: While many distributed optimization algorithms have been proposed for solving smooth or convex problems over the networks, few of them can handle non-convex and non-smooth problems. Based on a proximal primal-dual approach, this paper presents a new (stochastic) distributed algorithm with Nesterov momentum for accelerated optimization of non-convex and non-smooth problems. Theoretically, we show that the proposed algorithm can achieve an $\epsilon$-stationary solution under a constant step size with $\mathcal{O}(1/\epsilon^2)$ computation complexity and $\mathcal{O}(1/\epsilon)$ communication complexity. When compared to the existing gradient tracking based methods, the proposed algorithm has the same order of computation complexity but lower order of communication complexity. To the best of our knowledge, the presented result is the first stochastic algorithm with the $\mathcal{O}(1/\epsilon)$ communication complexity for non-convex and non-smooth problems. Numerical experiments for a distributed non-convex regression problem and a deep neural network based classification problem are presented to illustrate the effectiveness of the proposed algorithms.

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