Delayed Projection Techniques for Linearly Constrained Problems: Convergence Rates, Acceleration, and Applications

• URL: http://arxiv.org/abs/2101.01505v1
• Date: Tue, 5 Jan 2021 13:42:41 GMT
• Title: Delayed Projection Techniques for Linearly Constrained Problems: Convergence Rates, Acceleration, and Applications
• Authors: Xiang Li, Zhihua Zhang
• Abstract summary: We study a novel class of projection-based algorithms for linearly constrained problems (LCPs) We propose the delayed projection technique that calls a projection once for a while, lowering the projection frequency and improving the projection efficiency. We show that it is feasible to improve projection efficiency in both strongly convex and generally convex cases.
• Score: 24.763531954075656
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this work, we study a novel class of projection-based algorithms for linearly constrained problems (LCPs) which have a lot of applications in statistics, optimization, and machine learning. Conventional primal gradient-based methods for LCPs call a projection after each (stochastic) gradient descent, resulting in that the required number of projections equals that of gradient descents (or total iterations). Motivated by the recent progress in distributed optimization, we propose the delayed projection technique that calls a projection once for a while, lowering the projection frequency and improving the projection efficiency. Accordingly, we devise a series of stochastic methods for LCPs using the technique, including a variance reduced method and an accelerated one. We theoretically show that it is feasible to improve projection efficiency in both strongly convex and generally convex cases. Our analysis is simple and unified and can be easily extended to other methods using delayed projections. When applying our new algorithms to federated optimization, a newfangled and privacy-preserving subfield in distributed optimization, we obtain not only a variance reduced federated algorithm with convergence rates better than previous works, but also the first accelerated method able to handle data heterogeneity inherent in federated optimization.

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