On Centralized and Distributed Mirror Descent: Exponential Convergence Analysis Using Quadratic Constraints

• URL: http://arxiv.org/abs/2105.14385v1
• Date: Sat, 29 May 2021 23:05:56 GMT
• Title: On Centralized and Distributed Mirror Descent: Exponential Convergence Analysis Using Quadratic Constraints
• Authors: Youbang Sun, Mahyar Fazlyab, Shahin Shahrampour
• Abstract summary: Mirror descent (MD) is a powerful first-order optimization technique that subsumes several algorithms including gradient descent (GD) We study the exact convergence rate of MD in both centralized and distributed cases for strongly convex and smooth problems.
• Score: 8.336315962271396
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Mirror descent (MD) is a powerful first-order optimization technique that subsumes several optimization algorithms including gradient descent (GD). In this work, we study the exact convergence rate of MD in both centralized and distributed cases for strongly convex and smooth problems. We view MD with a dynamical system lens and leverage quadratic constraints (QCs) to provide convergence guarantees based on the Lyapunov stability. For centralized MD, we establish a semi-definite programming (SDP) that certifies exponentially fast convergence of MD subject to a linear matrix inequality (LMI). We prove that the SDP always has a feasible solution that recovers the optimal GD rate. Next, we analyze the exponential convergence of distributed MD and characterize the rate using two LMIs. To the best of our knowledge, the exact (exponential) rate of distributed MD has not been previously explored in the literature. We present numerical results as a verification of our theory and observe that the richness of the Lyapunov function entails better (worst-case) convergence rates compared to existing works on distributed GD.

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