Optimal and Efficient Algorithms for Decentralized Online Convex Optimization

• URL: http://arxiv.org/abs/2402.09173v3
• Date: Wed, 11 Dec 2024 06:07:59 GMT
• Title: Optimal and Efficient Algorithms for Decentralized Online Convex Optimization
• Authors: Yuanyu Wan, Tong Wei, Bo Xue, Mingli Song, Lijun Zhang,
• Abstract summary: Decentralized online convex optimization (D-OCO) is designed to minimize a sequence of global loss functions using only local computations and communications. We develop a novel D-OCO algorithm that can reduce the regret bounds for convex and strongly convex functions to $tildeO(nrho-1/4sqrtT)$ and $tildeO(nrho-1/2log T)$. Our analysis reveals that the projection-free variant can achieve $O(nT3/4)$ and $O(n
• Score: 51.00357162913229
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• Abstract: We investigate decentralized online convex optimization (D-OCO), in which a set of local learners are required to minimize a sequence of global loss functions using only local computations and communications. Previous studies have established $O(n^{5/4}\rho^{-1/2}\sqrt{T})$ and ${O}(n^{3/2}\rho^{-1}\log T)$ regret bounds for convex and strongly convex functions respectively, where $n$ is the number of local learners, $\rho<1$ is the spectral gap of the communication matrix, and $T$ is the time horizon. However, there exist large gaps from the existing lower bounds, i.e., $\Omega(n\sqrt{T})$ for convex functions and $\Omega(n)$ for strongly convex functions. To fill these gaps, in this paper, we first develop a novel D-OCO algorithm that can respectively reduce the regret bounds for convex and strongly convex functions to $\tilde{O}(n\rho^{-1/4}\sqrt{T})$ and $\tilde{O}(n\rho^{-1/2}\log T)$. The primary technique is to design an online accelerated gossip strategy that enjoys a faster average consensus among local learners. Furthermore, by carefully exploiting spectral properties of a specific network topology, we enhance the lower bounds for convex and strongly convex functions to $\Omega(n\rho^{-1/4}\sqrt{T})$ and $\Omega(n\rho^{-1/2}\log T)$, respectively. These results suggest that the regret of our algorithm is nearly optimal in terms of $T$, $n$, and $\rho$ for both convex and strongly convex functions. Finally, we propose a projection-free variant of our algorithm to efficiently handle practical applications with complex constraints. Our analysis reveals that the projection-free variant can achieve ${O}(nT^{3/4})$ and ${O}(nT^{2/3}(\log T)^{1/3})$ regret bounds for convex and strongly convex functions with nearly optimal $\tilde{O}(\rho^{-1/2}\sqrt{T})$ and $\tilde{O}(\rho^{-1/2}T^{1/3}(\log T)^{2/3})$ communication rounds, respectively.

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