Poster
Asynchronous Distributed Optimization with Stochastic Delays
Margalit Glasgow · Mary Wootters
Abstract:
We study asynchronous finite sum minimization in a distributed-data setting with a central parameter server. While asynchrony is well understood in parallel settings where the data is accessible by all machines---e.g., modifications of variance-reduced gradient algorithms like SAGA work well---little is known for the distributed-data setting. We develop an algorithm ADSAGA based on SAGA for the distributed-data setting, in which the data is partitioned between many machines.We show that with m machines, under a natural stochastic delay model with an mean delay of m,ADSAGA converges in ˜O((n+√mκ)log(1/ϵ)) iterations, where n is the number of component functions, and κ is a condition number. This complexity sits squarely between the complexity ˜O((n+κ)log(1/ϵ)) of SAGA \textit{without delays} and the complexity ˜O((n+mκ)log(1/ϵ)) of parallel asynchronous algorithms where the delays are \textit{arbitrary} (but bounded by O(m)), and the data is accessible by all. Existing asynchronous algorithms with distributed-data setting and arbitrary delays have only been shown to converge in ˜O(n2κlog(1/ϵ)) iterations. We empirically compare on least-squares problems the iteration complexity and wallclock performance of ADSAGA to existing parallel and distributed algorithms, including synchronous minibatch algorithms. Our results demonstrate the wallclock advantage of variance-reduced asynchronous approaches over SGD or synchronous approaches.
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