Asynchronous Distributed Optimization with Stochastic Delays

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 $\tilde{O}\left(\left(n + \sqrt{m}\kappa\right)\log(1/\epsilon)\right)$ iterations, where $n$ is the number of component functions, and $\kappa$ is a condition number. This complexity sits squarely between the complexity $\tilde{O}\left(\left(n + \kappa\right)\log(1/\epsilon)\right)$ of SAGA \textit{without delays} and the complexity $\tilde{O}\left(\left(n + m\kappa\right)\log(1/\epsilon)\right)$ 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 $\tilde{O}(n^2\kappa\log(1/\epsilon))$ 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.