On Primal-Dual Approach for Distributed Stochastic Convex Optimization over Networks
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Publication:6316092
arXiv1903.09844MaRDI QIDQ6316092FDOQ6316092
Pavel Dvurechensky, Eduard Gorbunov, A. V. Gasnikov, Darina Dvinskikh, César A. Uribe
Publication date: 23 March 2019
Abstract: We introduce a primal-dual stochastic gradient oracle method for distributed convex optimization problems over networks. We show that the proposed method is optimal in terms of communication steps. Additionally, we propose a new analysis method for the rate of convergence in terms of duality gap and probability of large deviations. This analysis is based on a new technique that allows to bound the distance between the iteration sequence and the optimal point. By the proper choice of batch size, we can guarantee that this distance equals (up to a constant) to the distance between the starting point and the solution.
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