Optimal Decentralized Distributed Algorithms for Stochastic Convex Optimization

TL;DR

This paper develops and analyzes several novel primal and dual stochastic algorithms for convex optimization with affine constraints, providing convergence guarantees and applying them to decentralized distributed optimization.

Contribution

It introduces new stochastic primal-dual algorithms and extends existing methods to biased oracles, optimizing communication and oracle efficiency in distributed settings.

Findings

Algorithms achieve convergence guarantees for smooth and non-smooth convex problems.

Extended analysis for biased stochastic oracles.

Applied methods to decentralized distributed optimization with optimal communication complexity.

Abstract

We consider stochastic convex optimization problems with affine constraints and develop several methods using either primal or dual approach to solve it. In the primal case, we use a special penalization technique to make the initial problem more convenient for using optimization methods. We propose algorithms to solve it based on Similar Triangles Method with Inexact Proximal Step for the convex smooth and strongly convex smooth objective functions and methods based on Gradient Sliding algorithm to solve the same problems in the non-smooth case. We prove the convergence guarantees in the smooth convex case with deterministic first-order oracle. We propose and analyze three novel methods to handle stochastic convex optimization problems with affine constraints: SPDSTM, R-RRMA-AC-SA$^2$, and SSTM_sc. All methods use stochastic dual oracle. SPDSTM is the stochastic primal-dual modification of STM and it is applied for the dual problem when the primal functional is strongly convex and Lipschitz continuous on some ball. We extend the result from Dvinskikh & Gasnikov (2019) for this method to the case when only biased stochastic oracle is available. R-RRMA-AC-SA$^2$ is an accelerated stochastic method based on the restarts of RRMA-AC-SA$^2$ from Foster et al. (2019) and SSTM_sc is just stochastic STM for strongly convex problems. Both methods are applied to the dual problem when the primal functional is strongly convex, smooth, and Lipschitz continuous on some ball and use stochastic dual first-order oracle. We develop convergence analysis for these methods for unbiased and biased oracles respectively. Finally, we apply all the aforementioned results and approaches to solve the decentralized distributed optimization problem and discuss the optimality of the obtained results in terms of communication rounds and the number of oracle calls per node.