Gradient-Consensus: Linearly Convergent Distributed Optimization Algorithm over Directed Graphs

Abstract

In this article, we propose a new approach, optimize then agree for minimizing a sum $ f = \sum_{i=1}^n f_i(x)$ of convex objective functions over a directed graph. The optimize then agree approach decouples the optimization step and the consensus step in a distributed optimization framework. The key motivation for optimize then agree is to guarantee that the disagreement between the estimates of the agents during every iteration of the distributed optimization algorithm remains under any apriori specified tolerance; existing algorithms do not provide such a guarantee which is required in many practical scenarios. In this method, each agent during each iteration maintains an estimate of the optimal solution and, utilizes its locally available gradient information along with a finite-time approximate consensus protocol to move towards the optimal solution (hence the name Gradient-Consensus algorithm). We establish that the proposed algorithm has a global R-linear rate of convergence if the aggregate function $f$ is strongly convex and Lipschitz differentiable. We also show that under the relaxed assumption of $f_i$'s being convex and Lipschitz differentiable, the objective function error residual decreases at a Q-linear rate (in terms of the number of gradient computation steps) until it reaches a small value, which can be managed using the tolerance value specified on the finite-time approximate consensus protocol; no existing method in the literature has such strong convergence guarantees when $f_i$ are not necessarily strongly convex functions. The communication overhead for the improved guarantees on meeting constraints and better convergence of our algorithm is $O(k\log k)$ iterates in comparison to $O(k)$ of the traditional algorithms. Further, we numerically evaluate the performance of the proposed algorithm by solving a distributed logistic regression problem.