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arXiv · 2205.14452

Stochastic Gradient Methods with Compressed Communication for Decentralized Saddle Point Problems

Abstract

We develop two compression based stochastic gradient algorithms to solve a class of non-smooth strongly convex-strongly concave saddle-point problems in a decentralized setting (without a central server). Our first algorithm is a Restart-based Decentralized Proximal Stochastic Gradient method with Compression (C-RDPSG) for general stochastic settings. We provide rigorous theoretical guarantees of C-RDPSG with gradient computation complexity and communication complexity of order $\mathcal{O}( (1+δ)^4 \frac{1}{L^2}{κ_f^2}κ_g^2 \frac{1}ε )$, to achieve an $ε$-accurate saddle-point solution, where $δ$ denotes the compression factor, $κ_f$ and $κ_g$ denote respectively the condition numbers of objective function and communication graph, and $L$ denotes the smoothness parameter of the smooth part of the objective function. Next, we present a Decentralized Proximal Stochastic Variance Reduced Gradient algorithm with Compression (C-DPSVRG) for finite sum setting which exhibits gradient computation complexity and communication complexity of order $\mathcal{O} \left((1+δ) \max \{κ_f^2, \sqrtδκ^2_fκ_g,κ_g \} \log\left(\frac{1}ε\right) \right)$. Extensive numerical experiments show competitive performance of the proposed algorithms and provide support to the theoretical results obtained.

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BibTeXRIS

Chhavi Sharma, Vishnu Narayanan, P. Balamurugan. 2023-04-14. Stochastic Gradient Methods with Compressed Communication for Decentralized Saddle Point Problems. https://arxiv.org/abs/2205.14452

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