Exact Worst-case Convergence Rates of Distributed Gradient Tracking Methods

Abstract

Different from most existing literature in the analysis of distributed optimization algorithms that reports sufficient convergence conditions leading to a conservative convergence rate, this work provides the exact worst-case convergence rates for two typical gradient tracking algorithms, DIGing and AugDGM. By eigen-decomposition, we show that two algorithms share the same average-state dynamics, while they differ from each other in the gradient tracking subsystems, which entirely govern algorithm convergence. Exploiting the diagonal structure of this decomposition, we reduce the stability analysis of MIMO systems to that of a set of parameter-varying SISO systems, from which explicit formulas for the exact worst-case convergence rate can be derived. These formulas clearly show that the optimal worst-case convergence rate of DIGing is larger than that of AugDGM under the same assumptions on objective functions and communication networks. Furthermore, we find that there is an inflection point in the graph connectivity, which is $σ=1/3$. For graphs with connectivity better than this inflection point, the optimal convergence rate of centralized gradient descent can be achieved by AugDGM provided the condition number of objective functions is worse enough. On the other hand, for graphs with connectivity worse than this inflection point, the centralized optimal rate can never be achieved. Numerical experiments validate the theoretical results.