A Stochastic Newton Algorithm for Distributed Convex Optimization

Part of Advances in Neural Information Processing Systems 34 pre-proceedings (NeurIPS 2021)

Paper

Bibtek download is not available in the pre-proceeding


Authors

Brian Bullins, Kshitij Patel, Ohad Shamir, Nathan Srebro, Blake E. Woodworth

Abstract

We propose and analyze a stochastic Newton algorithm for homogeneous distributed stochastic convex optimization, where each machine can calculate stochastic gradients of the same population objective, as well as stochastic Hessian-vector products (products of an independent unbiased estimator of the Hessian of the population objective with arbitrary vectors), with many such stochastic computations performed between rounds of communication. We show that our method can reduce the number, and frequency, of required communication rounds, compared to existing methods without hurting performance, by proving convergence guarantees for quasi-self-concordant objectives (e.g., logistic regression), alongside empirical evidence.