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Motivated by recent increased interest in optimization algorithms for non-convex optimization in application to training deep neural networks and other optimization problems in data analysis, we give an overview of recent theoretical results on global performance guarantees of optimization algorithms for non-convex optimization. We start with classical arguments showing that general non-convex problems could not be solved efficiently in a reasonable time. Then we give a list of problems that can be solved efficiently to find the global minimizer by exploiting the structure of the problem as much as it is possible. Another way to deal with non-convexity is to relax the goal from finding the global minimum to finding a stationary point or a local minimum. For this setting, we first present known results for the convergence rates of deterministic first-order methods, which are then followed by a general theoretical analysis of optimal stochastic and randomized gradient schemes, and an overview of the stochastic first-order methods. After that, we discuss quite general classes of non-convex problems, such as minimization of $\alpha$-weakly-quasi-convex functions and functions that satisfy Polyak--Lojasiewicz condition, which still allow obtaining theoretical convergence guarantees of first-order methods. Then we consider higher-order and zeroth-order/derivative-free methods and their convergence rates for non-convex optimization problems.

The optimal design of federated learning (FL) algorithms for solving general machine learning (ML) problems in practical edge computing systems with quantized message passing remains an open problem. This paper considers an edge computing system where the server and workers have possibly different computing and communication capabilities and employ quantization before transmitting messages. To explore the full potential of FL in such an edge computing system, we first present a general FL algorithm, namely GenQSGD, parameterized by the numbers of global and local iterations, mini-batch size, and step size sequence. Then, we analyze its convergence for an arbitrary step size sequence and specify the convergence results under three commonly adopted step size rules, namely the constant, exponential, and diminishing step size rules. Next, we optimize the algorithm parameters to minimize the energy cost under the time constraint and convergence error constraint, with the focus on the overall implementing process of FL. Specifically, for any given step size sequence under each considered step size rule, we optimize the numbers of global and local iterations and mini-batch size to optimally implement FL for applications with preset step size sequences. We also optimize the step size sequence along with these algorithm parameters to explore the full potential of FL. The resulting optimization problems are challenging non-convex problems with non-differentiable constraint functions. We propose iterative algorithms to obtain KKT points using general inner approximation (GIA) and tricks for solving complementary geometric programming (CGP). Finally, we numerically demonstrate the remarkable gains of GenQSGD with optimized algorithm parameters over existing FL algorithms and reveal the significance of optimally designing general FL algorithms.

This paper studies a distributed policy gradient in collaborative multi-agent reinforcement learning (MARL), where agents over a communication network aim to find the optimal policy to maximize the average of all agents' local returns. Due to the non-concave performance function of policy gradient, the existing distributed stochastic optimization methods for convex problems cannot be directly used for policy gradient in MARL. This paper proposes a distributed policy gradient with variance reduction and gradient tracking to address the high variances of policy gradient, and utilizes importance weight to solve the non-stationary problem in the sampling process. We then provide an upper bound on the mean-squared stationary gap, which depends on the number of iterations, the mini-batch size, the epoch size, the problem parameters, and the network topology. We further establish the sample and communication complexity to obtain an $\epsilon$-approximate stationary point. Numerical experiments on the control problem in MARL are performed to validate the effectiveness of the proposed algorithm.

Recent years have witnessed a growing list of systems for distributed data-parallel training. Existing systems largely fit into two paradigms, i.e., parameter server and MPI-style collective operations. On the algorithmic side, researchers have proposed a wide range of techniques to lower the communication via system relaxations: quantization, decentralization, and communication delay. However, most, if not all, existing systems only rely on standard synchronous and asynchronous stochastic gradient (SG) based optimization, therefore, cannot take advantage of all possible optimizations that the machine learning community has been developing recently. Given this emerging gap between the current landscapes of systems and theory, we build BAGUA, a MPI-style communication library, providing a collection of primitives, that is both flexible and modular to support state-of-the-art system relaxation techniques of distributed training. Powered by this design, BAGUA has a great ability to implement and extend various state-of-the-art distributed learning algorithms. In a production cluster with up to 16 machines (128 GPUs), BAGUA can outperform PyTorch-DDP, Horovod and BytePS in the end-to-end training time by a significant margin (up to 2 times) across a diverse range of tasks. Moreover, we conduct a rigorous tradeoff exploration showing that different algorithms and system relaxations achieve the best performance over different network conditions.

Nowadays, more and more datasets are stored in a distributed way for the sake of memory storage or data privacy. The generalized eigenvalue problem (GEP) plays a vital role in a large family of high-dimensional statistical models. However, the existing distributed method for eigenvalue decomposition cannot be applied in GEP for the divergence of the empirical covariance matrix. Here we propose a general distributed GEP framework with one-shot communication for GEP. If the symmetric data covariance has repeated eigenvalues, e.g., in canonical component analysis, we further modify the method for better convergence. The theoretical analysis on approximation error is conducted and the relation to the divergence of the data covariance, the eigenvalues of the empirical data covariance, and the number of local servers is analyzed. Numerical experiments also show the effectiveness of the proposed algorithms.

The aim of this work is to develop a fully-distributed algorithmic framework for training graph convolutional networks (GCNs). The proposed method is able to exploit the meaningful relational structure of the input data, which are collected by a set of agents that communicate over a sparse network topology. After formulating the centralized GCN training problem, we first show how to make inference in a distributed scenario where the underlying data graph is split among different agents. Then, we propose a distributed gradient descent procedure to solve the GCN training problem. The resulting model distributes computation along three lines: during inference, during back-propagation, and during optimization. Convergence to stationary solutions of the GCN training problem is also established under mild conditions. Finally, we propose an optimization criterion to design the communication topology between agents in order to match with the graph describing data relationships. A wide set of numerical results validate our proposal. To the best of our knowledge, this is the first work combining graph convolutional neural networks with distributed optimization.

Federated learning is a new distributed machine learning framework, where a bunch of heterogeneous clients collaboratively train a model without sharing training data. In this work, we consider a practical and ubiquitous issue in federated learning: intermittent client availability, where the set of eligible clients may change during the training process. Such an intermittent client availability model would significantly deteriorate the performance of the classical Federated Averaging algorithm (FedAvg for short). We propose a simple distributed non-convex optimization algorithm, called Federated Latest Averaging (FedLaAvg for short), which leverages the latest gradients of all clients, even when the clients are not available, to jointly update the global model in each iteration. Our theoretical analysis shows that FedLaAvg attains the convergence rate of $O(1/(N^{1/4} T^{1/2}))$, achieving a sublinear speedup with respect to the total number of clients. We implement and evaluate FedLaAvg with the CIFAR-10 dataset. The evaluation results demonstrate that FedLaAvg indeed reaches a sublinear speedup and achieves 4.23% higher test accuracy than FedAvg.

Alternating Direction Method of Multipliers (ADMM) is a widely used tool for machine learning in distributed settings, where a machine learning model is trained over distributed data sources through an interactive process of local computation and message passing. Such an iterative process could cause privacy concerns of data owners. The goal of this paper is to provide differential privacy for ADMM-based distributed machine learning. Prior approaches on differentially private ADMM exhibit low utility under high privacy guarantee and often assume the objective functions of the learning problems to be smooth and strongly convex. To address these concerns, we propose a novel differentially private ADMM-based distributed learning algorithm called DP-ADMM, which combines an approximate augmented Lagrangian function with time-varying Gaussian noise addition in the iterative process to achieve higher utility for general objective functions under the same differential privacy guarantee. We also apply the moments accountant method to bound the end-to-end privacy loss. The theoretical analysis shows that DP-ADMM can be applied to a wider class of distributed learning problems, is provably convergent, and offers an explicit utility-privacy tradeoff. To our knowledge, this is the first paper to provide explicit convergence and utility properties for differentially private ADMM-based distributed learning algorithms. The evaluation results demonstrate that our approach can achieve good convergence and model accuracy under high end-to-end differential privacy guarantee.

Feature Selection Library (FSLib) is a widely applicable MATLAB library for Feature Selection (FS). FS is an essential component of machine learning and data mining which has been studied for many years under many different conditions and in diverse scenarios. These algorithms aim at ranking and selecting a subset of relevant features according to their degrees of relevance, preference, or importance as defined in a specific application. Because feature selection can reduce the amount of features used for training classification models, it alleviates the effect of the curse of dimensionality, speeds up the learning process, improves model's performance, and enhances data understanding. This short report provides an overview of the feature selection algorithms included in the FSLib MATLAB toolbox among filter, embedded, and wrappers methods.

In this paper, we study the optimal convergence rate for distributed convex optimization problems in networks. We model the communication restrictions imposed by the network as a set of affine constraints and provide optimal complexity bounds for four different setups, namely: the function $F(\xb) \triangleq \sum_{i=1}^{m}f_i(\xb)$ is strongly convex and smooth, either strongly convex or smooth or just convex. Our results show that Nesterov's accelerated gradient descent on the dual problem can be executed in a distributed manner and obtains the same optimal rates as in the centralized version of the problem (up to constant or logarithmic factors) with an additional cost related to the spectral gap of the interaction matrix. Finally, we discuss some extensions to the proposed setup such as proximal friendly functions, time-varying graphs, improvement of the condition numbers.