Abstract:
The expensive inter-machine communication is the bottleneck of
distributed optimization.
Existing study tackles this problem by shortening the communication
rounds, but the reduction of per-round communication cost is not
well-studied.
This work proposes a progressive manifold identification approach with
sound theoretical justifications to greatly reduce both the
communication rounds and the bytes communicated per round for partly
smooth regularized problems, which include many large-scale machine
learning tasks such as the training of $\ell_1$- and
group-LASSO-regularized models.
Our method uses an inexact proximal quasi-Newton method to iteratively
identify a sequence of low-dimensional smooth manifolds in which the
final solution lies, and restricts the model update within the current
manifold to lower significantly the per-round communication cost.
After identifying the final manifold within which the problem is
smooth, we take superlinear-convergent truncated semismooth
Newton steps obtained through preconditioned conjugate gradient to
largely reduce the communication rounds.
Experiments show that when compared with the state of the art,
the communication cost of our method is significantly lower
and the running time is up to $10$ times faster.