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Aryan Mokhtari

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Published work

35 published item(s)

preprint2026arXiv

Curriculum Learning-Guided Progressive Distillation in Large Language Models

Knowledge distillation is a key technique for transferring the capabilities of large language models (LLMs) into smaller, more efficient student models. Existing distillation approaches often overlook two critical factors: the learning order of training data and the capacity mismatch between teacher and student models. This oversight limits distillation performance, as manifested by the counter-intuitive phenomenon where stronger teachers fail to produce better students. In this work, we propose Curriculum Learning-Guided Progressive Distillation (CLPD), a unified framework that explicitly accounts for both factors by aligning data difficulty with teacher strength. CLPD constructs an explicit curriculum by organizing training examples from easy to hard, while simultaneously applying an implicit curriculum over supervision signals by progressively scheduling teachers of increasing capacity. Our framework is modular and can be integrated into standard distillation algorithms with minimal overhead. Empirical results on the reasoning benchmarks demonstrate that CLPD consistently outperforms standard distillation, data ordering alone, and teacher scheduling alone across multiple settings. These findings highlight the importance of jointly considering data ordering and teacher capacity when distilling reasoning abilities into small language models.

preprint2024arXiv

Krylov Cubic Regularized Newton: A Subspace Second-Order Method with Dimension-Free Convergence Rate

Second-order optimization methods, such as cubic regularized Newton methods, are known for their rapid convergence rates; nevertheless, they become impractical in high-dimensional problems due to their substantial memory requirements and computational costs. One promising approach is to execute second-order updates within a lower-dimensional subspace, giving rise to subspace second-order methods. However, the majority of existing subspace second-order methods randomly select subspaces, consequently resulting in slower convergence rates depending on the problem's dimension $d$. In this paper, we introduce a novel subspace cubic regularized Newton method that achieves a dimension-independent global convergence rate of ${O}\left(\frac{1}{mk}+\frac{1}{k^2}\right)$ for solving convex optimization problems. Here, $m$ represents the subspace dimension, which can be significantly smaller than $d$. Instead of adopting a random subspace, our primary innovation involves performing the cubic regularized Newton update within the Krylov subspace associated with the Hessian and the gradient of the objective function. This result marks the first instance of a dimension-independent convergence rate for a subspace second-order method. Furthermore, when specific spectral conditions of the Hessian are met, our method recovers the convergence rate of a full-dimensional cubic regularized Newton method. Numerical experiments show our method converges faster than existing random subspace methods, especially for high-dimensional problems.

preprint2023arXiv

Network Adaptive Federated Learning: Congestion and Lossy Compression

In order to achieve the dual goals of privacy and learning across distributed data, Federated Learning (FL) systems rely on frequent exchanges of large files (model updates) between a set of clients and the server. As such FL systems are exposed to, or indeed the cause of, congestion across a wide set of network resources. Lossy compression can be used to reduce the size of exchanged files and associated delays, at the cost of adding noise to model updates. By judiciously adapting clients' compression to varying network congestion, an FL application can reduce wall clock training time. To that end, we propose a Network Adaptive Compression (NAC-FL) policy, which dynamically varies the client's lossy compression choices to network congestion variations. We prove, under appropriate assumptions, that NAC-FL is asymptotically optimal in terms of directly minimizing the expected wall clock training time. Further, we show via simulation that NAC-FL achieves robust performance improvements with higher gains in settings with positively correlated delays across time.

preprint2022arXiv

FedAvg with Fine Tuning: Local Updates Lead to Representation Learning

The Federated Averaging (FedAvg) algorithm, which consists of alternating between a few local stochastic gradient updates at client nodes, followed by a model averaging update at the server, is perhaps the most commonly used method in Federated Learning. Notwithstanding its simplicity, several empirical studies have illustrated that the output model of FedAvg, after a few fine-tuning steps, leads to a model that generalizes well to new unseen tasks. This surprising performance of such a simple method, however, is not fully understood from a theoretical point of view. In this paper, we formally investigate this phenomenon in the multi-task linear representation setting. We show that the reason behind generalizability of the FedAvg's output is its power in learning the common data representation among the clients' tasks, by leveraging the diversity among client data distributions via local updates. We formally establish the iteration complexity required by the clients for proving such result in the setting where the underlying shared representation is a linear map. To the best of our knowledge, this is the first such result for any setting. We also provide empirical evidence demonstrating FedAvg's representation learning ability in federated image classification with heterogeneous data.

preprint2022arXiv

Future Gradient Descent for Adapting the Temporal Shifting Data Distribution in Online Recommendation Systems

One of the key challenges of learning an online recommendation model is the temporal domain shift, which causes the mismatch between the training and testing data distribution and hence domain generalization error. To overcome, we propose to learn a meta future gradient generator that forecasts the gradient information of the future data distribution for training so that the recommendation model can be trained as if we were able to look ahead at the future of its deployment. Compared with Batch Update, a widely used paradigm, our theory suggests that the proposed algorithm achieves smaller temporal domain generalization error measured by a gradient variation term in a local regret. We demonstrate the empirical advantage by comparing with various representative baselines.

preprint2022arXiv

How Does the Task Landscape Affect MAML Performance?

Model-Agnostic Meta-Learning (MAML) has become increasingly popular for training models that can quickly adapt to new tasks via one or few stochastic gradient descent steps. However, the MAML objective is significantly more difficult to optimize compared to standard non-adaptive learning (NAL), and little is understood about how much MAML improves over NAL in terms of the fast adaptability of their solutions in various scenarios. We analytically address this issue in a linear regression setting consisting of a mixture of easy and hard tasks, where hardness is related to the rate that gradient descent converges on the task. Specifically, we prove that in order for MAML to achieve substantial gain over NAL, (i) there must be some discrepancy in hardness among the tasks, and (ii) the optimal solutions of the hard tasks must be closely packed with the center far from the center of the easy tasks optimal solutions. We also give numerical and analytical results suggesting that these insights apply to two-layer neural networks. Finally, we provide few-shot image classification experiments that support our insights for when MAML should be used and emphasize the importance of training MAML on hard tasks in practice.

preprint2022arXiv

Sharpened Quasi-Newton Methods: Faster Superlinear Rate and Larger Local Convergence Neighborhood

Non-asymptotic analysis of quasi-Newton methods have gained traction recently. In particular, several works have established a non-asymptotic superlinear rate of $\mathcal{O}((1/\sqrt{t})^t)$ for the (classic) BFGS method by exploiting the fact that its error of Newton direction approximation approaches zero. Moreover, a greedy variant of BFGS was recently proposed which accelerates its convergence by directly approximating the Hessian, instead of the Newton direction, and achieves a fast local quadratic convergence rate. Alas, the local quadratic convergence of Greedy-BFGS requires way more updates compared to the number of iterations that BFGS requires for a local superlinear rate. This is due to the fact that in Greedy-BFGS the Hessian is directly approximated and the Newton direction approximation may not be as accurate as the one for BFGS. In this paper, we close this gap and present a novel BFGS method that has the best of both worlds in that it leverages the approximation ideas of both BFGS and Greedy-BFGS to properly approximate the Newton direction and the Hessian matrix simultaneously. Our theoretical results show that our method out-performs both BFGS and Greedy-BFGS in terms of convergence rate, while it reaches its quadratic convergence rate with fewer steps compared to Greedy-BFGS. Numerical experiments on various datasets also confirm our theoretical findings.

preprint2022arXiv

Straggler-Resilient Personalized Federated Learning

Federated Learning is an emerging learning paradigm that allows training models from samples distributed across a large network of clients while respecting privacy and communication restrictions. Despite its success, federated learning faces several challenges related to its decentralized nature. In this work, we develop a novel algorithmic procedure with theoretical speedup guarantees that simultaneously handles two of these hurdles, namely (i) data heterogeneity, i.e., data distributions can vary substantially across clients, and (ii) system heterogeneity, i.e., the computational power of the clients could differ significantly. Our method relies on ideas from representation learning theory to find a global common representation using all clients' data and learn a user-specific set of parameters leading to a personalized solution for each client. Furthermore, our method mitigates the effects of stragglers by adaptively selecting clients based on their computational characteristics and statistical significance, thus achieving, for the first time, near optimal sample complexity and provable logarithmic speedup. Experimental results support our theoretical findings showing the superiority of our method over alternative personalized federated schemes in system and data heterogeneous environments.

preprint2022arXiv

The Power of Adaptivity in SGD: Self-Tuning Step Sizes with Unbounded Gradients and Affine Variance

We study convergence rates of AdaGrad-Norm as an exemplar of adaptive stochastic gradient methods (SGD), where the step sizes change based on observed stochastic gradients, for minimizing non-convex, smooth objectives. Despite their popularity, the analysis of adaptive SGD lags behind that of non adaptive methods in this setting. Specifically, all prior works rely on some subset of the following assumptions: (i) uniformly-bounded gradient norms, (ii) uniformly-bounded stochastic gradient variance (or even noise support), (iii) conditional independence between the step size and stochastic gradient. In this work, we show that AdaGrad-Norm exhibits an order optimal convergence rate of $\mathcal{O}\left(\frac{\mathrm{poly}\log(T)}{\sqrt{T}}\right)$ after $T$ iterations under the same assumptions as optimally-tuned non adaptive SGD (unbounded gradient norms and affine noise variance scaling), and crucially, without needing any tuning parameters. We thus establish that adaptive gradient methods exhibit order-optimal convergence in much broader regimes than previously understood.

preprint2021arXiv

Submodular Meta-Learning

In this paper, we introduce a discrete variant of the meta-learning framework. Meta-learning aims at exploiting prior experience and data to improve performance on future tasks. By now, there exist numerous formulations for meta-learning in the continuous domain. Notably, the Model-Agnostic Meta-Learning (MAML) formulation views each task as a continuous optimization problem and based on prior data learns a suitable initialization that can be adapted to new, unseen tasks after a few simple gradient updates. Motivated by this terminology, we propose a novel meta-learning framework in the discrete domain where each task is equivalent to maximizing a set function under a cardinality constraint. Our approach aims at using prior data, i.e., previously visited tasks, to train a proper initial solution set that can be quickly adapted to a new task at a relatively low computational cost. This approach leads to (i) a personalized solution for each individual task, and (ii) significantly reduced computational cost at test time compared to the case where the solution is fully optimized once the new task is revealed. The training procedure is performed by solving a challenging discrete optimization problem for which we present deterministic and randomized algorithms. In the case where the tasks are monotone and submodular, we show strong theoretical guarantees for our proposed methods even though the training objective may not be submodular. We also demonstrate the effectiveness of our framework on two real-world problem instances where we observe that our methods lead to a significant reduction in computational complexity in solving the new tasks while incurring a small performance loss compared to when the tasks are fully optimized.

preprint2020arXiv

Efficient Distributed Hessian Free Algorithm for Large-scale Empirical Risk Minimization via Accumulating Sample Strategy

In this paper, we propose a Distributed Accumulated Newton Conjugate gradiEnt (DANCE) method in which sample size is gradually increasing to quickly obtain a solution whose empirical loss is under satisfactory statistical accuracy. Our proposed method is multistage in which the solution of a stage serves as a warm start for the next stage which contains more samples (including the samples in the previous stage). The proposed multistage algorithm reduces the number of passes over data to achieve the statistical accuracy of the full training set. Moreover, our algorithm in nature is easy to be distributed and shares the strong scaling property indicating that acceleration is always expected by using more computing nodes. Various iteration complexity results regarding descent direction computation, communication efficiency and stopping criteria are analyzed under convex setting. Our numerical results illustrate that the proposed method outperforms other comparable methods for solving learning problems including neural networks.

preprint2020arXiv

FedPAQ: A Communication-Efficient Federated Learning Method with Periodic Averaging and Quantization

Federated learning is a distributed framework according to which a model is trained over a set of devices, while keeping data localized. This framework faces several systems-oriented challenges which include (i) communication bottleneck since a large number of devices upload their local updates to a parameter server, and (ii) scalability as the federated network consists of millions of devices. Due to these systems challenges as well as issues related to statistical heterogeneity of data and privacy concerns, designing a provably efficient federated learning method is of significant importance yet it remains challenging. In this paper, we present FedPAQ, a communication-efficient Federated Learning method with Periodic Averaging and Quantization. FedPAQ relies on three key features: (1) periodic averaging where models are updated locally at devices and only periodically averaged at the server; (2) partial device participation where only a fraction of devices participate in each round of the training; and (3) quantized message-passing where the edge nodes quantize their updates before uploading to the parameter server. These features address the communications and scalability challenges in federated learning. We also show that FedPAQ achieves near-optimal theoretical guarantees for strongly convex and non-convex loss functions and empirically demonstrate the communication-computation tradeoff provided by our method.

preprint2020arXiv

On the Convergence Theory of Gradient-Based Model-Agnostic Meta-Learning Algorithms

We study the convergence of a class of gradient-based Model-Agnostic Meta-Learning (MAML) methods and characterize their overall complexity as well as their best achievable accuracy in terms of gradient norm for nonconvex loss functions. We start with the MAML method and its first-order approximation (FO-MAML) and highlight the challenges that emerge in their analysis. By overcoming these challenges not only we provide the first theoretical guarantees for MAML and FO-MAML in nonconvex settings, but also we answer some of the unanswered questions for the implementation of these algorithms including how to choose their learning rate and the batch size for both tasks and datasets corresponding to tasks. In particular, we show that MAML can find an $ε$-first-order stationary point ($ε$-FOSP) for any positive $ε$ after at most $\mathcal{O}(1/ε^2)$ iterations at the expense of requiring second-order information. We also show that FO-MAML which ignores the second-order information required in the update of MAML cannot achieve any small desired level of accuracy, i.e., FO-MAML cannot find an $ε$-FOSP for any $ε>0$. We further propose a new variant of the MAML algorithm called Hessian-free MAML which preserves all theoretical guarantees of MAML, without requiring access to second-order information.

preprint2020arXiv

Safe Learning under Uncertain Objectives and Constraints

In this paper, we consider non-convex optimization problems under \textit{unknown} yet safety-critical constraints. Such problems naturally arise in a variety of domains including robotics, manufacturing, and medical procedures, where it is infeasible to know or identify all the constraints. Therefore, the parameter space should be explored in a conservative way to ensure that none of the constraints are violated during the optimization process once we start from a safe initialization point. To this end, we develop an algorithm called Reliable Frank-Wolfe (Reliable-FW). Given a general non-convex function and an unknown polytope constraint, Reliable-FW simultaneously learns the landscape of the objective function and the boundary of the safety polytope. More precisely, by assuming that Reliable-FW has access to a (stochastic) gradient oracle of the objective function and a noisy feasibility oracle of the safety polytope, it finds an $ε$-approximate first-order stationary point with the optimal ${\mathcal{O}}({1}/{ε^2})$ gradient oracle complexity (resp. $\tilde{\mathcal{O}}({1}/{ε^3})$ (also optimal) in the stochastic gradient setting), while ensuring the safety of all the iterates. Rather surprisingly, Reliable-FW only makes $\tilde{\mathcal{O}}(({d^2}/{ε^2})\log 1/δ)$ queries to the noisy feasibility oracle (resp. $\tilde{\mathcal{O}}(({d^2}/{ε^4})\log 1/δ)$ in the stochastic gradient setting) where $d$ is the dimension and $δ$ is the reliability parameter, tightening the existing bounds even for safe minimization of convex functions. We further specialize our results to the case that the objective function is convex. A crucial component of our analysis is to introduce and apply a technique called geometric shrinkage in the context of safe optimization.

preprint2020arXiv

Stochastic Conditional Gradient++

In this paper, we consider the general non-oblivious stochastic optimization where the underlying stochasticity may change during the optimization procedure and depends on the point at which the function is evaluated. We develop Stochastic Frank-Wolfe++ ($\text{SFW}{++} $), an efficient variant of the conditional gradient method for minimizing a smooth non-convex function subject to a convex body constraint. We show that $\text{SFW}{++} $ converges to an $ε$-first order stationary point by using $O(1/ε^3)$ stochastic gradients. Once further structures are present, $\text{SFW}{++}$'s theoretical guarantees, in terms of the convergence rate and quality of its solution, improve. In particular, for minimizing a convex function, $\text{SFW}{++} $ achieves an $ε$-approximate optimum while using $O(1/ε^2)$ stochastic gradients. It is known that this rate is optimal in terms of stochastic gradient evaluations. Similarly, for maximizing a monotone continuous DR-submodular function, a slightly different form of $\text{SFW}{++} $, called Stochastic Continuous Greedy++ ($\text{SCG}{++} $), achieves a tight $[(1-1/e)\text{OPT} -ε]$ solution while using $O(1/ε^2)$ stochastic gradients. Through an information theoretic argument, we also prove that $\text{SCG}{++} $'s convergence rate is optimal. Finally, for maximizing a non-monotone continuous DR-submodular function, we can achieve a $[(1/e)\text{OPT} -ε]$ solution by using $O(1/ε^2)$ stochastic gradients. We should highlight that our results and our novel variance reduction technique trivially extend to the standard and easier oblivious stochastic optimization settings for (non-)covex and continuous submodular settings.

preprint2020arXiv

Straggler-Resilient Federated Learning: Leveraging the Interplay Between Statistical Accuracy and System Heterogeneity

Federated Learning is a novel paradigm that involves learning from data samples distributed across a large network of clients while the data remains local. It is, however, known that federated learning is prone to multiple system challenges including system heterogeneity where clients have different computation and communication capabilities. Such heterogeneity in clients' computation speeds has a negative effect on the scalability of federated learning algorithms and causes significant slow-down in their runtime due to the existence of stragglers. In this paper, we propose a novel straggler-resilient federated learning method that incorporates statistical characteristics of the clients' data to adaptively select the clients in order to speed up the learning procedure. The key idea of our algorithm is to start the training procedure with faster nodes and gradually involve the slower nodes in the model training once the statistical accuracy of the data corresponding to the current participating nodes is reached. The proposed approach reduces the overall runtime required to achieve the statistical accuracy of data of all nodes, as the solution for each stage is close to the solution of the subsequent stage with more samples and can be used as a warm-start. Our theoretical results characterize the speedup gain in comparison to standard federated benchmarks for strongly convex objectives, and our numerical experiments also demonstrate significant speedups in wall-clock time of our straggler-resilient method compared to federated learning benchmarks.

preprint2020arXiv

Task-Robust Model-Agnostic Meta-Learning

Meta-learning methods have shown an impressive ability to train models that rapidly learn new tasks. However, these methods only aim to perform well in expectation over tasks coming from some particular distribution that is typically equivalent across meta-training and meta-testing, rather than considering worst-case task performance. In this work we introduce the notion of "task-robustness" by reformulating the popular Model-Agnostic Meta-Learning (MAML) objective [Finn et al. 2017] such that the goal is to minimize the maximum loss over the observed meta-training tasks. The solution to this novel formulation is task-robust in the sense that it places equal importance on even the most difficult and/or rare tasks. This also means that it performs well over all distributions of the observed tasks, making it robust to shifts in the task distribution between meta-training and meta-testing. We present an algorithm to solve the proposed min-max problem, and show that it converges to an $ε$-accurate point at the optimal rate of $\mathcal{O}(1/ε^2)$ in the convex setting and to an $(ε, δ)$-stationary point at the rate of $\mathcal{O}(\max\{1/ε^5, 1/δ^5\})$ in nonconvex settings. We also provide an upper bound on the new task generalization error that captures the advantage of minimizing the worst-case task loss, and demonstrate this advantage in sinusoid regression and image classification experiments.

preprint2019arXiv

A Primal-Dual Quasi-Newton Method for Exact Consensus Optimization

We introduce the primal-dual quasi-Newton (PD-QN) method as an approximated second order method for solving decentralized optimization problems. The PD-QN method performs quasi-Newton updates on both the primal and dual variables of the consensus optimization problem to find the optimal point of the augmented Lagrangian. By optimizing the augmented Lagrangian, the PD-QN method is able to find the exact solution to the consensus problem with a linear rate of convergence. We derive fully decentralized quasi-Newton updates that approximate second order information to reduce the computational burden relative to dual methods and to make the method more robust in ill-conditioned problems relative to first order methods. The linear convergence rate of PD-QN is established formally and strong performance advantages relative to existing dual and primal-dual methods are shown numerically.

preprint2016arXiv

A Class of Parallel Doubly Stochastic Algorithms for Large-Scale Learning

We consider learning problems over training sets in which both, the number of training examples and the dimension of the feature vectors, are large. To solve these problems we propose the random parallel stochastic algorithm (RAPSA). We call the algorithm random parallel because it utilizes multiple parallel processors to operate on a randomly chosen subset of blocks of the feature vector. We call the algorithm stochastic because processors choose training subsets uniformly at random. Algorithms that are parallel in either of these dimensions exist, but RAPSA is the first attempt at a methodology that is parallel in both the selection of blocks and the selection of elements of the training set. In RAPSA, processors utilize the randomly chosen functions to compute the stochastic gradient component associated with a randomly chosen block. The technical contribution of this paper is to show that this minimally coordinated algorithm converges to the optimal classifier when the training objective is convex. Moreover, we present an accelerated version of RAPSA (ARAPSA) that incorporates the objective function curvature information by premultiplying the descent direction by a Hessian approximation matrix. We further extend the results for asynchronous settings and show that if the processors perform their updates without any coordination the algorithms are still convergent to the optimal argument. RAPSA and its extensions are then numerically evaluated on a linear estimation problem and a binary image classification task using the MNIST handwritten digit dataset.

preprint2016arXiv

A Decentralized Quasi-Newton Method for Dual Formulations of Consensus Optimization

This paper considers consensus optimization problems where each node of a network has access to a different summand of an aggregate cost function. Nodes try to minimize the aggregate cost function, while they exchange information only with their neighbors. We modify the dual decomposition method to incorporate a curvature correction inspired by the Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton method. The resulting dual D-BFGS method is a fully decentralized algorithm in which nodes approximate curvature information of themselves and their neighbors through the satisfaction of a secant condition. Dual D-BFGS is of interest in consensus optimization problems that are not well conditioned, making first order decentralized methods ineffective, and in which second order information is not readily available, making decentralized second order methods infeasible. Asynchronous implementation is discussed and convergence of D-BFGS is established formally for both synchronous and asynchronous implementations. Performance advantages relative to alternative decentralized algorithms are shown numerically.

preprint2016arXiv

A Decentralized Second-Order Method for Dynamic Optimization

This paper considers decentralized dynamic optimization problems where nodes of a network try to minimize a sequence of time-varying objective functions in a real-time scheme. At each time slot, nodes have access to different summands of an instantaneous global objective function and they are allowed to exchange information only with their neighbors. This paper develops the application of the Exact Second-Order Method (ESOM) to solve the dynamic optimization problem in a decentralized manner. The proposed dynamic ESOM algorithm operates by primal descending and dual ascending on a quadratic approximation of an augmented Lagrangian of the instantaneous consensus optimization problem. The convergence analysis of dynamic ESOM indicates that a Lyapunov function of the sequence of primal and dual errors converges linearly to an error bound when the local functions are strongly convex and have Lipschitz continuous gradients. Numerical results demonstrate the claim that the sequence of iterates generated by the proposed method is able to track the sequence of optimal arguments.

preprint2016arXiv

A Decentralized Second-Order Method with Exact Linear Convergence Rate for Consensus Optimization

This paper considers decentralized consensus optimization problems where different summands of a global objective function are available at nodes of a network that can communicate with neighbors only. The proximal method of multipliers is considered as a powerful tool that relies on proximal primal descent and dual ascent updates on a suitably defined augmented Lagrangian. The structure of the augmented Lagrangian makes this problem non-decomposable, which precludes distributed implementations. This problem is regularly addressed by the use of the alternating direction method of multipliers. The exact second order method (ESOM) is introduced here as an alternative that relies on: (i) The use of a separable quadratic approximation of the augmented Lagrangian. (ii) A truncated Taylor's series to estimate the solution of the first order condition imposed on the minimization of the quadratic approximation of the augmented Lagrangian. The sequences of primal and dual variables generated by ESOM are shown to converge linearly to their optimal arguments when the aggregate cost function is strongly convex and its gradients are Lipschitz continuous. Numerical results demonstrate advantages of ESOM relative to decentralized alternatives in solving least squares and logistic regression problems.

preprint2016arXiv

Adaptive Newton Method for Empirical Risk Minimization to Statistical Accuracy

We consider empirical risk minimization for large-scale datasets. We introduce Ada Newton as an adaptive algorithm that uses Newton's method with adaptive sample sizes. The main idea of Ada Newton is to increase the size of the training set by a factor larger than one in a way that the minimization variable for the current training set is in the local neighborhood of the optimal argument of the next training set. This allows to exploit the quadratic convergence property of Newton's method and reach the statistical accuracy of each training set with only one iteration of Newton's method. We show theoretically and empirically that Ada Newton can double the size of the training set in each iteration to achieve the statistical accuracy of the full training set with about two passes over the dataset.

preprint2016arXiv

Decentralized Prediction-Correction Methods for Networked Time-Varying Convex Optimization

We develop algorithms that find and track the optimal solution trajectory of time-varying convex optimization problems which consist of local and network-related objectives. The algorithms are derived from the prediction-correction methodology, which corresponds to a strategy where the time-varying problem is sampled at discrete time instances and then a sequence is generated via alternatively executing predictions on how the optimizers at the next time sample are changing and corrections on how they actually have changed. Prediction is based on how the optimality conditions evolve in time, while correction is based on a gradient or Newton method, leading to Decentralized Prediction-Correction Gradient (DPC-G) and Decentralized Prediction-Correction Newton (DPC-N). We extend these methods to cases where the knowledge on how the optimization programs are changing in time is only approximate and propose Decentralized Approximate Prediction-Correction Gradient (DAPC-G) and Decentralized Approximate Prediction-Correction Newton (DAPC-N). Convergence properties of all the proposed methods are studied and empirical performance is shown on an application of a resource allocation problem in a wireless network. We observe that the proposed methods outperform existing running algorithms by orders of magnitude. The numerical results showcase a trade-off between convergence accuracy, sampling period, and network communications.

preprint2016arXiv

Doubly Random Parallel Stochastic Methods for Large Scale Learning

We consider learning problems over training sets in which both, the number of training examples and the dimension of the feature vectors, are large. To solve these problems we propose the random parallel stochastic algorithm (RAPSA). We call the algorithm random parallel because it utilizes multiple processors to operate in a randomly chosen subset of blocks of the feature vector. We call the algorithm parallel stochastic because processors choose elements of the training set randomly and independently. Algorithms that are parallel in either of these dimensions exist, but RAPSA is the first attempt at a methodology that is parallel in both, the selection of blocks and the selection of elements of the training set. In RAPSA, processors utilize the randomly chosen functions to compute the stochastic gradient component associated with a randomly chosen block. The technical contribution of this paper is to show that this minimally coordinated algorithm converges to the optimal classifier when the training objective is convex. In particular, we show that: (i) When using decreasing stepsizes, RAPSA converges almost surely over the random choice of blocks and functions. (ii) When using constant stepsizes, convergence is to a neighborhood of optimality with a rate that is linear in expectation. RAPSA is numerically evaluated on the MNIST digit recognition problem.

preprint2016arXiv

Online Optimization in Dynamic Environments: Improved Regret Rates for Strongly Convex Problems

In this paper, we address tracking of a time-varying parameter with unknown dynamics. We formalize the problem as an instance of online optimization in a dynamic setting. Using online gradient descent, we propose a method that sequentially predicts the value of the parameter and in turn suffers a loss. The objective is to minimize the accumulation of losses over the time horizon, a notion that is termed dynamic regret. While existing methods focus on convex loss functions, we consider strongly convex functions so as to provide better guarantees of performance. We derive a regret bound that captures the path-length of the time-varying parameter, defined in terms of the distance between its consecutive values. In other words, the bound represents the natural connection of tracking quality to the rate of change of the parameter. We provide numerical experiments to complement our theoretical findings.

preprint2015arXiv

Decentralized Quadratically Approximated Alternating Direction Method of Multipliers

This paper considers an optimization problem that components of the objective function are available at different nodes of a network and nodes are allowed to only exchange information with their neighbors. The decentralized alternating method of multipliers (DADMM) is a well-established iterative method for solving this category of problems; however, implementation of DADMM requires solving an optimization subproblem at each iteration for each node. This procedure is often computationally costly for the nodes. We introduce a decentralized quadratic approximation of ADMM (DQM) that reduces computational complexity of DADMM by minimizing a quadratic approximation of the objective function. Notwithstanding that DQM successively minimizes approximations of the cost, it converges to the optimal arguments at a linear rate which is identical to the convergence rate of DADMM. Further, we show that as time passes the coefficient of linear convergence for DQM approaches the one for DADMM. Numerical results demonstrate the effectiveness of DQM.

preprint2015arXiv

DQM: Decentralized Quadratically Approximated Alternating Direction Method of Multipliers

This paper considers decentralized consensus optimization problems where nodes of a network have access to different summands of a global objective function. Nodes cooperate to minimize the global objective by exchanging information with neighbors only. A decentralized version of the alternating directions method of multipliers (DADMM) is a common method for solving this category of problems. DADMM exhibits linear convergence rate to the optimal objective but its implementation requires solving a convex optimization problem at each iteration. This can be computationally costly and may result in large overall convergence times. The decentralized quadratically approximated ADMM algorithm (DQM), which minimizes a quadratic approximation of the objective function that DADMM minimizes at each iteration, is proposed here. The consequent reduction in computational time is shown to have minimal effect on convergence properties. Convergence still proceeds at a linear rate with a guaranteed constant that is asymptotically equivalent to the DADMM linear convergence rate constant. Numerical results demonstrate advantages of DQM relative to DADMM and other alternatives in a logistic regression problem.

preprint2015arXiv

DSA: Decentralized Double Stochastic Averaging Gradient Algorithm

This paper considers convex optimization problems where nodes of a network have access to summands of a global objective. Each of these local objectives is further assumed to be an average of a finite set of functions. The motivation for this setup is to solve large scale machine learning problems where elements of the training set are distributed to multiple computational elements. The decentralized double stochastic averaging gradient (DSA) algorithm is proposed as a solution alternative that relies on: (i) The use of local stochastic averaging gradients. (ii) Determination of descent steps as differences of consecutive stochastic averaging gradients. Strong convexity of local functions and Lipschitz continuity of local gradients is shown to guarantee linear convergence of the sequence generated by DSA in expectation. Local iterates are further shown to approach the optimal argument for almost all realizations. The expected linear convergence of DSA is in contrast to the sublinear rate characteristic of existing methods for decentralized stochastic optimization. Numerical experiments on a logistic regression problem illustrate reductions in convergence time and number of feature vectors processed until convergence relative to these other alternatives.

preprint2015arXiv

Network Newton-Part I: Algorithm and Convergence

We study the problem of minimizing a sum of convex objective functions where the components of the objective are available at different nodes of a network and nodes are allowed to only communicate with their neighbors. The use of distributed gradient methods is a common approach to solve this problem. Their popularity notwithstanding, these methods exhibit slow convergence and a consequent large number of communications between nodes to approach the optimal argument because they rely on first order information only. This paper proposes the network Newton (NN) method as a distributed algorithm that incorporates second order information. This is done via distributed implementation of approximations of a suitably chosen Newton step. The approximations are obtained by truncation of the Newton step's Taylor expansion. This leads to a family of methods defined by the number $K$ of Taylor series terms kept in the approximation. When keeping $K$ terms of the Taylor series, the method is called NN-$K$ and can be implemented through the aggregation of information in $K$-hop neighborhoods. Convergence to a point close to the optimal argument at a rate that is at least linear is proven and the existence of a tradeoff between convergence time and the distance to the optimal argument is shown. Convergence rate, several practical implementation matters, and numerical analyses are presented in a companion paper [3].

preprint2015arXiv

Network Newton-Part II: Convergence Rate and Implementation

The use of network Newton methods for the decentralized optimization of a sum cost distributed through agents of a network is considered. Network Newton methods reinterpret distributed gradient descent as a penalty method, observe that the corresponding Hessian is sparse, and approximate the Newton step by truncating a Taylor expansion of the inverse Hessian. Truncating the series at $K$ terms yields the NN-$K$ that requires aggregating information from $K$ hops away. Network Newton is introduced and shown to converge to the solution of the penalized objective function at a rate that is at least linear in a companion paper [3]. The contributions of this work are: (i) To complement the convergence analysis by studying the methods' rate of convergence. (ii) To introduce adaptive formulations that converge to the optimal argument of the original objective. (iii) To perform numerical evaluations of NN-$K$ methods. The convergence analysis relates the behavior of NN-$K$ with the behavior of (regular) Newton's method and shows that the method goes through a quadratic convergence phase in a specific interval. The length of this quadratic phase grows with $K$ and can be made arbitrarily large. The numerical experiments corroborate reductions in the number of iterations and the communication cost that are necessary to achieve convergence relative to distributed gradient descent.

preprint2014arXiv

A Quasi-Newton Method for Large Scale Support Vector Machines

This paper adapts a recently developed regularized stochastic version of the Broyden, Fletcher, Goldfarb, and Shanno (BFGS) quasi-Newton method for the solution of support vector machine classification problems. The proposed method is shown to converge almost surely to the optimal classifier at a rate that is linear in expectation. Numerical results show that the proposed method exhibits a convergence rate that degrades smoothly with the dimensionality of the feature vectors.

preprint2014arXiv

Global Convergence of Online Limited Memory BFGS

Global convergence of an online (stochastic) limited memory version of the Broyden-Fletcher- Goldfarb-Shanno (BFGS) quasi-Newton method for solving optimization problems with stochastic objectives that arise in large scale machine learning is established. Lower and upper bounds on the Hessian eigenvalues of the sample functions are shown to suffice to guarantee that the curvature approximation matrices have bounded determinants and traces, which, in turn, permits establishing convergence to optimal arguments with probability 1. Numerical experiments on support vector machines with synthetic data showcase reductions in convergence time relative to stochastic gradient descent algorithms as well as reductions in storage and computation relative to other online quasi-Newton methods. Experimental evaluation on a search engine advertising problem corroborates that these advantages also manifest in practical applications.

preprint2014arXiv

Network Newton

We consider minimization of a sum of convex objective functions where the components of the objective are available at different nodes of a network and nodes are allowed to only communicate with their neighbors. The use of distributed subgradient or gradient methods is widespread but they often suffer from slow convergence since they rely on first order information, which leads to a large number of local communications between nodes in the network. In this paper we propose the Network Newton (NN) method as a distributed algorithm that incorporates second order information via distributed evaluation of approximations to Newton steps. We also introduce adaptive (A)NN in order to establish exact convergence. Numerical analyses show significant improvement in both convergence time and number of communications for NN relative to existing (first order) alternatives.

preprint2014arXiv

RES: Regularized Stochastic BFGS Algorithm

RES, a regularized stochastic version of the Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton method is proposed to solve convex optimization problems with stochastic objectives. The use of stochastic gradient descent algorithms is widespread, but the number of iterations required to approximate optimal arguments can be prohibitive in high dimensional problems. Application of second order methods, on the other hand, is impracticable because computation of objective function Hessian inverses incurs excessive computational cost. BFGS modifies gradient descent by introducing a Hessian approximation matrix computed from finite gradient differences. RES utilizes stochastic gradients in lieu of deterministic gradients for both, the determination of descent directions and the approximation of the objective function's curvature. Since stochastic gradients can be computed at manageable computational cost RES is realizable and retains the convergence rate advantages of its deterministic counterparts. Convergence results show that lower and upper bounds on the Hessian egeinvalues of the sample functions are sufficient to guarantee convergence to optimal arguments. Numerical experiments showcase reductions in convergence time relative to stochastic gradient descent algorithms and non-regularized stochastic versions of BFGS. An application of RES to the implementation of support vector machines is developed.