Poster
Near-Optimal Distributed Minimax Optimization under the Second-Order Similarity
Qihao Zhou · Haishan Ye · Luo Luo
West Ballroom A-D #6110
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Abstract
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Wed 11 Dec 11 a.m. PST
— 2 p.m. PST
Abstract:
This paper considers the distributed convex-concave minimax optimization under the second-order similarity.We propose stochastic variance-reduced optimistic gradient sliding (SVOGS) method, which takes the advantage of the finite-sum structure in the objective by involving the mini-batch client sampling and variance reduction.We prove SVOGS can achieve the $\varepsilon$-duality gap within communication rounds of ${\mathcal O}(\delta D^2/\varepsilon)$, communication complexity of ${\mathcal O}(n+\sqrt{n}\delta D^2/\varepsilon)$,and local gradient calls of $\tilde{\mathcal O}(n+(\sqrt{n}\delta+L)D^2/\varepsilon\log(1/\varepsilon))$, where $n$ is the number of nodes, $\delta$ is the degree of the second-order similarity, $L$ is the smoothness parameter and $D$ is the diameter of the constraint set.We can verify that all of above complexity (nearly) matches the corresponding lower bounds.For the specific $\mu$-strongly-convex-$\mu$-strongly-convex case, our algorithm has the upper bounds on communication rounds, communication complexity, and local gradient calls of $\mathcal O(\delta/\mu\log(1/\varepsilon))$, ${\mathcal O}((n+\sqrt{n}\delta/\mu)\log(1/\varepsilon))$, and $\tilde{\mathcal O}(n+(\sqrt{n}\delta+L)/\mu)\log(1/\varepsilon))$ respectively, which are also nearly tight.Furthermore, we conduct the numerical experiments to show the empirical advantages of proposed method.
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