Distributed delayed stochastic optimization

TLDR: In this paper, the authors analyzed the convergence of gradient-based distributed optimization algorithms that base their updates on delayed stochastic gradient information and showed that the delay is asymptotically negligible.

Abstract: We analyze the convergence of gradient-based optimization algorithms that base their updates on delayed stochastic gradient information. The main application of our results is to gradient-based distributed optimization algorithms where a master node performs parameter updates while worker nodes compute stochastic gradients based on local information in parallel, which may give rise to delays due to asynchrony. We take motivation from statistical problems where the size of the data is so large that it cannot fit on one computer; with the advent of huge datasets in biology, astronomy, and the internet, such problems are now common. Our main contribution is to show that for smooth stochastic problems, the delays are asymptotically negligible and we can achieve order-optimal convergence results. We show n-node architectures whose optimization error in stochastic problems—in spite of asynchronous delays—scales asymptotically as O(1/√nT) after T iterations. This rate is known to be optimal for a distributed system with n nodes even in the absence of delays. We additionally complement our theoretical results with numerical experiments on a logistic regression task.