Network Newton Distributed Optimization Methods

TLDR: This paper proposes the network Newton (NN) method as a distributed algorithm that incorporates second-order information via distributed implementation of approximations of a suitably chosen Newton step and proves convergence to a point close to the optimal argument at a rate that is at least linear.

Abstract: 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. The numerical experiments corroborate reductions in the number of iterations and the communication cost that are necessary to achieve convergence relative to first-order alternatives.