论文标题
在线复合优化的分布式镜子下降
Distributed Mirror Descent for Online Composite Optimization
论文作者
论文摘要
在本文中,我们考虑了一个在线分布式的复合优化问题,该问题由时变的多主体网络组成,该网络由多个交互节点组成,其中每个节点的目标函数由两个部分组成:损失函数随时间变化和正则化功能。这个问题自然出现在许多实际应用中,从无线传感器网络到信号处理。我们提出了一类基于近似镜下降的在线分布式优化算法,该算法利用Bregman Divergence作为距离测量功能,其中包括欧几里得距离作为特殊情况。我们在设计算法时考虑了两个标准信息反馈模型,即全信息反馈和强盗反馈。对于全信息反馈模型,第一个算法达到了订单$ \ Mathcal {o}(1/\ sqrt {t})$的平均正规化后悔,并获得了回合$ t $的总数。第二个算法仅需要在两个预测点而不是梯度信息的损失函数值的信息,就可以实现与第一个算法相同的平均正规遗憾。提供了分布式在线正规化线性回归问题的仿真结果,以说明所提出的算法的性能。
In this paper, we consider an online distributed composite optimization problem over a time-varying multi-agent network that consists of multiple interacting nodes, where the objective function of each node consists of two parts: a loss function that changes over time and a regularization function. This problem naturally arises in many real-world applications ranging from wireless sensor networks to signal processing. We propose a class of online distributed optimization algorithms that are based on approximate mirror descent, which utilize the Bregman divergence as distance-measuring function that includes the Euclidean distances as a special case. We consider two standard information feedback models when designing the algorithms, that is, full-information feedback and bandit feedback. For the full-information feedback model, the first algorithm attains an average regularized regret of order $\mathcal{O}(1/\sqrt{T})$ with the total number of rounds $T$. The second algorithm, which only requires the information of the values of the loss function at two predicted points instead of the gradient information, achieves the same average regularized regret as that of the first algorithm. Simulation results of a distributed online regularized linear regression problem are provided to illustrate the performance of the proposed algorithms.