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Home / Proceedings / Proceedings of the AAAI Conference on Artificial Intelligence / EAAI-20

Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems

February 1, 2023

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Authors

Pengfei Wang

Zhejiang University


Risheng Liu

Dalian University of Technology


Nenggan Zheng

Zhejiang University


Zhefeng Gong

Zhejiang University


DOI:

10.1609/aaai.v33i01.33011633


Abstract:

In machine learning research, many emerging applications can be (re)formulated as the composition optimization problem with nonsmooth regularization penalty. To solve this problem, traditional stochastic gradient descent (SGD) algorithm and its variants either have low convergence rate or are computationally expensive. Recently, several stochastic composition gradient algorithms have been proposed, however, these methods are still inefficient and not scalable to large-scale composition optimization problem instances. To address these challenges, we propose an asynchronous parallel algorithm, named Async-ProxSCVR, which effectively combines asynchronous parallel implementation and variance reduction method. We prove that the algorithm admits the fastest convergence rate for both strongly convex and general nonconvex cases. Furthermore, we analyze the query complexity of the proposed algorithm and prove that linear speedup is accessible when we increase the number of processors. Finally, we evaluate our algorithm Async-ProxSCVR on two representative composition optimization problems including value function evaluation in reinforcement learning and sparse mean-variance optimization problem. Experimental results show that the algorithm achieves significant speedups and is much faster than existing compared methods.

Topics: AAAI

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HOW TO CITE:

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems Proceedings of the AAAI Conference on Artificial Intelligence (2019) 1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems AAAI 2019, 1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong (2019). Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems. Proceedings of the AAAI Conference on Artificial Intelligence, 1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems. Proceedings of the AAAI Conference on Artificial Intelligence 2019 p.1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. 2019. Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems. "Proceedings of the AAAI Conference on Artificial Intelligence". 1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. (2019) "Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems", Proceedings of the AAAI Conference on Artificial Intelligence, p.1633-1640

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong, "Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems", AAAI, p.1633-1640, 2019.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. "Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems". Proceedings of the AAAI Conference on Artificial Intelligence, 2019, p.1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. "Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems". Proceedings of the AAAI Conference on Artificial Intelligence, (2019): 1633-1640.

Pengfei Wang||Risheng Liu||Nenggan Zheng||Zhefeng Gong. Asynchronous Proximal Stochastic Gradient Algorithm for Composition Optimization Problems. AAAI[Internet]. 2019[cited 2023]; 1633-1640.


ISSN: 2374-3468


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