Projection-free Distributed Online Convex Optimization with $O(\sqrt{T})$ Communication Complexity

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Authors

Yuanyu Wan, Wei-Wei Tu, Lijun Zhang

Abstract

To deal with complicated constraints via locally light computation in distributed online learning, recent study has presented a projection-free algorithm called distributed online conditional gradient (D-OCG), and achieved an $O(T^{3/4})$ regret bound, where $T$ is the number of prediction rounds. However, in each round, the local learners of D-OCG need to communicate with their neighbors to share the local gradients, which results in a high communication complexity of $O(T)$. In this paper, we first propose an improved variant of D-OCG, namely D-BOCG, which enjoys an $O(T^{3/4})$ regret bound with only $O(\sqrt{T})$ communication complexity. The key idea is to divide the total prediction rounds into $\sqrt{T}$ equally-sized blocks, and only update the local learners in the beginning of each block by performing iterative linear optimization steps. Furthermore, to handle the more challenging bandit setting, in which only the loss value is available, we incorporate the classical one-point gradient estimator into D-BOCG, and obtain similar theoretical guarantees.