S-DIGing: A Stochastic Gradient Tracking Algorithm for Distributed Optimization

Abstract: In this paper, we study convex optimization problems where agents of a network cooperatively minimize the global objective function which consists of multiple local objective functions. Different from most of the existing works, the local objective function of each agent is presented as the average of finite instantaneous functions. The intention of this work is to solve large-scale optimization problems where the local objective function is complicated and numerous. Integrating the gradient tracking algorithm with stochastic averaging gradient technology, we propose a novel distributed stochastic gradient tracking (termed as S-DIGing) algorithm. At each time instant, only one randomly selected gradient of a instantaneous function is computed and applied to approximate the gradient of local objection function. Based on a primal-dual interpretation of the S-DIGing algorithm, we show that the S-DIGing algorithm linearly converges to the global optimal solution when step-size lies in an explicit internal under the assumptions that the instantaneous functions are strongly convex and have Lipschitz-continuous gradient. Numerical experiments on the logistic regression problem are presented to demonstrate the practicability of the algorithm and correctness of the theoretical results.