Federated Learning Using Variance Reduced Stochastic Gradient for Probabilistically Activated Agents

Abstract: This paper proposes an algorithm for Federated Learning (FL) with a two-layer structure that achieves both variance reduction and a faster convergence rate to an optimal solution in the setting where each agent has an arbitrary probability of selection in each iteration. In distributed machine learning, when privacy matters, FL is a functional tool. Placing FL in an environment where it has some irregular connections of agents (devices), reaching a trained model in both an economical and quick way can be a demanding job. The first layer of our algorithm corresponds to the model parameter propagation across agents done by the server. In the second layer, each agent does its local update with a stochastic and variance-reduced technique called Stochastic Variance Reduced Gradient (SVRG). We leverage the concept of variance reduction from stochastic optimization when the agents want to do their local update step to reduce the variance caused by stochastic gradient descent (SGD). We provide a convergence bound for our algorithm which improves the rate from $O(\frac{1}{\sqrt{K}})$ to $O(\frac{1}{K})$ by using a constant step-size. We demonstrate the performance of our algorithm using numerical examples.