Distributed Normal Map-based Stochastic Proximal Gradient Methods over Networks

Abstract: Consider $n$ agents connected over a network collaborate to minimize the average of their local cost functions combined with a common nonsmooth function. This paper introduces a unified algorithmic framework for solving such a problem through distributed stochastic proximal gradient methods, leveraging the normal map update scheme. Within this framework, we propose two new algorithms, termed Normal Map-based Distributed Stochastic Gradient Tracking (norM-DSGT) and Normal Map-based Exact Diffusion (norM-ED), to solve the distributed composite optimization problem over a connected network. We demonstrate that both methods can asymptotically achieve comparable convergence rates to the centralized stochastic proximal gradient descent method under a general variance condition on the stochastic gradients. Additionally, the number of iterations required for norM-ED to achieve such a rate (i.e., the transient time) behaves as $\mathcal{O}(n^{3}/(1-\lambda)^2)$ for minimizing composite objective functions, matching the performance of the non-proximal ED algorithm. Here $1-\lambda$ denotes the spectral gap of the mixing matrix related to the underlying network topology. To our knowledge, such a convergence result is state-of-the-art for the considered composite problem. Under the same condition, norM-DSGT enjoys a transient time of $\mathcal{O}(\max{n^3/(1-\lambda)^2, n/(1-\lambda)^4})$ and behaves more stable than norM-ED under decaying stepsizes for solving the tested problems.