Federated Empirical Risk Minimization via Second-Order Method

05/27/2023

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by   Song Bian, et al.

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Many convex optimization problems with important applications in machine learning are formulated as empirical risk minimization (ERM). There are several examples: linear and logistic regression, LASSO, kernel regression, quantile regression, p-norm regression, support vector machines (SVM), and mean-field variational inference. To improve data privacy, federated learning is proposed in machine learning as a framework for training deep learning models on the network edge without sharing data between participating nodes. In this work, we present an interior point method (IPM) to solve a general ERM problem under the federated learning setting. We show that the communication complexity of each iteration of our IPM is Õ(d^3/2), where d is the dimension (i.e., number of features) of the dataset.