Swarming for Faster Convergence in Stochastic Optimization

06/11/2018

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by   Shi Pu, et al.

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We study a distributed framework for stochastic optimization which is inspired by models of collective motion found in nature (e.g., swarming) with mild communication requirements. Specifically, we analyze a scheme in which each one of N > 1 independent threads, implements in a distributed and unsynchronized fashion, a stochastic gradient-descent algorithm which is perturbed by a swarming potential. Assuming the overhead caused by synchronization is not negligible, we show the swarming-based approach exhibits better performance than a centralized algorithm (based upon the average of N observations) in terms of (real-time) convergence speed. We also derive an error bound that is monotone decreasing in network size and connectivity. We characterize the scheme's finite-time performances for both convex and non-convex objective functions.