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Distributed Optimization via Alternating Direction Method of Multipliers

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Distributed Optimization via Alternating Direction Method of Multipliers
Stephen Boyd, Neal Parikh, Eric Chu, Borja Peleato Stanford University
ITMANET, Stanford, January 2011

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Outline
• precursors – dual decomposition – method of multipliers • alternating direction method of multipliers • applications/examples • conclusions/big picture
ITMANET, Stanford, January 2011
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Dual problem
• convex equality constrained optimization problem
minimize f(x) subject to Ax = b
• Lagrangian: L(x, y) = f(x) + yT (Ax − b) • dual function: g(y) = infx L(x, y) • dual problem: maximize g(y) • recover x⋆ = argmin
x
L(x, y⋆)
ITMANET, Stanford, January 2011
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Dual ascent
• gradient method for dual problem: yk+1 = yk + ��k∇g(yk) • ∇g(yk) = A˜x − b, where ˜x = argmin
x
L(x, yk)
• dual ascent method is
xk+1 := argmin
x
L(x, yk)
// x-minimization
yk+1 := yk + ��k(Axk+1 − b) // dual update
• works, with lots of strong assumptions
ITMANET, Stanford, January 2011
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Dual decomposition
• suppose f is separable:
f(x) = f1(x1) + ··· + fN(xN), x = (x1,...,xN)
• then L is separable in x: L(x, y) = L1(x1,y) + ··· + LN(xN,y) − yT b,
Li(xi,y) = fi(xi) + y
T
Aixi
• x-minimization in dual ascent splits into N separate minimizations
x
k+1 i
:= argmin
xi
Li(xi,y
k
) which can be carried out in parallel
ITMANET, Stanford, January 2011
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Dual decomposition
• dual decomposition (Everett, Dantzig, Wolfe, Benders 1960–65)
x
k+1 i
:= argmin
xi
Li(xi,yk), i = 1,...,N yk+1 := yk + ��k(P
N i=1
Aix
k+1 i
− b)
• scatter yk; update xi in parallel; gather Aix
k+1 i
• solve a large problem – by iteratively solving subproblems (in parallel) – dual variable update provides coordination • works, with lots of assumptions; often slow
ITMANET, Stanford, January 2011
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Method of multipliers
• a method to robustify dual ascent • use augmented Lagrangian (Hestenes, Powell 1969), �� > 0
L��(x, y) = f(x) + y
T
(Ax − b)+(��/2)kAx − bk2
2
• method of multipliers (Hestenes, Powell; analysis in Bertsekas 1982)
x
k+1
:= argmin
x
L��(x, y
k
) y
k+1
:= y
k
+ ��(Ax
k+1 − b)
(note specific dual update step length ��)
ITMANET, Stanford, January 2011
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Method of multipliers
• good news: converges under much more relaxed conditions
(f can be nondifferentiable, take on value +��,...)
• bad news: quadratic penalty destroys splitting of the x-update, so can��t
do decomposition
ITMANET, Stanford, January 2011
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Alternating direction method of multipliers
• a method – with good robustness of method of multipliers – which can support decomposition
��robust dual decomposition�� or ��decomposable method of multipliers��
• proposed by Gabay, Mercier, Glowinski, Marrocco in 1976
ITMANET, Stanford, January 2011
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Alternating direction method of multipliers
• ADMM problem form (with f, g convex)
minimize f(x) + g(z) subject to Ax + Bz = c
– two sets of variables, with separable objective • L��(x,z,y) = f(x) + g(z) + yT (Ax + Bz − c)+(��/2)kAx + Bz − ck2
2
• ADMM:
xk+1 := argmin
x
L��(x, zk,yk)
// x-minimization
zk+1 := argmin
z
L��(xk+1,z,yk)
// z-minimization
yk+1 := yk + ��(Axk+1 + Bzk+1 − c) // dual update
ITMANET, Stanford, January 2011
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Alternating direction method of multipliers
• if we minimized over x and z jointly, reduces to method of multipliers • instead, we do one pass of a Gauss-Seidel method • we get splitting since we minimize over x with z fixed, and vice versa
ITMANET, Stanford, January 2011
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Convergence
• assume (very little!) – f, g convex, closed, proper – L0 has a saddle point • then ADMM converges: – iterates approach feasibility: Axk + Bzk − c �� 0 – objective approaches optimal value: f(xk) + g(zk) �� p⋆
ITMANET, Stanford, January 2011
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Related algorithms
• operator splitting methods
(Douglas, Peaceman, Rachford, Lions, Mercier, . . . 1950s, 1979)
• proximal point algorithm (Rockafellar 1976) • Dykstra��s alternating projections algorithm (1983) • Spingarn��s method of partial inverses (1985) • Rockafellar-Wets progressive hedging (1991) • proximal methods (Rockafellar, many others, 1976–present) • Bregman iterative methods (2008–present) • most of these are special cases of the proximal point algorithm
ITMANET, Stanford, January 2011
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Consensus optimization
• want to solve problem with N objective terms
minimize P
N i=1
fi(x)
– e.g., fi is the loss function for ith block of training data • ADMM form:
minimize P
N i=1
fi(xi) subject to xi − z = 0
– xi are local variables – z is the global variable – xi − z = 0 are consistency or consensus constraints
ITMANET, Stanford, January 2011
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Consensus optimization via ADMM
• L��(x,z,y) = P
N i=1
fi(xi) + yT
i
(xi − z)+(��/2)kxi − zk2
2
• ADMM:
x
k+1 i
:= argmin
xi
fi(xi) + y
kT i
(xi − zk )+(��/2)kxi − zkk2
2
z
k+1
:= 1 N
N
X
i=1
x
k+1 i
+ (1/��)y
k i
y
k+1 i
:= y
k i
+ ��(x
k+1 i
− zk+1 )
ITMANET, Stanford, January 2011
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Consensus optimization via ADMM
• using P
N i=1
yk
i
= 0, algorithm simplifies to x
k+1 i
:= argmin
xi
fi(xi) + y
kT i
(xi − xk )+(��/2)kxi − xkk2
2
y
k+1 i
:= y
k i
+ ��(x
k+1 i
− xk+1 ) where xk = (1/N)P
N i=1
xk
i
• in each iteration – gather xk
i
and average to get xk
– scatter the average xk to processors – update yk
i
locally (in each processor, in parallel)
– update xi locally
ITMANET, Stanford, January 2011
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Statistical interpretation
• fi is negative log-likelihood for parameter x given ith data block • x
k+1 i
is MAP estimate under prior N(xk + (1/��)yk
i
, ��I)
• prior mean is previous iteration��s consensus shifted by ��price�� of
processor i disagreeing with previous consensus
• processors only need to support a Gaussian MAP method – type or number of data in each block not relevant – consensus protocol yields global maximum-likelihood estimate
ITMANET, Stanford, January 2011
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Consensus classification
• data (examples) (ai,bi), i = 1,...,N, ai �� R
n
, bi �� {−1,+1}
• linear classifier sign(aT w + v), with weight w, offset v • margin for ith example is bi(aT
i
w + v); want margin to be positive
• loss for ith example is l(bi(aT
i
w + v))
– l is loss function (hinge, logistic, probit, exponential, . . . ) • choose w, v to minimize 1
N P N i=1
l(bi(aT
i
w + v)) + r(w)
– r(w) is regularization term (ℓ2, ℓ1,...) • split data and use ADMM consensus to solve
ITMANET, Stanford, January 2011
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Consensus SVM example
• hinge loss l(u) = (1 − u)+ with ℓ2 regularization • baby problem with n = 2, N = 400 to illustrate • examples split into 20 groups, in worst possible way:
each group contains only positive or negative examples
ITMANET, Stanford, January 2011
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Iteration 1
−3 −2 −1 0 1 2 3 −10 −8 −6 −4 −2 0 2 4 6 8 10
ITMANET, Stanford, January 2011
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Iteration 5
−3 −2 −1 0 1 2 3 −10 −8 −6 −4 −2 0 2 4 6 8 10
ITMANET, Stanford, January 2011
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Iteration 40
−3 −2 −1 0 1 2 3 −10 −8 −6 −4 −2 0 2 4 6 8 10
ITMANET, Stanford, January 2011
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Reference
Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers (Boyd, Parikh, Chu, Peleato, Eckstein) available at Boyd web site
ITMANET, Stanford, January 2011
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