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Optimal Algorithms for Decentralized Stochastic Variational Inequalities
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Optimal Algorithms for Decentralized Stochastic Variational Inequalities
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Variational inequalities are a formalism that includes games, minimization, saddle point, and equilibrium problems as special cases. Methods for variational inequalities are therefore universal approaches for many applied tasks, including machine learning problems. This work concentrates on the decentralized setting, which is increasingly important but not well understood. In particular, we consider decentralized stochastic (sum-type) variational inequalities over fixed and time-varying networks. We present lower complexity bounds for both communication and local iterations and construct optimal algorithms that match these lower bounds. Our algorithms are the best among the available literature not only in the decentralized stochastic case, but also in the decentralized deterministic and non-distributed stochastic cases. Experimental results confirm the effectiveness of the presented algorithms.
Forward citations
Cited by 2 Pith papers
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Stochastic Optimization and Data Science
The paper motivates stochastic optimization problems from statistical perspectives and describes offline and online approaches to solve expectation minimization problems.
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Stochastic Optimization and Data Science
A survey equating offline Monte-Carlo/SAA and online stochastic-approximation sample complexities for convex stochastic optimization arising in statistics and ML.
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