Authors: Chih-Hao Fang and Sudhir B. Kylasa (Purdue University); Fred Roosta (University of Queensland); Michael W. Mahoney (University of California, University of California, Berkeley); and Ananth Grama (Purdue University)
Abstract: First-order optimization techniques, such as stochastic gradient descent (SGD) and its variants, are widely used in machine learning applications due to their simplicity and low per-iteration costs. They often require, however, large numbers of iterations, with associated communication costs in distributed environments. In contrast, Newton-type methods, while having higher per-iteration computation costs, typically require a significantly smaller number of iterations, which directly translates to reduced communication costs.
We present a novel distributed optimizer for classification problems, which integrates a GPU-accelerated Newton-type solver with the global consensus formulation of Alternating Direction of Method Multipliers (ADMM). By leveraging the communication efficiency of ADMM, a highly efficient GPU-accelerated inexact-Newton solver, and an effective spectral penalty parameter selection strategy, we show that our proposed method: (i) yields better generalization performance on several classification problems; (ii) significantly outperforms state-of-the-art methods in distributed time to solution; and (iii) offers better scaling on large distributed platforms.
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