Fast Classification Algorithms via Distributed Accelerated Alternating Direction Method of Multipliers

Distributed machine learning has gained lots of attention due to the rapid growth of data. In this paper, we focus regularized empirical risk minimization problems, and propose two novel Distributed Accelerated Alternating Direction Method of Multipliers (D-A2DM2) algorithms for distributed classification. Based on the framework of Alternating Direction Method of Multipliers (ADMM), we decentralize the distributed classification problem as a global consensus optimization problem with a series of sub-problems. In D-A2DM2, we exploit ADMM with variance reduction for sub-problem optimization in parallel. Taking global update and local update into consideration respectively, we propose two acceleration mechanisms in the framework of D-A2DM2. In particular, inspired by Nesterov's accelerated gradient descent, we utilize it for global update to further improve time efficiency. Moreover, we also introduce Nesterov's acceleration for local update, and develop the corrected local update and symmetric dual update to accelerate the convergence with only a little change in the computational effort. Theoretically, D-A2DM2 has a linear convergence rate. Empirically, experimental results show that D-A2DM2 converge faster than existing distributed ADMM-based classification, and could be a highly efficient algorithm for practical use.