Distributed Optimization for Big Data Analytics: Beyond Minimization

The traditional machine learning model can be formulated as an empirical risk minimization problem, which is typically optimized via stochastic gradient descent (SGD). With the emergence of big data, distributed optimization, e.g., distributed SGD, has been attracting increasing attention to facilitate machine learning models for big data analytics. However, existing distributed optimization mainly focuses on the standard empirical risk minimization problem, failing to deal with the emerging machine learning models that are beyond that category. Thus, of particular interest of this tutorial includes the stochastic minimax optimization, stochastic bilevel optimization, and stochastic compositional optimization, which covers a wide range of emerging machine learning models, e.g., model-agnostic meta-learning models, adversarially robust machine learning models, imbalanced data classification models, etc. Since these models have been widely used in big data analytics, it is necessary to provide a comprehensive introduction about the new distributed optimization algorithms designed for these models. Therefore, the goal of this tutorial is to present the state-of-the-art and recent advances in distributed minimax optimization, distributed bilevel optimization, and distributed compositional optimization. In particular, we will introduce the typical applications in each category and discuss the corresponding distributed optimization algorithms in both centralized and decentralized settings. Through this tutorial, the researchers will be exposed to the fundamental algorithmic design and basic convergence theories, and the practitioners will be able to benefit from this tutorial to apply these algorithms to real-world data mining applications.