Stochastic Bregman Parallel Direction Method of Multipliers for Distributed Optimization

Bregman parallel direction method of multipliers (BPDMM) efficiently solves distributed optimization over a network, which arises in a wide spectrum of collaborative multi-agent learning applications. In this paper, we generalize BPDMM to stochastic BPDMM, where each iteration only solves local optimization on a randomly selected subset of nodes rather than all the nodes in the network. Such generalization reduce the need for computational resources and allows applications to larger scale networks. We establish both the global convergence and the $O(1/T)$ iteration complexity of stochastic BPDMM. We demonstrate our results via numerical examples.