Consensus-based distributed online prediction and optimization

Konstantinos I. Tsianos, Michael G. Rabbat

Abstract: This paper considers the problems of distributed online prediction and optimization. Each node in a network of processors processes a stream of data in an online manner. Before the next data point arrives, the processor must make a prediction. Then, after receiving the next point, the processor accrues some loss or regret. The goal of the processors is to minimize the total aggregate regret. We propose a consensus-based distributed optimization method for fitting a model used to make the predictions online. After observing each data point, nodes individually make gradient descent-like adjustments to their model parameters, and then consensus iterations are performed to synchronize models across the nodes. We prove that the proposed method achieves the optimal regret bound when the loss function has Lipschitz continuous gradients, and the amount of communication required depends on the network structure.