S-D-RSM: Stochastic Distributed Regularized Splitting Method for Large-Scale Convex Optimization Problems

Abstract

This paper investigates problems of large-scale distributed composite convex optimization, with motivations from a broad range of applications, including multi-agent systems, federated learning, smart grids, wireless sensor networks, compressed sensing, and so on. Stochastic gradient descent (SGD) and its variants are commonly employed to solve such problems. However, existing algorithms often rely on vanishing step sizes, strong convexity assumptions, or entail substantial computational overhead to ensure convergence or obtain favorable complexity. To bridge the gap between theory and practice, we integrate consensus optimization and operator splitting techniques (see Problem Reformulation) to develop a novel stochastic splitting algorithm, termed the stochastic distributed regularized splitting method (S-D-RSM). In practice, S-D-RSM performs parallel updates of proximal mappings and gradient information for only a randomly selected subset of agents at each iteration. By introducing regularization terms, it effectively mitigates consensus discrepancies among distributed nodes. In contrast to conventional stochastic methods, our theoretical analysis establishes that S-D-RSM achieves global convergence without requiring diminishing step sizes or strong convexity assumptions. Furthermore, it achieves an iteration complexity of 1/epsilon with respect to both the objective function value and the consensus error. Numerical experiments show that S-D-RSM achieves up to two to three times speedup compared with state-of-the-art baselines, while maintaining comparable or better accuracy. These results not only validate the algorithm's theoretical guarantees but also demonstrate its effectiveness in practical tasks such as compressed sensing and empirical risk minimization.