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Title: Asynchronous Stochastic Subgradient Methods for General Nonsmooth Nonconvex Optimization

Paper content:
Asynchronous distributed methods are a popular way to reduce the communication and synchronization costs of large-scale optimization.
Yet, for all their success, little is known about their convergence guarantees in the challenging case of general non-smooth, non-convex objectives, beyond cases where closed-form proximal operator solutions are available.
This is all the more surprising since these objectives are the ones appearing in the training of deep neural networks.
In this paper, we introduce the first convergence analysis covering asynchronous methods in the case of general non-smooth, non-convex objectives.
Our analysis applies to stochastic sub-gradient descent methods both with and without block variable partitioning, and both with and without momentum.
It is phrased in the context of a general probabilistic model of asynchronous scheduling accurately adapted to modern hardware properties.
We validate our analysis experimentally in the context of training deep neural network architectures.
We show their overall successful asymptotic convergence as well as exploring how momentum, synchronization, and partitioning all affect performance.
Training parameters arising in Deep Neural Net architectures is a difficult problem in several ways (Goodfellow et al., 2016) .
First, with multiple layers and nonlinear activation functions such as sigmoid and softmax functions, the ultimate optimization problem is nonconvex.
Second, with ReLU activation functions and max-pooling in convolutional structures, the problem is nonsmooth, i.e., it is not differentiable everywhere, although typically the set of non-differentiable points is a set of measure zero in the space of the parameters.
Finally, in many applications it is unreasonable to load the whole sample size in memory to evaluate the objective function or (sub)gradient, thus samples must be taken, necessitating analysis in a probabilistic framework.
The analysis of parallel optimization algorithms using shared memory architectures, motivated by applications in machine learning, was ushered in by the seminal work of Recht et al. (2011) (although precursors exist, see the references therein).
Further work refined this analysis, e.g. (Liu & Wright, 2015) and expanded it to nonconvex problems, e.g. (Lian et al., 2015) .
However, in all of these results, a very simplistic model of asynchronous computation is presented to analyze the problem.
Notably, it is assumed that every block of the parameter, among the set of blocks of iterates being optimized, has a fixed, equal probability of being chosen at every iteration, with a certain vector of delays that determine how old each block is that is stored in the cache relative to the shared memory.
As one can surmise, this implies complete symmetry with regards to cores reading and computing the different blocks.
This does not correspond to asynchronous computation in practice.
In particular, in the common Non-Uniform Memory Access (NUMA) setting, practical experience has shown that it can be effective for each core to control a set of blocks.
Thus, the choice of blocks will depend on previous iterates, which core was last to update, creating probabilistic dependence between the delay vector and the choice of block.
This exact model is formalized in Cannelli et al., which introduced a new probabilistic model of asynchronous parallel optimization and presented a coordinate-wise updating successive convex approximation algorithm.
In this paper, we are interested in studying parallel asynchronous stochastic subgradient descent for general nonconvex nonsmooth objectives, such as the ones arising in the training of deep neural network architectures.
Currently, there is no work in the literature specifically addressing this problem.
The closest related work is given by Zhu et al. (2018) and , which consider asynchronous proximal gradient methods for solving problems of the form f (x) + g(x), where f is smooth and nonconvex, and g(x) is nonsmooth, with an easily computable closed form prox expression.
This restriction applies to the case of training a neural network which has no ReLUs or max pooling in the architecture itself, i.e., every activation is a smooth function, and there is an additional regularization term, such as an 1 .
These papers derive expected rates of convergence.
In the general case, where the activations themselves are nonsmooth-for instance in the presence of ReLUs-there is no such additive structure, and no proximal operator exists to handle away the non-smoothness and remove the necessity of computing and using subgradients explicitly in the optimization procedure.
This general problem of nonsmooth nonconvex optimization is already difficult (see, e.g., Bagirov et al. (2014) ), and the introduction of stochastically uncertain iterate updates creates an additional challenge.
Classically, the framework of stochastic approximation, with stochastic estimates of the subgradient approximating elements in a differential inclusion that defines a flow towards minimization of the objective function, is a standard, effective approach to analyzing algorithms for this class of problems.
Some texts on the framework include Kushner & Yin (2003) , which we shall reference extensively in the paper, and Borkar (2008) .
See also Ermol'ev & Norkin (1998) and Ruszczyński (1987) for some classical results in convergence of stochastic algorithms for nonconvex nonsmooth optimization.
Interest in stochastic approximation has resurfaced recently sparked by the popularity of Deep Neural Network architectures.
For instance, see the analysis of nonconvex nonsmooth stochastic optimization with an eye towards such models in Davis et al. (2018) and Majewski et al. (2018) .
In this paper, we provide the first analysis for nonsmooth nonconvex stochastic subgradient methods in a parallel asynchronous setting, in the stochastic approximation framework.
For this, we employ the state of the art model of parallel computation introduced in Cannelli et al., which we map onto the analysis framework of Kushner & Yin (2003) .
We prove show that the generic asynchronous stochastic subgradient methods considered are convergent, with probability 1, for nonconvex nonsmooth functions.
This is the first result for this class of algorithms, and it combines the state of the art in these two areas, while extending the scope of the results therein.
Furthermore, given the success of momentum methods (see, e.g., Zhang et al. (2017) ), we consider the momentum variant of the classical subgradient method, again presenting the first convergence analysis for this class of algorithms.
We validate our analysis numerically by demonstrating the performance of asynchronous stochastic subgradient methods of different forms on the problem of ResNet deep network training.
We shall consider variants of asynchronous updating with and without write locks and with and without block variable partitioning, showing the nuances in terms of convergence behavior as depending on these strategies and properties of the computational hardware.
In this paper we analyzed the convergence theory of asynchronous stochastic subgradient descent.
We found that the state of the art probabilistic model on asynchronous parallel architecture applied to the stochastic subgradient method, with and without the use of momentum, is consistent with standard theory in stochastic approximation and asymptotic convergence with probability one holds for the method under the most general setting of asynchrony.
We presented numerical results that indicate some possible performance variabilities in three types of asynchrony: block partitioning inconsistent read (for which the above convergence theory applies), full-variable-update consistent write (for which the above convergence theory also applies), and full-variable-update inconsistent read/write (for which no convergence theory exists).

assistant: text: Asymptotic convergence for stochastic subgradien method with momentum under general parallel asynchronous computation for general nonconvex nonsmooth optimization