Title: Composite Optimization with Error Feedback: the Dual Averaging Approach
Primary area: optimization
Keywords: Composite Optimization, Distributed Optimization, Communication Compression, Error Feedback, Dual Averaging

Abstract: Communication efficiency is a central challenge in distributed machine learning training, and message compression is a widely used solution. However, standard Error Feedback (EF) methods (Seide et al., 2014), though effective for smooth unconstrained optimization with compression (Karimireddy et al., 2019), fail in the broader and practically important setting of composite optimization, which captures, e.g., objectives consisting of a smooth loss combined with a non-smooth regularizer or constraints. The theoretical foundation and behavior of EF in the context of the general composite setting remain largely unexplored. In this work, we consider composite optimization with EF. We point out that the basic EF mechanism and its analysis no longer stand when a composite part is involved. We argue that this is because of a fundamental limitation in the method and its analysis technique. We propose a novel method that combines _Dual Averaging_ with EControl (Gao et al., 2024), a state-of-the-art variant of the EF mechanism, and achieves for the first time a strong convergence analysis for composite optimization with error feedback. Along with our new algorithm, we also provide a new and novel analysis template for inexact dual averaging method, which might be of independent interest. We also provide experimental results to complement our theoretical findings.