Communicationefficient Algorithms for Distributed Stochastic Principal Component Analysis
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Proceedings of the 34th International Conference on Machine Learning, PMLR 70:12031212, 2017.
Abstract
We study the fundamental problem of Principal Component Analysis in a statistical distributed setting in which each machine out of m stores a sample of n points sampled i.i.d. from a single unknown distribution. We study algorithms for estimating the leading principal component of the population covariance matrix that are both communicationefficient and achieve estimation error of the order of the centralized ERM solution that uses all mn samples. On the negative side, we show that in contrast to results obtained for distributed estimation under convexity assumptions, for the PCA objective, simply averaging the local ERM solutions cannot guarantee error that is consistent with the centralized ERM. We show that this unfortunate phenomena can be remedied by performing a simple correction step which correlates between the individual solutions, and provides an estimator that is consistent with the centralized ERM for sufficientlylarge n. We also introduce an iterative distributed algorithm that is applicable in any regime of n, which is based on distributed matrixvector products. The algorithm gives significant acceleration in terms of communication rounds over previous distributed algorithms, in a wide regime of parameters.
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