Distributed Random Reshuffling Over Networks

In this paper, we consider distributed optimization problems where n agents, each possessing a local cost function, collaboratively minimize the average of the local cost functions over a connected network. To solve the problem, we propose a distributed random reshuffling (D-RR) algorithm that invokes the random reshuffling (RR) update in each agent. We show that D-RR inherits favorable characteristics of RR for both smooth strongly convex and smooth nonconvex objective functions. In particular, for smooth strongly convex objective functions, D-RR achieves O(1/T2) rate of convergence (where T counts the epoch number) in terms of the squared distance between the iterate and the global minimizer. When the objective function is assumed to be smooth nonconvex, we show that D-RR drives the squared norm of the gradient to 0 at a rate of O(1/T2/3) . These convergence results match those of centralized RR (up to constant factors) and outperform the distributed stochastic gradient descent (DSGD) algorithm if we run a relatively large number of epochs. Finally, we conduct a set of numerical experiments to illustrate the efficiency of the proposed D-RR method on both strongly convex and nonconvex distributed optimization problems.