First-Order Newton-Type Estimator for Distributed Estimation and Inference

• 成果类型: Article
• 署名作者: Chen, Xi; Liu, Weidong; Zhang, Yichen
• 署名单位: New York University; Shanghai Jiao Tong University; Purdue University System; Purdue University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2021.1891925
• 发表日期: 2022
• 页码: 1858-1874

摘要

This article studies distributed estimation and inference for a general statistical problem with a convex loss that could be nondifferentiable. For the purpose of efficient computation, we restrict ourselves to stochastic first-order optimization, which enjoys low per-iteration complexity. To motivate the proposed method, we first investigate the theoretical properties of a straightforward divide-and-conquer stochastic gradient descent approach. Our theory shows that there is a restriction on the number of machines and this restriction becomes more stringent when the dimension p is large. To overcome this limitation, this article proposes a new multi-round distributed estimation procedure that approximates the Newton step only using stochastic subgradient. The key component in our method is the proposal of a computationally efficient estimator of Sigma(-1)w, where Sigma is the population Hessian matrix and w is any given vector. Instead of estimating Sigma (or Sigma(-1)) that usually requires the second-order differentiability of the loss, the proposed first-order Newton-type estimator (FONE) directly estimates the vector of interest Sigma(-1)w as a whole and is applicable to nondifferentiable losses. Our estimator also facilitates the inference for the empirical risk minimizer. It turns out that the key term in the limiting covariance has the form of Sigma(-1)w, which can be estimated by FONE.