Distributed linear regression by averaging
通过参数平均实现分布式线性回归AI 解读 ↓
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通过参数平均实现分布式线性回归AI 解读 ↓
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Distributed statistical learning problems arise commonly when dealing with large datasets. In this setup, datasets are partitioned over machines, which compute locally, and communicate short messages. Communication is often the bottleneck. In this paper, we study one-step and iterative weighted parameter averaging in statistical linear models under data parallelism. We do linear regression on each machine, send the results to a central server and take a weighted average of the parameters. Optionally, we iterate, sending back the weighted average and doing local ridge regressions centered at it. How does this work compared to doing linear regression on the full data? Here, we study the performance loss in estimation and test error, and confidence interval length in high dimensions, where the number of parameters is comparable to the training data size. We find the performance loss in one-step weighted averaging, and also give results for iterative averaging. We also find that different problems are affected differently by the distributed framework. Estimation error and confidence interval length increases a lot, while prediction error increases much less. We rely on recent results from random matrix theory, where we develop a new calculus of deterministic equivalents as a tool of broader interest.