DADAM is a MATLAB package of a collection of decentralized adaptive online and stochastic optimization algorithms. Given a set of $n$ clients, we solve a constrained minimization problem of the form $$\min_{x \in X} \sum_{t=1}^T\sum_{i=1}^n f_{i,t}(x).$$ Here, $T$ is the total number of rounds, and $f_{i,t}$ is a continuously differentiable function on the closed convex set $X$.

For more details, please see https://arxiv.org/pdf/1901.09109.pdf

1- Requirement

The algorithms have been implemented in MATLAB and make extensive use of the SGDLibrary. You can find the latest version at https://github.com/hiroyuki-kasai/SGDLibrary

2- Setup

Run run_me_first_to_add_libs_.m for path configurations.

You must then make sure that SGDLibrary-master and DADAM-master can be seen from MATLAB (i.e. make sure to run addpath on their paths).

3- Simplest usage example

Execute example.m for the simplest demonstration of this package. This is the case of softmax regression problem.

To reproduce the experiments, execute

dadam_test_linear_svm.m

dadam_test_l1_logistic_regression.m

dadam_test_softmax_classifier.m