Abstract

Most current online distributed machine learning algorithms have been studied in a data-parallel architecture among agents in networks. We study online distributed machine learning from a different perspective, where the features about the same samples are observed by multiple agents that wish to collaborate but do not exchange the raw data with each other. We propose a distributed feature online gradient descent algorithm and prove that local solution converges to the global minimizer with a sublinear rate O 2 T. Our algorithm does not require exchange of the primal data or even the model parameters between agents. Firstly, we design an auxiliary variable, which implies the information of the global features, and estimate at each agent by dynamic consensus method. Then, local parameters are updated by online gradient descent method based on local data stream. Simulations illustrate the performance of the proposed algorithm.