A Single-Loop Algorithm for Decentralized Bilevel Optimization

Bilevel optimization has received more and more attention recently due to its wide applications in machine learning. In this paper, we consider bilevel optimization in decentralized networks. In particular, we propose a novel single-loop algorithm for solving decentralized bilevel optimization with strongly convex lower level problem. Our algorithm is fully single-loop and does not require heavy matrix-vector multiplications when approximating the hypergradient. Moreover, unlike existing methods for decentralized bilevel optimization and federated bilevel optimization, our algorithm does not require any gradient heterogeneity assumption. Our analysis shows that the proposed algorithm achieves a sublinear convergence rate. Experimental results on hyperparameter optimization problem with both synthetic and MNIST data sets demonstrate the efficiency of the proposed algorithm.

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