Distributed Zeroth-Order Composite Finite-Sum Optimization via Incremental Variance Reduction

Abstract

We study decentralized composite finite-sum optimization over a fixed connected undirected network, where agents access local component functions through function evaluations and share a possibly nonsmooth convex regularizer. In this setting, standard two-point gradient estimators can retain nonvanishing variance at a solution, complicating their integration with gradient tracking. We propose Distributed Zeroth-Order Incremental Variance Reduction (Distributed ZIVR), which combines incrementally updated component-gradient estimates with a proximal gradient-tracking scheme. The method admits an implementation using a constant number of function evaluations per agent at every iteration, without intermittent full-component or full-coordinate refreshes. For convex smooth component functions and strongly convex local averages, we establish linear convergence up to a controllable finite-difference error. With the finite-difference radius chosen for the target accuracy, Chebyshev-accelerated mixing yields a per-agent oracle complexity of $\widetilde{O}(d(m+κ)\log(1/ε))$ for expected squared solution error $ε$, where $d$ is the dimension, $m$ is the number of components per agent, and $κ$ is the condition number. This matches the centralized ZIVR oracle bound, while the communication bound has only an inverse square-root dependence on the network spectral gap. Experiments on logistic and robust regression demonstrate rapid reduction of solution and consensus errors.