Bayesian Federated Learning with Hamiltonian Monte Carlo: Algorithm and Theory
提出一种新的贝叶斯联邦学习算法FA-HMC，用于参数估计和不确定性量化，在非独立同分布数据上给出收敛保证，实验表明优于现有方法。
This work introduces a novel and efficient Bayesian federated learning algorithm, namely, the Federated Averaging stochastic Hamiltonian Monte Carlo (FA-HMC), for parameter estimation and uncertainty quantification. We establish rigorous convergence guarantees of FA-HMC on non-iid distributed datasets, under the strong convexity and Hessian smoothness assumptions. Our analysis investigates the effects of parameter space dimension, noise on gradients and momentum, and the frequency of communication (between the central node and local nodes) on the convergence and communication costs of FA-HMC. Beyond that, we establish the tightness of our analysis by showing that the convergence rate cannot be improved even for continuous FA-HMC process. Moreover, extensive empirical studies demonstrate that FA-HMC outperforms the existing Federated Averaging-Langevin Monte Carlo (FA-LD) algorithm. Supplementary materials for this article are available online.