Efficient Distributed Learning with Sparsity

We propose a novel, efficient approach for distributed sparse learning with observations randomly partitioned across machines. In each round of the proposed method, worker machines compute the gradient of the loss on local data and the master machine solves a shifted `1 regularized loss minimization problem. After a number of communication rounds that scales only logarithmically with the number of machines, and independent of other parameters of the problem, the proposed approach provably matches the estimation error bound of centralized methods.