Communication-efficient Distributed Sparse Linear Discriminant Analysis

Abstract: We propose a communication-efficient distributed estimation method for sparse linear discriminant analysis (LDA) in the high dimensional regime. Our method distributes the data of size $N$ into $m$ machines, and estimates a local sparse LDA estimator on each machine using the data subset of size $N/m$. After the distributed estimation, our method aggregates the debiased local estimators from $m$ machines, and sparsifies the aggregated estimator. We show that the aggregated estimator attains the same statistical rate as the centralized estimation method, as long as the number of machines $m$ is chosen appropriately. Moreover, we prove that our method can attain the model selection consistency under a milder condition than the centralized method. Experiments on both synthetic and real datasets corroborate our theory.