Prometheus: Taming Sample and Communication Complexities in Constrained Decentralized Stochastic Bilevel Learning

Abstract

In recent years, decentralized bilevel optimization has gained significant attention thanks to its versatility in modeling a wide range of multi-agent learning problems, such as multi-agent reinforcement learning and multi-agent meta-learning. However, one unexplored and fundamental problem in this area is how to solve decentralized stochastic bilevel optimization problems with domain constraints while achieving low sample and communication complexities. This problem often arises from multi-agent learning problems with safety constraints. As shown in this paper, constrained decentralized bilevel optimization is far more challenging than its unconstrained counterpart due to the complex coupling structure, which necessitates new algorithm design and analysis techniques. Toward this end, we investigate a class of constrained decentralized bilevel optimization problems, where multiple agents collectively solve a nonconvex-strongly-convex bilevel problem with constraints in the upper-level variables. We propose an algorithm called Prometheus (proximal tracked stochastic recursive estimator) that achieves the first O(1/epsilon) results in both sample and communication complexities for constrained decentralized bilevel optimization, where epsilon>0 is a desired stationarity error. Collectively, the results in this work contribute to a theoretical foundation for low sample- and communication-complexity constrained decentralized bilevel learning.