This paper is concerned with minimizing the average of n cost functions over a network in which agents may communicate and exchange information with each other. We consider the setting where only noisy gradient information is available. To solve the problem, we study the distributed stochastic gradient descent (DSGD) method and perform a non-asymptotic convergence analysis. For strongly convex and smooth objective functions, in expectation, DSGD asymptotically achieves the optimal network independent convergence rate compared to centralized stochastic gradient descent (SGD). Our main contribution is to characterize the transient time needed for DSGD to approach the asymptotic convergence rate. Moreover, we construct a "hard" optimization problem that proves the sharpness of the obtained result. Numerical experiments demonstrate the tightness of the theoretical results.
Keywords: convex optimization; distributed optimization; stochastic gradient descent; stochastic programming.