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We consider whether distributed subgradient methods can achieve a linear speedup over a centralized subgradient method. While it might be hoped that distributed network of n nodes that can compute n times more subgradients in parallel compared to a single node might, as a result, be n times faster, existing bounds for distributed optimization methods are often consistent with a slowdown rather than speedup compared to a single node. We show that a distributed subgradient method has this “linear speedup” property when using a class of square-summable-but-not-summable step-sizes which include 1/t^β when β ∈ (1/2,1); for such step-sizes, we show that after a transient period whose size depends on the spectral gap of the network, the method achieves a performance guarantee that does not depend on the network or the number of nodes. We also show that the same method can fail to have this “asymptotic network independence” property under the optimally decaying step-size 1/t^{1/2} and, as a consequence, can fail to provide a linear speedup compared to a single node with 1/t^{1/2} step-size.