A semismooth Newton based augmented Lagrangian method for nonsmooth optimization on matrix manifolds

DOI10.1007/S10107-022-01898-1zbMATH Open1522.90215arXiv2103.02855OpenAlexW4302027585MaRDI QIDQ6110426FDOQ6110426

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Publication date: 1 August 2023

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: This paper is devoted to studying an augmented Lagrangian method for solving a class of manifold optimization problems, which have nonsmooth objective functions and nonlinear constraints. Under the constant positive linear dependence condition on manifolds, we show that the proposed method converges to a stationary point of the nonsmooth manifold optimization problem. Moreover, we propose a globalized semismooth Newton method to solve the augmented Lagrangian subproblem on manifolds efficiently. The local superlinear convergence of the manifold semismooth Newton method is also established under some suitable conditions. We also prove that the semismoothness on submanifolds can be inherited from that in the ambient manifold. Finally, numerical experiments on compressed modes and (constrained) sparse principal component analysis illustrate the advantages of the proposed method.

Full work available at URL: https://arxiv.org/abs/2103.02855

zbMATH Keywords

Riemannian manifoldaugmented Lagrangian methodsemismooth Newton methodnonsmooth manifold optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Nonsmooth analysis (49J52) Differentiation theory (Gateaux, Fréchet, etc.) on manifolds (58C20)

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Cited In (6)

• An adaptive regularized proximal Newton-type methods for composite optimization over the Stiefel manifold
• Riemannian trust region methods for \(\mathrm{SC}^1\) minimization
• A Riemannian Proximal Newton Method
• An augmented Lagrangian based semismooth Newton method for a class of bilinear programming problems
• Practical gradient and conjugate gradient methods on flag manifolds
• A penalty-free infeasible approach for a class of nonsmooth optimization problems over the Stiefel manifold

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