Simple algorithms for optimization on Riemannian manifolds with constraints
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Publication:2019906
DOI10.1007/S00245-019-09564-3zbMATH Open1468.65072arXiv1901.10000OpenAlexW2963704853WikidataQ115388211 ScholiaQ115388211MaRDI QIDQ2019906FDOQ2019906
Publication date: 22 April 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: We consider optimization problems on manifolds with equality and inequality constraints. A large body of work treats constrained optimization in Euclidean spaces. In this work, we consider extensions of existing algorithms from the Euclidean case to the Riemannian case. Thus, the variable lives on a known smooth manifold and is further constrained. In doing so, we exploit the growing literature on unconstrained Riemannian optimization. For the special case where the manifold is itself described by equality constraints, one could in principle treat the whole problem as a constrained problem in a Euclidean space. The main hypothesis we test here is whether it is sometimes better to exploit the geometry of the constraints, even if only for a subset of them. Specifically, this paper extends an augmented Lagrangian method and smoothed versions of an exact penalty method to the Riemannian case, together with some fundamental convergence results. Numerical experiments indicate some gains in computational efficiency and accuracy in some regimes for minimum balanced cut, non-negative PCA and -means, especially in high dimensions.
Full work available at URL: https://arxiv.org/abs/1901.10000
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constrained optimizationnonsmooth optimizationaugmented Lagrangian methoddifferential geometryRiemannian optimizationexact penalty method
Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Classical differential geometry (53A99)
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