Structured Quasi-Newton Methods for Optimization with Orthogonality Constraints
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Publication:5230652
DOI10.1137/18M121112XzbMATH Open1431.65085arXiv1809.00452OpenAlexW2892037488WikidataQ127460253 ScholiaQ127460253MaRDI QIDQ5230652FDOQ5230652
Yaxiang Yuan, Zaiwen Wen, Jiang Hu, Lin Lin, Bo Jiang
Publication date: 28 August 2019
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: In this paper, we study structured quasi-Newton methods for optimization problems with orthogonality constraints. Note that the Riemannian Hessian of the objective function requires both the Euclidean Hessian and the Euclidean gradient. In particular, we are interested in applications that the Euclidean Hessian itself consists of a computational cheap part and a significantly expensive part. Our basic idea is to keep these parts of lower computational costs but substitute those parts of higher computational costs by the limited-memory quasi-Newton update. More specically, the part related to Euclidean gradient and the cheaper parts in the Euclidean Hessian are preserved. The initial quasi-Newton matrix is further constructed from a limited-memory Nystr"om approximation to the expensive part. Consequently, our subproblems approximate the original objective function in the Euclidean space and preserve the orthogonality constraints without performing the so-called vector transports. When the subproblems are solved to sufficient accuracy, both global and local q-superlinear convergence can be established under mild conditions. Preliminary numerical experiments on the linear eigenvalue problem and the electronic structure calculation show the effectiveness of our method compared with the state-of-art algorithms.
Full work available at URL: https://arxiv.org/abs/1809.00452
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- Quasi-newton methods for monlinear equations and unconstrained optimization problems
optimization with orthogonality constraintsstructured quasi-Newton methodHartree-Fock total energy minimizationlimited-memory Nystrom approximation
Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Methods of quasi-Newton type (90C53)
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Cited In (11)
- A New First-Order Algorithmic Framework for Optimization Problems with Orthogonality Constraints
- Quadratic optimization with orthogonality constraint: explicit Łojasiewicz exponent and linear convergence of retraction-based line-search and stochastic variance-reduced gradient methods
- Numerical methods for Kohn–Sham density functional theory
- A communication-efficient and privacy-aware distributed algorithm for sparse PCA
- A Block Lanczos Method for Large-Scale Quadratic Minimization Problems with Orthogonality Constraints
- An exact penalty approach for optimization with nonnegative orthogonality constraints
- Equipping the Barzilai--Borwein Method with the Two Dimensional Quadratic Termination Property
- A brief introduction to manifold optimization
- KSSOLV 2.0: an efficient Matlab toolbox for solving the Kohn-Sham equations with plane-wave basis set
- Geometric Inexact Newton Method for Generalized Singular Values of Grassmann Matrix Pair
- Global convergence of Riemannian line search methods with a Zhang-Hager-type condition
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