Local convergence of alternating low‐rank optimization methods with overrelaxation

DOI10.1002/NLA.2459arXiv2111.14758OpenAlexW3214830908WikidataQ112878908 ScholiaQ112878908MaRDI QIDQ6133038FDOQ6133038

Authors: Ivan Oseledets, M. V. Rakhuba, André Uschmajew 

Publication date: 17 August 2023

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Abstract: The local convergence of alternating optimization methods with overrelaxation for low-rank matrix and tensor problems is established. The analysis is based on the linearization of the method which takes the form of an SOR iteration for a positive semidefinite Hessian and can be studied in the corresponding quotient geometry of equivalent low-rank representations. In the matrix case, the optimal relaxation parameter for accelerating the local convergence can be determined from the convergence rate of the standard method. This result relies on a version of Young's SOR theorem for positive semidefinite $2imes2$ block systems.

Full work available at URL: https://arxiv.org/abs/2111.14758

zbMATH Keywords

ALSoverrelaxationlow-rank optimizationSOR method

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

Cited In (1)

• Local minima and convergence in low-rank semidefinite programming

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