A Block Lanczos Method for Large-Scale Quadratic Minimization Problems with Orthogonality Constraints
From MaRDI portal
Publication:6154199
Abstract: Quadratic minimization problems with orthogonality constraints (QMPO) play an important role in many applications of science and engineering. However, some existing methods may suffer from low accuracy or heavy workload for large-scale QMPO. Krylov subspace methods are popular for large-scale optimization problems. In this work, we propose a block Lanczos method for solving the large-scale QMPO. In the proposed method, the original problem is projected into a small-sized one, and the Riemannian Trust-Region method is employed to solve the reduced QMPO. Convergence results on the optimal solution, the optimal objective function value, the multiplier and the KKT error are established. Moreover, we give the convergence speed of optimal solution, and show that if the block Lanczos process terminates, then an exact KKT solution is derived. Numerical experiments illustrate the numerical behavior of the proposed algorithm, and demonstrate that it is more powerful than many state-of-the-art algorithms for large-scale quadratic minimization problems with orthogonality constraints.
Recommendations
Cites work
- A feasible method for optimization with orthogonality constraints
- A framework of constraint preserving update schemes for optimization on Stiefel manifold
- A Krylov subspace method for large-scale second-order cone linear complementarity problem
- A Lanczos Method for Large-Scale Extreme Lorentz Eigenvalue Problems
- A Nested Lanczos Method for the Trust-Region Subproblem
- A New First-Order Algorithmic Framework for Optimization Problems with Orthogonality Constraints
- A Procrustes problem on the Stiefel manifold
- An eigenvalue-based method for the unbalanced Procrustes problem
- Computing a Trust Region Step
- First-Order Methods for Nonconvex Quadratic Minimization
- Functions of Matrices
- Generalized power method for sparse principal component analysis
- scientific article; zbMATH DE number 5307251 (Why is no real title available?)
- scientific article; zbMATH DE number 194139 (Why is no real title available?)
- scientific article; zbMATH DE number 1049350 (Why is no real title available?)
- scientific article; zbMATH DE number 1953444 (Why is no real title available?)
- scientific article; zbMATH DE number 6159604 (Why is no real title available?)
- scientific article; zbMATH DE number 5223994 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Matrix algorithms. Vol. 2: Eigensystems
- Maximization of Matrix Trace Function of Product Stiefel Manifolds
- Minimizing a quadratic over a sphere
- Numerical methods for large eigenvalue problems
- On the generalized Lanczos trust-region method
- Parallelizable Algorithms for Optimization Problems with Orthogonality Constraints
- Procrustes Problems
- Solving the trust-region subproblem by a generalized eigenvalue problem
- Solving the Trust-Region Subproblem using the Lanczos Method
- Structured Quasi-Newton Methods for Optimization with Orthogonality Constraints
- Successive projection method for solving the unbalanced Procrustes problem
- Superlinear convergence of Krylov subspace methods for self-adjoint problems in Hilbert space
- The convergence of the generalized Lanczos trust-region method for the trust-region subproblem
- The Geometry of Algorithms with Orthogonality Constraints
- The Procrustes Problem for Orthogonal Stiefel Matrices
- Trust Region Methods
- Trust-region methods on Riemannian manifolds
This page was built for publication: A Block Lanczos Method for Large-Scale Quadratic Minimization Problems with Orthogonality Constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154199)
