Riemannian multigrid line search for low-rank problems
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Publication:6340701
DOI10.1137/20M1337430zbMATH Open1512.65248arXiv2005.06976WikidataQ115246896 ScholiaQ115246896MaRDI QIDQ6340701FDOQ6340701
Authors: Marco Sutti, Bart Vandereycken 
Publication date: 14 May 2020
Abstract: Large-scale optimization problems arising from the discretization of problems involving PDEs sometimes admit solutions that can be well approximated by low-rank matrices. In this paper, we will exploit this low-rank approximation property by solving the optimization problem directly over the set of low-rank matrices. In particular, we introduce a new multilevel algorithm, where the optimization variable is constrained to the Riemannian manifold of fixed-rank matrices. In contrast to most other multilevel algorithms where the rank is chosen adaptively on each level in order to control the perturbation due to the low-rank truncation, we can keep the ranks (and thus the computational complexity) fixed throughout the iterations. Furthermore, classical implementations of line searches based on Wolfe conditions enable computing a solution where the numerical accuracy is limited to about the square root of the machine epsilon. Here, we propose an extension to Riemannian manifolds of the line search of Hager and Zhang, which uses approximate Wolfe conditions that enable computing a solution on the order of the machine epsilon. Numerical experiments demonstrate the computational efficiency of the proposed framework.
Numerical mathematical programming methods (65K05) Computational methods for sparse matrices (65F50) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
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