KMS Of Academy of mathematics and systems sciences, CAS
| A NEW FIRST-ORDER ALGORITHMIC FRAMEWORK FOR OPTIMIZATION PROBLEMS WITH ORTHOGONALITY CONSTRAINTS | |
Gao, Bin1,2; Liu, Xin1,2 ; Chen, Xiaojun3; Yuan, Ya-Xiang1
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| 2018 | |
| Source Publication | SIAM JOURNAL ON OPTIMIZATION
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| ISSN | 1052-6234 |
| Volume | 28Issue:1Pages:302-332 |
| Abstract | In this paper, we consider a class of optimization problems with orthogonality constraints, the feasible region of which is called the Stiefel manifold. Our new framework combines a function value reduction step with a correction step. Different from the existing approaches, the function value reduction step of our algorithmic framework searches along the standard Euclidean descent directions instead of the vectors in the tangent space of the Stiefel manifold, and the correction step further reduces the function value and guarantees a symmetric dual variable at the same time. We construct two types of algorithms based on this new framework. The first type is based on gradient reduction including the gradient reflection (GR) and the gradient projection (GP) algorithms. The other one adopts a columnwise block coordinate descent (CBCD) scheme with a novel idea for solving the corresponding CBCD subproblem inexactly. We prove that both GR/GP with a fixed step size and CBCD belong to our algorithmic framework, and any clustering point of the iterates generated by the proposed framework is a first-order stationary point. Preliminary experiments illustrate that our new framework is of great potential. |
| Keyword | orthogonality constraint Stiefel manifold Householder transformation gradient projection block coordinate descent |
| DOI | 10.1137/16M1098759 |
| Language | 英语 |
| Funding Project | NSFC[11622112] ; NSFC[11471325] ; NSFC[91530204] ; NSFC[11688101] ; NSFC[11331012] ; NSFC[11461161005] ; National Center for Mathematics and Interdisciplinary Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Hong Kong Research Council[N_PolyU504/14] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000424527900012 |
| Publisher | SIAM PUBLICATIONS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/29680 |
| Collection | 计算数学与科学工程计算研究所 |
| Corresponding Author | Gao, Bin |
| Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, State Key Lab Sci & Engn Comp, Beijing, Peoples R China 2.Univ Chinese Acad Sci, Beijing, Peoples R China 3.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China |
| Recommended Citation GB/T 7714 | Gao, Bin,Liu, Xin,Chen, Xiaojun,et al. A NEW FIRST-ORDER ALGORITHMIC FRAMEWORK FOR OPTIMIZATION PROBLEMS WITH ORTHOGONALITY CONSTRAINTS[J]. SIAM JOURNAL ON OPTIMIZATION,2018,28(1):302-332. |
| APA | Gao, Bin,Liu, Xin,Chen, Xiaojun,&Yuan, Ya-Xiang.(2018).A NEW FIRST-ORDER ALGORITHMIC FRAMEWORK FOR OPTIMIZATION PROBLEMS WITH ORTHOGONALITY CONSTRAINTS.SIAM JOURNAL ON OPTIMIZATION,28(1),302-332. |
| MLA | Gao, Bin,et al."A NEW FIRST-ORDER ALGORITHMIC FRAMEWORK FOR OPTIMIZATION PROBLEMS WITH ORTHOGONALITY CONSTRAINTS".SIAM JOURNAL ON OPTIMIZATION 28.1(2018):302-332. |
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