Matrix Function Optimization Problems Under Orthonormal Constraint

Guoqi Li, Fei Zeng, Huiqi Li, Alex Kai Qin

Abstract: We investigate the matrix function optimization under the orthonormal constraint on the matrix variable. By introducing an index-notation-arrangement-based chain rule (I-Chain rule), we obtain the gradient of the cost function and propose a revisited orthonormal-constraint-based projected gradient method to locate a minimum of an objective/cost function of matrix variables iteratively subject to orthonormal constraint. To guarantee the convergence the proposed method, existing schemes require the gradient can be represented by the multiplication of a symmetrical matrix and the matrix variable itself. This condition has been relaxed in this paper. New techniques are proposed to establish the convergence property of the iterative algorithm. Simulation results show the effectiveness of our framework. This paper allows more extensive applications of matrix function optimization problems in science and engineering.