Efficient optimization with orthogonality constraint: a randomized Riemannian submanifold method

25 Sept 2024 (modified: 05 Feb 2025)Submitted to ICLR 2025EveryoneRevisionsBibTeXCC BY 4.0
Keywords: Oprimization, Orthogonality constraint, Riemannian optimization, Stiefel manifold
Abstract:

Optimization with orthogonality constraints frequently arise in various fields such as machine learning, signal processing and computer vision. Riemannian optimization offers a powerful framework for solving these problems by equipping the constraint set with a Riemannian manifold structure and performing optimization intrinsically on the manifold. This approach typically involves computing a search direction in the tangent space and updating variables via a retraction operation. However, as the size of the variables increases, the computational cost of the retraction can become prohibitively high, limiting the applicability of Riemannian optimization to large-scale problems. To address this challenge and enhance scalability, we propose a novel approach that restricts each update on a random submanifold, thereby significantly reducing the per-iteration complexity. We introduce two sampling strategies for selecting the random submanifold and theoretically analyze the convergence of the proposed method. We provide convergence results for general nonconvex functions and functions that satisfy Riemannian Polyak–Łojasiewicz condition as well as for stochastic optimization settings. Extensive experiments verify the benefits of the proposed method, showcasing its effectiveness across a wide variety of problem instances.

Supplementary Material: zip
Primary Area: optimization
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Submission Number: 5285
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