A feasible method for optimization with orthogonality constraints

作者：Wen, Zaiwen^*; Yin, Wotao

来源：Mathematical Programming, 2013, 142(1-2): 397-434.

DOI：10.1007/s10107-012-0584-1

• Orthogonality constraint
• Spherical constraint
• Stiefel manifold
• Cayley transformation
• Curvilinear search
• Polynomial optimization
• Maxcut SDP
• Nearest correlation matrix
• Eigenvalue and eigenvector
• Invariant subspace
• Quadratic assignment problem

Minimization with orthogonality constraints (e.g., X-inverted perpendicular X = I) and/or spherical constraints (e. g., parallel to x parallel to(2) = 1) has wide applications in polynomial optimization, combinatorial optimization, eigenvalue problems, sparse PCA, p-harmonic flows, 1-bit compressive sensing, matrix rank minimization, etc. These problems are difficult because the constraints are not only non-convex but numerically expensive to preserve during iterations. To deal with these difficulties, we apply the Cayley transform-a Crank-Nicolson-like update scheme-to preserve the constraints and based on it, develop curvilinear search algorithms with lower flops compared to those based on projections and geodesics. The efficiency of the proposed algorithms is demonstrated on a variety of test problems. In particular, for the maxcut problem, it exactly solves a decomposition formulation for the SDP relaxation. For polynomial optimization, nearest correlation matrix estimation and extreme eigenvalue problems, the proposed algorithms run very fast and return solutions no worse than those from their state-of-the-art algorithms. For the quadratic assignment problem, a gap 0.842% to the best known solution on the largest problem "tai256c" in QAPLIB can be reached in 5 min on a typical laptop.

• 出版日期2013-12
• 单位上海交通大学