Über die Autorin bzw. den Autor

P.-A. Absil is associate professor of mathematical engineering at the Université Catholique de Louvain in Belgium. R. Mahony is reader in engineering at the Australian National University. R. Sepulchre is professor of electrical engineering and computer science at the University of Liège in Belgium.

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"The treatment strikes an appropriate balance between mathematical, numerical, and algorithmic points of view. The quality of the writing is quite high and very readable. The topic is very timely and is certainly of interest to myself and my students."--Kyle A. Gallivan, Florida State University

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Optimization Algorithm on Matrix Manifolds

Princeton University Press

Chapter One

This book is about the design of numerical algorithms for computational problems posed on smooth search spaces. The work is motivated by matrix optimization problems characterized by symmetry or invariance properties in the cost function or constraints. Such problems abound in algorithmic questions pertaining to linear algebra, signal processing, data mining, and statistical analysis. The approach taken here is to exploit the special structure of these problems to develop efficient numerical procedures.

An illustrative example is the eigenvalue problem. Because of their scale invariance, eigenvectors are not isolated in vector spaces. Instead, each eigendirection defines a linear subspace of eigenvectors. For numerical computation, however, it is desirable that the solution set consist only of isolated points in the search space. An obvious remedy is to impose a norm equality constraint on iterates of the algorithm. The resulting spherical search space is an embedded submanifold of the original vector space. An alternative approach is to "factor" the vector space by the scaleinvariant symmetry operation such that any subspace becomes a single point. The resulting search space is a quotient manifold of the original vector space. These two approaches provide prototype structures for the problems considered in this book.

Scale invariance is just one of several symmetry properties regularly encountered in computational problems. In many cases, the underlying symmetry property can be exploited to reformulate the problem as a nondegenerate optimization problem on an embedded or quotient manifold associated with the original matrix representation of the search space. These constraint sets carry the structure of nonlinear matrix manifolds. This book provides the tools to exploit such structure in order to develop efficient matrix algorithms in the underlying total vector space.

Working with a search space that carries the structure of a nonlinear manifold introduces certain challenges in the algorithm implementation. In their classical formulation, iterative optimization algorithms rely heavily on the Euclidean vector space structure of the search space; a new iterate is generated by adding an update increment to the previous iterate in order to reduce the cost function. The update direction and step size are generally computed using a local model of the cost function, typically based on (approximate) first and second derivatives of the cost function, at each step. In order to define algorithms on manifolds, these operations must be translated into the language of differential geometry. This process is a significant research program that builds upon solid mathematical foundations. Advances in that direction have been dramatic over the last two decades and have led to a solid conceptual framework. However, generalizing a given optimization algorithm on an abstract manifold is only the first step towards the objective of this book. Turning the algorithm into an efficient numerical procedure is a second step that ultimately justifies or invalidates the first part of the effort. At the time of publishing this book, the second step is more an art than a theory.

Good algorithms result from the combination of insight from differential geometry, optimization, and numerical analysis. A distinctive feature of this book is that as much attention is paid to the practical implementation of the algorithm as to its geometric formulation. In particular, the concrete aspects of algorithm design are formalized with the help of the concepts of retraction and vector transport, which are relaxations of the classical geometric concepts of motion along geodesics and parallel transport. The proposed approach provides a framework to optimize the efficiency of the numerical algorithms while retaining the convergence properties of their abstract geometric counterparts.

The geometric material in the book is mostly confined to Chapters 3 and 5. Chapter 3 presents an introduction to Riemannian manifolds and tangent spaces that provides the necessary tools to tackle simple gradient descent optimization algorithms on matrix manifolds. Chapter 5 covers the advanced material needed to define higher order derivatives on manifolds and to build the analog of first and second order local models required in most optimization algorithms. The development provided in these chapters ranges from the foundations of differential geometry to advanced material relevant to our applications. The selected material focuses on those geometric concepts that are particular to the development of numerical algorithms on embedded and quotient manifolds. Not all aspects of classical differential geometry are covered, and some emphasis is placed on material that is nonstandard or difficult to find in the established literature. A newcomer to the field of differential geometry may wish to supplement this material with a classical text. Suggestions for excellent texts are provided in the references.

A fundamental, but deliberate, omission in the book is a treatment of the geometric structure of Lie groups and homogeneous spaces. Lie theory is derived from the concepts of symmetry and seems to be a natural part of a treatise such as this. However, with the purpose of reaching a community without an extensive background in geometry, we have omitted this material in the present book. Occasionally the Lietheoretic approach provides an elegant shortcut or interpretation for the problems considered. An effort is made throughout the book to refer the reader to the relevant literature whenever appropriate.

The algorithmic material of the book is interlaced with the geometric material. Chapter 4 considers gradientdescent linesearch algorithms. These simple optimization algorithms provide an excellent framework within which to study the important issues associated with the implementation of practical algorithms. The concept of retraction is introduced in Chapter 4 as a key step in developing efficient numerical algorithms on matrix manifolds. The later chapters on algorithms provide the core results of the book: the development of Newton based methods in Chapter 6 and of trust region methods in Chapter 7, and a survey of other superlinear methods such as conjugate gradients in Chapter 8. We attempt to provide a generic development of each of these methods, building upon the material of the geometric chapters. The methodology is then developed into concrete numerical algorithms on specific examples. In the analysis of superlinear and second order methods, the concept of vector transport (introduced in Chapter 8) is used to provide an efficient implementation of methods such as conjugate gradient and other quasi Newton methods. The algorithms obtained in these sections of the book are competitive with state of the art numerical linear algebra algorithms for certain problems.

The running example used throughout the book is the calculation of invariant subspaces of a matrix (and the many variants of this problem). This example is by far, for variants of algorithms developed within the proposed framework, the problem with the broadest scope of applications and the highest degree of achievement to date. Numerical algorithms, based on a geometric formulation, have been developed that compete with the best available algorithms for certain classes of invariant subspace problems. These algorithms are explicitly...