17 research outputs found
Stochastic gradient descent on Riemannian manifolds
Stochastic gradient descent is a simple approach to find the local minima of
a cost function whose evaluations are corrupted by noise. In this paper, we
develop a procedure extending stochastic gradient descent algorithms to the
case where the function is defined on a Riemannian manifold. We prove that, as
in the Euclidian case, the gradient descent algorithm converges to a critical
point of the cost function. The algorithm has numerous potential applications,
and is illustrated here by four examples. In particular a novel gossip
algorithm on the set of covariance matrices is derived and tested numerically.Comment: A slightly shorter version has been published in IEEE Transactions
Automatic Contro
Decentralized projected Riemannian gradient method for smooth optimization on compact submanifolds
We consider the problem of decentralized nonconvex optimization over a
compact submanifold, where each local agent's objective function defined by the
local dataset is smooth. Leveraging the powerful tool of proximal smoothness,
we establish local linear convergence of the projected gradient descent method
with unit step size for solving the consensus problem over the compact
manifold. This serves as the basis for analyzing decentralized algorithms on
manifolds. Then, we propose two decentralized methods, namely the decentralized
projected Riemannian gradient descent (DPRGD) and the decentralized projected
Riemannian gradient tracking (DPRGT) methods. We establish their convergence
rates of and , respectively, to
reach a stationary point. To the best of our knowledge, DPRGT is the first
decentralized algorithm to achieve exact convergence for solving decentralized
optimization over a compact manifold. The key ingredients in the proof are the
Lipschitz-type inequalities of the projection operator on the compact manifold
and smooth functions on the manifold, which could be of independent interest.
Finally, we demonstrate the effectiveness of our proposed methods compared to
state-of-the-art ones through numerical experiments on eigenvalue problems and
low-rank matrix completion.Comment: 32 page
International Conference on Continuous Optimization (ICCOPT) 2019 Conference Book
The Sixth International Conference on Continuous Optimization took place on the campus of the Technical University of Berlin, August 3-8, 2019. The ICCOPT is a flagship conference of the Mathematical Optimization Society (MOS), organized every three years. ICCOPT 2019 was hosted by the Weierstrass Institute for Applied Analysis and Stochastics (WIAS) Berlin. It included a Summer School and a Conference with a series of plenary and semi-plenary talks, organized and contributed sessions, and poster sessions.
This book comprises the full conference program. It contains, in particular, the scientific program in survey style as well as with all details, and information on the social program, the venue, special meetings, and more