Riemannian Optimization via Frank-Wolfe Methods

We study projection-free methods for constrained Riemannian optimization. In particular, we propose the Riemannian Frank-Wolfe (RFW) method. We analyze non-asymptotic convergence rates of RFW to an optimum for (geodesically) convex problems, and to a critical point for nonconvex objectives. We also present a practical setting under which RFW can attain a linear convergence rate. As a concrete example, we specialize Rfw to the manifold of positive definite matrices and apply it to two tasks: (i) computing the matrix geometric mean (Riemannian centroid); and (ii) computing the Bures-Wasserstein barycenter. Both tasks involve geodesically convex interval constraints, for which we show that the Riemannian "linear oracle" required by RFW admits a closed-form solution; this result may be of independent interest. We further specialize RFW to the special orthogonal group and show that here too, the Riemannian "linear oracle" can be solved in closed form. Here, we describe an application to the synchronization of data matrices (Procrustes problem). We complement our theoretical results with an empirical comparison of Rfw against state-of-the-art Riemannian optimization methods and observe that RFW performs competitively on the task of computing Riemannian centroids.Comment: Under Review. Largely revised version, including an extended experimental section and an application to the special orthogonal group and the Procrustes proble

Manifolds.jl: An Extensible Julia Framework for Data Analysis on Manifolds

For data given on a nonlinear space, like angles, symmetric positive matrices, the sphere, or the hyperbolic space, there is often enough structure to form a Riemannian manifold. We present the Julia package Manifolds.jl, providing a fast and easy to use library of Riemannian manifolds and Lie groups. We introduce a common interface, available in ManifoldsBase.jl, with which new manifolds, applications, and algorithms can be implemented. We demonstrate the utility of Manifolds.jl using B\'ezier splines, an optimization task on manifolds, and a principal component analysis on nonlinear data. In a benchmark, Manifolds.jl outperforms existing packages in Matlab or Python by several orders of magnitude and is about twice as fast as a comparable package implemented in C++