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arXiv · 1405.6055

Riemannian preconditioning

Bamdev Mishra·Rodolphe Sepulchre
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Abstract

This paper exploits a basic connection between sequential quadratic programming and Riemannian gradient optimization to address the general question of selecting a metric in Riemannian optimization, in particular when the Riemannian structure is sought on a quotient manifold. The proposed method is shown to be particularly insightful and efficient in quadratic optimization with orthogonality and/or rank constraints, which covers most current applications of Riemannian optimization in matrix manifolds.

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Bamdev Mishra, Rodolphe Sepulchre. 2014-05-23. Riemannian preconditioning. https://doi.org/10.1137/140970860

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