Normal Cones Intersection Rule and Optimality Analysis for Low-Rank Matrix Optimization with Affine Manifolds

Xinrong Li; Ziyan Luo

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arXiv · 2202.08464

Normal Cones Intersection Rule and Optimality Analysis for Low-Rank Matrix Optimization with Affine Manifolds

Xinrong Li·Ziyan Luo

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Abstract

The low-rank matrix optimization with affine manifold (rank-MOA) aims to minimize a continuously differentiable function over a low-rank set intersecting with an affine manifold. This paper is devoted to the optimality analysis for rank-MOA. As a cornerstone, the intersection rule of the Fr\'{e}chet normal cone to the feasible set of the rank-MOA is established under some mild linear independence assumptions. Aided with the resulting explicit formulae of the underlying normal cone, the so-called F-stationary point and the \alpha-stationary point of rank-MOA are investigated and the relationship with local/global minimizers are then revealed in terms of first-order optimality conditions. Furthermore, the second-order optimality analysis, including the necessary and the sufficient conditions, is proposed based on the second-order differentiation information of the model. All these results will enrich the theory of low-rank matrix optimization and give potential clues to designing efficient numerical algorithms for seeking low rank solutions. Meanwhile, two specific applications of the rank-MOA are discussed to illustrate our proposed optimality analysis.

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Xinrong Li, Ziyan Luo. 2022-02-17. Normal Cones Intersection Rule and Optimality Analysis for Low-Rank Matrix Optimization with Affine Manifolds. https://arxiv.org/abs/2202.08464

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