Paper ID sheet UCL-INMA-2022.07

Title

An apocalypse-free first-order low-rank optimization algorithm with at most one rank reduction attempt per iteration

Authors

Guillaume Olikier, P.-A. Absil

Abstract

We consider the problem of minimizing a differentiable function with locally Lipschitz continuous gradient over the real determinantal variety, and present a first-order algorithm designed to find stationary points of that problem. This algorithm applies steps of a retraction-free descent method proposed by Schneider and Uschmajew (2015), while taking the numerical rank into account to attempt rank reductions. We prove that this algorithm produces a sequence of iterates the accumulation points of which are stationary, and therefore does not follow the so-called apocalypses described by Levin, Kileel, and Boumal (2022). Moreover, the rank reduction mechanism of this algorithm requires at most one rank reduction attempt per iteration, in contrast with the one of the P2GDR algorithm introduced by Olikier, Gallivan, and Absil (2022) which can require a number of rank reduction attempts equal to the rank of the iterate in the worst-case scenario.

Key words

Convergence analysis; Stationarity; Low-rank optimization; Determinantal variety; First-order method; Steepest descent; Tangent cones; QR factorization; Singular value decomposition

Status

Submitted

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• Publisher's version: doi:10.1137/22M1518256
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Errata

Errata for the publisher's version:

• In Algorithm 7, line 17, replace "S" by "\Sigma".
• On page 1433, last paragraph, and in the caption of Table 7.1, replace "largest" by "smallest".