Continuation methods for Riemannian Optimization
Abstract
Numerical continuation in the context of optimization can be used to mitigate convergence issues due to a poor initial guess. In this work, we extend this idea to Riemannian optimization problems, that is, the minimization of a target function on a Riemannian manifold. For this purpose, a suitable homotopy is constructed between the original problem and a problem that admits an easy solution. We develop and analyze a path-following numerical continuation algorithm on manifolds for solving the resulting parameter-dependent equation. To illustrate our developments, we consider two typical classical applications of Riemannian optimization: the computation of the Karcher mean and low-rank matrix completion. We demonstrate that numerical continuation can yield improvements for challenging instances of both problems.
Cite
@article{arxiv.2106.08839,
title = {Continuation methods for Riemannian Optimization},
author = {Axel Séguin and Daniel Kressner},
journal= {arXiv preprint arXiv:2106.08839},
year = {2023}
}