Nonmonotone inexact restoration approach for minimization with orthogonality constraints

Autor: Fermín S. V. Bazán, Lila L. T. Paredes, Douglas Soares Gonçalves, Juliano B. Francisco
Rok vydání: 2020
Předmět:
Zdroj: Numerical Algorithms. 86:1651-1684
ISSN: 1572-9265
1017-1398
DOI: 10.1007/s11075-020-00948-z
Popis: Minimizing a differentiable function restricted to the set of matrices with orthonormal columns finds applications in several fields of science and engineering. In this paper, we propose to solve this problem through a nonmonotone variation of the inexact restoration method consisting of two phases: restoration phase, aimed to improve feasibility, and minimization phase, aimed to decrease the function value in the tangent set of the constraints. For this, we give a suitable characterization of the tangent set of the orthogonality constraints, allowing us to (i) deal with the minimization phase efficiently and (ii) employ the Cayley transform to bring a point in the tangent set back to feasibility, leading to a SVD-free restoration phase. Based on previous global convergence results for the nonmonotone inexact restoration algorithm, it follows that any limit point of the sequence generated by the new algorithm is stationary. Moreover, numerical experiments on three different classes of the problem indicate that the proposed method is reliable and competitive with other recently developed methods.
Databáze: OpenAIRE
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