解耦矩阵优化中的约束几何,让低秩问题更易处理。
A space-decoupling framework for optimization on bounded-rank matrices with orthogonally invariant constraints
- 将耦合约束分解为独立空间,构建光滑流形优化
- 在6个真实场景中验证,性能优于传统方法
- 适合做低秩矩阵优化的研究者和工程应用者
在低秩优化中引入额外约束日益受到关注。然而,耦合约束的几何结构破坏了原有的低秩结构,使问题变得复杂。为此,我们提出一种针对有界秩矩阵与正交不变约束的空域解耦框架。该框架体现为:耦合约束的切锥等于各约束切锥的交集;将有界秩与正交不变约束解耦至两个独立空间,从而实现光滑流形上的优化。只要已知附加约束的几何性质,即可轻松实施黎曼算法。此外,我们证明了重构问题与原问题等价。在球面数据拟合、图相似性度量、低秩半定规划、马尔可夫过程模型降维、强化学习和深度学习等实际应用中的数值实验,验证了所提框架的优越性。
原文摘要 · Abstract (English)
Imposing additional constraints on low-rank optimization has garnered growing interest. However, the geometry of coupled constraints hampers the well-developed low-rank structure and makes the problem intricate. To this end, we propose a space-decoupling framework for optimization on bounded-rank matrices with orthogonally invariant constraints. The "space-decoupling" is reflected in several ways. We show that the tangent cone of coupled constraints is the intersection of tangent cones of each constraint. Moreover, we decouple the intertwined bounded-rank and orthogonally invariant constraints into two spaces, leading to optimization on a smooth manifold. Implementing Riemannian algorithms on this manifold is painless as long as the geometry of additional constraints is known. In addition, we unveil the equivalence between the reformulated problem and the original problem. Numerical experiments on real-world applications -- spherical data fitting, graph similarity measuring, low-rank SDP, model reduction of Markov processes, reinforcement learning, and deep learning -- validate the superiority of the proposed framework.
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