This paper considers a stochastic optimization problem over the fixed point sets of quasinonexpansive mappings on Riemannian manifolds. The problem enables us to consider Riemannian hierarchical optimization problems over complicated sets, such as the intersection of many closed convex sets, the set of all minimizers of a nonsmooth convex function, and the intersection of sublevel sets of nonsmooth convex functions. We focus on adaptive learning rate optimization algorithms, which adapt step-sizes (referred to as learning rates in the machine learning field) to find optimal solutions quickly. We then propose a Riemannian stochastic fixed point optimization algorithm, which combines fixed point approximation methods on Riemannian manifolds with the adaptive learning rate optimization algorithms. We also give convergence analyses of the proposed algorithm for nonsmooth convex and smooth nonconvex optimization. The analysis results indicate that, with small constant step-sizes, the proposed algorithm approximates a solution to the problem. Consideration of the case in which step-size sequences are diminishing demonstrates that the proposed algorithm solves the problem with a guaranteed convergence rate. This paper also provides numerical comparisons that demonstrate the effectiveness of the proposed algorithms with formulas based on the adaptive learning rate optimization algorithms, such as Adam and AMSGrad.
Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic contraction results and sharp associated performance bounds have been established only in the specialized context of state-independent metrics, which restricts their applicability. This paper extends stochastic contraction analysis to the case of general time- and state-dependent Riemannian metrics, in both discrete-time and continuous-time settings, thus extending…
In recent years, Riemannian stochastic gradient descent (R-SGD), Riemannian stochastic variance reduction (R-SVRG) and Riemannian stochastic recursive gradient (R-SRG) have attracted considerable attention on Riemannian optimization. Under normal circumstances, it is impossible to analyze the convergence of R-SRG algorithm alone. The main reason is that the conditional expectation of the descending direction is a biased estimation. However, in this paper, we consider linear combination of three descent directions on Riemannian manifolds as the new descent direction (i.e., R-SRG, R-SVRG and R-S…
The standard theory of stochastic approximation (SA) is extended to the case when the constraint set is a Riemannian manifold. Specifically, the standard ODE method for analyzing SA schemes is extended to iterations constrained to stay on a manifold using a retraction mapping. In addition, for submanifolds of a Euclidean space, a framework is developed for a projected SA scheme with approximate retractions. The framework is also extended to non-differentiable constraint sets.
A Stochastic Riemannian Alternating Descent Ascent Method for Nonsmooth Composite Expectation Optimization on Riemannian Manifolds
Academy of Mathematics and Systems Science, Chinese Academy of Sciences（中国科学院数学与系统科学研究院）；University of Chinese Academy of Sciences（中国科学院大学）；Nanjing Normal University（南京师范大学）；Beijing University of Posts and Telecommunications（北京邮电大学）；The Chinese University of Hong Kong（香港中文大学）
We provide formulas for Riemannian gradient and Levi-Civita connection for a family of metrics on fixed-rank matrix manifolds, based on nonconstant metrics on Stiefel manifolds.
SPIDER (Stochastic Path Integrated Differential EstimatoR) is an efficient gradient estimation technique developed for non-convex stochastic optimization. Although having been shown to attain nearly optimal computational complexity bounds, the SPIDER-type methods are limited to linear metric spaces. In this paper, we introduce the Riemannian SPIDER (R-SPIDER) method as a novel nonlinear-metric extension of SPIDER for efficient non-convex optimization on Riemannian manifolds. We prove that for finite-sum problems with $n$ components, R-SPIDER converges to an $ε$-accuracy stationary point within…
We propose a stochastic variance-reduced cubic regularized Newton algorithm to optimize the finite-sum problem over a Riemannian submanifold of the Euclidean space. The proposed algorithm requires a full gradient and Hessian update at the beginning of each epoch while it performs stochastic variance-reduced updates in the iterations within each epoch. The iteration complexity of $O(ε^{-3/2})$ to obtain an $(ε,\sqrtε)$-second-order stationary point, i.e., a point with the Riemannian gradient norm upper bounded by $ε$ and minimum eigenvalue of Riemannian Hessian lower bounded by $-\sqrtε$, is es…
We study smooth stochastic optimization problems on Riemannian manifolds. Via adapting the recently proposed SPIDER algorithm \citep{fang2018spider} (a variance reduced stochastic method) to Riemannian manifold, we can achieve faster rate than known algorithms in both the finite sum and stochastic settings. Unlike previous works, by \emph{not} resorting to bounding iterate distances, our analysis yields curvature independent convergence rates for both the nonconvex and strongly convex cases.
We study stochastic projection-free methods for constrained optimization of smooth functions on Riemannian manifolds, i.e., with additional constraints beyond the parameter domain being a manifold. Specifically, we introduce stochastic Riemannian Frank-Wolfe methods for nonconvex and geodesically convex problems. We present algorithms for both purely stochastic optimization and finite-sum problems. For the latter, we develop variance-reduced methods, including a Riemannian adaptation of the recently proposed Spider technique. For all settings, we recover convergence rates that are comparable t…
Massachusetts Institute of Technology（麻省理工学院）；Carnegie Mellon University（卡内基梅隆大学）
We study optimization of finite sums of geodesically smooth functions on Riemannian manifolds. Although variance reduction techniques for optimizing finite-sums have witnessed tremendous attention in the recent years, existing work is limited to vector space problems. We introduce Riemannian SVRG (RSVRG), a new variance reduced Riemannian optimization method. We analyze RSVRG for both geodesically convex and nonconvex (smooth) functions. Our analysis reveals that RSVRG inherits advantages of the usual SVRG method, but with factors depending on curvature of the manifold that influence its conve…
University of Sydney（悉尼大学）；Discipline of Business Analytics（商业分析学科）
In this paper, we propose a variant of Riemannian stochastic recursive gradient method that can achieve second-order convergence guarantee and escape saddle points using simple perturbation. The idea is to perturb the iterates when gradient is small and carry out stochastic recursive gradient updates over tangent space. This avoids the complication of exploiting Riemannian geometry. We show that under finite-sum setting, our algorithm requires $\widetilde{\mathcal{O}}\big( \frac{ \sqrt{n}}{ε^2} + \frac{\sqrt{n} }{δ^4} + \frac{n}{δ^3}\big)$ stochastic gradient queries to find a $(ε, δ)$-second-…
We propose a Riemannian optimization approach for computing low-rank solutions of the algebraic Riccati equation. The scheme alternates between fixed-rank optimization and rank-one updates. The fixed-rank optimization is on the set of fixed-rank symmetric positive definite matrices which is endowed with a particular Riemannian metric (and geometry) that is tuned to the structure of the objective function. We specifically discuss the implementation of a Riemannian trust-region algorithm that is potentially scalable to large-scale problems. The rank-one update is based on a descent direction tha…
Riemannian Smoothing Gradient Type Algorithms]{Riemannian Smoothing Gradient Type Algorithms for Nonsmooth Optimization Problem on Compact Riemannian Submanifold Embedded in Euclidean Space
This paper proposes a Riemannian adaptive optimization algorithm to optimize the parameters of deep neural networks. The algorithm is an extension of both AMSGrad in Euclidean space and RAMSGrad on a Riemannian manifold. The algorithm helps to resolve two issues affecting RAMSGrad. The first is that it can solve the Riemannian stochastic optimization problem directly, in contrast to RAMSGrad which only achieves a low regret. The other is that it can use constant learning rates, which makes it implementable in practice. Additionally, we apply the proposed algorithm to Poincar{é} embeddings, whi…
We propose a stochastic recursive momentum method for Riemannian non-convex optimization that achieves a near-optimal complexity of $\tilde{\mathcal{O}}(ε^{-3})$ to find $ε$-approximate solution with one sample. That is, our method requires $\mathcal{O}(1)$ gradient evaluations per iteration and does not require restarting with a large batch gradient, which is commonly used to obtain the faster rate. Extensive experiment results demonstrate the superiority of our proposed algorithm.
The University of Iowa（爱荷华大学）；University of California（加利福尼亚大学）；Pennsylvania State University（宾夕法尼亚州立大学）
Riemannian optimization has drawn a lot of attention due to its wide applications in practice. Riemannian stochastic first-order algorithms have been studied in the literature to solve large-scale machine learning problems over Riemannian manifolds. However, most of the existing Riemannian stochastic algorithms require the objective function to be differentiable, and they do not apply to the case where the objective function is nonsmooth. In this paper, we present two Riemannian stochastic proximal gradient methods for minimizing nonsmooth function over the Stiefel manifold. The two methods, n…
The low-rank matrix completion problem can be solved by Riemannian optimization on a fixed-rank manifold. However, a drawback of the known approaches is that the rank parameter has to be fixed a priori. In this paper, we consider the optimization problem on the set of bounded-rank matrices. We propose a Riemannian rank-adaptive method, which consists of fixed-rank optimization, rank increase step and rank reduction step. We explore its performance applied to the low-rank matrix completion problem. Numerical experiments on synthetic and real-world datasets illustrate that the proposed rank-adap…
We present Rieoptax, an open source Python library for Riemannian optimization in JAX. We show that many differential geometric primitives, such as Riemannian exponential and logarithm maps, are usually faster in Rieoptax than existing frameworks in Python, both on CPU and GPU. We support various range of basic and advanced stochastic optimization solvers like Riemannian stochastic gradient, stochastic variance reduction, and adaptive gradient methods. A distinguishing feature of the proposed toolbox is that we also support differentially private optimization on Riemannian manifolds.
Stochastic gradient descent is a simple approach to find the local minima of a cost function whose evaluations are corrupted by noise. In this paper, we develop a procedure extending stochastic gradient descent algorithms to the case where the function is defined on a Riemannian manifold. We prove that, as in the Euclidian case, the gradient descent algorithm converges to a critical point of the cost function. The algorithm has numerous potential applications, and is illustrated here by four examples. In particular a novel gossip algorithm on the set of covariance matrices is derived and teste…
We introduce a proximal subdifferential and develop a calculus for nonsmooth functions defined on any Riemannian manifold $M$. We give several applications of this theory, concerning: 1) differentiability and geometrical properties of the distance function to a closed subset $C$ of $M$; 2) solvability and implicit function theorems for nonsmooth functions on $M$; 3) conditions on the existence of a circumcenter for three different points of $M$; and especially 4) fixed point theorems for expansive and nonexpansive mappings and certain perturbations of such mappings defined on $M$.
Kyoto University（京都大学）；The University of Electro-Communications（电气通信大学）；Microsoft（微软）
In recent years, stochastic variance reduction algorithms have attracted considerable attention for minimizing the average of a large but finite number of loss functions. This paper proposes a novel Riemannian extension of the Euclidean stochastic variance reduced gradient (R-SVRG) algorithm to a manifold search space. The key challenges of averaging, adding, and subtracting multiple gradients are addressed with retraction and vector transport. For the proposed algorithm, we present a global convergence analysis with a decaying step size as well as a local convergence rate analysis with a fixe…
We study a stochastic primal-dual method for constrained optimization over Riemannian manifolds with bounded sectional curvature. We prove non-asymptotic convergence to the optimal objective value. More precisely, for the class of hyperbolic manifolds, we establish a convergence rate that is related to the sectional curvature lower bound. To prove a convergence rate in terms of sectional curvature for the elliptic manifolds, we leverage Toponogov's comparison theorem. In addition, we provide convergence analysis for the asymptotically elliptic manifolds, where the sectional curvature at each g…
The University of Electro-Communications（电气通信大学）；Tokyo University of Science（东京理科大学）
Stochastic variance reduction algorithms have recently become popular for minimizing the average of a large, but finite number of loss functions. The present paper proposes a Riemannian stochastic quasi-Newton algorithm with variance reduction (R-SQN-VR). The key challenges of averaging, adding, and subtracting multiple gradients are addressed with notions of retraction and vector transport. We present convergence analyses of R-SQN-VR on both non-convex and retraction-convex functions under retraction and vector transport operators. The proposed algorithm is evaluated on the Karcher mean compu…
For the sub-Riemannian problem on the group of motions of Euclidean space we present explicit formulas for extremal controls in a special case, when one of the initial momenta is fixed.
University of Liège（列日大学）；Mines ParisTech（巴黎高等矿业学院）；INRIA-Lille（里尔法国国家信息与自动化研究所）
Motivated by the problem of learning a linear regression model whose parameter is a large fixed-rank non-symmetric matrix, we consider the optimization of a smooth cost function defined on the set of fixed-rank matrices. We adopt the geometric framework of optimization on Riemannian quotient manifolds. We study the underlying geometries of several well-known fixed-rank matrix factorizations and then exploit the Riemannian quotient geometry of the search space in the design of a class of gradient descent and trust-region algorithms. The proposed algorithms generalize our previous results on fix…
Institute for Machine Learning（机器学习研究所）；Universitaetstrasse（苏黎世联邦理工学院）；Univ. Grenoble Alpes（格勒诺布尔阿尔卑斯大学）；CNRS（法国国家科学研究中心）；Inria（法国国家信息与自动化研究所）；Grenoble INP（格勒诺布尔国立理工学院）
We examine a wide class of stochastic approximation algorithms for solving (stochastic) nonlinear problems on Riemannian manifolds. Such algorithms arise naturally in the study of Riemannian optimization, game theory and optimal transport, but their behavior is much less understood compared to the Euclidean case because of the lack of a global linear structure on the manifold. We overcome this difficulty by introducing a suitable Fermi coordinate frame which allows us to map the asymptotic behavior of the Riemannian Robbins-Monro (RRM) algorithms under study to that of an associated determinis…
University of California Berkeley（加州大学伯克利分校）；INRIA（法国国家信息与自动化研究所）；Ecole Normale Supérieure（巴黎高等师范学院）；PSL Research University（巴黎文理研究大学）
We consider the minimization of a function defined on a Riemannian manifold $\mathcal{M}$ accessible only through unbiased estimates of its gradients. We develop a geometric framework to transform a sequence of slowly converging iterates generated from stochastic gradient descent (SGD) on $\mathcal{M}$ to an averaged iterate sequence with a robust and fast $O(1/n)$ convergence rate. We then present an application of our framework to geodesically-strongly-convex (and possibly Euclidean non-convex) problems. Finally, we demonstrate how these ideas apply to the case of streaming $k$-PCA, where we…
There are several different notions of "low rank" for tensors, associated to different formats. Among them, the Tensor Train (TT) format is particularly well suited for tensors of high order, as it circumvents the curse of dimensionality: an appreciable property for certain high-dimensional applications. It is often convenient to model such applications as optimization over the set of tensors with fixed (and low) TT rank. That set is a smooth manifold. Exploiting this fact, others have shown that Riemannian optimization techniques can perform particularly well on tasks such as tensor completio…
The University of Electro-Communications（电气通信大学）；Microsoft（微软）
Adaptive stochastic gradient algorithms in the Euclidean space have attracted much attention lately. Such explorations on Riemannian manifolds, on the other hand, are relatively new, limited, and challenging. This is because of the intrinsic non-linear structure of the underlying manifold and the absence of a canonical coordinate system. In machine learning applications, however, most manifolds of interest are represented as matrices with notions of row and column subspaces. In addition, the implicit manifold-related constraints may also lie on such subspaces. For example, the Grassmann manifo…
We consider stochastic zeroth-order optimization over Riemannian submanifolds embedded in Euclidean space, where the task is to solve Riemannian optimization problem with only noisy objective function evaluations. Towards this, our main contribution is to propose estimators of the Riemannian gradient and Hessian from noisy objective function evaluations, based on a Riemannian version of the Gaussian smoothing technique. The proposed estimators overcome the difficulty of the non-linearity of the manifold constraint and the issues that arise in using Euclidean Gaussian smoothing techniques when …
The design of fixed point algorithms is at the heart of monotone operator theory, convex analysis, and of many modern optimization problems arising in machine learning and control. This tutorial reviews recent advances in understanding the relationship between Demidovich conditions, one-sided Lipschitz conditions, and contractivity theorems. We review the standard contraction theory on Euclidean spaces as well as little-known results for Riemannian manifolds. Special emphasis is placed on the setting of non-Euclidean norms and the recently introduced weak pairings for the $\ell_1$ and $\ell_\i…
