manifold optimization

Solving low-rank semidefinite programs via manifold optimization

  • Jie Wang
    • Categories Constrained Nonlinear Optimization, Optimization Software Benchmark, Semi-definite Programming Tags , , , , ,

    We propose a manifold optimization approach to solve linear semidefinite programs (SDP) with low-rank solutions. This approach incorporates the augmented Lagrangian method and the Burer-Monteiro factorization, and features the adaptive strategies for updating the factorization size and the penalty parameter. We prove that the present algorithm can solve SDPs to global optimality, despite of the … Read more

    Local Convergence of an Algorithm for Subspace Identification from Partial Data

  • Laura Balzano
  • Stephen Wright
    • Categories Constrained Nonlinear Optimization, Data-Mining Tags , , ,

    GROUSE (Grassmannian Rank-One Update Subspace Estimation) is an iterative algorithm for identifying a linear subspace of $\R^n$ from data consisting of partial observations of random vectors from that subspace. This paper examines local convergence properties of GROUSE, under assumptions on the randomness of the observed vectors, the randomness of the subset of elements observed at … Read more