A restricted memory quasi-Newton bundle method for nonsmooth optimization on Riemannian manifolds

Authors

Chunming Tang, Shajie Xing, Wen Huang*, Jinbao Jian

Abstract

In this paper, a restricted memory quasi-Newton bundle method for minimizing a locally Lipschitz function over a Riemannian manifold is proposed. The curvature information of the objective function is approximated by applying a Riemannian version of the quasi-Newton updating formulas. A Riemannian subgradient aggregation technique is proposed and used to significantly reduce the computations in the quadratic programming subproblem when calculating the candidate descent direction. Moreover, a Riemannian line search procedure is proposed to generate the stepsizes, and the process is finitely terminated under the assumption of a newly proposed Riemannian semismoothness. Global convergence of the proposed method is established: if the serious iteration steps are finite, then the last serious iterate is stationary; otherwise, every accumulation point of the serious iteration sequence is stationary. In addition, a modified algorithm with limited-memory quasi-Newton updates is presented to further reduce the computational cost. Finally, numerical experiments demonstrate that (i) the quasi-Newton updates accelerate the convergence of the bundle method, (ii) the aggregation technique significantly reduces the computational cost for solving the quadratic programming subproblem, and (iii) the proposed methods outperform the compared state-of-the-art Riemannian optimization methods for locally Lipschitz functions.

Key words

Riemannian optimization, Bundle method, Quasi-Newton update, Subgradient aggregation, Global convergence

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