Fall 2018

Randomized Riemannian Preconditioning for Quadratically Constrained Problems

Tuesday, Sep. 25, 2018 10:00 am10:30 am

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Haim Avron (Tel Aviv University)

We consider optimization problems of the form max f(x) s.t. x^T B x=1 where B is a symmetric positive definite matrix which is the Gram matrix of some input n-by-d data matrix X. This problem naturally occurs in quite a few application, such as finding the largest or smallest singular value, linear discriminant analysis and canonical correlation analysis. Since the constraint set is a manifold, Riemannian optimization is natural tool for tackling such problems. However, the prevalent method in which this method is materilized leads to an O(nd^2) cost, which is not attractive if n is large and/or X is sparse. The underlying reason is that these methods are based on a Riemannian metric that require the factorization of the Gram matrix B. We propose to use an alternative metric which is based on randomized precoditioning of X (e.g. the construction used in Blendenpik). Theoretical and empirical aspects will be discussed.