Manifold constrained steepest descent for smooth and closed-set optimization

Abstract

We study minimization of smooth functions over feasible sets that have smooth embedded-manifold structure throughout or only on selected regions, using linear minimization oracles (LMOs) to determine search directions under user-chosen norms. Restricting an LMO to a tangent space, however, can require an iterative inner solve. We propose \emph{Manifold Constrained Steepest Descent} (MCSD) and a tangent-projected variant, MCSD-TP, which avoid solving tangent-space LMO subproblems iteratively. The spectral-norm specialization of MCSD on the Stiefel manifold yields \emph{SPEL}, which admits an efficient implementation using matrix-sign computations. Under standard regularity assumptions, both methods attain an \(O(\log T/\sqrt T)\) best-iterate stationarity bound. For closed feasible sets, the hybrid MCSD--PGD combines either smooth method with projected gradient descent; under the corresponding local smoothness condition, every accumulation point is Bouligand stationary. Experiments on Stiefel-constrained PCA, weighted low-rank approximation, and sparse phase retrieval illustrate the proposed methods.

29 pages, 3 figures, and 2 tables. Compared to the previous version, introduced a new variant MCSD-TP and a hybrid algorithm MCSD-PGD for close-set optimization