Second-order geometry and Riemannian Newton-type methods for optimization on the indefinite Stiefel manifold

Abstract

This paper investigates the second-order geometry of the indefinite Stiefel manifold and derives explicit formulas for the Levi-Civita connection and the Riemannian Hessian under two generalized canonical metrics. We discuss Riemannian Newton's method, in which Newton's equation is solved by the linear conjugate gradient method in a fixed tangent space, and the Riemannian trust-region method with the truncated conjugate gradient method. Numerical experiments for trace minimization problems demonstrate the robustness of the trust-region method over several problem sizes and in near-singular settings where eigenvalues of the constraint matrix approach zero.

arXiv comment26 pages