Abstract
In this paper, we propose a non-monotone line search method for solving optimization problems on Stiefel manifold. The main novelty of our approach is that our method uses a search direction based on a linear combination of descent directions and a Barzilai–Borwein line search. The feasibility is guaranteed by projecting each iterate on the Stiefel manifold through SVD (singular value decomposition) factorizations. Some theoretical results for analysing the algorithm are presented. Finally, we provide numerical experiments for comparing our algorithm with other state-of-the-art procedures. The code is available online. The experimental results show that the proposed algorithm is competitive with other approaches and for particular problems, the computational performance is better than the state-of-the-art algorithms.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1. The OptStiefel solver is available in http://www.math.ucla.edu/~wotaoyin/papers/feasible_method_matrix_manifold.html
2. The tool-box manopt is available in http://www.manopt.org/
3. The Sgmin solver is available in http://web.mit.edu/~ripper/www/sgmin.html