A Projection Method for Optimization Problems on the Stiefel Manifold
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In this paper we propose a feasible method based on projections using a curvilinear search for solving optimization problems with orthogonality constraints. Our algorithm computes the SVD decomposition in each iteration in order to preserve feasibility. Additionally, we present some convergence results. Finally, we perform numerical experiments with simulated problems; and analyze the performance of the proposed methods compared with state-of-the-art algorithms.
KeywordsConstrained optimization Orthogonality constraints Non-monotone algorithm Stiefel manifold Optimization on manifolds
This work was supported in part by CONACYT (Mexico), Grant 258033.
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