2020
DOI: 10.1155/2020/3054764
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Effective Algorithms for Solving Trace Minimization Problem in Multivariate Statistics

Abstract: This paper develops two novel and fast Riemannian second-order approaches for solving a class of matrix trace minimization problems with orthogonality constraints, which is widely applied in multivariate statistical analysis. The existing majorization method is guaranteed to converge but its convergence rate is at best linear. A hybrid Riemannian Newton-type algorithm with both global and quadratic convergence is proposed firstly. A Riemannian trust-region method based on the proposed Newton method is further … Show more

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Cited by 2 publications
(1 citation statement)
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“…Because 1 M Diag(W) is not a symmetric matrix, ( 22) cannot be solved as a kernel k-means clustering problem. Noting it is similar to the optimization problem on Stiefel manifold in [27], thus we adopt the Riemann conjugate gradient method proposed in [27] to solve (22).…”
Section: Optimization Algorithmmentioning
confidence: 99%
“…Because 1 M Diag(W) is not a symmetric matrix, ( 22) cannot be solved as a kernel k-means clustering problem. Noting it is similar to the optimization problem on Stiefel manifold in [27], thus we adopt the Riemann conjugate gradient method proposed in [27] to solve (22).…”
Section: Optimization Algorithmmentioning
confidence: 99%