The appeals of quadratic majorization–minimization

Majorization–minimization (MM) is a versatile optimization technique that operates on surrogate functions satisfying tangency and domination conditions. Our focus is on differentiable optimization using inexact MM with quadratic surrogates, which amounts to approximately solving a sequence of symmetric positive definite systems. We begin by investigating the convergence properties of this process, from subconvergence to R-linear convergence, with emphasis on tame objectives. Then we provide a numerically stable implementation based on truncated conjugate gradient. Applications to multidimensional scaling and regularized inversion are discussed and illustrated through numerical experiments on graph layout and X-ray tomography. In the end, quadratic MM not only offers solid guarantees of convergence and stability, but is robust to the choice of its control parameters.