Optimization on Riemannian manifolds has attracted the attention of many in the machine learning community due to its potential in solving constrained optimization problems. However, high cost of geodesic-based retraction algorithms often limits the applications of Riemannian optimization algorithm in practical problems that are intensely resource consuming. We focus on the positive orthant constrained optimization problems, a special type of constraint that are present in many application areas from evolutionary game theory to non-negative matrix factorization. We propose an accelerated natural gradient descent algorithm modified from evolutionary game dynamics and show that our algorithm converges to second-order stationary points. Our theoretical analysis and experiments verify that a geodesic free acceleration scheme has the potential to balance the convergence guarantee and computational efficiency in constrained non-convex optimization problems like non-negative matrix factorization.

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From Evolutionary Game Dynamics to Non-negative Matrix Factorization: Acceleration with Hessian Geometry

  • Huili Liang,
  • Xiao Wang,
  • Yechao Wei,
  • Pingfan Wu

摘要

Optimization on Riemannian manifolds has attracted the attention of many in the machine learning community due to its potential in solving constrained optimization problems. However, high cost of geodesic-based retraction algorithms often limits the applications of Riemannian optimization algorithm in practical problems that are intensely resource consuming. We focus on the positive orthant constrained optimization problems, a special type of constraint that are present in many application areas from evolutionary game theory to non-negative matrix factorization. We propose an accelerated natural gradient descent algorithm modified from evolutionary game dynamics and show that our algorithm converges to second-order stationary points. Our theoretical analysis and experiments verify that a geodesic free acceleration scheme has the potential to balance the convergence guarantee and computational efficiency in constrained non-convex optimization problems like non-negative matrix factorization.