Effective Algorithms for Solving Trace Minimization Problem in Multivariate Statistics

Jiao-fen Li, Ya-qiong Wen, Xue-lin Zhou and Kai Wang

Mathematical Problems in Engineering, 2020, vol. 2020, 1-24

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 provided. Some numerical tests and application to the least squares fitting of the DEDICOM model and the orthonormal INDSCAL model are given to demonstrate the efficiency of the proposed methods. Comparisons with some latest Riemannian gradient-type methods and some existing Riemannian second-order algorithms in the MATLAB toolbox Manopt are also presented.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3054764

DOI: 10.1155/2020/3054764

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