Randomized Submanifold Subgradient Method for Optimization over Stiefel Manifolds
Optimization over the Stiefel manifold is a fundamental computational problem in many scientific and engineering applications. Despite considerable research effort, high-dimensional optimization problems over the Stiefel manifold remain challenging, particularly when the objective function is nonsmooth. In this paper, we propose a novel coordinate-type algorithm, named randomized submanifold subgradient method (RSSM), for minimizing a possibly nonsmooth weakly convex function over the Stiefel manifold and study its convergence behavior. In contrast to existing algorithms, RSSM operates on ``coordinate blocks'' defined by subsets of the columns of the matrix variable. Similar to coordinate-type algorithms in the Euclidean setting, RSSM exhibits low per-iteration cost and is suitable for high-dimensional problems. We prove that RSSM has an iteration complexity of $\mathcal O(\ell^{2/3}\eps^{-4})$ for driving a natural stationarity measure below $\eps$ in expectation, where $\ell$ represents the number of blocks. We also establish the almost-sure convergence of RSSM and provide the almost-sure asymptotic convergence rate. To the best of our knowledge, this is the first convergence guarantee for coordinate-type algorithms for nonsmooth optimization over the Stiefel manifold. Lastly, we present numerical results on robust subspace recovery, orthogonal dictionary learning, and sparse principal component analysis to demonstrate the viability of our proposed method.