Abstract | ||
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We study optimization of finite sums of emph{geodesically} smooth functions on Riemannian manifolds. Although variance reduction techniques for optimizing finite-sum problems have witnessed a huge surge of interest in recent years, all existing work is limited to vector space problems. We introduce emph{Riemannian SVRG}, a new variance reduced Riemannian optimization method. We analyze this method for both geodesically smooth emph{convex} and emph{nonconvex} functions. Our analysis reveals that Riemannian SVRG comes with advantages of the usual SVRG method, but with factors depending on manifold curvature that influence its convergence. To the best of our knowledge, ours is the first emph{fast} stochastic Riemannian method. Moreover, our work offers the first non-asymptotic complexity analysis for nonconvex Riemannian optimization (even for the batch setting). Our results have several implications; for instance, they offer a Riemannian perspective on variance reduced PCA, which promises a short, transparent convergence analysis. |
Year | Venue | Field |
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2016 | arXiv: Optimization and Control | Convergence (routing),Mathematical optimization,Vector space,Stochastic optimization,Curvature,Riemannian geometry,Fundamental theorem of Riemannian geometry,Variance reduction,Mathematics,Manifold |
DocType | Volume | Citations |
Journal | abs/1605.07147 | 3 |
PageRank | References | Authors |
0.40 | 16 | 3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Hongyi Zhang | 1 | 155 | 7.18 |
Sashank J. Reddi | 2 | 3 | 2.43 |
Suvrit Sra | 3 | 2248 | 139.35 |