Generalization of Zeroth-Order Method for Quotients of Quadratic Functions
It provides a novel optimization method for generalized Rayleigh quotient problems, relevant to subspace and iterative optimization methods.
The paper proposes an unconstrained sampling approach for optimizing quotients of quadratic functions, achieving state-of-the-art performance and outperforming recent methods.
Optimization of quadratic functions and the quotient of those are relevant in subspace and iterative optimization methods. In this paper, the calculation of the generalized operator norm and extremal generalized Rayleigh quotient is considered. In contrast to recent works an unconstrained sampling approach on the entire sphere for the random search direction in each iteration is proposed. Furthermore, the link to zeroth-order methods for Riemannian first- and second-order optimization methods is provided in the sense that the Riemannian gradient and Hessian are estimated by the specific surrogates. Even though the tangent space is not used in this construction the optimal step size problem can be computed in a closed form. The subproblems of this and recent works are illuminated in the context of sub-generalized Rayleigh quotient problems on specific Gram matrices. Together the achieved theory allows to construct an accelerated algorithm which shows state-of-the-art behavior and outperforms recent works.