Manifold Optimization Over the Set of Doubly Stochastic Matrices: A Second-Order Geometry

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Manifold Optimization Over the Set of Doubly Stochastic Matrices: A Second-Order Geometry

By: 
Ahmed Douik; Babak Hassibi

Over the decades, multiple approaches have been proposed to solve convex programs. The development of interior-point methods allowed solving a more general set of convex programs known as semi-definite and second-order cone programs. However, these methods are excessively slow for high dimensions. On the other hand, optimization algorithms on manifolds have shown great abilities in finding solutions to non-convex problems in a reasonable time. This paper suggests using a Riemannian optimization approach to solve a subset of convex optimization problems wherein the optimization variable is a doubly stochastic matrix. Optimization over the set of doubly stochastic matrices is crucial for multiple communications and signal processing applications, especially graph-based clustering. The paper introduces and investigates the geometries of three convex manifolds, namely the doubly stochastic, the symmetric, and the definite multinomial manifolds which generalize the simplex, also known as the multinomial manifold. Theoretical complexity analysis and numerical simulation results testify the efficiency of the proposed method over state-of-the-art algorithms. In particular, they reveal that the proposed framework outperforms conventional generic and specialized approaches, especially in high dimensions.

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