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Recent Advances in Stochastic Riemannian Optimization

In: Handbook of Variational Methods for Nonlinear Geometric Data

Author

Listed:
  • Reshad Hosseini

    (University of Tehran, School of ECE, College of Engineering
    Institute of Research in Fundamental Sciences (IPM), School of Computer Science)

  • Suvrit Sra

    (Massachusetts Institute of Technology)

Abstract

Stochastic and finite-sum optimization problems are central to machine learning. Numerous specializations of these problems involve nonlinear constraints where the parameters of interest lie on a manifold. Consequently, stochastic manifold optimization algorithms have recently witnessed rapid growth, also in part due to their computational performance. This chapter outlines numerous stochastic optimization algorithms on manifolds, ranging from the basic stochastic gradient method to more advanced variance reduced stochastic methods. In particular, we present a unified summary of convergence results. Finally, we also provide several basic examples of these methods to machine learning problems, including learning parameters of Gaussians mixtures, principal component analysis, and Wasserstein barycenters.

Suggested Citation

  • Reshad Hosseini & Suvrit Sra, 2020. "Recent Advances in Stochastic Riemannian Optimization," Springer Books, in: Philipp Grohs & Martin Holler & Andreas Weinmann (ed.), Handbook of Variational Methods for Nonlinear Geometric Data, chapter 0, pages 527-554, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-31351-7_19
    DOI: 10.1007/978-3-030-31351-7_19
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