A Block Coordinate Descent Method for Nonsmooth Composite Optimization under Orthogonality Constraints (2304.03641v3)

Abstract: Nonsmooth composite optimization with orthogonality constraints has a wide range of applications in statistical learning and data science. However, this problem is challenging due to its nonsmooth objective and computationally expensive, non-convex constraints. In this paper, we propose a new approach called \textbf{OBCD}, which leverages Block Coordinate Descent to address these challenges. \textbf{OBCD} is a feasible method with a small computational footprint. In each iteration, it updates $k$ rows of the solution matrix, where $k \geq 2$, by globally solving a small nonsmooth optimization problem under orthogonality constraints. We prove that the limiting points of \textbf{OBCD}, referred to as (global) block-$k$ stationary points, offer stronger optimality than standard critical points. Furthermore, we show that \textbf{OBCD} converges to $\epsilon$-block-$k$ stationary points with an ergodic convergence rate of $\mathcal{O}(1/\epsilon)$. Additionally, under the Kurdyka-Lojasiewicz (KL) inequality, we establish the non-ergodic convergence rate of \textbf{OBCD}. We also extend \textbf{OBCD} by incorporating breakpoint searching methods for subproblem solving and greedy strategies for working set selection. Comprehensive experiments demonstrate the superior performance of our approach across various tasks.