Computing Euclidean distance and maximum likelihood retraction maps for constrained optimization

Abstract: Riemannian optimization uses local methods to solve optimization problems whose constraint set is a smooth manifold. A linear step along some descent direction usually leaves the constraints, and hence retraction maps are used to approximate the exponential map and return to the manifold. For many common matrix manifolds, retraction maps are available, with more or less explicit formulas. For implicitly-defined manifolds, suitable retraction maps are difficult to compute. We therefore develop an algorithm which uses homotopy continuation to compute the Euclidean distance retraction for any implicitly-defined submanifold of R^n, and prove convergence results. We also consider statistical models as Riemannian submanifolds of the probability simplex with the Fisher metric. Replacing Euclidean distance with maximum likelihood results in a map which we prove is a retraction. In fact, we prove the retraction is second-order; with the Levi-Civita connection associated to the Fisher metric, it approximates geodesics to second-order accuracy.