Computing Bouligand stationary points efficiently in low-rank optimization

Abstract: This paper considers the problem of minimizing a differentiable function with locally Lipschitz continuous gradient on the algebraic variety of all $m$-by-$n$ real matrices of rank at most $r$. Several definitions of stationarity exist for this nonconvex problem. Among them, Bouligand stationarity is the strongest necessary condition for local optimality. Only a handful of algorithms generate a sequence in the variety whose accumulation points are provably Bouligand stationary. Among them, the most parsimonious with (truncated) singular value decompositions (SVDs) or eigenvalue decompositions can still require a truncated SVD of a matrix whose rank can be as large as $\min{m, n}-r+1$ if the gradient does not have low rank, which is computationally prohibitive in the typical case where $r \ll \min{m, n}$. This paper proposes a first-order algorithm that generates a sequence in the variety whose accumulation points are Bouligand stationary while requiring SVDs of matrices whose smaller dimension is always at most $r$. A standard measure of Bouligand stationarity converges to zero along the bounded subsequences at a rate at least $O(1/\sqrt{i+1})$, where $i$ is the iteration counter. Furthermore, a rank-increasing scheme based on the proposed algorithm is presented, which can be of interest if the parameter $r$ is potentially overestimated.