Benign Landscape of Quadratic Programs with Orthogonality Constraints and Its Application to Heteroscedastic Probabilistic PCA

Abstract: In this work, we study the optimization landscape of homogeneous quadratic programs with orthogonality constraints (QPOC) and apply the resulting theory to heteroscedastic probabilistic PCA (HePPCA). For QPOC, we establish a complete characterization of the benign optimization landscape by showing that every critical point is either a global maximizer or a strict saddle point. Our analysis builds on a closed-form characterization of the critical point set, from which we derive a necessary and sufficient condition for global optimality and show that every non-optimal critical point has a direction of positive curvature. As an application, we show that the population version of HePPCA is a special instance of QPOC and therefore has a benign optimization landscape; moreover, it satisfies local geodesic strong concavity near every global maximizer. We furthermore prove that, when the sample size is sufficiently large, the sample version of HePPCA inherits these favorable properties with high probability. Together with existing theory on avoiding strict saddle points, our results provide a theoretical justification for the observed local linear convergence of retraction-based optimization methods to global solutions for both QPOC and HePPCA. Finally, we present numerical experiments to corroborate our theoretical results.