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Automatic differentiation for Riemannian optimization on low-rank matrix and tensor-train manifolds

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 نشر من قبل Alexander Novikov
 تاريخ النشر 2021
  مجال البحث الهندسة المعلوماتية
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In scientific computing and machine learning applications, matrices and more general multidimensional arrays (tensors) can often be approximated with the help of low-rank decompositions. Since matrices and tensors of fixed rank form smooth Riemannian manifolds, one of the popular tools for finding the low-rank approximations is to use the Riemannian optimization. Nevertheless, efficient implementation of Riemannian gradients and Hessians, required in Riemannian optimization algorithms, can be a nontrivial task in practice. Moreover, in some cases, analytic formulas are not even available. In this paper, we build upon automatic differentiation and propose a method that, given an implementation of the function to be minimized, efficiently computes Riemannian gradients and matrix-by-vector products between approximate Riemannian Hessian and a given vector.



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