A Variational Formulation of Accelerated Optimization on Riemannian Manifolds

TL;DR

This paper extends variational accelerated optimization methods to Riemannian manifolds, achieving arbitrary convergence rates and proposing a framework for efficient, geometry-preserving algorithms.

Contribution

It generalizes variational accelerated optimization to Riemannian manifolds using time-dependent Bregman Lagrangian and Hamiltonian systems, enabling arbitrary convergence rates.

Findings

Achieved accelerated convergence rates on Riemannian manifolds.

Established a time-invariance property for Riemannian Bregman systems.

Proposed a framework for geometry-preserving optimization algorithms.

Abstract

It was shown recently by Su et al. (2016) that Nesterov's accelerated gradient method for minimizing a smooth convex function $f$ can be thought of as the time discretization of a second-order ODE, and that $f(x(t))$ converges to its optimal value at a rate of $\mathcal{O}(1/t^2)$ along any trajectory $x(t)$ of this ODE. A variational formulation was introduced in Wibisono et al. (2016) which allowed for accelerated convergence at a rate of $\mathcal{O}(1/t^p)$, for arbitrary $p>0$, in normed vector spaces. This framework was exploited in Duruisseaux et al. (2021) to design efficient explicit algorithms for symplectic accelerated optimization. In Alimisis et al. (2020), a second-order ODE was proposed as the continuous-time limit of a Riemannian accelerated algorithm, and it was shown that the objective function $f(x(t))$ converges to its optimal value at a rate of $\mathcal{O}(1/t^2)$ along solutions of this ODE. In this paper, we show that on Riemannian manifolds, the convergence rate of $f(x(t))$ to its optimal value can also be accelerated to an arbitrary convergence rate $\mathcal{O}(1/t^p)$, by considering a family of time-dependent Bregman Lagrangian and Hamiltonian systems on Riemannian manifolds. This generalizes the results of Wibisono et al. (2016) to Riemannian manifolds and also provides a variational framework for accelerated optimization on Riemannian manifolds. An approach based on the time-invariance property of the family of Bregman Lagrangians and Hamiltonians was used to construct very efficient optimization algorithms in Duruisseaux et al. (2021), and we establish a similar time-invariance property in the Riemannian setting. One expects that a geometric numerical integrator that is time-adaptive, symplectic, and Riemannian manifold preserving will yield a class of promising optimization algorithms on manifolds.