Rank-one Riemannian Subspace Descent for Nonlinear Matrix Equations

TL;DR

This paper introduces a rank-one Riemannian subspace descent algorithm that efficiently computes solutions to large-scale nonlinear matrix equations with SPD constraints, outperforming existing methods in speed and scalability.

Contribution

The paper presents a novel rank-one Riemannian subspace descent method that reduces computational complexity and enables solving high-dimensional nonlinear matrix equations effectively.

Findings

Successfully solves large-scale matrix equations up to size 10,000

Outperforms existing solvers like MATLAB's icare and structure-preserving doubling

Achieves $ ext{O}(n^2)$ per-iteration cost with proven $ ext{O}(n)$ iteration bounds

Abstract

We propose a rank-one Riemannian subspace descent algorithm for computing symmetric positive definite (SPD) solutions to nonlinear matrix equations arising in control theory, dynamic programming, and stochastic filtering. For solution matrices of size $n\times n$, standard approaches for dense matrix equations typically incur $\mathcal{O}(n^3)$ cost per-iteration, while the efficient $\mathcal{O}(n^2)$ methods either rely on sparsity or low-rank solutions, or have iteration counts that scale poorly. The proposed method entails updating along the dominant eigen-component of a transformed Riemannian gradient, identified using at most $\mathcal{O}(\log(n))$ power iterations. The update structure also enables exact step-size selection in many cases at minimal additional cost. For objectives defined as compositions of standard matrix operations, each iteration can be implemented using only matrix--vector products, yielding $\mathcal{O}(n^2)$ arithmetic cost. We prove an $\mathcal{O}(n)$ iteration bound under standard smoothness assumptions, with improved bounds under geodesic strong convexity. Numerical experiments on large-scale CARE, DARE, and other nonlinear matrix equations show that the proposed algorithm solves instances (up to $n=10{,}000$ in our tests) for which the compared solvers, including MATLAB's \texttt{icare}, structure-preserving doubling, and subspace-descent baselines fail to return a solution. These results demonstrate that rank-one manifold updates provide a practical approach for high-dimensional and dense SPD-constrained matrix equations. MATLAB code implementation is publicly available on GitHub : \href{https://github.com/yogeshd-iitk/nonlinear_matrix_equation_R1RSD}{\textcolor{blue}{https://github.com/yogeshd-iitk/nonlinear\_matrix \_equation\_R1RSD}}