A geometric approach to constrained optimisation

1 December 2020
14:00
Mario Lezcano
Abstract

In this talk, we will present an approach to constrained optimisation when the set of constraints is a smooth manifold. This setting is of particular interest in data science applications, as many interesting sets of matrices have a manifold structure. We will show how we may couple classic ideas from differential geometry with modern methods such as autodifferentiation to simplify optimisation problems from spaces with a difficult topology (e.g. problems with orthogonal or fixed-rank constraints) to problems on ℝⁿ where we can use any classical optimisation methods to solve them. We will also show how to use these methods to automatically compute quantities such as the Riemannian gradient and Hessian. We will present the library GeoTorch that allows for putting these kind of constraints within models written in PyTorch by adding just one line to the model. We will also comment on some convergence results if time allows.

A link for this talk will be sent to our mailing list a day or two in advance.  If you are not on the list and wish to be sent a link, please contact trefethen@maths.ox.ac.uk.

  • Numerical Analysis Group Internal Seminar