Faster First-Order Methods for Stochastic Non-Convex Optimization on Riemannian Manifolds


Pan Zhou, Xiao-Tong Yuan, Jiashi Feng ;
Proceedings of Machine Learning Research, PMLR 89:138-147, 2019.


SPIDER (Stochastic Path Integrated Differential EstimatoR) is an efficient gradient estimation technique developed for non-convex stochastic optimization. Although having been shown to attain nearly optimal computational complexity bounds, the SPIDER-type methods are limited to linear metric spaces. In this paper, we introduce the Riemannian SPIDER (R-SPIDER) method as a novel nonlinear-metric extension of SPIDER for efficient non-convex optimization on Riemannian manifolds. We prove that for finite-sum problems with $n$ components, R-SPIDER converges to an $\epsilon$-accuracy stationary point within $\mathcal{O}\big(\min\big(n+\frac{\sqrt{n}}{\epsilon^2},\frac{1}{\epsilon^3}\big)\big)$ stochastic gradient evaluations, which is sharper in magnitude than the prior Riemannian first-order methods. For online optimization, R-SPIDER is shown to converge with $\mathcal{O}\big(\frac{1}{\epsilon^3}\big)$ complexity which is, to the best of our knowledge, the first non-asymptotic result for online Riemannian optimization. Especially, for gradient dominated functions, we further develop a variant of R-SPIDER and prove its linear convergence rate. Numerical results demonstrate the computational efficiency of the proposed methods.

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