Title: A Block Coordinate Descent Method for Nonsmooth Composite Optimization under Orthogonality Constraints
Primary area: optimization
Keywords: Orthogonality Constraints; Nonconvex Optimization; Nonsmooth Composite Optimization; Block Coordinate Descent; Convergence Analysis

Abstract: Nonsmooth composite optimization with orthogonality constraints has a wide range of applications in statistical learning and data science. However, this problem is challenging due to its nonsmooth objective and computationally expensive, non-convex constraints. In this paper, we propose a new approach called \textbf{OBCD}, which leverages Block Coordinate Descent to address these challenges. \textbf{OBCD} is a feasible method with a small computational footprint. In each iteration, it updates $k$ rows of the solution matrix, where $k \geq 2$, by globally solving a small nonsmooth optimization problem under orthogonality constraints. We prove that the limiting points of \textbf{OBCD}, referred to as (global) block-$k$ stationary points, offer stronger optimality than standard critical points. Furthermore, we show that \textbf{OBCD} converges to $\epsilon$-block-$k$ stationary points with an iteration complexity of $\mathcal{O}(1/\epsilon)$. Additionally, under the Kurdyka-Lojasiewicz (KL) inequality, we establish the non-ergodic convergence rate of \textbf{OBCD}. We also demonstrate how novel breakpoint search methods can be used to solve the subproblem in \textbf{OBCD}. Empirical results show that our approach consistently outperforms existing methods.