Methods and Algorithms for Scientific Computing

Parallelizable Algorithms for Optimization Problems with Orthogonality Constraints

Abstract

To construct a parallel approach for solving optimization problems with orthogonality constraints is usually regarded as an extremely difficult mission, due to the low scalability of the orthonormalization procedure. However, such a demand is particularly huge in some application areas such as materials computation. In this paper, we propose a proximal linearized augmented Lagrangian algorithm (PLAM) for solving optimization problems with orthogonality constraints. Unlike the classical augmented Lagrangian methods, in our algorithm, the prime variables are updated by minimizing a proximal linearized approximation of the augmented Lagrangian function; meanwhile the dual variables are updated by a closed-form expression which holds at any first-order stationary point. The orthonormalization procedure is only invoked once at the last step of the above-mentioned algorithm if high-precision feasibility is needed. Consequently, the main parts of the proposed algorithm can be parallelized naturally. We establish global subsequence convergence, worst-case complexity, and local convergence rate for PLAM under some mild assumptions. To reduce the sensitivity of the penalty parameter, we put forward a modification of PLAM, which is called parallelizable columnwise block minimization of PLAM (PCAL). Numerical experiments in serial illustrate that the novel updating rule for the Lagrangian multipliers significantly accelerates the convergence of PLAM and makes it comparable with the existent feasible solvers for optimization problems with orthogonality constraints, and the performance of PCAL does not highly rely on the choice of the penalty parameter. Numerical experiments under parallel environment demonstrate that PCAL attains good performance and high scalability in solving discretized Kohn--Sham total energy minimization problems.

Keywords

  1. orthogonality constraint
  2. Stiefel manifold
  3. augmented Lagrangian method
  4. parallel computing

MSC codes

  1. 15A18
  2. 65F15
  3. 65K05
  4. 90C06

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Information & Authors

Information

Published In

cover image SIAM Journal on Scientific Computing
SIAM Journal on Scientific Computing
Pages: A1949 - A1983
ISSN (online): 1095-7197

History

Submitted: 19 October 2018
Accepted: 25 March 2019
Published online: 20 June 2019

Keywords

  1. orthogonality constraint
  2. Stiefel manifold
  3. augmented Lagrangian method
  4. parallel computing

MSC codes

  1. 15A18
  2. 65F15
  3. 65K05
  4. 90C06

Authors

Affiliations

Funding Information

Chinese Academy of Sciences Key Project https://doi.org/10.13039/501100005151 : QYZDJ-SSW-SYS010
National Natural Science Foundation of China https://doi.org/10.13039/501100001809 : 11622112, 11471325, 91530204, 11688101, 11331012, 11461161005

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