The Proxy Step-size Technique for Regularized Optimization on the Sphere Manifold

We give an effective solution to the regularized optimization problem $g (\boldsymbol{x}) + h (\boldsymbol{x})$, where $\boldsymbol{x}$ is constrained on the unit sphere $\Vert \boldsymbol{x} \Vert_2 = 1$. Here $g (\cdot)$ is a smooth cost with Lipschitz continuous gradient within the unit ball $\{\boldsymbol{x} : \Vert \boldsymbol{x} \Vert_2 \le 1 \}$ whereas $h (\cdot)$ is typically non-smooth but convex and absolutely homogeneous, \textit{e.g.,}~norm regularizers and their combinations. Our solution is based on the Riemannian proximal gradient, using an idea we call \textit{proxy step-size} -- a scalar variable which we prove is monotone with respect to the actual step-size within an interval. The proxy step-size exists ubiquitously for convex and absolutely homogeneous $h(\cdot)$, and decides the actual step-size and the tangent update in closed-form, thus the complete proximal gradient iteration. Based on these insights, we design a Riemannian proximal gradient method using the proxy step-size. We prove that our method converges to a critical point, guided by a line-search technique based on the $g(\cdot)$ cost only. The proposed method can be implemented in a couple of lines of code. We show its usefulness by applying nuclear norm, $\ell_1$ norm, and nuclear-spectral norm regularization to three classical computer vision problems. The improvements are consistent and backed by numerical experiments.
19 pages