ORTHOGONAL TRACE-SUM MAXIMIZATION: APPLICATIONS, LOCAL ALGORITHMS, AND GLOBAL OPTIMALITY.

Abstract

This paper studies the problem of maximizing the sum of traces of matrix quadratic forms on a product of Stiefel manifolds. This orthogonal trace-sum maximization (OTSM) problem generalizes many interesting problems such as generalized canonical correlation analysis (CCA), Procrustes analysis, and cryo-electron microscopy of the Nobel prize fame. For these applications finding global solutions is highly desirable, but it has been unclear how to find even a stationary point, let alone test its global optimality. Through a close inspection of Ky Fan's classical result [Proc. Natl. Acad. Sci. USA, 35 (1949), pp. 652-655] on the variational formulation of the sum of largest eigenvalues of a symmetric matrix, and a semidefinite programming (SDP) relaxation of the latter, we first provide a simple method to certify global optimality of a given stationary point of OTSM. This method only requires testing whether a symmetric matrix is positive semidefinite. A by-product of this analysis is an unexpected strong duality between Shapiro and Botha [SIAM J. Matrix Anal. Appl., 9 (1988), pp. 378-383] and Zhang and Singer [Linear Algebra Appl., 524 (2017), pp. 159-181]. After showing that a popular algorithm for generalized CCA and Procrustes analysis may generate oscillating iterates, we propose a simple fix that provably guarantees convergence to a stationary point. The combination of our algorithm and certificate reveals novel global optima of various instances of OTSM.