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FOForth

A Matlab solver for optimization problems with orthogonality constraints.

Problems

This solver is to solve the following problem,

min h(X)+trace(G'X), s.t. X'X=I

where X is a n-by-p matrix, and h(X) is orthogonal invariant (h(XQ)=h(X) for any orthogonal matrix Q) and satisfies \nabla h(X)=H(X)X.

Examples

  • min trace(X'AX)+trace(G'X), s.t. X'X=I.

References

Authors

Copyright

Copyright (C) 2016, Bin Gao, Xin Liu

This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses/

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A First-Order Framework for optimization problems with orthogonality constraints.

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