A Matlab solver for optimization problems with orthogonality constraints.
This solver is to solve the following problem,
min f(X), s.t. X'X=I
where X is a n-by-p matrix.
- min trace(X'AX)+trace(G'X), s.t. X'X=I.
- Bin Gao, Xin Liu and Ya-xiang Yuan, Parallelizable Algorithms for Optimization Problems with Orthogonality Constraints, SIAM Journal on Scientific Computing, 41-3 (2019), A1949–A1983.
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/