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Adaptive Riemannian ADMM for Nonsmooth Optimization: Optimal Complexity without Smoothing
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Proposes adaptive Riemannian ADMM (ARADMM) that solves smooth-plus-nonsmooth-convex problems over compact Riemannian submanifolds directly, without smoothing, with O(ε^-3) complexity to an ε-KKT point.
Problem
Nonsmooth composite optimization f(x)+h(Ax) over a compact Riemannian submanifold, where prior Riemannian ADMM convergence analyses required smoothing the nonsmooth term.
Approach
An auxiliary splitting variable with an adaptive penalty rho_k = c_rho k^{1/3} and adaptive dual step size gamma_k that bounds multiplier differences by primal iterate differences, letting a single-loop ADMM with one Riemannian gradient step and one proximal step per iteration converge without smoothing.
Key results
- ARADMM attains O(epsilon^-3) iteration complexity for an epsilon-approximate KKT point without smoothing, matching smoothing-based Riemannian ADMM methods.
- On sparse PCA (Table comparisons with RSG and AManPG, e.g., (300,20,8)), ARADMM reaches objective -4.4071 in 0.4264 s versus -4.2671 (AManPG, 0.8555 s) and -3.9517 (RSG, 0.7970 s).
- On DPCP robust subspace recovery, ARADMM achieves lower objective than SOC, MADMM and RADMM in all tested settings with much shorter CPU time (e.g., 286.3336 in 0.0057 s vs SOC 286.5284 in 1.4835 s for p=4, (30,100,500)).
Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| Use ARADMM instead of SOC | Regularized linear classifier on sphere · Linear classifier on sphere (200, 1000, 1) | objective: 0.7004 -> 0.7370 | Hurt |
| Use ARADMM instead of the strongest ADMM-type baseline | Regularized linear classifier on sphere · Linear classifier on sphere (400, 5000, 5), (600, 10000, 10), and (800, 20000, 50) | objective: 0.6877 -> 0.6875; 0.6469 -> 0.6464; 0.6606 -> 0.6602 | Helped |
| Use ARADMM instead of MADMM | Regularized linear classifier on sphere · Linear classifier on sphere (200, 1000, 1), (400, 5000, 5), (600, 10000, 10), and (800, 20000, 50) | CPU time (seconds): 0.0729 -> 0.0507; 0.1701 -> 0.1073; 0.6692 -> 0.4197; 2.2673 -> 1.4167 | Helped |
| Use ARADMM instead of RADMM | DPCP / robust subspace recovery · DPCP / robust subspace recovery, all six settings in the main comparison table | objective: 286.4599 -> 286.3336; 363.0977 -> 362.8826; 423.5352 -> 423.2783; 431.1275 -> 431.0405; 542.5957 -> 542.4900; 637.6906 - | Helped |
| Use ARADMM instead of RADMM | DPCP / robust subspace recovery · DPCP / robust subspace recovery, all six settings in the main comparison table | CPU time (seconds): 0.0486 -> 0.0057; 0.0136 -> 0.0119; 0.0378 -> 0.0136; 0.0160 -> 0.0089; 0.0540 -> 0.0112; 0.0972 -> 0.0176 | Helped |
Surprising findings
- The paper notes that the condition c_rho >= 1 used in the analysis is not essential; c_rho=0.6 also works well empirically.
- Results in the DPCP experiments are reported with CPU times that are often substantially shorter for ARADMM than for baselines, while the baselines with fixed parameters are tuned by grid search in the original papers.
Limitations
- Analysis restricted to general nonconvex nonsmooth setting; does not exploit KL inequality which could give sharper rates.
- Parameter conditions (e.g., c_tau, c_rho >= 1) are needed in the theory and parameters are tuned differently per experiment.
- Experiments are limited to synthetic data and three problem families.
Experimental setup
Datasets: synthetic Gaussian data for sparse PCA synthetic data for regularized linear classifier synthetic data for robust subspace recovery (DPCP)
Benchmarks: sparse PCA (synthetic) regularized linear classifier on sphere (synthetic) DPCP robust subspace recovery (synthetic)
Metrics: objective value CPU time sparsity level
Baselines: SOC MADMM RADMM OADMM RSG AManPG ALMSSN ALMSRTR
Builds on: ADMM manifold ADMM Riemannian ADMM retraction-based Riemannian gradient descent
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