Lie group methods for optimization with orthogonality constraints

Abstract

Optimization of a cost function J(W) under an orthogonality constraint WWT = I is a common requirement for ICA methods. In this paper, we will review the use of Lie group methods to perform this constrained optimization. Instead of searching in the space of n × n matrices W, we will introduce the concept of the Lie group SO(n) of orthogonal matrices, and the corresponding Lie algebra so(n). Using so(n) for our coordinates, we can multiplicatively update W by a rotation matrix R so that W′ = RW always remains orthogonal. Steepest descent and conjugate gradient algorithms can be used in this framework.