Coordinate projected gradient descent minimization and its application to orthogonal nonnegative matrix factorization

Abstract: In this paper we consider large-scale composite nonconvex optimization problems having the objective function formed as a sum of three terms, first has block coordinate-wise Lipschitz continuous gradient, second is twice differentiable but nonseparable and third is the indicator function of some separable closed convex set. Under these general settings we derive and analyze a new cyclic coordinate descent method, which uses the partial gradient of the differentiable part of the objective, yielding a coordinate gradient descent scheme with a novel adaptive stepsize rule. We prove that this stepsize rule makes the coordinate gradient scheme a descent method, provided that additional assumptions hold for the second term in the objective function. We also present a worst-case complexity analysis for this new method in the nonconvex settings. Numerical results on orthogonal nonnegative matrix factorization problem also confirm the efficiency of our algorithm.