Rank-one Riemannian Subspace Descent for Nonlinear Matrix Equations
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2026
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866909996844843008 |
|---|---|
| author | Darmwal, Yogesh Rajawat, Ketan |
| author_facet | Darmwal, Yogesh Rajawat, Ketan |
| contents | We propose a rank-one Riemannian subspace descent algorithm for computing symmetric positive definite (SPD) solutions to nonlinear matrix equations arising in control theory, dynamic programming, and stochastic filtering. For solution matrices of size $n\times n$, standard approaches for dense matrix equations typically incur $\mathcal{O}(n^3)$ cost per-iteration, while the efficient $\mathcal{O}(n^2)$ methods either rely on sparsity or low-rank solutions, or have iteration counts that scale poorly. The proposed method entails updating along the dominant eigen-component of a transformed Riemannian gradient, identified using at most $\mathcal{O}(\log(n))$ power iterations. The update structure also enables exact step-size selection in many cases at minimal additional cost. For objectives defined as compositions of standard matrix operations, each iteration can be implemented using only matrix--vector products, yielding $\mathcal{O}(n^2)$ arithmetic cost. We prove an $\mathcal{O}(n)$ iteration bound under standard smoothness assumptions, with improved bounds under geodesic strong convexity. Numerical experiments on large-scale CARE, DARE, and other nonlinear matrix equations show that the proposed algorithm solves instances (up to $n=10{,}000$ in our tests) for which the compared solvers, including MATLAB's \texttt{icare}, structure-preserving doubling, and subspace-descent baselines fail to return a solution. These results demonstrate that rank-one manifold updates provide a practical approach for high-dimensional and dense SPD-constrained matrix equations. MATLAB code implementation is publicly available on GitHub : \href{https://github.com/yogeshd-iitk/nonlinear_matrix_equation_R1RSD}{\textcolor{blue}{https://github.com/yogeshd-iitk/nonlinear\_matrix \_equation\_R1RSD}} |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_14933 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Rank-one Riemannian Subspace Descent for Nonlinear Matrix Equations Darmwal, Yogesh Rajawat, Ketan Numerical Analysis Systems and Control 65K10 (Primary) 90C30, 58E30, 15A24, 65F30, 65K05, 90C26 (Secondary) We propose a rank-one Riemannian subspace descent algorithm for computing symmetric positive definite (SPD) solutions to nonlinear matrix equations arising in control theory, dynamic programming, and stochastic filtering. For solution matrices of size $n\times n$, standard approaches for dense matrix equations typically incur $\mathcal{O}(n^3)$ cost per-iteration, while the efficient $\mathcal{O}(n^2)$ methods either rely on sparsity or low-rank solutions, or have iteration counts that scale poorly. The proposed method entails updating along the dominant eigen-component of a transformed Riemannian gradient, identified using at most $\mathcal{O}(\log(n))$ power iterations. The update structure also enables exact step-size selection in many cases at minimal additional cost. For objectives defined as compositions of standard matrix operations, each iteration can be implemented using only matrix--vector products, yielding $\mathcal{O}(n^2)$ arithmetic cost. We prove an $\mathcal{O}(n)$ iteration bound under standard smoothness assumptions, with improved bounds under geodesic strong convexity. Numerical experiments on large-scale CARE, DARE, and other nonlinear matrix equations show that the proposed algorithm solves instances (up to $n=10{,}000$ in our tests) for which the compared solvers, including MATLAB's \texttt{icare}, structure-preserving doubling, and subspace-descent baselines fail to return a solution. These results demonstrate that rank-one manifold updates provide a practical approach for high-dimensional and dense SPD-constrained matrix equations. MATLAB code implementation is publicly available on GitHub : \href{https://github.com/yogeshd-iitk/nonlinear_matrix_equation_R1RSD}{\textcolor{blue}{https://github.com/yogeshd-iitk/nonlinear\_matrix \_equation\_R1RSD}} |
| title | Rank-one Riemannian Subspace Descent for Nonlinear Matrix Equations |
| topic | Numerical Analysis Systems and Control 65K10 (Primary) 90C30, 58E30, 15A24, 65F30, 65K05, 90C26 (Secondary) |
| url | https://arxiv.org/abs/2601.14933 |