Mirror Descent on Riemannian Manifolds

The natural gradient method is a central tool for statistical optimisation, but its broader application is hindered by the assumption of a Euclidean parameter space, the repeated estimation of the Fisher information matrix (FIM), and the computational cost of its subsequent inversion. This paper proposes an intrinsic, inversion-free natural gradient method for statistical models whose parameters lie on general Riemannian manifolds. Formulating statistical optimisation in this non-Euclidean setting allows for the natural enforcement of parameter constraints, the elimination of non-identifiable parameters, and the exploitation of geodesic convexity. Our algorithm is based on a moving approximation of the inverse FIM, which is maintained directly on the manifold. This approximation is efficiently updated with new score vectors using low-rank matrix identities. We prove almost-sure convergence rates of $O(\log s / s^α)$ for the sequence of iterates, and a similar rate for the approximate FIM. A limited-memory variant with sub-quadratic storage complexity is further proposed for large-scale applications. We demonstrate the efficacy of our method on variational Bayes within the Bures-Wasserstein manifold, normalising flows on the Stiefel manifold, and reduced-rank logistic regression.

Sufficient dimension reduction (SDR) makes high-dimensional regression tractable by projecting the covariates onto a low-dimensional subspace that preserves the conditional mean of the response. Existing gradient-based estimators either operate in the ambient space and suffer from the curse of dimensionality, or localize in the reduced space at a per-outer-iteration cost at least quadratic in the sample size. We show that minimizers of the population Minimum Average Variance Estimation (MAVE) risk approximate the same Grassmannian target as the Outer Product of Gradients (OPG), and recast the empirical criterion as a smooth maximization on the Stiefel manifold with closed-form Riemannian gradient. The resulting algorithm, SMAVE, combines sparse projected-space nearest-neighbor localization with Riemannian stochastic gradient ascent. A simplified version comes with almost-sure convergence and a non-asymptotic rate matching the standard non-convex stochastic first-order scaling. Empirically, SMAVE matches or improves on RMAVE's synthetic subspace recovery at moderate-to-high ambient dimension, and on four real datasets it uniformly improves over OPG and is competitive with or outperforms RMAVE at orders of magnitude lower runtime.

Optimization over the Stiefel manifold plays a significant role in various machine learning tasks. Existing methods either use the retraction operators, requiring costly orthonormalization for large-scale matrices, or employ landing methods that rely on careful step size selection and penalty parameter tuning. To address these challenges, we propose a retraction-free and penalty parameter-free algorithm that directly lands on the manifold. By leveraging the strongly-convex-like property of the quadratic penalty function and the proximal smoothness of the Stiefel manifold, we establish global convergence guarantees with the best-known iteration complexities under both constant and diminishing step sizes. Then, we reformulate the low-rank adaptation (LoRA) fine-tuning problem for large language models as a manifold optimization problem, introducing Manifold-LoRA for geometry-accelerated adaptation. This approach employs the proposed landing technique and a carefully designed step size strategy to accelerate the training process. Numerical experiments on benchmark datasets demonstrate the efficiency and strong downstream performance of the proposed method.