Convergence analysis of projected fixed-point iteration on a low-rank matrix manifold

Abstract

In this paper we analyse convergence of projected fixed-point iteration on a Riemannian manifold of matrices with fixed rank. As a retraction method we use `projector splitting scheme'. We prove that the projector splitting scheme converges at least with the same rate as standard fixed-point iteration without rank constraints. We also provide counter-example to the case when conditions of the theorem do not hold. Finally we support our theoretical results with numerical experiments.