Rescaling and unconstrained minimisation of convex quadratic maps

Abstract

We investigate the properties of a class of piecewise-fractional maps arising from the introduction of an invariance under rescaling into convex quadratic maps. The subsequent maps are quasiconvex, and pseudoconvex on specific convex cones; they can be optimised via exact line search along admissible directions, and the iterates then inherit a bidimensional optimality property. We study the minimisation of such relaxed maps via coordinate descents with gradient-based rules, placing a special emphasis on coordinate directions verifying a maximum-alignment property in the reproducing kernel Hilbert spaces related to the underlying positive-semidefinite matrices. In this setting, we illustrate that accounting for the optimal rescaling of the iterates can in certain situations substantially accelerate the unconstrained minimisation of convex quadratic maps.