Convergence Rate of Block-Coordinate Maximization Burer-Monteiro Method for Solving Large SDPs
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Semidefinite programming (SDP) with equality constraints arise in many optimization and machine learning problems, such as Max-Cut, community detection and robust PCA. Although SDPs can be solved to arbitrary precision in polynomial time, generic convex solvers do not scale well with the dimension of the problem. In order to address this issue, Burer and Monteiro burer2003nonlinear proposed to reduce the dimension of the problem by appealing to a low-rank factorization, and solve the subsequent non-convex problem instead. It is well-understood that the resulting non-convex problem acts as a reliable surrogate to the original SDP, and can be efficiently solved using the block-coordinate maximization method. Despite its simplicity, remarkable success, and wide use in practice, the theoretical understanding of the convergence of this method is limited. We prove that the block-coordinate maximization algorithm applied to the non-convex Burer-Monteiro approach enjoys a global sublinear rate without any assumptions on the problem, and a local linear convergence rate despite no local maxima is locally strongly concave. We illustrate our results through examples and numerical experiments.
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