LAUSR

We consider the problem of optimizing the ratio of two convex functions over a closed and convex set in the space of matrices. This problem appears in several applications and can be classified as a double-convex fractional programming problem. In general, the objective function is nonconvex but, nevertheless, the problem has some special features. Taking advantage of these features, a conditional gradient method is proposed and analyzed, which is suitable for matrix problems. The proposed scheme is applied to two different specific problems, including the well-known trace ratio optimization problem which arises in many engineering and data processing applications. Preliminary numerical experiments are presented to illustrate the properties of the proposed scheme.