Solving Joint Diagonalization Problems via a Riemannian Conjugate Gradient Method in Stiefel Manifold

Abstract

We present a Riemannian Conjugate Gradient (RCG) algorithm to solve the Joint Diagonalization Problem in Stiefel manifolds. We use the special structure of this manifold to build a procedure which avoids extracalculations associated to vector transportation. Numerical experiments which compare our algorithm with other known procedures are also provided.