Geometric Distance Between Positive Definite Matrices of Different Dimensions

DOI10.1109/TIT.2019.2913874MaRDI QIDQ5211376zbMATH OpenOpenAlexWikidataFDO

Authors Lek-Heng Lim, Ke Ye, Rodolphe Sepulchre

Publication date 28 January 2020

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.01428

zbMATH Keywords

complex Hermitian positive definite matricesgeodesic distance

Mathematics Subject Classification ID

Inequalities involving eigenvalues and eigenvectors (15A42) Positive matrices and their generalizations; cones of matrices (15B48)

Abstract: We show how the Riemannian distance on $mathbb{S}_{++}^n$, the cone of $nimesn$ real symmetric or complex Hermitian positive definite matrices, may be used to naturally define a distance between two such matrices of different dimensions. Given that $mathbb{S}_{++}^n$ also parameterizes $n$-dimensional ellipsoids, and inner products on $mathbb{R}^n$, $nimesn$ covariance matrices of nondegenerate probability distributions, this gives us a natural way to define a geometric distance between a pair of such objects of different dimensions.

Cited in

(5)

• Alpha Procrustes metrics between positive definite operators: a unifying formulation for the Bures-Wasserstein and Log-Euclidean/Log-Hilbert-Schmidt metrics
• Objective selection for cancer treatment: an inverse optimization approach
• Differential geometry with extreme eigenvalues in the positive semidefinite cone
• Structured prior distributions for the covariance matrix in latent factor models
• Ridge estimation of covariance matrix from data in two classes.

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