On the Bures-Wasserstein distance between positive definite matrices

DOI10.1016/J.EXMATH.2018.01.002MaRDI QIDQ2323328zbMATH OpenOpenAlexFDO

Authors Rajendra Bhatia, Tanvi Jain, Yongdo Lim

Publication date 30 August 2019

Published in Expositiones Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.01504

zbMATH Keywords

optimal transportWasserstein metricpositive definite matricesfidelityBures distancecoupling problem

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Positive matrices and their generalizations; cones of matrices (15B48) Miscellaneous inequalities involving matrices (15A45) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Geodesics in global differential geometry (53C22) Quantum information, communication, networks (quantum-theoretic aspects) (81P45) Operator means involving linear operators, shorted linear operators, etc. (47A64)

Abstract: The metric $d(A,B)=left[r,A+r,B-2r(A^{1/2}B{A}^{1/2}{)}^{1/2}ight{]}^{1/2}$ on the manifold of $nimesn$ positive definite matrices arises in various optimisation problems, in quantum information and in the theory of optimal transport. It is also related to Riemannian geometry. In the first part of this paper we study this metric from the perspective of matrix analysis, simplifying and unifying various proofs. Then we develop a theory of a mean of two, and a barycentre of several, positive definite matrices with respect to this metric. We explain some recent work on a fixed point iteration for computing this Wasserstein barycentre. Our emphasis is on ideas natural to matrix analysis.

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Cited in

(78)

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• The Schrödinger problem on the non-commutative Fisher-Rao space
• Bures–Wasserstein Minimizing Geodesics between Covariance Matrices of Different Ranks
• Some geometric properties of matrix means with respect to different metrics
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