On the Bures-Wasserstein distance between positive definite matrices

DOI10.1016/J.EXMATH.2018.01.002zbMATH Open1437.15044arXiv1712.01504OpenAlexW2964068697MaRDI QIDQ2323328FDOQ2323328

Authors: Rajendra Bhatia, Tanvi Jain, Yongdo Lim 

Publication date: 30 August 2019

Published in: Expositiones Mathematicae (Search for Journal in Brave)

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.

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

Recommendations

• Matrix versions of the Hellinger distance
• Wasserstein barycenters in the manifold of all positive definite matrices
• Curvature of the manifold of fixed-rank positive-semidefinite matrices endowed with the Bures-Wasserstein metric
• Bures-Wasserstein geometry for positive-definite Hermitian matrices and their trace-one subset
• Inequalities of the Wasserstein mean with other matrix means

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)

Cites Work

• Functions of Matrices
• The Rotation of Eigenvectors by a Perturbation. III
• Barycenters in the Wasserstein space
• Title not available (Why is that?)
• Wasserstein geometry of Gaussian measures
• Procrustes Problems
• How and Why to Solve the Operator Equation AX −XB = Y
• Riemannian geometry
• Geometry of Quantum States
• Riemannian geometry and matrix geometric means
• The Frechet distance between multivariate normal distributions
• Functional calculus for sesquilinear forms and the purification map
• A fixed-point approach to barycenters in Wasserstein space
• No dice: a deterministic approach to the Cartan centroid
• Title not available (Why is that?)
• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• Weighted deterministic walks for the least squares mean on Hadamard spaces
• The distance between two random vectors wigh given dispersion matrices
• Monotonic properties of the least squares mean
• Matrix power means and the Karcher mean
• On the \(n\)-coupling problem
• Monotonicity of the matrix geometric mean
• On the Singular Values of a Product of Operators
• Stability of a 4th-order curvature condition arising in optimal transport theory
• On the optimal mapping of distributions
• On the convexity of the Heinz means
• Geodesic distances on density matrices
• The Riemannian mean of positive matrices
• A note on the transition probability over \(C^*\)-algebras
• Density operators as an arena for differential geometry
• Information geometry of covariance matrix: Cartan-Siegel homogeneous bounded domains, Mostow/Berger fibration and Fréchet median
• Geometry of matrix decompositions seen through optimal transport and information geometry
• Transition probability (fidelity) and its relatives

Cited In (78)

• Bures–Wasserstein Minimizing Geodesics between Covariance Matrices of Different Ranks
• The Schrödinger problem on the non-commutative Fisher-Rao space
• A GPM-based algorithm for solving regularized Wasserstein barycenter problems in some spaces of probability measures
• Lipschitz analysis of generalized phase retrievable matrix frames
• Some geometric properties of matrix means with respect to different metrics
• Wasserstein geometry of quantum states and optimal transport of matrix-valued measures
• Some notes on quantum Hellinger divergences with Heinz means
• Quotient geometry with simple geodesics for the manifold of fixed-rank positive-semidefinite matrices
• Curvature of the manifold of fixed-rank positive-semidefinite matrices endowed with the Bures-Wasserstein metric
• Gradient projection methods for the $n$-coupling problem
• Geometry of matrix decompositions seen through optimal transport and information geometry
• Wasserstein barycenters of compactly supported measures
• Wasserstein Riemannian geometry of Gaussian densities
• The geometry of mixed-Euclidean metrics on symmetric positive definite matrices
• Procrustes metrics on covariance operators and optimal transportation of Gaussian processes
• Quantum Hellinger distances revisited
• Wasserstein barycenters in the manifold of all positive definite matrices
• Matrix versions of the Hellinger distance
• Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition
• Two-variable Wasserstein means of positive definite operators
• Riemannian distances between covariance operators and Gaussian processes
• Hybrid Wasserstein distance and fast distribution clustering
• Inequalities of the Wasserstein mean with other matrix means
• Bounds for the Wasserstein mean with applications to the Lie-Trotter mean
• Stochastic gradient methods for \(L^2\)-Wasserstein least squares problem of Gaussian measures
• Parameterized Wasserstein means
• The \(\alpha\)-\(z\)-Bures Wasserstein divergence
• Averaging symmetric positive-definite matrices
• \(\alpha\)-\(z\)-Rényi relative entropy related quantities and their preservers
• Quantum divergences with \(p\)-power means
• Right Rényi mean and tensor product
• A unified formulation for the Bures-Wasserstein and log-Euclidean/log-Hilbert-Schmidt distances between positive definite operators
• Generalized Hellinger metric and Audenaert's in-betweenness
• On certain order properties of non Kubo-Ando means in operator algebras
• Strong convexity of sandwiched entropies and related optimization problems
• Maps on positive definite cones of 𝐶*-algebras preserving the Wasserstein mean
• Statistical inference for Bures-Wasserstein barycenters
• Metric geometry of infinite-dimensional Lie groups and their homogeneous spaces
• Unconditional finite amplitude stability of a viscoelastic fluid in a mechanically isolated vessel with spatially non-uniform wall temperature
• A Riemannian submersion-based approach to the Wasserstein barycenter of positive definite matrices
• \(O(n)\)-invariant Riemannian metrics on SPD matrices
• Rajendra Bhatia and his mathematical achievements
• On clustering uncertain and structured data with Wasserstein barycenters and a geodesic criterion for the number of clusters
• ON SOME TSALLIS RELATIVE OPERATOR ENTROPY PROPERTIES RELATED TO HELLINGER METRICS
• A model of invariant control system using mean curvature drift from Brownian motion under submersions
• Measuring dependence between random vectors via optimal transport
• Jordan isomorphisms as preservers
• On the matrix Monge–Kantorovich problem
• Tensor product and Hadamard product for the Wasserstein means
• Introduction to Riemannian Geometry and Geometric Statistics: From Basic Theory to Implementation with Geomstats
• Title not available (Why is that?)
• Procrustes problems in Riemannian manifolds of positive definite matrices
• On Optimal Transport of Matrix-Valued Measures
• Weighted Hellinger distance and in-betweenness property
• Bures-Wasserstein geometry for positive-definite Hermitian matrices and their trace-one subset
• Riemannian optimization via Frank-Wolfe methods
• Characterization of invariant inner products
• Learning with symmetric positive definite matrices via generalized Bures-Wasserstein geometry
• Title not available (Why is that?)
• Relative operator entropy properties related to some weighted metrics
• On some algebraic properties related to Heron type operator means on positive definite cones of \(C^\ast\)-algebras
• Preservers of the p-power and the Wasserstein means on 2x2 matrices
• Manifolds.jl: an extensible Julia framework for data analysis on manifolds
• Non-homogeneous Riemannian gradient equations for sum of squares of Bures-Wasserstein metric
• Linearity of Cartan and Wasserstein means
• The Wasserstein metric matrix and its computational property
• Spatiotemporal analysis using Riemannian composition of diffusion operators
• Weak log-majorization between the geometric and Wasserstein means
• Metrics induced by certain Hilbert-Schmidt fidelities on positive semi-definite matrices
• Applications of the automatic additivity of positive homogeneous order isomorphisms between positive definite cones in \(C^*\)-algebras
• The Wasserstein mean of unipotent matrices
• Differential of the stretch tensor for any dimension with applications to quotient geodesics
• Near-order relation of power means
• Tsallis relative operator entropy properties with some weighted metrics
• Covariance-modulated optimal transport and gradient flows
• Information geometry of Wasserstein statistics on shapes and affine deformations
• Accurate deep learning-based filtering for chaotic dynamics by identifying instabilities without an ensemble
• Right mean for the \(\alpha - z\) Bures-Wasserstein quantum divergence

Uses Software

• mftoolbox

This page was built for publication: On the Bures-Wasserstein distance between positive definite matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2323328)