Stochastic algorithms for computing means of probability measures

DOI10.1016/J.SPA.2011.12.011zbMATH Open1262.60073arXiv1106.5106OpenAlexW2025983125MaRDI QIDQ424479FDOQ424479

Authors: Marc Arnaudon, Anthony Phan, Le Yang, Clément Dombry 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Consider a probability measure supported by a regular geodesic ball in a manifold. For any p larger than or equal to 1 we define a stochastic algorithm which converges almost surely to the p-mean of the measure. Assuming furthermore that the functional to minimize is regular around the p-mean, we prove that a natural renormalization of the inhomogeneous Markov chain converges in law into an inhomogeneous diffusion process. We give an explicit expression of this process, as well as its local characteristic.

Full work available at URL: https://arxiv.org/abs/1106.5106

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zbMATH Keywords

Markov chainmeanconvexityRiemannian geometryprobability measureinvariance principlebarycentergeodesic ball

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Strong limit theorems (60F15) Discrete-time Markov processes on general state spaces (60J05) Integration on manifolds; measures on manifolds (58C35)

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Cited In (15)

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• A hyperbolic approach for learning communities on graphs
• Sampling algorithms for estimating the mean of bounded random variables
• Riemannian \(L^p\) averaging on Lie group of nonzero quaternions
• Discrete-time gradient flows and law of large numbers in Alexandrov spaces
• Convergence Analysis of Gradient Algorithms on Riemannian Manifolds without Curvature Constraints and Application to Riemannian Mass
• Stochastic algorithms
• A diffusion process associated with Fréchet means
• Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
• Riemannian barycentres of Gibbs distributions: new results on concentration and convexity in compact symmetric spaces
• Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: \(L^p\) and almost sure rates of convergence
• Characterization of barycenters in the Wasserstein space by averaging optimal transport maps
• A Robbins-Monro-type algorithm for computing global minimizer of generalized conic functions
• Rank-preserving geometric means of positive semi-definite matrices
• On the measure of the cut locus of a Fréchet mean

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