Medians and means in Riemannian geometry: existence, uniqueness and computation

DOI10.1007/978-3-642-30232-9_8MaRDI QIDQ5325898zbMATH OpenOpenAlexFDO

Authors Marc Arnaudon, Frédéric Barbaresco, Le Yang

Publication date 31 July 2013

Published in Matrix Information Geometry (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.3120

Mathematics Subject Classification ID

Point estimation (62F10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stochastic approximation (62L20) Integration on manifolds; measures on manifolds (58C35)

Abstract: This paper is a short summary of our recent work on the medians and means of probability measures in Riemannian manifolds. Firstly, the existence and uniqueness results of local medians are given. In order to compute medians in practical cases, we propose a subgradient algorithm and prove its convergence. After that, Fr'echet medians are considered. We prove their statistical consistency and give some quantitative estimations of their robustness with the aid of upper curvature bounds. We also show that, in compact Riemannian manifolds, the Fr'echet medians of generic data points are always unique. Stochastic and deterministic algorithms are proposed for computing Riemannian p-means. The rate of convergence and error estimates of these algorithms are also obtained. Finally, we apply the medians and the Riemannian geometry of Toeplitz covariance matrices to radar target detection.

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(22)

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• Information geometry of covariance matrix: Cartan-Siegel homogeneous bounded domains, Mostow/Berger fibration and Fréchet median
• On vector and matrix median computation
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• The Kähler mean of block-Toeplitz matrices with Toeplitz structured blocks
• Recent Advances in Stochastic Riemannian Optimization
• Convex risk measures for the aggregation of multiple information sources and applications in insurance
• Median and center hyperplanes in Minkowski spaces -- a unified approach
• A majorization-minimization algorithm for computing the Karcher mean of positive definite matrices

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