Warped Riemannian metrics for location-scale models

The present paper shows that warped Riemannian metrics, a class of Riemannian metrics which play a prominent role in Riemannian geometry, are also of fundamental importance in information geometry. Precisely, the paper features a new theorem, which states that the Rao-Fisher information metric of any location-scale model, defined on a Riemannian manifold, is a warped Riemannian metric, whenever this model is invariant under the action of some Lie group. This theorem is a valuable tool in finding the expression of the Rao-Fisher information metric of location-scale models defined on high-dimensional Riemannian manifolds. Indeed, a warped Riemannian metric is fully determined by only two functions of a single variable, irrespective of the dimension of the underlying Riemannian manifold. Starting from this theorem, several original contributions are made. The expression of the Rao-Fisher information metric of the Riemannian Gaussian model is provided, for the first time in the literature. A generalised definition of the Mahalanobis distance is introduced, which is applicable to any location-scale model defined on a Riemannian manifold. The solution of the geodesic equation is obtained, for any Rao-Fisher information metric defined in terms of warped Riemannian metrics. Finally, using a mixture of analytical and numerical computations, it is shown that the parameter space of the von Mises-Fisher model of $n$-dimensional directional data, when equipped with its Rao-Fisher information metric, becomes a Hadamard manifold, a simply-connected complete Riemannian manifold of negative sectional curvature, for $n = 2,\ldots,8$. Hopefully, in upcoming work, this will be proved for any value of $n$.Comment: first version, before submissio

Geometrical Statistics--Classical and Quantum

This is a review of the ideas behind the Fisher--Rao metric on classical probability distributions, and how they generalize to metrics on density matrices. As is well known, the unique Fisher--Rao metric then becomes a large family of monotone metrics. Finally I focus on the Bures--Uhlmann metric, and discuss a recent result that connects the geometric operator mean to a geodesic billiard on the set of density matrices.Comment: Talk at the third Vaxjo conference on Quantum Theory: Reconsideration of foundation

Application of the Fisher-Rao metric to ellipse detection

The parameter space for the ellipses in a two dimensional image is a five dimensional manifold, where each point of the manifold corresponds to an ellipse in the image. The parameter space becomes a Riemannian manifold under a Fisher-Rao metric, which is derived from a Gaussian model for the blurring of ellipses in the image. Two points in the parameter space are close together under the Fisher-Rao metric if the corresponding ellipses are close together in the image. The Fisher-Rao metric is accurately approximated by a simpler metric under the assumption that the blurring is small compared with the sizes of the ellipses under consideration. It is shown that the parameter space for the ellipses in the image has a finite volume under the approximation to the Fisher-Rao metric. As a consequence the parameter space can be replaced, for the purpose of ellipse detection, by a finite set of points sampled from it. An efficient algorithm for sampling the parameter space is described. The algorithm uses the fact that the approximating metric is flat, and therefore locally Euclidean, on each three dimensional family of ellipses with a fixed orientation and a fixed eccentricity. Once the sample points have been obtained, ellipses are detected in a given image by checking each sample point in turn to see if the corresponding ellipse is supported by the nearby image pixel values. The resulting algorithm for ellipse detection is implemented. A multiresolution version of the algorithm is also implemented. The experimental results suggest that ellipses can be reliably detected in a given low resolution image and that the number of false detections can be reduced using the multiresolution algorithm

The Fisher-Rao metric for projective transformations of the line

A conditional probability density function is defined for measurements arising from a projective transformation of the line. The conditional density is a member of a parameterised family of densities in which the parameter takes values in the three dimensional manifold of projective transformations of the line. The Fisher information of the family defines on the manifold a Riemannian metric known as the Fisher-Rao metric. The Fisher-Rao metric has an approximation which is accurate if the variance of the measurement errors is small. It is shown that the manifold of parameter values has a finite volume under the approximating metric. These results are the basis of a simple algorithm for detecting those projective transformations of the line which are compatible with a given set of measurements. The algorithm searches a finite list of representative parameter values for those values compatible with the measurements. Experiments with the algorithm suggest that it can detect a projective transformation of the line even when the correspondences between the components of the measurements in the domain and the range of the projective transformation are unknown

A Fisher-Rao Metric for curves using the information in edges

Two curves which are close together in an image are indistinguishable given a measurement, in that there is no compelling reason to associate the measurement with one curve rather than the other. This observation is made quantitative using the parametric version of the Fisher-Rao metric. A probability density function for a measurement conditional on a curve is constructed. The distance between two curves is then defined to be the Fisher-Rao distance between the two conditional pdfs. A tractable approximation to the Fisher-Rao metric is obtained for the case in which the measurements are compound in that they consist of a point x and an angle α which specifies the direction of an edge at x. If the curves are circles or straight lines, then the approximating metric is generalized to take account of inlying and outlying measurements. An estimate is made of the number of measurements required for the accurate location of a circle in the presence of outliers. A Bayesian algorithm for circle detection is defined. The prior density for the algorithm is obtained from the Fisher-Rao metric. The algorithm is tested on images from the CASIA Iris Interval database

A Geometric Variational Approach to Bayesian Inference

We propose a novel Riemannian geometric framework for variational inference in Bayesian models based on the nonparametric Fisher-Rao metric on the manifold of probability density functions. Under the square-root density representation, the manifold can be identified with the positive orthant of the unit hypersphere in L2, and the Fisher-Rao metric reduces to the standard L2 metric. Exploiting such a Riemannian structure, we formulate the task of approximating the posterior distribution as a variational problem on the hypersphere based on the alpha-divergence. This provides a tighter lower bound on the marginal distribution when compared to, and a corresponding upper bound unavailable with, approaches based on the Kullback-Leibler divergence. We propose a novel gradient-based algorithm for the variational problem based on Frechet derivative operators motivated by the geometry of the Hilbert sphere, and examine its properties. Through simulations and real-data applications, we demonstrate the utility of the proposed geometric framework and algorithm on several Bayesian models

A JKO splitting scheme for Kantorovich-Fisher-Rao gradient flows

In this article we set up a splitting variant of the JKO scheme in order to handle gradient flows with respect to the Kantorovich-Fisher-Rao metric, recently introduced and defined on the space of positive Radon measure with varying masses. We perform successively a time step for the quadratic Wasserstein/Monge-Kantorovich distance, and then for the Hellinger/Fisher-Rao distance. Exploiting some inf-convolution structure of the metric we show convergence of the whole process for the standard class of energy functionals under suitable compactness assumptions, and investigate in details the case of internal energies. The interest is double: On the one hand we prove existence of weak solutions for a certain class of reaction-advection-diffusion equations, and on the other hand this process is constructive and well adapted to available numerical solvers.Comment: Final version, to appear in SIAM SIM