Fast, asymptotically efficient, recursive estimation in a Riemannian manifold

Stochastic optimisation in Riemannian manifolds, especially the Riemannian stochastic gradient method, has attracted much recent attention. The present work applies stochastic optimisation to the task of recursive estimation of a statistical parameter which belongs to a Riemannian manifold. Roughly, this task amounts to stochastic minimisation of a statistical divergence function. The following problem is considered : how to obtain fast, asymptotically efficient, recursive estimates, using a Riemannian stochastic optimisation algorithm with decreasing step sizes? In solving this problem, several original results are introduced. First, without any convexity assumptions on the divergence function, it is proved that, with an adequate choice of step sizes, the algorithm computes recursive estimates which achieve a fast non-asymptotic rate of convergence. Second, the asymptotic normality of these recursive estimates is proved, by employing a novel linearisation technique. Third, it is proved that, when the Fisher information metric is used to guide the algorithm, these recursive estimates achieve an optimal asymptotic rate of convergence, in the sense that they become asymptotically efficient. These results, while relatively familiar in the Euclidean context, are here formulated and proved for the first time, in the Riemannian context. In addition, they are illustrated with a numerical application to the recursive estimation of elliptically contoured distributions.Comment: updated version of draft submitted for publication, currently under revie

Fast adaptive elliptical filtering using box splines

We demonstrate that it is possible to filter an image with an elliptic window of varying size, elongation and orientation with a fixed computational cost per pixel. Our method involves the application of a suitable global pre-integrator followed by a pointwise-adaptive localization mesh. We present the basic theory for the 1D case using a B-spline formalism and then appropriately extend it to 2D using radially-uniform box splines. The size and ellipticity of these radially-uniform box splines is adaptively controlled. Moreover, they converge to Gaussians as the order increases. Finally, we present a fast and practical directional filtering algorithm that has the capability of adapting to the local image features.Comment: 9 pages, 1 figur

Fast space-variant elliptical filtering using box splines

The efficient realization of linear space-variant (non-convolution) filters is a challenging computational problem in image processing. In this paper, we demonstrate that it is possible to filter an image with a Gaussian-like elliptic window of varying size, elongation and orientation using a fixed number of computations per pixel. The associated algorithm, which is based on a family of smooth compactly supported piecewise polynomials, the radially-uniform box splines, is realized using pre-integration and local finite-differences. The radially-uniform box splines are constructed through the repeated convolution of a fixed number of box distributions, which have been suitably scaled and distributed radially in an uniform fashion. The attractive features of these box splines are their asymptotic behavior, their simple covariance structure, and their quasi-separability. They converge to Gaussians with the increase of their order, and are used to approximate anisotropic Gaussians of varying covariance simply by controlling the scales of the constituent box distributions. Based on the second feature, we develop a technique for continuously controlling the size, elongation and orientation of these Gaussian-like functions. Finally, the quasi-separable structure, along with a certain scaling property of box distributions, is used to efficiently realize the associated space-variant elliptical filtering, which requires O(1) computations per pixel irrespective of the shape and size of the filter.Comment: 12 figures; IEEE Transactions on Image Processing, vol. 19, 201