Riemannian Metric and Geometric Mean for Positive Semidefinite Matrices of Fixed Rank

This paper introduces a new metric and mean on the set of positive semidefinite matrices of fixed-rank. The proposed metric is derived from a well-chosen Riemannian quotient geometry that generalizes the reductive geometry of the positive cone and the associated natural metric. The resulting Riemannian space has strong geometrical properties: it is geodesically complete, and the metric is invariant with respect to all transformations that preserve angles (orthogonal transformations, scalings, and pseudoinversion). A meaningful approximation of the associated Riemannian distance is proposed, that can be efficiently numerically computed via a simple algorithm based on SVD. The induced mean preserves the rank, possesses the most desirable characteristics of a geometric mean, and is easy to compute.Comment: the present version is very close to the published one. It contains some corrections with respect to the previous arxiv submssio

Rank-preserving geometric means of positive semi-definite matrices

The generalization of the geometric mean of positive scalars to positive definite matrices has attracted considerable attention since the seminal work of Ando. The paper generalizes this framework of matrix means by proposing the definition of a rank-preserving mean for two or an arbitrary number of positive semi-definite matrices of fixed rank. The proposed mean is shown to be geometric in that it satisfies all the expected properties of a rank-preserving geometric mean. The work is motivated by operations on low-rank approximations of positive definite matrices in high-dimensional spaces.Comment: To appear in Linear Algebra and its Application

Regression on fixed-rank positive semidefinite matrices: a Riemannian approach

The paper addresses the problem of learning a regression model parameterized by a fixed-rank positive semidefinite matrix. The focus is on the nonlinear nature of the search space and on scalability to high-dimensional problems. The mathematical developments rely on the theory of gradient descent algorithms adapted to the Riemannian geometry that underlies the set of fixed-rank positive semidefinite matrices. In contrast with previous contributions in the literature, no restrictions are imposed on the range space of the learned matrix. The resulting algorithms maintain a linear complexity in the problem size and enjoy important invariance properties. We apply the proposed algorithms to the problem of learning a distance function parameterized by a positive semidefinite matrix. Good performance is observed on classical benchmarks

The geometry of low-rank Kalman filters

An important property of the Kalman filter is that the underlying Riccati flow is a contraction for the natural metric of the cone of symmetric positive definite matrices. The present paper studies the geometry of a low-rank version of the Kalman filter. The underlying Riccati flow evolves on the manifold of fixed rank symmetric positive semidefinite matrices. Contraction properties of the low-rank flow are studied by means of a suitable metric recently introduced by the authors.Comment: Final version published in Matrix Information Geometry, pp53-68, Springer Verlag, 201

Building Deep Networks on Grassmann Manifolds

Learning representations on Grassmann manifolds is popular in quite a few visual recognition tasks. In order to enable deep learning on Grassmann manifolds, this paper proposes a deep network architecture by generalizing the Euclidean network paradigm to Grassmann manifolds. In particular, we design full rank mapping layers to transform input Grassmannian data to more desirable ones, exploit re-orthonormalization layers to normalize the resulting matrices, study projection pooling layers to reduce the model complexity in the Grassmannian context, and devise projection mapping layers to respect Grassmannian geometry and meanwhile achieve Euclidean forms for regular output layers. To train the Grassmann networks, we exploit a stochastic gradient descent setting on manifolds of the connection weights, and study a matrix generalization of backpropagation to update the structured data. The evaluations on three visual recognition tasks show that our Grassmann networks have clear advantages over existing Grassmann learning methods, and achieve results comparable with state-of-the-art approaches.Comment: AAAI'18 pape

Manifold interpolation and model reduction

One approach to parametric and adaptive model reduction is via the interpolation of orthogonal bases, subspaces or positive definite system matrices. In all these cases, the sampled inputs stem from matrix sets that feature a geometric structure and thus form so-called matrix manifolds. This work will be featured as a chapter in the upcoming Handbook on Model Order Reduction (P. Benner, S. Grivet-Talocia, A. Quarteroni, G. Rozza, W.H.A. Schilders, L.M. Silveira, eds, to appear on DE GRUYTER) and reviews the numerical treatment of the most important matrix manifolds that arise in the context of model reduction. Moreover, the principal approaches to data interpolation and Taylor-like extrapolation on matrix manifolds are outlined and complemented by algorithms in pseudo-code.Comment: 37 pages, 4 figures, featured chapter of upcoming "Handbook on Model Order Reduction