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Rank-preserving geometric means of positive semi-definite matrices

Bonnabel, S and Collard, A and Sepulchre, R (2013) Rank-preserving geometric means of positive semi-definite matrices. Linear Algebra and Its Applications, 438. pp. 3202-3216. ISSN 0024-3795

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Abstract

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.© 2012 Elsevier Inc. All rights reserved.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Control
Depositing User: Unnamed user with email sms67@cam.ac.uk
Date Deposited: 15 Dec 2015 12:54
Last Modified: 02 May 2016 07:22
DOI: 10.1016/j.laa.2012.12.009