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2011 • Conference Paper

Discrete regression methods on the cone of positive-definite matrices

Authors:
Boumal, Nicolas, Absil, Pierre-Antoine
Published in:
2011 IEEE International Conference on Acoustics, Speech and SignalProcessing (ICASSP)

We consider the problem of fitting a discrete curve to time-labeled data points on the set P n of all n-by-n symmetric positive-definite matrices. The quality of a curve is measured by a weighted sum of a term that penalizes its lack of fit to the data and a regularization term that penalizes speed and acceleration. The corresponding objective function depends on the choice of a Riemannian metric on P n. We consider the Euclidean metric, the Log-Euclidean metric and the affine-invariant metric. For each, we derive a numerical algorithm to minimize the objective function. We compare these in terms of reliability and speed, and we assess the visual appear ance of the solutions on examples for n = 2. Notably, we find that the Log-Euclidean and the affine-invariant metrics tend to yield similar-and sometimes identical-results, while the former allows for much faster and more reliable algorithms than the latter.

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