Elliptope

Elliptope{N,K} <: AbstractEmbeddedManifold{ℝ,DefaultIsometricEmbeddingType}

The Elliptope manifold, also known as the set of correlation matrices, consists of all symmetric positive semidefinite matrices of rank $k$ with unit diagonal, i.e.,

And this manifold is working solely on the matrices $q$. Note that this $q$ is not unique, indeed for any orthogonal matrix $A$ we have $(qA)(qA)^{\mathrm{T}} = qq^{\mathrm{T}} = p$, so the manifold implemented here is the quotient manifold. The unit diagonal translates to unit norm columns of $q$.

The tangent space at $p$, denoted $T_p\mathcal E(n,k)$, is also represented by matrices $Y\in ℝ^{n × k}$ and reads as

endowed with the Euclidean metric from the embedding, i.e. from the $ℝ^{n × k}$

This manifold was for example investigated in^{[JourneeBachAbsilSepulchre2010]}.

Constructor

Elliptope(n,k)

generates the manifold $\mathcal E(n,k) \subset ℝ^{n × n}$.

check_manifold_point(M::Elliptope, q; kwargs...)

checks, whether q is a valid reprsentation of a point $p=qq^{\mathrm{T}}$ on the Elliptope M, i.e. is a matrix of size (N,K), such that $p$ is symmetric positive semidefinite and has unit trace. Since by construction $p$ is symmetric, this is not explicitly checked. Since $p$ is by construction positive semidefinite, this is not checked. The tolerances for positive semidefiniteness and unit trace can be set using the kwargs....

check_tangent_vector(M::Elliptope, q, Y; check_base_point = true, kwargs... )

Check whether $X = qY^{\mathrm{T}} + Yq^{\mathrm{T}}$ is a tangent vector to $p=qq^{\mathrm{T}}$ on the Elliptope M, i.e. atfer check_manifold_point of q, Y has to be of same dimension as q and a $X$ has to be a symmetric matrix with zero diagonal. The optional parameter check_base_point indicates, whether to call check_manifold_point for q. The tolerance for the base point check and zero diagonal can be set using the kwargs.... Note that symmetric of $X$ holds by construction an is not explicitly checked.

manifold_dimension(M::Elliptope)

returns the dimension of Elliptope M$=\mathcal E(n,k), n,k ∈ ℕ$, i.e.

project(M::Elliptope, q)

project q onto the manifold Elliptope M, by normalizing the rows of q.

project(M::Elliptope, q, Y)

Project Y onto the tangent space at q, i.e. row-wise onto the oblique manifold.

representation_size(M::Elliptope)

Return the size of an array representing an element on the Elliptope manifold M, i.e. $n × k$, the size of such factor of $p=qq^{\mathrm{T}}$ on $\mathcal M = \mathcal E(n,k)$.

retract(M::Elliptope, q, Y, ::ProjectionRetraction)

compute a projection based retraction by projecting $q+Y$ back onto the manifold.

vector_transport_to(M::Elliptope, p, X, q)

transport the tangent vector X at p to q by projecting it onto the tangent space at q.

zero_tangent_vector(M::Elliptope,p)

returns the zero tangent vector in the tangent space of the symmetric positive definite matrix p on the Elliptope manifold M.