Symmetric positive definite matrices

Manifolds.SymmetricPositiveDefiniteType
SymmetricPositiveDefinite{N} <: AbstractEmbeddedManifold{ℝ,DefaultEmbeddingType}

The manifold of symmetric positive definite matrices, i.e.

\[\mathcal P(n) = \bigl\{ p ∈ ℝ^{n × n}\ \big|\ a^\mathrm{T}pa > 0 \text{ for all } a ∈ ℝ^{n}\backslash\{0\} \bigr\}\]

The tangent space at $T_p\mathcal P(n)$ reads

\[ T_p\mathcal P(n) = \bigl\{ X \in \mathbb R^{n×n} \big|\ X=X^\mathrm{T} \bigr\},\]

i.e. the set of symmetric matrices,

Constructor

SymmetricPositiveDefinite(n)

generates the manifold $\mathcal P(n) \subset ℝ^{n × n}$

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This manifold can – for example – be illustrated as ellipsoids: since the eigenvalues are all positive they can be taken as lengths of the axes of an ellipsoids while the directions are given by the eigenvectors.

An example set of data

The manifold can be equipped with different metrics

Common and metric independent functions

ManifoldsBase.check_pointMethod
check_point(M::SymmetricPositiveDefinite, p; kwargs...)

checks, whether p is a valid point on the SymmetricPositiveDefinite M, i.e. is a matrix of size (N,N), symmetric and positive definite. The tolerance for the second to last test can be set using the kwargs....

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ManifoldsBase.check_vectorMethod
check_vector(M::SymmetricPositiveDefinite, p, X; kwargs... )

Check whether X is a tangent vector to p on the SymmetricPositiveDefinite M, i.e. atfer check_point(M,p), X has to be of same dimension as p and a symmetric matrix, i.e. this stores tangent vetors as elements of the corresponding Lie group. The tolerance for the last test can be set using the kwargs....

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Default metric: the linear affine metric

Manifolds.LinearAffineMetricType
LinearAffineMetric <: AbstractMetric

The linear affine metric is the metric for symmetric positive definite matrices, that employs matrix logarithms and exponentials, which yields a linear and affine metric.

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This metric is also the default metric, i.e. any call of the following functions with P=SymmetricPositiveDefinite(3) will result in MetricManifold(P,LinearAffineMetric())and hence yield the formulae described in this seciton.

Base.expMethod
exp(M::SymmetricPositiveDefinite, p, X)
exp(M::MetricManifold{SymmetricPositiveDefinite{N},LinearAffineMetric}, p, X)

Compute the exponential map from p with tangent vector X on the SymmetricPositiveDefinite M with its default MetricManifold having the LinearAffineMetric. The formula reads

\[\exp_p X = p^{\frac{1}{2}}\operatorname{Exp}(p^{-\frac{1}{2}} X p^{-\frac{1}{2}})p^{\frac{1}{2}},\]

where $\operatorname{Exp}$ denotes to the matrix exponential.

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Base.logMethod
log(M::SymmetricPositiveDefinite, p, q)
log(M::MetricManifold{SymmetricPositiveDefinite,LinearAffineMetric}, p, q)

Compute the logarithmic map from p to q on the SymmetricPositiveDefinite as a MetricManifold with LinearAffineMetric. The formula reads

\[\log_p q = p^{\frac{1}{2}}\operatorname{Log}(p^{-\frac{1}{2}}qp^{-\frac{1}{2}})p^{\frac{1}{2}},\]

where $\operatorname{Log}$ denotes to the matrix logarithm.

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Manifolds.change_metricMethod
change_metric(M::SymmetricPositiveDefinite{n}, E::EuclideanMetric, p, X)

Given a tangent vector $X ∈ T_p\mathcal P(n)$ with respect to the EuclideanMetric g_E, this function changes into the LinearAffineMetric (default) metric on the SymmetricPositiveDefinite M.

To be precise we are looking for $c\colon T_p\mathcal P(n) \to T_p\mathcal P(n)$ such that for all $Y,Z ∈ T_p\mathcal P(n)$` it holds

\[⟨Y,Z⟩ = \operatorname{tr}(YZ) = \operatorname{tr}(p^{-1}c(Y)p^{-1}c(Z)) = g_p(c(Z),c(Y))\]

and hence $c(X) = pX$ is computed.

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Manifolds.change_representerMethod
change_representer(M::SymmetricPositiveDefinite, E::EuclideanMetric, p, X)

Given a tangent vector $X ∈ T_p\mathcal M$ representing a linear function on the tangent space at p with respect to the EuclideanMetric g_E, this is turned into the representer with respect to the (default) metric, the LinearAffineMetric on the SymmetricPositiveDefinite M.

To be precise we are looking for $Z∈T_p\mathcal P(n)$ such that for all $Y∈T_p\mathcal P(n)$` it holds

\[⟨X,Y⟩ = \operatorname{tr}(XY) = \operatorname{tr}(p^{-1}Zp^{-1}Y) = g_p(Z,Y)\]

and hence $Z = pXp$.

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ManifoldsBase.distanceMethod
distance(M::SymmetricPositiveDefinite, p, q)
distance(M::MetricManifold{SymmetricPositiveDefinite,LinearAffineMetric}, p, q)

Compute the distance on the SymmetricPositiveDefinite manifold between p and q, as a MetricManifold with LinearAffineMetric. The formula reads

\[d_{\mathcal P(n)}(p,q) = \lVert \operatorname{Log}(p^{-\frac{1}{2}}qp^{-\frac{1}{2}})\rVert_{\mathrm{F}}.,\]

where $\operatorname{Log}$ denotes the matrix logarithm and $\lVert\cdot\rVert_{\mathrm{F}}$ denotes the matrix Frobenius norm.

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ManifoldsBase.get_basisMethod
[Ξ,κ] = get_basis(M::SymmetricPositiveDefinite, p, B::DiagonalizingOrthonormalBasis)
[Ξ,κ] = get_basis(M::MetricManifold{SymmetricPositiveDefinite{N},LinearAffineMetric}, p, B::DiagonalizingOrthonormalBasis)

Return a orthonormal basis Ξ as a vector of tangent vectors (of length manifold_dimension of M) in the tangent space of p on the MetricManifold of SymmetricPositiveDefinite manifold M with LinearAffineMetric that diagonalizes the curvature tensor $R(u,v)w$ with eigenvalues κ and where the direction B.frame_direction has curvature 0.

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ManifoldsBase.vector_transport_toMethod
vector_transport_to(M::SymmetricPositiveDefinite, p, X, q, ::ParallelTransport)
vector_transport_to(M::MetricManifold{SymmetricPositiveDefinite,LinearAffineMetric}, p, X, y, ::ParallelTransport)

Compute the parallel transport of X from the tangent space at p to the tangent space at q on the SymmetricPositiveDefinite as a MetricManifold with the LinearAffineMetric. The formula reads

\[\mathcal P_{q←p}X = p^{\frac{1}{2}} \operatorname{Exp}\bigl( \frac{1}{2}p^{-\frac{1}{2}}\log_p(q)p^{-\frac{1}{2}} \bigr) p^{-\frac{1}{2}}X p^{-\frac{1}{2}} \operatorname{Exp}\bigl( \frac{1}{2}p^{-\frac{1}{2}}\log_p(q)p^{-\frac{1}{2}} \bigr) p^{\frac{1}{2}},\]

where $\operatorname{Exp}$ denotes the matrix exponential and log the logarithmic map on SymmetricPositiveDefinite (again with respect to the LinearAffineMetric).

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The log Euclidean metric

Manifolds.LogEuclideanMetricType
LogEuclideanMetric <: RiemannianMetric

The LogEuclidean Metric consists of the Euclidean metric applied to all elements after mapping them into the Lie Algebra, i.e. performing a matrix logarithm beforehand.

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ManifoldsBase.distanceMethod
distance(M::MetricManifold{SymmetricPositiveDefinite{N},LogEuclideanMetric}, p, q)

Compute the distance on the SymmetricPositiveDefinite manifold between p and q as a MetricManifold with LogEuclideanMetric. The formula reads

\[ d_{\mathcal P(n)}(p,q) = \lVert \operatorname{Log} p - \operatorname{Log} q \rVert_{\mathrm{F}}\]

where $\operatorname{Log}$ denotes the matrix logarithm and $\lVert\cdot\rVert_{\mathrm{F}}$ denotes the matrix Frobenius norm.

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log Cholesky metric

Base.expMethod
exp(M::MetricManifold{SymmetricPositiveDefinite,LogCholeskyMetric}, p, X)

Compute the exponential map on the SymmetricPositiveDefinite M with LogCholeskyMetric from p into direction X. The formula reads

\[\exp_p X = (\exp_y W)(\exp_y W)^\mathrm{T}\]

where $\exp_xW$ is the exponential map on CholeskySpace, $y$ is the cholesky decomposition of $p$, $W = y(y^{-1}Xy^{-\mathrm{T}})_\frac{1}{2}$, and $(\cdot)_\frac{1}{2}$ denotes the lower triangular matrix with the diagonal multiplied by $\frac{1}{2}$.

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Base.logMethod
log(M::MetricManifold{SymmetricPositiveDefinite,LogCholeskyMetric}, p, q)

Compute the logarithmic map on SymmetricPositiveDefinite M with respect to the LogCholeskyMetric emanating from p to q. The formula can be adapted from the CholeskySpace as

\[\log_p q = xW^{\mathrm{T}} + Wx^{\mathrm{T}},\]

where $x$ is the cholesky factor of $p$ and $W=\log_x y$ for $y$ the cholesky factor of $q$ and the just mentioned logarithmic map is the one on CholeskySpace.

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ManifoldsBase.distanceMethod
distance(M::MetricManifold{SymmetricPositiveDefinite,LogCholeskyMetric}, p, q)

Compute the distance on the manifold of SymmetricPositiveDefinite nmatrices, i.e. between two symmetric positive definite matrices p and q with respect to the LogCholeskyMetric. The formula reads

\[d_{\mathcal P(n)}(p,q) = \sqrt{ \lVert ⌊ x ⌋ - ⌊ y ⌋ \rVert_{\mathrm{F}}^2 + \lVert \log(\operatorname{diag}(x)) - \log(\operatorname{diag}(y))\rVert_{\mathrm{F}}^2 }\ \ ,\]

where $x$ and $y$ are the cholesky factors of $p$ and $q$, respectively, $⌊\cdot⌋$ denbotes the strictly lower triangular matrix of its argument, and $\lVert\cdot\rVert_{\mathrm{F}}$ the Frobenius norm.

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ManifoldsBase.innerMethod
inner(M::MetricManifold{LogCholeskyMetric,ℝ,SymmetricPositiveDefinite}, p, X, Y)

Compute the inner product of two matrices X, Y in the tangent space of p on the SymmetricPositiveDefinite manifold M, as a MetricManifold with LogCholeskyMetric. The formula reads

\[ g_p(X,Y) = ⟨a_z(X),a_z(Y)⟩_z,\]

where $⟨\cdot,\cdot⟩_x$ denotes inner product on the CholeskySpace, $z$ is the cholesky factor of $p$, $a_z(W) = z (z^{-1}Wz^{-\mathrm{T}})_{\frac{1}{2}}$, and $(\cdot)_\frac{1}{2}$ denotes the lower triangular matrix with the diagonal multiplied by $\frac{1}{2}$

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ManifoldsBase.vector_transport_toMethod
vector_transport_to(
    M::MetricManifold{SymmetricPositiveDefinite,LogCholeskyMetric},
    p,
    X,
    q,
    ::ParallelTransport,
)

Parallel transport the tangent vector X at p along the geodesic to q with respect to the SymmetricPositiveDefinite manifold M and LogCholeskyMetric. The parallel transport is based on the parallel transport on CholeskySpace: Let $x$ and $y$ denote the cholesky factors of p and q, respectively and $W = x(x^{-1}Xx^{-\mathrm{T}})_\frac{1}{2}$, where $(\cdot)_\frac{1}{2}$ denotes the lower triangular matrix with the diagonal multiplied by $\frac{1}{2}$. With $V$ the parallel transport on CholeskySpace from $x$ to $y$. The formula hear reads

\[\mathcal P_{q←p}X = yV^{\mathrm{T}} + Vy^{\mathrm{T}}.\]

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Statistics

Literature

  • Lin2019

    Lin, Zenhua: "Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition", arXiv: 1908.09326.