STATISTICS ON THE STIEFEL MANIFOLD: THEORY AND APPLICATIONS

• 成果类型: Article
• 署名作者: Chakraborty, Rudrasis; Vemuri, Baba C.
• 署名单位: State University System of Florida; University of Florida
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/18-AOS1692
• 发表日期: 2019
• 页码: 415-438
• 关键词: center-of-mass; RIEMANNIAN-MANIFOLDS; distributions; uniqueness; geometry; SPACE

摘要

A Stiefel manifold of the compact type is often encountered in many fields of engineering including, signal and image processing, machine learning, numerical optimization and others. The Stiefel manifold is a Riemannian homogeneous space but not a symmetric space. In previous work, researchers have defined probability distributions on symmetric spaces and performed statistical analysis of data residing in these spaces. In this paper, we present original work involving definition of Gaussian distributions on a homogeneous space and show that the maximum-likelihood estimate of the location parameter of a Gaussian distribution on the homogeneous space yields the Frechet mean (FM) of the samples drawn from this distribution. Further, we present an algorithm to sample from the Gaussian distribution on the Stiefel manifold and recursively compute the FM of these samples. We also prove the weak consistency of this recursive FM estimator. Several synthetic and real data experiments are then presented, demonstrating the superior computational performance of this estimator over the gradient descent based nonrecursive counter part as well as the stochastic gradient descent based method prevalent in literature.