论文标题
低级结构椭圆模型的Riemannian框架
A Riemannian Framework for Low-Rank Structured Elliptical Models
论文作者
论文摘要
本文提出了一种原始的Riemmanian几何形状,用于低级结构椭圆形模型,即,当样品用具有低级别加身份结构的协方差矩阵椭圆形分布时。所考虑的几何形状是由Stiefel歧管的乘积和Hermitian积极确定的矩阵诱导的几何形状,该矩阵由单一群体构成。主要贡献之一是考虑一个原始的Riemannian指标,从而导致切线空间和大地测量学的新表示。从这种几何形状中,我们得出了一个新的Riemannian优化框架,以实现稳健的协方差估计,该框架可将其最大程度地减少到被考虑的商歧管上的流行泰勒的成本函数。我们还获得了一个新的发散函数,该函数被利用以定义商对商的几何误差度量,并得出了相应的内在cramér-rao下限。由于所选参数化的结构,我们进一步考虑了格拉斯曼歧管上的子空间估计误差,并提供了其内在的cramér-rao下限。我们的理论结果在一些数值实验上进行了说明,显示了提出的优化框架的兴趣,并且可以达到性能界限。
This paper proposes an original Riemmanian geometry for low-rank structured elliptical models, i.e., when samples are elliptically distributed with a covariance matrix that has a low-rank plus identity structure. The considered geometry is the one induced by the product of the Stiefel manifold and the manifold of Hermitian positive definite matrices, quotiented by the unitary group. One of the main contribution is to consider an original Riemannian metric, leading to new representations of tangent spaces and geodesics. From this geometry, we derive a new Riemannian optimization framework for robust covariance estimation, which is leveraged to minimize the popular Tyler's cost function on the considered quotient manifold. We also obtain a new divergence function, which is exploited to define a geometrical error measure on the quotient, and the corresponding intrinsic Cramér-Rao lower bound is derived. Thanks to the structure of the chosen parametrization, we further consider the subspace estimation error on the Grassmann manifold and provide its intrinsic Cramér-Rao lower bound. Our theoretical results are illustrated on some numerical experiments, showing the interest of the proposed optimization framework and that performance bounds can be reached.