Regularization and Interpolation of Positive Matrices

Kaoru Yamamoto, Yongxin Chen, Lipeng Ning, Tryphon T. Georgiou, Allen Tannenbaum

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

We construct certain matricial analogues of mass transport for positive-definite matrices of equal trace. The framework aims to devise ways of interpolating positive-definite matrices that tradeoff between 'aligning up their eigenstructure' and 'scaling the corresponding eigenvalues.' Motivation for the work is provided by power spectral analysis of multivariate time series where linear interpolation between matrix-valued power spectra generates push-pop unrealistic and undesirable artifacts.

Original languageEnglish
Pages (from-to)1208-1212
Number of pages5
JournalIEEE Transactions on Automatic Control
Volume63
Issue number4
DOIs
Publication statusPublished - Apr 2018
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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