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Regularization and Interpolation o Positive Matrices
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DOI：10.1109/TAC.2017.2749258.png)
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Abstract
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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.
Keywords:
Multivariate interpolation
optimal transport
signal processing
time series analysis
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