BURES-WASSERSTEIN MINIMIZING GEODESICS BETWEEN COVARIANCE MATRICES OF DIFFERENT RANKS

The set of covariance matrices equipped with the Bures-Wasserstein distance is the orbit space of the smooth, proper, and isometric action of the orthogonal group on the Euclidean space of square matrices. This construction induces a natural orbit stratification on covariance matrices, which is exactly the stratification by the rank. Thus, the strata are the manifolds of symmetric positive semidefinite matrices of fixed rank endowed with the Bures-Wasserstein Riemannian metric. In this work, we study the geodesics of the Bures-Wasserstein distance. First, we complete the literature on geodesics in each stratum by clarifying the set of preimages of the exponential map and by specifying the injectivity domain. We also give explicit formulae of the horizontal lift, the exponential map, and the Riemannian logarithms that were kept implicit in previous works. Second, we give the expression of all the minimizing geodesic segments joining two covariance matrices of any rank. More precisely, we show that the set of all minimizing geodesics between two covariance matrices Sigma and Lambda is parametrized by the closed unit ball of R(k-r)x(l-r) for the spectral norm, where k, l, r are the respective ranks of Sigma, Lambda, Sigma Lambda. In particular, the minimizing geodesic is unique if and only if r = min(k, l). Otherwise, there are infinitely many. As a secondary contribution, we provide a review of the definitions related to geodesics in metric spaces, affine connection manifolds, and Riemannian manifolds, which is helpful for the study of other spaces.

Automated summary

This paper studies the geodesics of the Bures-Wasserstein distance on covariance matrices, including the properties of geodesics in each stratum and the minimizing geodesics joining two covariance matrices. Additionally, a review of the definitions related to geodesics is provided, which is helpful for the study of other spaces.