A Majorization-Minimization Algorithm for the Karcher Mean of Positive Definite Matrices
Teng Zhang · arXiv (Cornell University) · 2013
A majorization-minimization (MM) algorithm for the Karcher mean of n p × p positive definite matrices is proposed and it is gauranteed to converge linearly. Simulations show that the MM algorithm performs faster than other current algorithms for the Karcher mean of positive definite matrices, including steepest descent, conjugate gradient descent and trust region methods. 1