Approximate Joint Diagonalization with Riemannian Optimization on the General Linear Group
Approximate Joint Diagonalization with Riemannian Optimization on the General Linear Group
We consider the classical problem of approximate joint diagonalization of matrices, which can be cast as an optimization problem on the general linear group. We propose a versatile Riemannian optimization framework for solving this problem---unifiying existing methods and creating new ones. We use two standard Riemannian metrics (left- and right-invariant …