Riemannian Langevin Monte Carlo schemes for sampling PSD matrices with fixed rank
Published in arXiv preprint, 2023
Constructs Langevin Monte Carlo schemes for sampling Gibbs measures on the manifold of PSD fixed-rank matrices in embedded and quotient (Bures–Wasserstein) geometries, with explicit manifold Brownian-motion corrections.
Recommended citation: T. Yu, S. Zheng, J. Lu, G. Menon, X. Zhang. (2023). "Riemannian Langevin Monte Carlo schemes for sampling PSD matrices with fixed rank." arXiv:2309.04072.
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