Bundle-based similarity measurement for positive semidefinite matrices

Positive semidefinite (PSD) matrices are indispensable in many fields of science. A similarity measurement for such matrices is usually an essential ingredient in the mathematical modelling of a scientific problem. This paper proposes a unified framework to construct similarity measurements for PSD matrices. The framework is obtained by exploring the fiber bundle structure of the cone of PSD matrices and generalizing the idea of the point-set distance previously developed for linear subsapces and positive definite (PD) matrices. The framework demonstrates both theoretical advantages and computational convenience: (1) We prove that the similarity measurement constructed by the framework can be recognized either as the cost of a parallel transport or as the length of a quasi-geodesic curve. (2) We extend commonly used divergences for equidimensional PD matrices to the non-equidimensional case. Examples include Kullback-Leibler divergence, Bhattacharyya divergence and R\'enyi divergence. We prove that these extensions enjoy the same consistency property as their counterpart for geodesic distance. (3) We apply our geometric framework to further extend those in (2) to similarity measurements for arbitrary PSD matrices. We also provide simple formulae to compute these similarity measurements in most situations.