2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information
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Paper Detail

Paper IDSPTM-7.1
Paper Title NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS IN STIEFEL MANIFOLDS VIA TANGENT SPACE PARAMETRIZATION
Authors Victor Solo, Zhichao Wang, University of New South Wales, Australia
SessionSPTM-7: Estimation Theory and Methods 1
LocationGather.Town
Session Time:Wednesday, 09 June, 13:00 - 13:45
Presentation Time:Wednesday, 09 June, 13:00 - 13:45
Presentation Poster
Topic Signal Processing Theory and Methods: [SSP] Statistical Signal Processing
IEEE Xplore Open Preview  Click here to view in IEEE Xplore
Abstract Stochastic differential equations (SDEs) evolving in Stiefel manifold have numerous applications in Science and Engineering. While numerical schemes for ordinary differential equations (ODEs) in Stiefel manifolds are reasonably well established, much less has been done for numerical SDEs schemes in Stiefel manifolds. A crucial challenge is to ensure that the trajectory remains on the manifold. But many existing SDE numerical schemes fail to do this. Here we achieve this by extending the so-called ’tangent space parameterization’ (TaSP) for ODEs to SDEs. In so doing we discover a previously missed constraint. We give simulations to illustrate the new numerical scheme.