An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices
If you use this code, please cite the following paper that contains the theory, the algorithm, and some experiments showing the performance of this model.
Yang, C. H., Doss, H., & Vemuri, B. C. (2020). An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices. arXiv preprint arXiv:2007.02153.
This research was in part funded by the NSF grant IIS-1724174, the NIH NINDS and NIA grant R01NS121099 to Vemuri, the NSF grant DMS-1854476 to Doss, the MOST grant 110-2118-M-002-005-MY3 and the NTU grant 111L7431 to Yang.
Pymanopt 2.0.0