Transversality Conditions for Geodesics on the Statistical Manifold of Multivariate Gaussian Distributions.

Abstract

We consider the problem of finding the closest multivariate Gaussian distribution on a constraint surface of all Gaussian distributions to a given distribution. Previous research regarding geodesics on the multivariate Gaussian manifold has focused on finding closed-form, shortest-path distances between two fixed distributions on the manifold, often restricting the parameters to obtain the desired solution. We demonstrate how to employ the techniques of the calculus of variations with a variable endpoint to search for the closest distribution from a family of distributions generated via a constraint set on the parameter manifold. Furthermore, we examine the intermediate distributions along the learned geodesics which provide insight into uncertainty evolution along the paths. Empirical results elucidate our formulations, with visual illustrations concretely exhibiting dynamics of 1D and 2D Gaussian distributions.