Efficiently updating a covariance matrix and its LDL decomposition.
Don MarchVandy TombsPublished in: CoRR (2020)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- mahalanobis distance
- multivariate gaussian
- correlation matrix
- objective function
- sample size
- eigendecomposition
- multivariate normal
- class conditional densities
- geometrical interpretation
- gaussian mixture
- eigenvalues and eigenvectors
- principal components
- pseudo inverse
- symmetric matrix
- computer vision
- low dimensional
- simulated annealing
- dimensionality reduction
- cma es
- feature extraction