We introduce and compare certain distance measures between covariance matrices. These originate in information theory, quantum mechanics and optimal transport. More specifically, we show that the Bures/Hellinger distance between covariance matrices coincides with the Wasserstein-2 distance between the corresponding Gaussian distributions. We also note that this Bures/Hellinger/Wasserstein distance can be expressed as the solution to a linear matrix inequality (LMI). A consequence of this fact is that the computational cost in covariance approximation problems scales nicely with the size of the matrices involved. We discuss the relevance of this metric in spectral-line detection and spectral morphing.

A fast algorithm, Accelerated Kernel Feature Analysis (AKFA), that discovers salient features evidenced in a sample of n unclassified patterns, is presented. Like earlier kernel-based feature selection algorithms, AKFA implicitly embeds each pattern into a Hilbert space, H, induced by a Mercer kernel. An \ell-dimensional linear subspace of H is iteratively constructed by maximizing a variance condition for the nonlinearly transformed sample. This linear subspace can then be used to define more efficient data representations and pattern classifiers. AKFA requires O(\elln2) operations, as compared to 0(n^3) for Sch¨olkof, Smola, and M¨uller’s Kernel Principal Component Analysis (KPCA), and O(\ell^2 n^2) for Smola, Mangasarian, and Sch¨olkopf’s Sparse Kernel Feature Analysis (SKFA). Numerical experiments show that AKFA can generate more concise feature representations than both KPCA and SKFA, and demonstrate that AKFA obtains similar classification performance as KPCA for a face recognition problem.