Estimating 3-D Rigid Body Transformations: a Comparison of Four Major Algorithms

Total Page:16

File Type:pdf, Size:1020Kb

Estimating 3-D Rigid Body Transformations: a Comparison of Four Major Algorithms Machine Vision and Applications (1997) 9: 272–290 Machine Vision and Applications c Springer-Verlag 1997 Estimating 3-D rigid body transformations: a comparison of four major algorithms D.W. Eggert1, A. Lorusso2, R.B. Fisher3 1 Department of Computer Science, University of New Haven, West Haven, CT 06516, USA, e-mail: [email protected] 2 Department of Artificial Intelligence, University of Edinburgh, Edinburgh EH1 2QL, Scotland, UK, e-mail: [email protected] 3 Department of Artificial Intelligence, University of Edinburgh, Edinburgh EH1 2QL, Scotland, UK, e-mail: [email protected] Abstract. A common need in machine vision is to com- A recent survey by Sabata and Aggarwal (1991) lists a pute the 3-D rigid body transformation that aligns two sets large number of methods that have been developed to com- of points for which correspondence is known. A compara- pute the 3-D rigid body transformation between two sets tive analysis is presented here of four popular and efficient of corresponded features. These techniques are categorized algorithms, each of which computes the translational and ro- based on feature type (surfaces, lines or points) and general tational components of the transform in closed form, as the solution method (iterative vs closed form). Point features solution to a least squares formulation of the problem. They are the most commonly used in practice. Closed form so- differ in terms of the transformation representation used and lutions are generally superior to iterative methods, in terms the mathematical derivation of the solution, using respec- of efficiency and robustness, because the latter suffer from tively singular value decomposition or eigensystem compu- the problems of not guaranteeing convergence, becoming tation based on the standard [R; T] representation, and the trapped in local minima of the error function and requir- eigensystem analysis of matrices derived from unit and dual ing a good starting estimate. For these reasons, this pa- quaternion forms of the transform. This comparison presents per compares only a subset of the approaches mentioned both qualitative and quantitative results of several experi- in the indicated survey: closed form solutions involving cor- ments designed to determine (1) the accuracy and robust- responded point sets. The problem of determining point cor- ness of each algorithm in the presence of different levels of respondence, itself an active research area, is not addressed noise, (2) the stability with respect to degenerate data sets, here. and (3) relative computation time of each approach under Four popular and efficient solutions are compared in this different conditions. The results indicate that under “ideal” paper. These differ according to the representations used for data conditions (no noise) certain distinctions in accuracy the transformation components, and in the ways they mini- and stability can be seen. But for “typical, real-world” noise mize a criterion function. The first solution was developed levels, there is no difference in the robustness of the final by Arun et al. (1987) and is based on computing the sin- solutions (contrary to certain previously published results). gular value decomposition (SVD) of a matrix derived from Efficiency, in terms of execution time, is found to be highly the standard [R; T] representation. A similar approach, but dependent on the computer system setup. based on exploiting the orthonormal properties of the ro- tation matrix, computes the eigensystem of a different de- Key words: Motion analysis – 3-D rigid transformations – rived matrix, as presented by Horn et al. (1988). The third Pose estimation algorithm, also developed by Horn (1987), involves com- puting the eigensystem of a matrix related to representing the rotational component as a unit quaternion. Yet another eigensystem is analyzed when the translation and rotation components are represented using dual quaternions, as pre- 1 Introduction sented in the fourth technique by Walker et al. (1991). Determining the relationship between two coordinate sys- The comparison conducted here consists of three parts. tems through the use of sets of corresponded feature mea- First, the absolute accuracy of each algorithm is determined surements is known as the absolute orientation problem.It using ground truth under noiseless conditions, and then ro- has numerous applications in the areas of photogrammetry, bustness is measured as the coordinates of corresponding robotics (constructing world models), object motion analysis, points are corrupted with increasing amounts of noise. Sec- relating a camera coordinate system to others (the hand-eye ond, the stability of the algorithms is quantified by finding transform), as well as estimating the position and orientation the breakdown limits as the original 3-D point sets degen- of a recognized object (pose estimation). erate into such forms as a plane, a line and a single point. Lastly, the relative efficiency of the algorithms, in terms of Correspondence to: D.W. Eggert 273 actual execution time, is reported for the above situations. 3.1 The singular value decomposition of a matrix Conclusions based on these results should make the choice of an appropriate algorithm for a given application easier This first method was developed by Arun et al. (1987), and and more reliable. was originally designed to explicitly minimize Eq. 2. 2 Previous comparisons 3.1.1 Transformation representation The review by Sabata and Aggarwal (1991), while quite For this approach, the rotation is represented using a standard broad in the number of techniques described, unfortunately 3 3 orthonormal matrix. Translation is a 3-D vector, as in only presents a qualitative summary and comparison of these Eq.× 1. techniques (also, the dual quaternion method was devel- oped after this survey). Quantitative results which would help answer the question, “Which is the best?”, were not 3.1.2 Calculating rotation given. However, in the defining papers of these approaches there appear certain quantitative results and qualitative as- As a consequence of the least-squares solution to Eq. 2, the sessments of accuracy and speed, including the following. point sets di and mi should have the same centroid. Arun et al. observed that “the computer time require- Using this{ constraint} { a new} equation can be generated. By ments for the SVD and (unit) quaternion algorithms are com- defining: parable” (1987, p. 700). In a paper not directly related to any of the methods, Zhang implemented both of the quaternion 1 N d¯ = di dc = di d¯ algorithms and found that “they yield exactly the same mo- N i − tion estimate” (1994, p. 124). Also, he found these two tech- i=1 X (3) niques to be more efficient than an iterative technique based N on the extended Kalman filter that he developed. Finally, 1 m¯ = mi mc = mi m¯ Walker et al. stated that “the two algorithms produce the N i − i=1 same rotation errors ... for the translation errors, the DQ al- X gorithm exhibits better performance than the SVD algorithm Eq. 2 can be rewritten and reduced to: ... ” (1991, p. 364). The thorough and unbiased comparison N 2 2 presented here will clarify, extend (and even refute) some Σ = dc Rˆ mc k i − i k of these previous findings. i=1 X (4) N 3 Descriptions of the algorithms T T T = (d dc + m mc 2 d Rˆ mc ) ci i ci i − ci i i=1 Each of the four algorithms computes the solution to a sim- X ilar problem, which can be described as follows. Assume This equation is minimized when the last term is maximized, that there exist two corresponded point sets mi and di , which is equivalent to maximizing Trace(RHˆ ), where H is i =1:: N, such that they are related by: { } { } a correlation matrix defined by: di = R mi + T + Vi (1) N T H = mc d (5) where R is a standard 3 3 rotation matrix, T is a 3-D i ci × i=1 translation vector and Vi a noise vector. Solving for the op- X timal transformation [Rˆ , Tˆ ] that maps the set mi onto di If the singular value decomposition of H is given by H = typically requires minimizing a least squares{ error} criterion{ } UΛV T, then the optimal rotation matrix, Rˆ , that maximizes given by: the desired trace is N Rˆ = VUT (6) 2 2 Σ = di Rˆ mi Tˆ (2) k − − k Note: minimizing Eq. 4 is also known as the orthogonal Pro- i=1 X crustes problem, the SVD-based solution of which has been It is true that if outliers exist in the data set (through known for some time (Schonemann 1966). [It has also been incorrect correspondences), this least squares solution is not shown by Goryn and Hein (1995) that the above solution optimal and other techniques should be used (Meer et al. holds in the case where both the model and data points have 1991). However, for the remainder of this paper we assume been corrupted by noise.] only correct correspondences exist. In the following sections, the basic steps involved in minimizing Eq. 2 are listed for each method in a common 3.1.3 Calculating translation framework. This includes exactly how the rotation and trans- lation components of the transformation are represented and The optimal translation aligns the centroid of the set di computed, as well as any special cases that must be consid- { } with the rotated centroid of the set mi as mentioned ear- ered for a complete solution. (For complete derivations of lier. That is { } each technique, the reader is invited to consult the appropri- ate paper.) Tˆ = d¯ Rˆ m¯ (7) − 274 3.1.4 Special cases 3.2.3 Calculating translation ˆ When the determinant of R is +1, all is well. However, when The optimal translation Tˆ is computed using Eq.
Recommended publications
  • Solving the Multi-Way Matching Problem by Permutation Synchronization
    Solving the multi-way matching problem by permutation synchronization Deepti Pachauriy Risi Kondorx Vikas Singhy yUniversity of Wisconsin Madison xThe University of Chicago [email protected] [email protected] [email protected] http://pages.cs.wisc.edu/∼pachauri/perm-sync Abstract The problem of matching not just two, but m different sets of objects to each other arises in many contexts, including finding the correspondence between feature points across multiple images in computer vision. At present it is usually solved by matching the sets pairwise, in series. In contrast, we propose a new method, Permutation Synchronization, which finds all the matchings jointly, in one shot, via a relaxation to eigenvector decomposition. The resulting algorithm is both computationally efficient, and, as we demonstrate with theoretical arguments as well as experimental results, much more stable to noise than previous methods. 1 Introduction 0 Finding the correct bijection between two sets of objects X = fx1; x2; : : : ; xng and X = 0 0 0 fx1; x2; : : : ; xng is a fundametal problem in computer science, arising in a wide range of con- texts [1]. In this paper, we consider its generalization to matching not just two, but m different sets X1;X2;:::;Xm. Our primary motivation and running example is the classic problem of matching landmarks (feature points) across many images of the same object in computer vision, which is a key ingredient of image registration [2], recognition [3, 4], stereo [5], shape matching [6, 7], and structure from motion (SFM) [8, 9]. However, our approach is fully general and equally applicable to problems such as matching multiple graphs [10, 11].
    [Show full text]
  • Arxiv:1912.06217V3 [Math.NA] 27 Feb 2021
    ROUNDING ERROR ANALYSIS OF MIXED PRECISION BLOCK HOUSEHOLDER QR ALGORITHMS∗ L. MINAH YANG† , ALYSON FOX‡, AND GEOFFREY SANDERS‡ Abstract. Although mixed precision arithmetic has recently garnered interest for training dense neural networks, many other applications could benefit from the speed-ups and lower storage cost if applied appropriately. The growing interest in employing mixed precision computations motivates the need for rounding error analysis that properly handles behavior from mixed precision arithmetic. We develop mixed precision variants of existing Householder QR algorithms and show error analyses supported by numerical experiments. 1. Introduction. The accuracy of a numerical algorithm depends on several factors, including numerical stability and well-conditionedness of the problem, both of which may be sensitive to rounding errors, the difference between exact and finite precision arithmetic. Low precision floats use fewer bits than high precision floats to represent the real numbers and naturally incur larger rounding errors. Therefore, error attributed to round-off may have a larger influence over the total error and some standard algorithms may yield insufficient accuracy when using low precision storage and arithmetic. However, many applications exist that would benefit from the use of low precision arithmetic and storage that are less sensitive to floating-point round-off error, such as training dense neural networks [20] or clustering or ranking graph algorithms [25]. As a step towards that goal, we investigate the use of mixed precision arithmetic for the QR factorization, a widely used linear algebra routine. Many computing applications today require solutions quickly and often under low size, weight, and power constraints, such as in sensor formation, where low precision computation offers the ability to solve many problems with improvement in all four parameters.
    [Show full text]
  • Arxiv:1709.00765V4 [Cond-Mat.Stat-Mech] 14 Oct 2019
    Number of hidden states needed to physically implement a given conditional distribution Jeremy A. Owen,1 Artemy Kolchinsky,2 and David H. Wolpert2, 3, 4, ∗ 1Physics of Living Systems Group, Department of Physics, Massachusetts Institute of Technology, 400 Tech Square, Cambridge, MA 02139. 2Santa Fe Institute 3Arizona State University 4http://davidwolpert.weebly.com† (Dated: October 15, 2019) We consider the problem of how to construct a physical process over a finite state space X that applies some desired conditional distribution P to initial states to produce final states. This problem arises often in the thermodynamics of computation and nonequilibrium statistical physics more generally (e.g., when designing processes to implement some desired computation, feedback controller, or Maxwell demon). It was previously known that some conditional distributions cannot be implemented using any master equation that involves just the states in X. However, here we show that any conditional distribution P can in fact be implemented—if additional “hidden” states not in X are available. Moreover, we show that is always possible to implement P in a thermodynamically reversible manner. We then investigate a novel cost of the physical resources needed to implement a given distribution P : the minimal number of hidden states needed to do so. We calculate this cost exactly for the special case where P represents a single-valued function, and provide an upper bound for the general case, in terms of the nonnegative rank of P . These results show that having access to one extra binary degree of freedom, thus doubling the total number of states, is sufficient to implement any P with a master equation in a thermodynamically reversible way, if there are no constraints on the allowed form of the master equation.
    [Show full text]
  • On the Asymptotic Existence of Partial Complex Hadamard Matrices And
    Discrete Applied Mathematics 102 (2000) 37–45 View metadata, citation and similar papers at core.ac.uk brought to you by CORE On the asymptotic existence of partial complex Hadamard provided by Elsevier - Publisher Connector matrices and related combinatorial objects Warwick de Launey Center for Communications Research, 4320 Westerra Court, San Diego, California, CA 92121, USA Received 1 September 1998; accepted 30 April 1999 Abstract A proof of an asymptotic form of the original Goldbach conjecture for odd integers was published in 1937. In 1990, a theorem reÿning that result was published. In this paper, we describe some implications of that theorem in combinatorial design theory. In particular, we show that the existence of Paley’s conference matrices implies that for any suciently large integer k there is (at least) about one third of a complex Hadamard matrix of order 2k. This implies that, for any ¿0, the well known bounds for (a) the number of codewords in moderately high distance binary block codes, (b) the number of constraints of two-level orthogonal arrays of strengths 2 and 3 and (c) the number of mutually orthogonal F-squares with certain parameters are asymptotically correct to within a factor of 1 (1 − ) for cases (a) and (b) and to within a 3 factor of 1 (1 − ) for case (c). The methods yield constructive algorithms which are polynomial 9 in the size of the object constructed. An ecient heuristic is described for constructing (for any speciÿed order) about one half of a Hadamard matrix. ? 2000 Elsevier Science B.V. All rights reserved.
    [Show full text]
  • Triangular Factorization
    Chapter 1 Triangular Factorization This chapter deals with the factorization of arbitrary matrices into products of triangular matrices. Since the solution of a linear n n system can be easily obtained once the matrix is factored into the product× of triangular matrices, we will concentrate on the factorization of square matrices. Specifically, we will show that an arbitrary n n matrix A has the factorization P A = LU where P is an n n permutation matrix,× L is an n n unit lower triangular matrix, and U is an n ×n upper triangular matrix. In connection× with this factorization we will discuss pivoting,× i.e., row interchange, strategies. We will also explore circumstances for which A may be factored in the forms A = LU or A = LLT . Our results for a square system will be given for a matrix with real elements but can easily be generalized for complex matrices. The corresponding results for a general m n matrix will be accumulated in Section 1.4. In the general case an arbitrary m× n matrix A has the factorization P A = LU where P is an m m permutation× matrix, L is an m m unit lower triangular matrix, and U is an×m n matrix having row echelon structure.× × 1.1 Permutation matrices and Gauss transformations We begin by defining permutation matrices and examining the effect of premulti- plying or postmultiplying a given matrix by such matrices. We then define Gauss transformations and show how they can be used to introduce zeros into a vector. Definition 1.1 An m m permutation matrix is a matrix whose columns con- sist of a rearrangement of× the m unit vectors e(j), j = 1,...,m, in RI m, i.e., a rearrangement of the columns (or rows) of the m m identity matrix.
    [Show full text]
  • Think Global, Act Local When Estimating a Sparse Precision
    Think Global, Act Local When Estimating a Sparse Precision Matrix by Peter Alexander Lee A.B., Harvard University (2007) Submitted to the Sloan School of Management in partial fulfillment of the requirements for the degree of Master of Science in Operations Research at the MASSACHUSETTS INSTITUTE OF TECHNOLOGY June 2016 ○c Peter Alexander Lee, MMXVI. All rights reserved. The author hereby grants to MIT permission to reproduce and to distribute publicly paper and electronic copies of this thesis document in whole or in part in any medium now known or hereafter created. Author................................................................ Sloan School of Management May 12, 2016 Certified by. Cynthia Rudin Associate Professor Thesis Supervisor Accepted by . Patrick Jaillet Dugald C. Jackson Professor, Department of Electrical Engineering and Computer Science and Co-Director, Operations Research Center 2 Think Global, Act Local When Estimating a Sparse Precision Matrix by Peter Alexander Lee Submitted to the Sloan School of Management on May 12, 2016, in partial fulfillment of the requirements for the degree of Master of Science in Operations Research Abstract Substantial progress has been made in the estimation of sparse high dimensional pre- cision matrices from scant datasets. This is important because precision matrices underpin common tasks such as regression, discriminant analysis, and portfolio opti- mization. However, few good algorithms for this task exist outside the space of L1 penalized optimization approaches like GLASSO. This thesis introduces LGM, a new algorithm for the estimation of sparse high dimensional precision matrices. Using the framework of probabilistic graphical models, the algorithm performs robust covari- ance estimation to generate potentials for small cliques and fuses the local structures to form a sparse yet globally robust model of the entire distribution.
    [Show full text]
  • Mata Glossary of Common Terms
    Title stata.com Glossary Description Commonly used terms are defined here. Mata glossary arguments The values a function receives are called the function’s arguments. For instance, in lud(A, L, U), A, L, and U are the arguments. array An array is any indexed object that holds other objects as elements. Vectors are examples of 1- dimensional arrays. Vector v is an array, and v[1] is its first element. Matrices are 2-dimensional arrays. Matrix X is an array, and X[1; 1] is its first element. In theory, one can have 3-dimensional, 4-dimensional, and higher arrays, although Mata does not directly provide them. See[ M-2] Subscripts for more information on arrays in Mata. Arrays are usually indexed by sequential integers, but in associative arrays, the indices are strings that have no natural ordering. Associative arrays can be 1-dimensional, 2-dimensional, or higher. If A were an associative array, then A[\first"] might be one of its elements. See[ M-5] asarray( ) for associative arrays in Mata. binary operator A binary operator is an operator applied to two arguments. In 2-3, the minus sign is a binary operator, as opposed to the minus sign in -9, which is a unary operator. broad type Two matrices are said to be of the same broad type if the elements in each are numeric, are string, or are pointers. Mata provides two numeric types, real and complex. The term broad type is used to mask the distinction within numeric and is often used when discussing operators or functions.
    [Show full text]
  • The Use of the Vec-Permutation Matrix in Spatial Matrix Population Models Christine M
    Ecological Modelling 188 (2005) 15–21 The use of the vec-permutation matrix in spatial matrix population models Christine M. Hunter∗, Hal Caswell Biology Department MS-34, Woods Hole Oceanographic Institution, Woods Hole, MA 02543, USA Abstract Matrix models for a metapopulation can be formulated in two ways: in terms of the stage distribution within each spatial patch, or in terms of the spatial distribution within each stage. In either case, the entries of the projection matrix combine demographic and dispersal information in potentially complicated ways. We show how to construct such models from a simple block-diagonal formulation of the demographic and dispersal processes, using a special permutation matrix called the vec-permutation matrix. This formulation makes it easy to calculate and interpret the sensitivity and elasticity of λ to changes in stage- and patch-specific demographic and dispersal parameters. © 2005 Christine M. Hunter and Hal Caswell. Published by Elsevier B.V. All rights reserved. Keywords: Matrix population model; Spatial model; Metapopulation; Multiregional model; Dispersal; Movement; Sensitivity; Elasticity 1. Introduction If each local population is described by a stage- classified matrix population model (see Caswell, A spatial population model describes a finite set of 2001), a spatial matrix model describing the metapop- discrete local populations coupled by the movement ulation can be written as or dispersal of individuals. Human demographers call these multiregional populations (Rogers, 1968, 1995), n(t + 1) = An(t) (1) ecologists call them multisite populations (Lebreton, 1996) or metapopulations (Hanski, 1999). The dynam- The population vector, n, includes the densities of ics of metapopulations are determined by the patterns each stage in each local population (which we will of dispersal among the local populations and the de- refer to here as a patch).
    [Show full text]
  • Sparse Precision Matrix Estimation Via Lasso Penalized D-Trace Loss
    Biometrika (2014), 101,1,pp. 103–120 doi: 10.1093/biomet/ast059 Printed in Great Britain Advance Access publication 12 February 2014 Sparse precision matrix estimation via lasso penalized D-trace loss BY TENG ZHANG Department of Mathematics, Princeton University, Fine Hall, Washington Rd, Princeton, Downloaded from New Jersey 08544, U.S.A. [email protected] AND HUI ZOU http://biomet.oxfordjournals.org/ School of Statistics, University of Minnesota, 224 Church St SE, Minneapolis, Minnesota 55455, U.S.A. [email protected] SUMMARY We introduce a constrained empirical loss minimization framework for estimating high- dimensional sparse precision matrices and propose a new loss function, called the D-trace loss, for that purpose. A novel sparse precision matrix estimator is defined as the minimizer of the lasso at University of Minnesota,Walter Library Serial Processing on March 5, 2014 penalized D-trace loss under a positive-definiteness constraint. Under a new irrepresentability condition, the lasso penalized D-trace estimator is shown to have the sparse recovery property. Examples demonstrate that the new condition can hold in situations where the irrepresentability condition for the lasso penalized Gaussian likelihood estimator fails. We establish rates of con- vergence for the new estimator in the elementwise maximum, Frobenius and operator norms. We develop a very efficient algorithm based on alternating direction methods for computing the pro- posed estimator. Simulated and real data are used to demonstrate the computational efficiency of our algorithm and the finite-sample performance of the new estimator. The lasso penalized D-trace estimator is found to compare favourably with the lasso penalized Gaussian likelihood estimator.
    [Show full text]
  • An Efficient ADMM Algorithm for High Dimensional Precision Matrix
    An efficient ADMM algorithm for high dimensional precision matrix estimation via penalized quadratic loss Cheng Wang ∗a and Binyan Jiang yb aSchool of Mathematical Sciences, MOE-LSC,Shanghai Jiao Tong University, Shanghai 200240, China. bDepartment of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong. July 10, 2019 Abstract The estimation of high dimensional precision matrices has been a central topic in statistical learning. However, as the number of parameters scales quadratically with the dimension p, many state-of-the-art methods do not scale well to solve problems with a very large p. In this paper, we propose a very efficient algorithm for precision matrix estimation via penalized quadratic loss functions. Under the high dimension low sample size setting, the computation complexity of our al- gorithm is linear in both the sample size and the number of parameters. Such a computation complexity is in some sense optimal, as it is the same as the complex- ity needed for computing the sample covariance matrix. Numerical studies show that our algorithm is much more efficient than other state-of-the-art methods when the dimension p is very large. Key words and phrases: ADMM, High dimension, Penalized quadratic loss, Precision matrix. arXiv:1811.04545v2 [stat.CO] 9 Jul 2019 1 Introduction Precision matrices play an important role in statistical learning and data analysis. On the one hand, estimation of the precision matrix is oftentimes required in various sta- tistical analysis. On the other hand, under Gaussian assumptions, the precision matrix has been widely used to study the conditional independence among the random vari- ables.
    [Show full text]
  • Estimation of the Multivariate Normal Precision and Covariance Matrices in a Star-Shape Model*
    Ann. Inst. Statist. Math. Vol. 57, No. 3, 455-484 (2005) Q2005 The Institute of Statistical Mathematics ESTIMATION OF THE MULTIVARIATE NORMAL PRECISION AND COVARIANCE MATRICES IN A STAR-SHAPE MODEL* DONGCHU SUN AND XlAOQIAN SUN Department of Statistics, University of Missouri, Columbia, MO 65211, U.S.A. (Received March 31, 2004; revised September 27, 2004) Abstract. In this paper, we introduce the star-shape models, where the precision matrix ~t (the inverse of the covariance matrix) is structured by the special condi- tional independence. We want to estimate the precision matrix under entropy loss and symmetric loss. We show that the maximal likelihood estimator (MLE) of the precision matrix is biased. Based on the MLE, an unbiased estimate is obtained. We consider a type of Cholesky decomposition of Ft, in the sense that Ft = @~@, where is a lower triangular matrix with positive diagonal elements. A special group G, which is a subgroup of the group consisting all lower triangular matrices, is intro- duced. General forms of equivariant estimates of the covariance matrix and precision matrix are obtained. The invariant Haar measures on G, the reference prior, and the Jeffreys prior of @ are also discussed. We also introduce a class of priors of @, which includes all the priors described above. The posterior properties are discussed and the closed forms of Bayesian estimators are derived under either the entropy loss or the symmetric loss. We also show that the best equivariant estimators with respect to G is the special case of Bayesian estimators. Consequently, the MLE of the preci- sion matrix is inadmissible under either entropy or symmetric loss.
    [Show full text]
  • Iterative Algorithms for Large Stochastic Matrices
    View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Elsevier - Publisher Connector Iterative Algorithms for Large Stochastic Matrices Pierre Semal Philips Research Laboratory Au. Albert Einstein 4 B-1348 Louvain-la-Neuve, Belgium Dedicated to Gene Golub, Richard Varga, and David Young Submitted by Robert J. Plemmons ABSTRACT Markov chains have always constituted an efficient tool to model discrete systems. Many performance criteria for discrete systems can be derived from the steady-state probability vector of the associated Markov chain. However, the large size of the state space of the Markov chain often allows this vector to be determined by iterative methods only. Various iterative methods exist, but none can be proved a priori to be the best. In this paper, we propose a practical measure which allows the convergence rate of the various existing methods to be compared. This measure is an approxima- tion of the modulus of the second largest eigenvalue of the iteration matrix and can be determined a priori. The model of a queueing network is used as an example to compare the convergence of several iterative methods and to show the accuracy of the measure. 1. INTRODUCTION Markov chains have always constituted an efficient tool to model discrete systems. If the system can be completely characterized by a state variable, then its behavior is completely described by the matrix Q of transition probabilities between the possible values (states) of that state variable. Most of the performance measures of the system could then be derived from the steady-state vector x of that matrix Q.
    [Show full text]