distance.py 文件源码

def distance_riemann(A, B):
    """Riemannian distance between two covariance matrices A and B.

    .. math::
            d = {\left( \sum_i \log(\lambda_i)^2 \\right)}^{-1/2}

    where :math:`\lambda_i` are the joint eigenvalues of A and B

    :param A: First covariance matrix
    :param B: Second covariance matrix
    :returns: Riemannian distance between A and B

    """
    return numpy.sqrt((numpy.log(eigvalsh(A, B))**2).sum())