A fast iterative method to find the matrix geometric mean of two HPD matrices

Abstract

The purpose of this research is to present a novel scheme based on a quick iterative scheme for calculating the matrix geometric mean of two Hermitian positive definite (HPD) matrices. To do this, an iterative scheme with global convergence is constructed for the sign function using a novel three-step root-solver. It is proved that the new scheme is convergent and shown to have global convergence behavior for this target, when square matrices having no pure imaginary eigenvalues. Next, the constructed scheme is used and extended through a well-known identity for the calculation of the matrix geometric mean of two HPD matrices. Ultimately, several experiments are collected to show its usefulness.