Parallel transport on matrix manifolds and Exponential ActionDu Nguyen, Stefan Sommer
We express parallel transport for several common matrix Lie groups with a family of pseudo-Riemannian metrics in terms of matrix exponential and exponential actions. The metrics are constructed from a deformation of a bi-invariant metric and are naturally reductive. There is a similar picture for homogeneous spaces when taking quotients satisfying a general condition. In particular, for a Stiefel manifold of orthogonal matrices of size $n\times d$, we give an expression for parallel transport along a geodesic from time zero to $t$, that could be computed with time complexity of $O(n d^2)$ for small $t$, and of $O(td^3)$ for large $t$, contributing a step in a long-standing open problem in matrix manifolds. A similar result holds for {\it flag manifolds} with the canonical metric. We also show the parallel transport formulas for the {\it general linear group} and the {\it special orthogonal group} under these metrics.
Second-order differential operators, stochastic differential equations and Brownian motions on embedded manifoldsDu Nguyen, Stefan Sommer
We specify the conditions when a manifold M embedded in an inner product space E is an invariant manifold of a stochastic differential equation (SDE) on E, linking it with the notion of second-order differential operators on M. When M is given a Riemannian metric, we derive a simple formula for the Laplace-Beltrami operator in terms of the gradient and Hessian on E and construct the Riemannian Brownian motions on M as solutions of conservative Stratonovich and Ito SDEs on E. We derive explicitly the SDE for Brownian motions on several important manifolds in applications, including left-invariant matrix Lie groups using embedded coordinates. Numerically, we propose three simulation schemes to solve SDEs on manifolds. In addition to the stochastic projection method, to simulate Riemannian Brownian motions, we construct a second-order tangent retraction of the Levi-Civita connection using a given E-tubular retraction. We also propose the retractive Euler-Maruyama method to solve a SDE, taking into account the second-order term of a tangent retraction. We provide software to implement the methods in the paper, including Brownian motions of the manifolds discussed. We verify numerically that on several compact Riemannian manifolds, the long-term limit of Brownian simulation converges to the uniform distributions, suggesting a method to sample Riemannian uniform distributions