Geometric Mean of Partial Positive Definite Matrices with Missing Entries

Abstract

In this paper the geometric mean of partial positive definite matrices with missing entries is considered. The weighted geometric mean of two sets of positive matrices is defined, and we show whether such a geometric mean holds certain properties which the weighted geometric mean of two positive definite matrices satisfies. Additionally, counterexamples demonstrate that certain properties do not hold. A Loewner order on partial Hermitian matrices is also defined. The known results for the maximum determinant positive completion are developed with an integral representation, and the results are applied to the weighted geometric mean of two partial positive definite matrices with missing entries. Moreover, a relationship between two positive definite completions is established with respect to their determinants, showing relationship between their entropy for a zero-mean,multivariate Gaussian distribution. Computational results as well as one application are shown.