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Least-Squares on the Real Symplectic Group

The present paper discusses the problem of least-squares over the real symplectic group of matrices Sp(2n,R)$. The least-squares problem may be extended from flat spaces to curved spaces by the notion of geodesic distance. The resulting non-linear minimization problem on manifold may be tackled by means of a gradient-descent algorithm tailored to the geometry of the space at hand. In turn, gradient steepest descent on manifold may be implemented through a geodesic-based stepping method. As the space Sp(2n,R) is a non-compact Lie group, it is convenient to endow it with a pseudo-Riemannian geometry. Indeed, a pseudo-Riemannian metric allows the computation of geodesic arcs and geodesic distances in closed form on Sp(2n,R).