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Poster
in
Workshop: Workshop on Distribution Shifts: Connecting Methods and Applications

Sorted eigenvalue comparison dEig: A simple alternative to dFID

Jiqing Wu · Viktor H Koelzer


Abstract: For i=1,2, let Si be the sample covariance of Zi with ni p-dimensional vectors. First, we theoretically justify an improved Fréchet Inception Distance (dFID) algorithm that replaces np.trace(sqrtm(S1S2)) with np.sqrt(eigvals(S1S2)).sum(). With the appearance of unsorted eigenvalues in the improved dFID, we are then motivated to propose sorted eigenvalue comparison (dEig) as a simple alternative: dEig(S1,S2)2=pj=1(λ1jλ2j)2, and λij is the j-th largest eigenvalue of Si. Second, we present two main takeaways for the improved dFID and proposed dEig . (i) dFID: The error bound for computing non-negative eigenvalues of diagonalizable S1S2 is reduced to O(ε)S1S1S2, along with reducing the run time by 25%. (ii) dEig: The error bound for computing non-negative eigenvalues of sample covariance Si is further tightened to O(ε)Si, with reducing 90% run time. Last, we discuss limitations and future work for dEig.

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