Distance between subspaces
1. Definition of distance between subspaces
How to describe the distance between subspaces? The canonical angles between subspaces can be used to define the distance between subspaces. And there are several equivalent ways to do this. Here I will talk is the definition used in the reference “Minimax sparse principal subspace estimation in high dimension”, which is based on the projection matrices of subpaces, because of the convenience to represent subspaces by there projector matrices.
Definition: Let
E
and
F
be d-dimensional subspaces of
Rp
with orthogonal projectors
E
and
for k=1,2,⋯,d and the angleoperator between E and F is the d×d matrix
2. Theory of the distance
Since the nonzero singular values of
E−F
are the nonzero singular values of
EF⊥
, each counted twice. (which is the Proposition 2.1 in “Minimax sparse principal subspace estimation in high dimension”). Thus
If we also assume that
VE
and
VF
are the orthogonal bases for subspaces
E
and
F
respectively. Then from the Proposition 2.2 in “Minimax sparse principal subspace estimation in high dimension”, we have
This is to say the distance between two subspaces is equivalent to the minimal distance between their orthogonal bases.
3. Conclusion of distance
Let
VE∈Vp,d
and
EF∈Vp,d
be two column orthogonal matrix, which is to say
EtE=FtF=Id
, with right rotation. Then the following is true,
4. Extension
If we assume that
VE
and
VF
span the d-dimensional principal subspaces
(E,F)
of
ΣE
and
ΣF
, then from the curvature lemma (lemma 4.2) given in “Minimax sparse principal subspace estimation in high dimension” , we have
Combining these together,
where
δ=min{λd(ΣE)−λd+1(ΣE),λd(ΣF)−λd+1(ΣF)}
from which , we know
Thus