Optional rotations, e.g. for optimal whitening. Practically, likely to involve matrix calculus e.g. to minimise a trace norm, e.g. Scott and Longuet-Higgins (1991).
A.k.a. sphereing.
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References
Congedo, Marco, Bijan Afsari, Alexandre Barachant, and Maher Moakher. 2015. “Approximate Joint Diagonalization and Geometric Mean of Symmetric Positive Definite Matrices.” PLOS ONE 10 (4): e0121423.
Kessy, Agnan, Alex Lewin, and Korbinian Strimmer. 2018. “Optimal Whitening and Decorrelation.” The American Statistician 72 (4): 309–14.
Li, Guoying, and Jian Zhang. 1998. “Sphering and Its Properties.” Sankhyā: The Indian Journal of Statistics, Series A (1961-2002) 60 (1): 119–33.
Scott, Guy L, and Hugh Christopher Longuet-Higgins. 1991. “An Algorithm for Associating the Features of Two Images.” Proceedings of the Royal Society of London. Series B: Biological Sciences 244 (1309): 21–26.
Vlaming, Ronald de, and Eric A. W. Slob. 2021. “Joint Approximate Diagonalization Under Orthogonality Constraints.” arXiv.
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