Interpolating transformation matrices

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I read not to interpolate transformation matrices by linearly interpolating. Can someone explain to me why interpolating transformation matrices by linearly interpolating the matrix components is a bad idea?

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It's because their linear combination can fall out of the group of transformation. For example, $I$ and $-I$ are members of the orthogonal group but $\frac{1}{2}I+\frac{1}{2}(-I)$ is clearly not. You would need to find a path on the group manifold connecting the two elements. Think of connecting two points on sphere by a straight line.