Principal symmetric space analysis

Abstract

Principal Geodesic Analysis is a statistical technique that constructs low-dimensional approximations to data on Riemannian manifolds. It provides a generalization of principal components analysis to non-Euclidean spaces. The approximating submanifolds are geodesic at a reference point such as the intrinsic mean of the data. However, they are local methods as the approximation depends on the reference point and does not take into account the curvature of the manifold. Therefore, in this paper we develop a specialization of principal geodesic analysis, Principal Symmetric Space Analysis, based on nested sequences of totally geodesic submanifolds of symmetric spaces. The examples of spheres, Grassmannians, tori, and products of two-dimensional spheres are worked out in detail. The approximating submanifolds are geometrically the simplest possible, with zero exterior curvature at all points. They can deal with significant curvature and diverse topology. We show that in many cases the distance between a point and the submanifold can be computed analytically and there is a related metric that reduces the computation of principal symmetric space approximations to linear algebra.