Sparse Exact PGA on Riemannian Manifolds

Abstract

Principal Component Analysis (PCA) is a widely popular dimensionality reduction technique for vector-valued inputs. In the past decade, a nonlinear generalization of PCA, called the Principal Geodesic Analysis (PGA) was developed to tackle data that lie on a smooth manifold. PGA suffers from the same problem as PCA in that, in both the methods, each Principal Component (PC) is a linear combination of the original variables. This makes it very difficult to interpret the PCs especially in high dimensions. This lead to the introduction of sparse PCA (SPCA) in the vector-space input case. In this paper, we present a novel generalization of SPCA, called sparse exact PGA (SEPGA) that can cope with manifold-valued input data and respect the intrinsic geometry of the underlying manifold. Sparsity has the advantage of not only easy interpretability but also computational efficiency. We achieve this by formulating the PGA problem as a minimization of the projection error in conjunction with sparsity constraints enforced on the principal vectors post isomorphic mapping to R <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">m</sup> , where m is the dimension of the manifold on which the data reside. Further, for constant curvature smooth manifolds, we use analytic formulae for the projection error leading to an efficient solution to the SEPGA problem. We present extensive experimental results demonstrating the performance of SEPGA in achieving very good sparse principal components without sacrificing the accuracy of reconstruction. This makes SEPGA accurate and efficient in representing manifold-valued data.