On the Sample Complexity of Subspace Learning

A large number of algorithms in machine learning, from principal component analysis (PCA), and its non-linear (kernel) extensions, to more recent spectral embedding and support estimation methods, rely on estimating a linear subspace from samples. In this paper we introduce a general formulation of this problem and derive novel learning error estimates. Our results rely on natural assumptions on the spectral properties of the covariance operator associated to the data distribu- tion, and hold for a wide class of metrics between subspaces. As special cases, we discuss sharp error estimates for the reconstruction properties of PCA and spectral support estimation. Key to our analysis is an operator theoretic approach that has broad applicability to spectral learning methods.Comment: Extendend Version of conference pape

Robust Geometry Estimation using the Generalized Voronoi Covariance Measure

The Voronoi Covariance Measure of a compact set K of R^d is a tensor-valued measure that encodes geometric information on K and which is known to be resilient to Hausdorff noise but sensitive to outliers. In this article, we generalize this notion to any distance-like function delta and define the delta-VCM. We show that the delta-VCM is resilient to Hausdorff noise and to outliers, thus providing a tool to estimate robustly normals from a point cloud approximation. We present experiments showing the robustness of our approach for normal and curvature estimation and sharp feature detection

Kernel methods for detecting coherent structures in dynamical data

We illustrate relationships between classical kernel-based dimensionality reduction techniques and eigendecompositions of empirical estimates of reproducing kernel Hilbert space (RKHS) operators associated with dynamical systems. In particular, we show that kernel canonical correlation analysis (CCA) can be interpreted in terms of kernel transfer operators and that it can be obtained by optimizing the variational approach for Markov processes (VAMP) score. As a result, we show that coherent sets of particle trajectories can be computed by kernel CCA. We demonstrate the efficiency of this approach with several examples, namely the well-known Bickley jet, ocean drifter data, and a molecular dynamics problem with a time-dependent potential. Finally, we propose a straightforward generalization of dynamic mode decomposition (DMD) called coherent mode decomposition (CMD). Our results provide a generic machine learning approach to the computation of coherent sets with an objective score that can be used for cross-validation and the comparison of different methods

Approximate Kernel PCA Using Random Features: Computational vs. Statistical Trade-off

Kernel methods are powerful learning methodologies that provide a simple way to construct nonlinear algorithms from linear ones. Despite their popularity, they suffer from poor scalability in big data scenarios. Various approximation methods, including random feature approximation have been proposed to alleviate the problem. However, the statistical consistency of most of these approximate kernel methods is not well understood except for kernel ridge regression wherein it has been shown that the random feature approximation is not only computationally efficient but also statistically consistent with a minimax optimal rate of convergence. In this paper, we investigate the efficacy of random feature approximation in the context of kernel principal component analysis (KPCA) by studying the trade-off between computational and statistical behaviors of approximate KPCA. We show that the approximate KPCA is both computationally and statistically efficient compared to KPCA in terms of the error associated with reconstructing a kernel function based on its projection onto the corresponding eigenspaces. Depending on the eigenvalue decay behavior of the covariance operator, we show that only $n^{2/3}$ features (polynomial decay) or $\sqrt{n}$ features (exponential decay) are needed to match the statistical performance of KPCA. We also investigate their statistical behaviors in terms of the convergence of corresponding eigenspaces wherein we show that only $\sqrt{n}$ features are required to match the performance of KPCA and if fewer than $\sqrt{n}$ features are used, then approximate KPCA has a worse statistical behavior than that of KPCA.Comment: 46 page