Wasserstein Principal Component Analysis for Circular Measures

Abstract

We consider the 2-Wasserstein space of probability measures supported on the unit-circle, and propose a framework for Principal Component Analysis (PCA) for data living in such a space. We build on a detailed investigation of the optimal transportation problem for measures on the unit-circle which might be of independent interest. In particular, we derive an expression for optimal transport maps in (almost) closed form and propose an alternative definition of the tangent space at an absolutely continuous probability measure, together with the associated exponential and logarithmic maps. PCA is performed by mapping data on the tangent space at the Wasserstein barycentre, which we approximate via an iterative scheme, and for which we establish a sufficient a posteriori condition to assess its convergence. Our methodology is illustrated on several simulated scenarios and a real data analysis of measurements of optical nerve thickness