The Johnson-Lindenstrauss (JL) lemma guarantees that a random projection of $n$ points to $m=O(\varepsilon^{-2}\log n)$ dimensions preserves pairwise squared distances within relative error $\varepsilon$ with high probability, and this dimension order is asymptotically optimal. In high dimensions, however, distances concentrate around a baseline while key geometric information lies in much smaller fluctuations. We show that the JL bound can therefore be uninformative about retained geometry: an independent Gaussian replacement map can satisfy it even though the replacement cloud is independent of the original data. We then ask how well any decoder can recover a feature $f(D)$ of a squared distance $D$ from a linear sketch. Under squared-error loss, the optimal decoder is conditional expectation, so recovery defines a linear operator whose singular values quantify feature recovery. For isotropic Gaussian data ($Σ=σ^2 I_d$), we diagonalize this operator in closed form. For fixed $k$ with $m,d-m\to\infty$, its $k$th singular value satisfies $\ell_k\approx(m/ d)^{k/2}$. This yields three sharp consequences. A rank-$m$ sketch retains at most an $m/d$ fraction of the variance of any feature of one squared distance. If $m\to\infty$ and $m/d\to0$, the expected Kendall correlation is $\frac{2}π\sqrt{m/d}(1+o(1))$; for fixed $q$, nearest- neighbor agreement tends to $1/q$. Yet one projection can satisfy the JL bound while mean Kendall correlation vanishes when $\log n\ll m\ll d$. After removing scale, Haar-averaged retained covariance-shape information is $(m/d)^2$. Thus JL distance preservation does not quantify the geometry available for comparison or inference.
Angle-encoded quantum kernels on tabular data collapse when the feature map is wider than the intrinsic dimension of the data. We propose the correlation fractal dimension D2 as an a priori qubit budget: encode D2 coordinates chosen by FD-ASE instead of the PCA-95% width or all E attributes. On nine data sets and a statevector simulator (n= 32), a one-layer ZZ fidelity kernel at q=D2 stays geometrically alive while the same kernel at the PCA-95% width has already collapsed. The budget is map-dependent: product-state and IQP maps overshoot it; a second ZZ layer undershoots it. Packed dense-angle and re-uploading encodings still live at the fractal q, but not when PCA-95% features are stacked onto those qubits. Shrinking the angle bandwidth moves the ZZ knee later; stretching it kills the kernel earlier. On IBM Quantum (ibm_fez, 256 shots, n=8) the one-layer ZZ kernel at the fractal width matches the exact kernel (MAE 0.021); past that width both hardware and simulator have collapsed. The ceiling is a property of the map-data pair at a stated bandwidth, not of the classical table alone.
Autoencoders are widely used for nonlinear dimensionality reduction and manifold learning. While most common implementations rely on both nonlinear encoders and decoders, we investigate the specific role of the encoder and the extent to which it can be constrained to be linear without reducing accuracy. We conduct a comparative study on four autoencoder architectures: standard fully nonlinear autoencoders (AE), linear-encoder autoencoders (Lenc-AE), linear-decoder autoencoders (Ldec-AE), and fully linear autoencoders (LAE), evaluated on synthetic manifolds, computational mechanics data sets, and real-world image data sets including MNIST. We demonstrate that imposing a linear encoder preserves most of the representational capacity of the autoencoder, provided the decoder remains nonlinear. In particular, Lenc-AE consistently outperforms both Ldec-AE and LAE, and achieves reconstruction quality comparable to fully nonlinear AE, while offering advantages in terms of parsimony and interpretability of the latent representation. These results suggest that the nonlinear decoder is the critical component for manifold learning, rather than the encoder. A geometric interpretation of this finding is developed, which identifies the precise conditions under which a linear encoder is sufficient, and the specific manifold configurations that expose its limitations.
Hidden coordinates are not uniquely determined by a language model's input--output function, so representation-derived measurements should be invariant to function-preserving changes of basis. This study shows that column-permutation parallel analysis violates function-preserving reparameterization invariance because its reference distribution and selected component count can change while the model function and observed covariance spectrum remain fixed. More generally, a data-internal reference procedure cannot simultaneously preserve every coordinate marginal, remain orthogonally equivariant, and remove cross-coordinate covariance. Empirically, across five models, three retrieval domains, and 75 transformations, median component-count disagreement is 0.79 and median fixed-threshold decision disagreement is 0.26. A centering-only control isolates the reference-driven effect, with 1,141 of 1,200 component counts changing despite an unchanged observed spectrum, whereas independent parallel analysis seeds change none of the corresponding decisions. By contrast, orthogonally invariant comparator scores remain numerically stable with similar held-out discrimination. Together, these results show that parallel analysis-derived component counts and decisions can reflect hidden-coordinate choice rather than a well-defined property of the model.
An intuitive method for dimensionality reduction is proposed, which is highly effective for finding interesting projections of multivariate data. Following similar intuitive motivation to a number of existing techniques, the proposed method is based on enhancing the nearest neighbour relationships in the data. The proposed projection arises from the spectral decomposition of a matrix designed to encode the local covariance structure in the data, where the local covariance at a point is captured by pairs of its nearest neighbours. We show that under standard regularity conditions this matrix is a consistent estimator of the so-called ``Density Information Matrix'' (DIM); a non-parametric analogue of the Fisher Information Matrix. Spectral decompositions of DIMs have been shown to be connected with the important problems of Independent Components Analysis and, in the supervised context, Sufficient Dimension Reduction. However, existing estimators of the DIM are computationally expensive to compute and only target the DIM of a surrogate density, which is proportional to the square of the true underlying density. In addition, we go on to explore the practical utility of our method in aiding the downstream tasks of cluster analysis and outlier detection.
Dimensionality-reduction (DR) methods are routinely judged by how well each point's k nearest neighbors survive the 2-D embedding (recall@k, trustworthiness, continuity). We argue this family is a biased measure of distance fidelity: its per-point variable radius and hard inclusion threshold favor neighbor-graph methods (t-SNE, UMAP) and penalize methods that preserve absolute distances. We instead score DR fidelity with a fixed-radius distance-band Shepard rho: the Spearman correlation between high-D and 2-D pairwise distances, restricted to cumulative distance bands so that near and global structure are reported separately, with every point judged on the same absolute radius. On synthetic datasets with known ground-truth geometry (non-uniform density, dense clusters, a closed-loop transition, off-subspace outliers, imbalanced two-population data) at realistic noise (SNR=1, D=768, N=1000), we benchmark eight methods -- PCA, Isomap, t-SNE, UMAP, PyMDE, PCC, DREAMS, and the closed-source toorPIA -- and show that (i) high global Shepard rho can coexist with a ~93x collapse of within-cluster scale, invisible to rank-based scores but obvious in a value-based over-compression metric; (ii) recall@k and the fixed-radius band disagree systematically, in the direction the bias predicts; (iii) a membership-restricted Shepard rho resolves single-point and minority-population questions that many-pair statistics cannot -- questions on which even DREAMS, a recent local-plus-global hybrid, fails silently. A supplementary out-of-sample (addplot) test asks whether a never-seen anomaly lands outside the normal region and whether its direction identifies its source. All metrics are computed exactly on all pairwise distances, independently of any method's internals, and every number is reproducible offline: the closed-source method's output coordinates (not its algorithm) are committed to the artifact.
Dimensionality reduction methods are instrumental to visualize high-dimensional data, and t-SNE stands as one of the most widely used methods due to its emphasis on local neighborhood preservation. A central component of t-SNE is the affinity matrix, which expresses pairwise similarities in the form of symmetrized probabilities, over which the optimization problem of t-SNE is defined. We study how the sharpness of this probability distribution affects neighborhood preservation at different scales. We introduce a row-wise power transform controlled by a parameter gamma that can smooth or sharpen each row of the affinity matrix while preserving sparsity and rank order. We show that this transform is equivalent to rescaling the Gaussian bandwidth and thus to changing the perplexity. However, as the sharpness of the probability distribution varies per point, a fixed gamma leads to point-dependent effective perplexities, making it distinct from changing the global perplexity. Empirically, we find that sharpening improves preservation of the very nearest neighbors, while smoothing improves preservation of broader local neighborhoods, outperforming alternative affinity constructions including multiscale methods in the mid-local range.
In this paper, we propose SHOPCA (Shape Operator-based Principal Component Analysis), a novel method for unsupervised metric learning and dimensionality reduction that incorporates differential geometric information into the covariance structure of classical PCA. SHOPCA regularizes the global covariance matrix using the mean shape operator, defined as the average of the absolute local shape operators estimated from the data manifold, steering principal components toward directions of both maximum variance and informative curvature. A single trace-normalized mixing coefficient $α$ controls the regularization, recovering standard PCA at $α= 0$ and a curvature-driven embedding as $α\to \infty$. We further introduce a fully unsupervised criterion for selecting $α$ based on the spectral eigengap of the regularized covariance matrix, maximizing the relative separation between the top-$d$ and remaining eigenvalues without using class labels. We evaluate SHOPCA on more than 50 real-world benchmark datasets, comparing it with PCA, ISOMAP, and UMAP using Adjusted Rand Index (ARI), Normalized Mutual Information (NMI), Fowlkes-Mallows index (FM), and V-measure. Results show that SHOPCA consistently improves clustering quality over PCA across a broad range of datasets and surpasses UMAP on small-sample settings, where iterative neighborhood-based manifold estimation can degrade. SHOPCA is computationally tractable, parameter-efficient, and applicable to domains requiring fully unsupervised, geometry-aware dimensionality reduction.
Factor-MIDAS regressions forecast a low-frequency target by extracting common factors from a large panel of high-frequency predictors via principal component analysis (PCA). While PCA mitigates the curse of dimensionality, it relies on factor pervasiveness, an assumption often violated when factors are weak, as is common in macro-financial forecasting. We propose SsPCA-MIDAS, which integrates supervised scaled PCA (SsPCA) into the mixed-data sampling framework. We establish consistency and asymptotic normality under weak factors, permitting inference on the prediction target. Simulations show that SsPCA-MIDAS outperforms competing PCA-based and supervised methods, especially when weak factors are prevalent. Applying machine-learning techniques such as boosting to the cleaner factors it extracts yields further gains. An extensive application to U.S. macro-financial forecasting shows that SsPCA-MIDAS selects economically meaningful predictors and improves forecasts of GDP, inflation, unemployment, asset prices, and volatility.
In a $β$-VAE, increasing the regularization strength acts as a spectral cutoff by collapsing low-utility latent coordinates. In the linear Gaussian VAE, the collapse order matches the ranking of reconstruction utilities exactly, because both are set by the PCA spectrum. We ask which parts of this picture survive in fully connected nonlinear VAEs trained on WorldClim. We find that nonlinear interactions shift and broaden collapse onsets, so thresholds no longer coincide exactly with utilities. However, the common ordering is preserved over the resolved ranks, so the spectral cutoff still acts as a utility cutoff and the effective-description logic carries through. The resulting effective-dimension curves reveal a head--tail tradeoff: increasing depth concentrates utility into the first few coordinates but worsens tail fidelity.
How can an analyst decide whether a nonlinear dimensionality reduction embedding can be trusted? Existing diagnostics provide only partial answers: projection glyphs characterize local sensitivity, map-continuity scores measure local conditioning, and transport-based analyses reveal path-dependent inconsistencies. However, these methods appear unrelated and provide no common framework for understanding when they agree or not. We show that they are all derived from a single geometric object induced by every differentiable embedding, whether defined implicitly through optimization or explicitly by a learned mapping. This framework provides two complementary geometric views of an embedding. The differential view explains local behavior: its first-order term recovers projection glyphs, while its second-order curvature quantifies how far their linear approximation remains reliable. The integral view follows the same geometry along high dimensional paths and determines whether an embedding depends only on the current state or also on the path taken to reach it. We further show that map-continuity is a prerequisite for the other analyses. The framework is theoretically complete for diagnostics derived from the embedding geometry, and we prove the integral view irreducible: no amount of local measurement at any number of points, to any order of derivative, reproduces what it detects. Classical rank-based metrics form a complementary class based on finite-scale neighborhood relationships. Experiments on synthetic and real datasets validate theoretical predictions, demonstrate accurate curvature-based trust estimates on single-cell embeddings, and show that the integral analysis distinguishes single-valued embeddings from path-dependent optimization-based embeddings in ways that existing pointwise diagnostics cannot.
Quality metrics play a crucial role in the proper use of dimensionality reduction projections for visual analysis of high-dimensional data. They quantify the degree of distortion of a projection compared to the high-dimensional data and provide a reliable indication of how confident users can be in the structures they see in the resulting layouts. However, most popular metrics focus on capturing direct relationships between points (e.g., distances or neighborhoods) while neglecting distortions in empty areas of the layout, even though these often compose visually relevant features of a 2D layout. In this paper, we introduce the Gap Index (GI), a quality metric for 2D projections that captures visual distortion by measuring spatial distortion in empty areas of a projection. It does so by decomposing the space into empty triangles, which are then compared to their high-dimensional counterparts to compute the deformation. This per-triangle deformation can be aggregated into a single scalar value or overlaid on a projection to visualize regional distortion patterns. Results show that, contrary to popular quality metrics, the GI is sensitive to small structural deformations that have high visual impact. It is also fast to compute and interpretable.
Lucas Greff Meneses, Evandro S. Ortigossa, Claudio Silva +1cs.LG cs.HC
Dimensionality Reduction (DR) is a fundamental tool for high-dimensional data exploration, reducing the complexity of latent spaces of machine learning models, and assisting in the explanation of complex opaque models. However, non-linear DR techniques often function as opaque transformations themselves, making it challenging to understand how individual features influence instance positioning in the reduced space. This lack of transparency complicates the analysis and interpretation of structural patterns, hindering the ability to reason about the organization of high-dimensional data based on the projected layout. In order to address this challenge, dimensionality reduction explanation methods have shown promise in improving the understanding of the observed groups and cluster structures. Unfortunately, existing DR explanation approaches tend to suffer from limitations such as multiple attributions per feature and restricted applicability to specific dimensionality reduction methods, which hinder their use. In this work, we propose FADEx, a novel local per-instance feature attribution method that leverages local linear approximation via first-order Taylor expansion and Singular Value Decomposition to provide explanations. FADEx computes the local linear models via weighted least squares, eliminating the need for out-of-sample data mapping, making it agnostic to the DR method, while simultaneously providing local feature attributions and distortion analysis. Through qualitative and quantitative evaluations, comparisons with existing methods, and case studies, we demonstrate FADEx's effectiveness and versatility in providing explanations and analytical resources for analyzing the behavior of DR methods. The results indicate FADEx yields robust and reliable explanations, outperforming existing approaches in several aspects.
It is common for two-dimensional embeddings of high-dimensional data to be read far beyond what they can support. Distances in and between clusters, the meaning behind empty spaces, and the amount of structure hidden at each point are generally invisible in the output of methods such as t-SNE and UMAP. This is because the information that could support the meaning of these properties is discarded during the optimisation process. Here, we present FloDR, a dimensionality reduction method that embeds data through an invertible normalising flow. While FloDR only uses the first two output coordinates to create a two-dimensional embedding, it retains the remaining coordinates rather than discarding them. In addition to the embedding, an exact inverse and an exact density are properties of a trained mapping, which enable diagnostic visualisations that are computed from the exact inverse of the model that drew the layout rather than from an approximate one. Specifically, we draw two fields, the conditional spread, which measures how much of the original data remains undetermined at each embedding position in input units, and the hidden contrast, which measures how much information about a labelled contrast the two plotted coordinates discard. Both fields are rendered with a prespecified test against a held out portion of the input data and a bootstrap confidence. A field that fails the test is reported as refused.
Active subspaces provide an explainable, eigenvalue-ordered principle for studying how scalar-valued quantities of interest change the most, on average, over a reduced basis of Euclidean domains. Composition with parallel transport generalizes this principle from Euclidean space to quantities of interest defined over Riemannian manifolds, and the resulting intrinsic formulation is contrasted with the extrinsic, embedding-based gradient average of manifold learning. Either strategy is studied in an intrinsically local sense, restricted to mean-centered geodesic-balls, and within that scope the two are not identical: on the central tangent space, eigenvalues agree to second order in the geodesic radius of the sampled domain, while dominant eigenspaces agree at the same order relative to the spectral gap. Extending activity beyond that central space then calls for either recomputed decompositions over changing tangent spaces or, intrinsically, parallel transport of a single central frame. Hyperspheres are emphasized throughout as a particular manifold of interest, motivated by applications over preshape spaces for statistical shape analysis. Numerical examples over the 2-sphere illustrate the formalism, including the derived ridge recovery at a curvature-limited quadratic rate.
We present Variance-Preserving Orthogonal Selection (VPOS), an unsupervised feature-selection method that performs sequential orthogonal deflation in the variance-weighted principal component analysis (PCA) loading space $\mathbf{V}_d\mathbfΛ_d^{1/2}$. After each feature is selected, its loading direction is projected out of all remaining candidates, so subsequent selections cover complementary directions of the rank-$d$ covariance approximation while returning original variables. We establish rank-reduction guarantees and a determinant-growth interpretation, and distinguish VPOS from greedy selection on raw data, unweighted eigenvector pivoting, Principal Feature Analysis (PFA), and Principal Variable Selection (PVS). Experiments enforce $k\leq d$, tune method-specific parameters on validation observations, and evaluate on unseen outer folds. Across seven labelled benchmarks, VPOS improves held-out normalised reconstruction error over matched PCA without deflation on every dataset, with reductions of 1--78%. It obtains the lowest mean reconstruction error on Wine, Breast Cancer, and MNIST and is within 1.7% of the lowest error on CIFAR-10 and HighDim. On CIFAR-10, VPOS is approximately 24$\times$ faster than the closely related PVS baseline while incurring a 1.7% reconstruction gap. These results establish VPOS as an efficient covariance-coverage method, particularly when correlated high-dimensional data must be represented by a small set of identifiable original variables.
Léa Billet, Louise Travé-Massuyès, Elodie Chanthery +1cs.LG cs.AI stat.ML
Semi-supervised anomaly detection plays a key role in diverse fields such as process monitoring, healthcare, and finance. However, lightweight methods often struggle with high-dimensional data and typically require careful tuning of multiple hyperparameters. Among existing approaches, Christoffel Function--based methods are attractive due to their simplicity, requiring at most a single hyperparameter. They also benefit from a well-established theoretical foundation that yields several interesting results for data science. However, their main limitation is poor scalability to high-dimensional settings. In this paper, we introduce CLOE, a new method that combines an autoencoder for dimensionality reduction with a Christoffel Function--based detector applied in the latent space. To better align representation learning with anomaly detection, we design a novel loss function that leverages the Christoffel Function to guide the autoencoder toward representations that better capture the support of the normal data distribution. We further propose a principled procedure to set the detection threshold and an efficient strategy to tune the single remaining hyperparameter. Experiments on multiple high-dimensional tabular anomaly detection benchmarks demonstrate that CLOE achieves superior performance compared to existing methods, while preserving the lightweight and low-tuning advantages of Christoffel Function--based approaches.
Yeari Vigder, Paulina Hoyos, David Thong +3cs.LG math.NA math.ST
Spectral embedding methods are widely used for dimensionality reduction and clustering of high-dimensional datasets with intrinsic low-dimensional structures. Although many datasets of practical interest exhibit invariance under symmetries such as rotations, standard spectral embedding methods do not account for this, treating symmetry-related data points as unrelated. Our approach to this problem is to incorporate the symmetries directly into the affinity kernels used for spectral embedding. We analyze the case of a Riemannian data manifold $M$ with symmetries given by a compact Lie group~$G$ and prove that, under suitable conditions, graph Laplacians constructed from three types of invariant kernels converge pointwise to explicit second-order differential operators on the quotient space $M/G$. Our analysis implies improved convergence rates, as the effective dimension drops according to the dimension of the group. We validate our approach on datasets with $\mathrm{SO}(2)$ or $\mathrm{SO}(3)$ symmetry, and show that $G$-invariant spectral embedding recovers the intrinsic geometry of the data, in contrast to standard spectral embedding, which fails to do so even in the limit of infinite data.
Circular coordinates obtained from persistent cohomology reveal loop structure in data, but they usually remain abstract: A detected circle does not tell us which measured angle, phase, torsion, or decoder explains it. We propose a method for selecting interpretable circle-valued coordinates from a user-supplied dictionary of scientifically meaningful candidates explaining the detected cohomology. In the continuous setting, each candidate is represented by the cohomology class of its pulled-back angular form, and selecting a minimum-energy set of candidates spanning the relevant $H^1$ subspace becomes a minimum-weight basis problem in a vector matroid. We then introduce CIRCOL, a method for discrete point clouds sampled from the manifold. We prove that the introduced cochain inner product is a consistent estimator of the $L^2$ inner product of fixed smooth 1-forms under non-uniform sampling. The resulting projection matrix both helps selecting a basis of low-energy dictionary coordinates and diagnoses topologically trivial candidates or unexplained persistent classes. Finally, we verify the effectiveness of our method on synthetic examples, on molecular simulations, and neural recordings of head-direction cells.
We introduce Intrinsic Green's Learning (IGL), a framework that models a target function on a manifold as the solution to a linear PDE whose source term is learned from data. Rather than approximating the target directly, IGL learns a source and integrates it against a Green's kernel. An encoder discovers a low-dimensional coordinate chart on the manifold where both the source and the kernel decompose as low-rank tensors, collapsing a high-dimensional integral into independent one-dimensional integrals with cost linear in the intrinsic dimension. A two-stage algorithm separates coordinate discovery from source fitting, a near-convex linear solve, preventing the dimensional collapse of joint training. Learnable gates on each coordinate automatically discover the intrinsic dimension of the manifold. We validate IGL on synthetic manifolds and on MNIST, where it simultaneously achieves near-optimal classification and automatic recovery of the intrinsic dimension.
We introduce EntroPath, a manifold learning method that recovers geodesic geometry from data graphs through ensembles of diffusion paths. Many existing graph-based embeddings rely either on locally normalised random walks or on shortest-path distances. The former can concentrate diffusion in densely sampled regions, while the latter are sensitive to spurious shortcut edges in the graph. EntroPath instead builds its dissimilarities from the maximum entropy random walk (MERW), which aggregates the full ensemble of k-step paths between points rather than relying on any single trajectory. We show that the resulting free-energy dissimilarity converges to squared geodesic distance in the short-time limit, via Varadhan's heat-kernel formula. The diffusion depth k interpolates smoothly between local neighbourhood structure and global manifold geometry, and the symmetrised kernel admits an exact Gram factorisation connecting EntroPath to kernel methods. We further provide scalable extensions via landmark projection and diffusion-potential pseudotime. Across synthetic manifolds and single-cell benchmarks, EntroPath consistently matches or outperforms diffusion- and shortest-path-based methods, while remaining competitive with neighbourhood-preserving embeddings (UMAP, t-SNE) on local-structure metrics. Its gains are most pronounced on manifolds with non-uniform sampling density and well-separated branching trajectories, where path-ensemble diffusion more faithfully preserves the underlying geodesic geometry.
Principal Component Analysis or PCA-like properties (orthogonality, variance ranking) are seldom realized in deep autoencoder architectures. In this work, we present ODIN (Orthogonal Dendritic Intrinsic Network), a novel autoencoder architecture that recovers PCA-like latent structure in a fully non-linear regime. By incorporating a set of geometric constraints directly into the training objective, ODIN encourages latent dimensions to be mutually orthogonal and ordered by explained variance, mirroring the interpretable decomposition of PCA while retaining the expressive power of deep networks. We provide theoretical grounding for these constraints and demonstrate their compatibility with standard encoder-decoder frameworks. We also establish empirical results for both synthetic and real world datasets, establishing a principled path toward interpretable, structured feature learning and dimensionality reduction.
Ryan Cory-Wright, Jean Pauphiletstat.ML cs.LG stat.ME
We present msPCA: an open-source R package for sparse principal component analysis with multiple components. It implements an alternating maximization algorithm to generate a set of sparse loading vectors that collectively explain a large fraction of the variance in a dataset, while remaining non-redundant. The algorithm supports two definitions of non-redundancy: either orthogonality of the loading vectors or zero pairwise correlation between principal components (PCs). In the reported benchmarks, msPCA solves sparse PCA problems with thousands of features, achieving competitive runtimes while producing sparse components with controlled feasibility violations and a high fraction of variance explained.
Bogomolny, Bohigas and Schmit (BBS) found that the spectrum of the pairwise distance matrix on N points sampled from a smooth d-dimensional manifold encodes a signature of the underlying geometry. We develop I-BBS (Inference-BBS), a coordinate-free method that identifies a low-dimensional latent sub-manifold embedded in a high-dimensional ambient distance matrix alone, without accessing an ambient high-dimensional vector space. It therefore applies even when that space is only partly observable or undefined. We model the ambient embedding by two classes of generative noise, model-based and model-free. The noise mixes the latent signal with off-manifold components, so the eigenvalues reorganise collectively and the latent geometry cannot be read off eigenvalue by eigenvalue. We recover it instead from two integer-stable signatures that survive the noise: the multiplicity of the top non-Perron multiplet, which fixes $d$, and a parameter-free law for how the multiplet positions shrink as the noise grows. On synthetic spheres $S^1$, $S^2$ and $S^3$ these integer signatures are far more stable under noise than the continuous spectral slope, and a blind test recovers both the manifold and the noise model from a single distance matrix. Applications to neural-network representations and to the dynamic training regime are developed in two companion papers.
This paper introduces the R package spca, which provides a computational framework for least squares sparse principal component analysis (LS-SPCA). Unlike other SPCA methods, LS-SPCA generates uncorrelated sparse principal components (sPCs) that effectively maximize the explained variance while maintaining strong correlations with standard principal components (PCs). The framework also includes more computationally efficient variants that produce mildly correlated sPCs, which often have lower cardinality while explaining equal or greater variance than the LS-SPCA optimal sPCs. The spca package is built on an efficient C++ backend for matrix computations, with distinct engines for tall and fat matrices, and a flexible R frontend. The user interface offers several options for computing sPCs, such as deciding whether sparsification should stop when a threshold for cumulative variance explained or R2 with the PCs is reached, and choosing between simple forward selection, stepwise forward selection, or backward elimination for variable selection. In addition to the print(), summary(), and plot() methods, the package includes tools for comparing different "spca" solutions, grouping sparse loadings, and representing foreign SPCA solutions as "spca" objects. This article demonstrates with real datasets the use of the package in a typical LS-SPCA workflow and briefly contrasts LS-SPCA with conventional SPCA solutions . Then it compares different LS-SPCA solutions obtained from the dataset. Finally, the performance of spca on large tall and fat matrices is discussed, showing that spca offers a computationally efficient alternative for computing interpretable sPCs.
Mateusz Kubita, Jan Zubalewicz, Krzysztof Siwekcs.LG
Wearable devices produce large, high dimensional training logs for everyday runners, and interpretation rather than data collection is now the limiting step. This paper evaluates five dimensionality reduction models, three autoencoder variants, PCA, and a Variational Autoencoder, on their ability to compress nine sensor runner profiles into a single scalar performance indicator, the latent score. Because the setting is fully unsupervised, model quality is assessed along two complementary axes: reconstruction error (Mean Squared Error) and latent score interpretability, measured via Spearman and Kendall rank correlations, Mutual Information, and Permutation Importance. These are combined into a composite selection criterion that prevents selecting models on reconstruction accuracy alone. Feature rankings from the four metrics are aggregated via a modified Borda count, and their stability is confirmed by bootstrap validation. A two feature linear baseline is included to anchor the comparison. Deep autoencoder achieved the lowest reconstruction error and the highest composite score. Once the PCA hidden layers were widened, the deeper variants became closely competitive with Deep AE on the composite criterion, indicating that the limiting factor was hidden layer capacity rather than the one dimensional bottleneck. Running pace, aerobic decoupling, and average heart rate emerged as the dominant latent score drivers across all models and resampling runs, consistent with established physiology.
The exact computation of the Normalized Maximum Likelihood (NML) codelength for regular non-smooth estimators (e.g., Lasso) has been historically limited by the cubic scaling walls of manifold-constrained projection and volume integration. At each step of the geometric Propose-and-Project Metropolis--Hastings (PPMH) sampler, evaluating the projection operator requires inverting an $(N+k) \times (N+k)$ generalized KKT matrix, while calculating the volume factor requires the determinant of an $(N-k) \times (N-k)$ Gram matrix. This paper presents an exact, mathematically equivalent formulation that bypasses both bottlenecks by utilizing the block Schur complement and Sylvester's determinant identity. We prove that the computational complexity of both operations collapses from $\mathcal{O}(N^3)$ to $\mathcal{O}(k^3 + N^2 k)$ per step. We generalize this reduction to Sparse Support Vector Machines (SVMs), Elastic Net, and Group Lasso. Finally, we provide a rigorous numerical stability analysis and evaluate the sampler's efficiency using the Effective Sample Size (ESS) per second. Our empirical benchmarks on high-dimensional datasets confirm a constant speedup exceeding $14{,}100\times$ while maintaining double-precision numerical equivalence, rendering exact non-smooth NML estimation highly tractable for large-scale statistical inference.
Principal Component Analysis (PCA) preserves variance, not the information needed to detect rare catastrophic events. This paper proves the existence of a {\it Risk Shadow}: PCA can retain over 99.9999 percent of total variance while completely erasing all signal about rare, high-impact failures. When this happens, even the best possible classifier operating on the PCA representation reduces to a constant predictor. The root cause is a fundamental mismatch between variance maximization and tail risk awareness. To break the shadow, we introduce Expectile PCA (ExPCA) and Tail-Preserving PCA (TP-PCA), two methods that reweight the data covariance toward high-impact events. We prove theoretically that ExPCA strictly outperforms PCA in retaining rare-event information, and we validate our claims on synthetic data and a real-world credit card fraud detection benchmark. Our results call for a fundamental rethinking of variance-based dimensionality reduction in high-stakes decisions.
This methodological study analyzes the effects of collinearity, effective dimensionality, and cluster stability in a 2023 study of US airline profit cycles from 1995 to 2020 by Renold et al., which uses k-means clustering, principal component analysis, and system dynamic modelling.We replicate their clustering experiment in three spaces -- the original 7-dim. raw-variable space, a 3-dim. PC score space, and a 4-dim. PC score space using their dataset. We show that the six-cluster taxonomy is geometrically robust: k-means in 3-PC space produces bit-for-bit identical cluster assignments relative to 7D raw space. As a nonlinearity check we apply kernel PCA under six kernels spanning three families plus a linear baseline. The kernels confirm an intrinsically linear manifold with no detectable curvature. The silhouette criterion reveals that the dataset structurally supports only three clusters, not six. Collinearity in the raw 7D space suppresses the silhouette signal. A kernel ridge regression check confirms no nonlinear accuracy gain over linear ridge once the COVID19 year is excluded. Together, these results argue for clustering on PC scores rather than raw variables in collinearity-prone panel data.
Dan Cooley, Anne Sabourin, Troy Wixsonstat.ME math.ST stat.ML
This chapter explores ways to reduce the dimensionality of the data while preserving key information relevant to the analysis of multivariate extreme values.