Geodesic PCA versus Log-PCA of Histograms in the Wasserstein Space
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Publication:4610140
Abstract: This paper is concerned by the statistical analysis of data sets whose elements are random histograms. For the purpose of learning principal modes of variation from such data, we consider the issue of computing the PCA of histograms with respect to the 2-Wasserstein distance between probability measures. To this end, we propose to compare the methods of log-PCA and geodesic PCA in the Wasserstein space as introduced by Bigot et al. (2015) and Seguy and Cuturi (2015). Geodesic PCA involves solving a non-convex optimization problem. To solve it approximately, we propose a novel forward-backward algorithm. This allows a detailed comparison between log-PCA and geodesic PCA of one-dimensional histograms, which we carry out using various data sets, and stress the benefits and drawbacks of each method. We extend these results for two-dimensional data and compare both methods in that setting.
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Cited in
(23)- Wasserstein Regression
- Wasserstein discriminant analysis
- Fréchet change-point detection
- Wasserstein gradients for the temporal evolution of probability distributions
- Semi-discrete optimal transport: hardness, regularization and numerical solution
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- Geodesic PCA in the Wasserstein space by convex PCA
- Machine learning and optimal transport: some statistical and algorithmic tools
- Independent Nonlinear Component Analysis
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