Entropic Optimal Transport Eigenmaps for Nonlinear Alignment and Joint Embedding of High-Dimensional Datasets

Abstract. Embedding high-dimensional data into a low-dimensional space is an indispensable component of data analysis. In numerous applications, it is necessary to align and jointly embed multiple datasets from different studies or experimental conditions. Such datasets may share underlying structures of interest but exhibit individual distortions, resulting in misaligned embeddings using traditional techniques. In this work, we propose entropic optimal transport (EOT) eigenmaps, a principled approach for aligning and jointly embedding a pair of datasets with theoretical guarantees. Our approach leverages the leading singular vectors of the EOT plan matrix between two datasets to extract their shared underlying structure and align them in a common embedding space. We interpret our approach as an inter-data variant of the classical Laplacian eigenmaps and diffusion maps embeddings, showing that it enjoys many favorable analogous properties. We analyze a generative model in which two observed high-dimensional datasets share latent variables supported on a common low-dimensional manifold, while each dataset is subject to translation, geometric distortion, orthogonal nuisance structure, and noise. In a large-sample, high-dimensional regime, we prove that the EOT plan concentrates around a population kernel on an effective manifold determined by the geometric mean of the distortions, with invariance to translations, orthogonal nuisance structure, and noise. Subsequently, we relate our embedding to eigenfunctions of population-level operators encoding the density and geometry of the shared manifold. Finally, we showcase the performance of our approach for data integration and embedding through simulations and analyses of real-world biological data, demonstrating its advantages over alternative methods in challenging scenarios.