Inferring manifolds using Gaussian processes

Abstract It is often of interest to infer lower-dimensional structure underlying complex data. As a flexible class of nonlinear structures, it is common to focus on Riemannian manifolds. Most existing manifold-learning algorithms replace the original data with lower-dimensional coordinates without providing an estimate of the manifold or using it to denoise the original data. This article proposes a new methodology to address these issues, allowing interpolation of the estimated manifold between the fitted data points. The proposed approach is motivated by the novel theoretical properties of local covariance matrices constructed from samples near a manifold. Our results enable the transformation of a global manifold-reconstruction problem into a local regression problem, allowing the application of Gaussian processes for probabilistic manifold reconstruction. In addition to the theory justifying our methodology, we provide simulated and real data examples to illustrate its performance.