Probabilistic modelling of general noisy multi-manifold data sets

The intrinsic nature of noisy and complex data sets is often concealed in low-dimensional structures embedded in a higher dimensional space. Number of methodologies have been developed to extract and represent such structures in the form of manifolds (i.e. geometric structures that locally resemble continuously deformable intervals of ℝ^j. Usually a-priori knowledge of the manifold’s intrinsic dimensionality is required. Additionally, their performance can often be hampered by the presence of a significant high-dimensional noise aligned along the low-dimensional core manifold. In real-world applications, the data can contain several low-dimensional structures of different dimensionalities. We propose a framework for dimensionality estimation and reconstruction of multiple noisy manifolds embedded in a noisy environment. To the best of our knowledge, this work represents the first attempt at detection and modelling of a set of coexisting general noisy manifolds by uniting two aspects of multi-manifold learning: the recovery and approximation of core noiseless manifolds and the construction of their probabilistic models. The easy-to-understand hyper-parameters can be manipulated to obtain an emerging picture of the multi-manifold structure of the data. We demonstrate the workings of the framework on two synthetic data sets,