Non-Parametric Estimation of Manifolds from Noisy Data

Abstract: A common observation in data-driven applications is that high dimensional data has a low intrinsic dimension, at least locally. In this work, we consider the problem of estimating a $d$ dimensional sub-manifold of $\mathbb{R}<sup>D$ from a finite set of noisy samples. Assuming that the data was sampled uniformly from a tubular neighborhood of $\mathcal{M}\in \mathcal{C}<sup>k$, a compact manifold without boundary, we present an algorithm that takes a point $r$ from the tubular neighborhood and outputs $\hat p_n\in \mathbb{R}<sup>D$, and $\widehat{T_{\hat p_n}\mathcal{M}}$ an element in the Grassmanian $Gr(d, D)$. We prove that as the number of samples $n\to\infty$ the point $\hat p_n$ converges to $p\in \mathcal{M}$ and $\widehat{T_{\hat p_n}\mathcal{M}}$ converges to $T_p\mathcal{M}$ (the tangent space at that point) with high probability. Furthermore, we show that the estimation yields asymptotic rates of convergence of $n^{{-\frac{k}{2k} + d}}$ for the point estimation and $n^{{-\frac{k-1}{2k} + d}}$ for the estimation of the tangent space. These rates are known to be optimal for the case of function estimation.