Variable Bandwidth Diffusion Kernels
  Practical applications of kernel methods often use variable bandwidth kernels, also known as self-tuning kernels, however much of the current theory of kernel based techniques is only applicable to fixed bandwidth kernels. In this paper, we derive the asymptotic expansion of these variable bandwidth kernels for arbitrary bandwidth functions; generalizing the theory of Diffusion Maps and Laplacian Eigenmaps. We also derive pointwise error estimates for the corresponding discrete operators which are based on finite data sets; generalizing a result of Singer which was restricted to fixed bandwidth kernels. Our analysis reveals how areas of small sampling density lead to large errors, particularly for fixed bandwidth kernels. We explain the limitation of the existing theory to data sampled from compact manifolds by showing that when the sampling density is not bounded away from zero (which implies that the data lies on an open set) the error estimates for fixed bandwidth kernels will be unbounded. We show that this limitation can be overcome by choosing a bandwidth function inversely proportional to the sampling density (which can be estimated from data) which allows us to control the error estimates uniformly over a non-compact manifold. We numerically verify these results on non-compact manifolds by constructing the generator of the Ornstein-Uhlenbeck process on a real line and a two-dimensional plane using data sampled independently from the respective invariant measures. We also verify our results on compact manifolds by constructing the Laplacian on the unit circle and the unit sphere and we show that the variable bandwidth kernels exhibit reduced sensitivity to bandwidth selection and give better results for an automatic bandwidth selection algorithm. 
Tyrus Berry and John Harlim
math.SP math.NA