Wasserstein Stationary Subspace Analysis

Abstract

Learning under nonstationarity can be achieved by decomposing the data into a subspace that is stationary and a nonstationary one [stationary subspace analysis (SSA)]. While SSA has been used in various applications, its robustness and computational efficiency have limits due to the difficulty in optimizing the Kullback-Leibler divergence based objective. In this paper, we contribute by extending SSA twofold: we propose SSA with 1) higher numerical efficiency by defining analytical SSA variants and 2) higher robustness by utilizing the Wasserstein-2 distance (Wasserstein SSA). We show the usefulness of our novel algorithms for toy data demonstrating their mathematical properties and for real-world data 1) allowing better segmentation of time series and 2) brain-computer interfacing, where theWasserstein-based measure of nonstationarity is used for spatial filter regularization and gives rise to higher decoding performance.