Regularization parameter choice in locally linear embedding

Locally linear embedding (LLE) is a recent unsupervised learning algorithm for non-linear dimensionality reduction of high dimensional data. One advantage of this algorithm is that just two parameters are needed to be set by user: the number of nearest neighbors and a regularization parameter. The choice of the regularization parameter plays an important role in the embedding results. In this paper, an automated method for choosing this parameter is proposed. Besides, in order to objectively qualify the performance of the embedding results, a new measure of embedding quality is suggested. Our approach is experimentally verified on 9 artificial data sets and 2 real world data sets. Numerical results are compared against two methods previously found in the state of art.