Fermat Distance-to-Measure: a robust Fermat-like metric

Abstract: Given a probability measure with density, Fermat distances and density-driven metrics are conformal transformation of the Euclidean metric that shrink distances in high density areas and enlarge distances in low density areas. Although they have been widely studied and have shown to be useful in various machine learning tasks, they are limited to measures with density (with respect to Lebesgue measure, or volume form on manifold). In this paper, by replacing the density with the Distance-to-Measure, we introduce a new metric, the Fermat Distance-to-Measure, defined for any probability measure in R^d. We derive strong stability properties for the Fermat Distance-to-Measure with respect to the measure and propose an estimator from random sampling of the measure, featuring an explicit bound on its convergence speed.