Cascade of phase transitions for multiscale clustering

We present a framework exploiting the cascade of phase transitions occurring during a simulated annealing of the expectation-maximization algorithm to cluster datasets with multiscale structures. Using the weighted local covariance, we can extract, a posteriori and without any prior knowledge, information on the number of clusters at different scales together with their size. We also study the linear stability of the iterative scheme to derive the threshold at which the first transition occurs and show how to approximate the next ones. Finally, we combine simulated annealing together with recent developments of regularized Gaussian mixture models to learn a principal graph from spatially structured datasets that can also exhibit many scales.