We present function preserving projections (FPP), a scalable linear projection technique for discovering interpretable relationships in high-dimensional data. Conventional dimension reduction methods aim to maximally preserve the global and/or local geometric structure of a dataset. However, in practice one is often more interested in determining how one or multiple user-selected response function(s) can be explained by the data. To intuitively connect the responses to the data, FPP constructs 2D linear embeddings optimized to reveal interpretable yet potentially non-linear patterns of the response functions. More specifically, FPP is designed to (i) produce human-interpretable embeddings; (ii) capture non-linear relationships; (iii) allow the simultaneous use of multiple response functions; and (iv) scale to millions of samples. Using FPP on real-world datasets, one can obtain fundamentally new insights about high-dimensional relationships in large-scale data that could not be achieved using existing dimension reduction methods.
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