Rao-Blackwellized Score Matching on Manifolds

We study denoising score matching (DSM) when data are drawn from an embedded manifold M subset ℝD. We show that under ambient Gaussian corruption, the target has variance that diverges as the noise scale decreases and correct for it by regressing against the conditional expectation given the nearest point projection on the manifold: the L2-optimal Rao-Blackwellized target. We then compute the small-noise expansion of this target and show that it recovers the true intrinsic Riemannian score to first order, with a second-order bias from a Tweedie term and two geometric terms dependent on how the manifold is embedded in ambient space: a curvature operator acting on the intrinsic score, and an additive drift generated by the spatial variation of the embedding's second fundamental form. On hyperspheres, we derive a simplified formula and show that both geometric terms vanish exactly on S2, offering a theoretical explanation for why ambient DSM performs comparably to intrinsic methods on real Earth science spherical data in prior work.