I'm working with a pseudo-distance measure that is not a metric since it does not hold the triangle inequality. It is called Dynamic Time Warping.
The problem is - I need to perform some projections, so I need to make triangle inequality hold for my distance measure. If I understand correctly, I need to embed it into metric space.
How can I do that, if possible? I'm not a mathematician, so could some one explain the problem to me and how to overcome it?
In the original paperwork it says
Second, the distances: xi are exact only if the metric space can be embedded in an Euclidean space
How to perform this embedding?
Thanks