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Stochastic gradient descent (SGD) is widely used in deep learning due to its computational efficiency, but a complete understanding of why SGD performs so well remains a major challenge. It has been observed empirically that most eigenvalues of the Hessian of the loss functions on the loss landscape of over-parametrized deep neural networks are close to zero, while only a small number of eigenvalues are large. Zero eigenvalues indicate zero diffusion along the corresponding directions. This indicates that the process of minima selection mainly happens in the relatively low-dimensional subspace corresponding to the top eigenvalues of the Hessian. Although the parameter space is very high-dimensional, these findings seems to indicate that the SGD dynamics may mainly live on a low-dimensional manifold. In this paper, we pursue a truly data driven approach to the problem of getting a potentially deeper understanding of the high-dimensional parameter surface, and in particular, of the landscape traced out by SGD by analyzing the data generated through SGD, or any other optimizer for that matter, in order to possibly discover (local) low-dimensional representations of the optimization landscape. As our vehicle for the exploration, we use diffusion maps introduced by R. Coifman and coauthors.