We introduce poly-symplectic extension of Souriau Lie groups Thermodynamics based on higher-order model of statistical physics introduced by R.S. Ingarden. This extended model could be used for small data analytics and Machine Learning on Lie groups. Souriau Geometric Theory of Heat is well adapted to describe density of probability (Maximum Entropy Gibbs density) of data living on groups or on homogeneous manifolds. For Small Data Analytics (Rarified Gases , sparse statistical survey,…), density of maximum entropy should consider Higher Order Moments constraints (Gibbs density is not only defined by first moment but fluctuations request 2nd order and higher moments) as introduced by R.S. Ingarden. We use Poly-sympletic model introduced by Christian Günther, replacing the symplectic form by a vector-valued form. The poly-symplectic approach generalizes the Noether theorem, the existence of momentum mappings, the Lie algebra structure of the space of currents, the (non-)equivariant cohomology and the classification of G-homogeneous systems. The formalism is covariant, i.e. no special coordinates or coordinate systems on the parameter space are used to construct the Hamiltonian equations. We underline the contextures of these models, and the process to build these generic structures.