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Principal Component Analysis (PCA) is a dimensionality reduction technique that transforms a dataset into a new coordinate system where the axes (principal components) are orthogonal and ordered by the variance they capture. Below is a step-by-step mathematical walkthrough of PCA:
Step 1: Standardize the Dataset
To ensure all features contribute equally, standardize the dataset by subtracting the mean and dividing by the standard deviation for each feature. For a feature ( x_1 ), the standardized value is: [ x_{1new} = x_1 - \text{mean}(x_1) ]
Step 2: Compute the Covariance Matrix
The covariance matrix captures the relationships between features. For a dataset ( X ) with ( n ) samples and ( m ) features: [ C = \frac{1}{n-1} X \cdot X^T ] Here, ( X^T ) is the transpose of ( X ).
Step 3: Perform Eigenvalue Decomposition
Principal component analysis - Wikipedia
Principal component analysis (PCA) is a linear dimensionality reduction technique with applications in exploratory data analysis, visualization and data …
The task of principal component analysis (PCA) is to reduce the dimensionality of some high-dimensional data points by linearly projecting them onto a lower-dimensional space in such a way …
The Principal Component Analysis (PCA) is data processing method that belongs to the class of dimension reduction and data embedding techniques. Fundamentally it is a least-squares fitting …
Understanding the Mathematics behind Principal Component ...
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We will see how and why PCA is intimately related to the mathematical technique of singular value decomposition (SVD). This understanding will lead us to a prescription for how to apply PCA in the …
The Math Behind Principal Component Analysis (PCA)
Aug 24, 2024 · Principal Component Analysis (PCA) is a foundational technique in data analysis and machine learning, used to reduce the dimensionality of …
The Math Behind PCA • LearnPCA - GitHub Pages
In reality, carrying out PCA on real data sets in a robust manner requires rather complex algorithms, well beyond the scope of these documents. If you want a brief taste, the Wikipedia article and this …
Mathematics for Machine Learning: PCA - Coursera
Principal Component Analysis (PCA) is one of the most important dimensionality reduction algorithms in machine learning. In this course, we lay the mathematical …