Principal Components Analysis (PCA) Task

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A Principal Components Analysis (PCA) Task is a matrix decomposition task that requires the discovery of [math]d[/math] principal components (such that they are ranked from most to least possible variance).



References

2019

  • (Wikipedia, 2019) ⇒ https://en.wikipedia.org/wiki/Principal_component_analysis Retrieved:2019-10-14.
    • Principal component analysis (PCA) is a statistical procedure that uses an orthogonal transformation to convert a set of observations of possibly correlated variables (entities each of which takes on various numerical values) into a set of values of linearly uncorrelated variables called principal components. This transformation is defined in such a way that the first principal component has the largest possible variance (that is, accounts for as much of the variability in the data as possible), and each succeeding component in turn has the highest variance possible under the constraint that it is orthogonal to the preceding components. The resulting vectors (each being a linear combination of the variables and containing n observations) are an uncorrelated orthogonal basis set. PCA is sensitive to the relative scaling of the original variables.

      PCA was invented in 1901 by Karl Pearson, as an analogue of the principal axis theorem in mechanics; it was later independently developed and named by Harold Hotelling in the 1930s. [1] Depending on the field of application, it is also named the discrete Karhunen–Loève transform (KLT) in signal processing, the Hotelling transform in multivariate quality control, proper orthogonal decomposition (POD) in mechanical engineering, singular value decomposition (SVD) of X (Golub and Van Loan, 1983), eigenvalue decomposition (EVD) of XTX in linear algebra, factor analysis (for a discussion of the differences between PCA and factor analysis see Ch. 7 of Jolliffe's Principal Component Analysis),[2] Eckart–Young theorem (Harman, 1960), or empirical orthogonal functions (EOF) in meteorological science, empirical eigenfunction decomposition (Sirovich, 1987), empirical component analysis (Lorenz, 1956), quasiharmonic modes (Brooks et al., 1988), spectral decomposition in noise and vibration, and empirical modal analysis in structural dynamics. PCA is mostly used as a tool in exploratory data analysis and for making predictive models. It is often used to visualize genetic distance and relatedness between populations. PCA can be done by eigenvalue decomposition of a data covariance (or correlation) matrix or singular value decomposition of a data matrix, usually after a normalization step of the initial data. The normalization of each attribute consists of mean centering – subtracting each data value from its variable's measured mean so that its empirical mean (average) is zero – and, possibly, normalizing each variable's variance to make it equal to 1; see Z-scores. The results of a PCA are usually discussed in terms of component scores, sometimes called factor scores (the transformed variable values corresponding to a particular data point), and loadings (the weight by which each standardized original variable should be multiplied to get the component score). [3] If component scores are standardized to unit variance, loadings must contain the data variance in them (and that is the magnitude of eigenvalues). If component scores are not standardized (therefore they contain the data variance) then loadings must be unit-scaled, ("normalized") and these weights are called eigenvectors; they are the cosines of orthogonal rotation of variables into principal components or back. PCA is the simplest of the true eigenvector-based multivariate analyses. Often, its operation can be thought of as revealing the internal structure of the data in a way that best explains the variance in the data. If a multivariate dataset is visualised as a set of coordinates in a high-dimensional data space (1 axis per variable), PCA can supply the user with a lower-dimensional picture, a projection of this object when viewed from its most informative viewpoint. This is done by using only the first few principal components so that the dimensionality of the transformed data is reduced. PCA is closely related to factor analysis. Factor analysis typically incorporates more domain specific assumptions about the underlying structure and solves eigenvectors of a slightly different matrix. PCA is also related to canonical correlation analysis (CCA). CCA defines coordinate systems that optimally describe the cross-covariance between two datasets while PCA defines a new orthogonal coordinate system that optimally describes variance in a single dataset.


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2009a

  • http://www.statistics.com/resources/glossary/p/pca.php
    • QUOTE: The purpose of principal component analysis is to derive a small number of linear combinations (principal components) of a set of variables that retain as much of the information in the original variables as possible. This technique is often used when there are large numbers of variables, and you wish to reduce them to a smaller number of variable combinations by combining similar variables (ones that contain much the same information).

      Principal components are linear combinations of variables that retain maximal amount of information about the variables. The term "maximal amount of information" here means the best least-square fit, or, in other words, maximal ability to explain variance of the original data.

      In technical terms, a principal component for a given set of N-dimensional data, is a linear combination of the original variables with coefficients equal to the components of an eigenvector of the correlation or covariance matrix. Principal components are usually sorted by descending order of the eigenvalues - i.e. the first principal component corresponds to the eigenvector with the maximal eigenvalue.

2009b

2006

2002a

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1995

1901

  • (Pearson, 1901) ⇒ Karl Pearson. (1901). “On Lines and Planes of Closest Fit to Systems of Points in Space" In: Philosophical Magazine, 2(11). doi:10.1080/14786440109462720.

  1. Hotelling, H. (1933). Analysis of a complex of statistical variables into principal components. Journal of Educational Psychology, 24, 417–441, and 498–520.
  2. Jolliffe I.T. Principal Component Analysis, Series: Springer Series in Statistics, 2nd ed., Springer, NY, 2002, XXIX, 487 p. 28 illus.
  3. Shaw P.J.A. (2003) Multivariate statistics for the Environmental Sciences, Hodder-Arnold. .