Principal Component Analysis ---- PRML读书笔记

    To summarize, principal component analysis involves evaluating the mean x and the covariance matrix S 

of the data set and then finding the M eigenvectors of S corresponding to the M largest eigenvalues. If we

plan to project our data onto the first M principal compents, then we only need to find the first M eigenvalues

and eigenvectors.

    PCA can be defined as the orthogonal projection of the data onto a lower dimensional linear space, known as

the principal subspace, such that the variance of the projected data is maximized. Equivalently, it can be defined 

as the linear projection that minimizes the average projection cost, defined as the mean squared distance between

the data points and their projections.

    Consider a data set of observations {x_n} where n = 1,...,N, and x_n is a Euclidean variable with dimensionality D.

Our goal is to project the data onto a space having dimensionality M < D while maximizing the variance of the projected

data. 

    The general solution to the minimization of J for arbitrary D and arbitrary M < D is obtained by choosing the {u_i} to be

eigenvectors of the covariance matrix given by Su_i=λ_iu_i. where i=1,...,D, and as usual the eigenvectors {u_i} are chosen to 

be orthonormal.

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