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Principal component analysis

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 PCA of a multivariate Gaussian
containing n observations) are an uncorrelated orthogonal distribution centered at (1,3) with a
basis set. PCA is sensitive to the relative scaling of the original standard deviation of 3 in roughly
the (0.866, 0.5) direction and of 1 in
variables.
the orthogonal direction. The
vectors shown are the eigenvectors
PCA was invented in 1901 by Karl Pearson,[1] as an analogue of
of the covariance matrix scaled by
the principal axis theorem in mechanics; it was later the square root of the corresponding
independently developed and named by Harold Hotelling in eigenvalue, and shifted so their tails
the 1930s.[2] Depending on the field of application, it is also are at the mean.
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),[3] 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.[4] 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).[5] 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

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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.[6][7]

Contents
Intuition
Details
First component
Further components
Covariances
Dimensionality reduction
Singular value decomposition
Further considerations
Table of symbols and abbreviations
Properties and limitations of PCA
Properties
Limitations
PCA and information theory
Computing PCA using the covariance method
Organize the data set
Calculate the empirical mean
Calculate the deviations from the mean
Find the covariance matrix
Find the eigenvectors and eigenvalues of the covariance matrix
Rearrange the eigenvectors and eigenvalues
Compute the cumulative energy content for each eigenvector
Select a subset of the eigenvectors as basis vectors
Project the z-scores of the data onto the new basis
Derivation of PCA using the covariance method
Covariance-free computation
Iterative computation
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The NIPALS method

Online/sequential estimation
PCA and qualitative variables
Applications
Quantitative finance
Neuroscience
Relation with other methods
Correspondence analysis
Factor analysis
K-means clustering
Non-negative matrix factorization
Generalizations
Sparse PCA
Nonlinear PCA
Robust PCA
Similar techniques
Independent component analysis
Network component analysis
Software/source code
See also
References
Further reading
External links

Intuition
PCA can be thought of as fitting a p-dimensional ellipsoid to the data, where each axis of the
ellipsoid represents a principal component. If some axis of the ellipsoid is small, then the variance
along that axis is also small, and by omitting that axis and its corresponding principal component
from our representation of the dataset, we lose only an equally small amount of information.

To find the axes of the ellipsoid, we must first subtract the mean of each variable from the dataset
to center the data around the origin. Then, we compute the covariance matrix of the data and
calculate the eigenvalues and corresponding eigenvectors of this covariance matrix. Then we must
normalize each of the orthogonal eigenvectors to become unit vectors. Once this is done, each of
the mutually orthogonal, unit eigenvectors can be interpreted as an axis of the ellipsoid fitted to
the data. This choice of basis will transform our covariance matrix into a diagonalised form with
the diagonal elements representing the variance of each axis. The proportion of the variance that
each eigenvector represents can be calculated by dividing the eigenvalue corresponding to that
eigenvector by the sum of all eigenvalues.

This procedure is sensitive to the scaling of the data, and there is no consensus as to how to best
scale the data to obtain optimal results.

Details
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PCA is mathematically defined as an orthogonal linear transformation that transforms the data to
a new coordinate system such that the greatest variance by some scalar projection of the data
comes to lie on the first coordinate (called the first principal component), the second greatest
variance on the second coordinate, and so on.[3]

Consider a data matrix, X, with column-wise zero empirical mean (the sample mean of each
column has been shifted to zero), where each of the n rows represents a different repetition of the
experiment, and each of the p columns gives a particular kind of feature (say, the results from a
particular sensor).

Mathematically, the transformation is defined by a set of p-dimensional vectors of weights or

coefficients that map each row vector of X to a new vector of
principal component scores , given by

in such a way that the individual variables of t considered over the data set successively
inherit the maximum possible variance from X, with each coefficient vector w constrained to be a
unit vector (where is usually selected to be less than to reduce dimensionality).

First component
In order to maximize variance, the first weight vector w(1) thus has to satisfy

Equivalently, writing this in matrix form gives

Since w(1) has been defined to be a unit vector, it equivalently also satisfies

The quantity to be maximised can be recognised as a Rayleigh quotient. A standard result for a
positive semidefinite matrix such as XTX is that the quotient's maximum possible value is the
largest eigenvalue of the matrix, which occurs when w is the corresponding eigenvector.

With w(1) found, the first principal component of a data vector x(i) can then be given as a score t1(i)
= x(i) ⋅ w(1) in the transformed co-ordinates, or as the corresponding vector in the original
variables, {x(i) ⋅ w(1)} w(1).

Further components
The kth component can be found by subtracting the first k − 1 principal components from X:

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and then finding the weight vector which extracts the maximum variance from this new data
matrix

It turns out that this gives the remaining eigenvectors of XTX, with the maximum values for the
quantity in brackets given by their corresponding eigenvalues. Thus the weight vectors are
eigenvectors of XTX.

The kth principal component of a data vector x(i) can therefore be given as a score tk(i) = x(i) ⋅ w(k)
in the transformed co-ordinates, or as the corresponding vector in the space of the original
variables, {x(i) ⋅ w(k)} w(k), where w(k) is the kth eigenvector of XTX.

The full principal components decomposition of X can therefore be given as

where W is a p-by-p matrix of weights whose columns are the eigenvectors of XTX. The transpose
of W is sometimes called the whitening or sphering transformation. Columns of W multiplied by
the square root of corresponding eigenvalues, i.e. eigenvectors scaled up by the variances, are
called loadings in PCA or in Factor analysis.

Covariances
XTX itself can be recognised as proportional to the empirical sample covariance matrix of the
dataset XT.

The sample covariance Q between two of the different principal components over the dataset is
given by:

where the eigenvalue property of w(k) has been used to move from line 2 to line 3. However
eigenvectors w(j) and w(k) corresponding to eigenvalues of a symmetric matrix are orthogonal (if
the eigenvalues are different), or can be orthogonalised (if the vectors happen to share an equal
repeated value). The product in the final line is therefore zero; there is no sample covariance
between different principal components over the dataset.

Another way to characterise the principal components transformation is therefore as the

transformation to coordinates which diagonalise the empirical sample covariance matrix.

In matrix form, the empirical covariance matrix for the original variables can be written

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The empirical covariance matrix between the principal components becomes

where Λ is the diagonal matrix of eigenvalues λ(k) of XTX. λ(k) is equal to the sum of the squares
over the dataset associated with each component k, i.e. λ(k) = Σi tk2(i) = Σi (x(i) ⋅ w(k))2.

Dimensionality reduction
The transformation T = X W maps a data vector x(i) from an original space of p variables to a new
space of p variables which are uncorrelated over the dataset. However, not all the principal
components need to be kept. Keeping only the first L principal components, produced by using
only the first L eigenvectors, gives the truncated transformation

where the matrix TL now has n rows but only L columns. In other words, PCA learns a linear
transformation where the columns of p × L matrix W form an
orthogonal basis for the L features (the components of representation t) that are decorrelated.[8]
By construction, of all the transformed data matrices with only L columns, this score matrix
maximises the variance in the original data that has been preserved, while minimising the total
squared reconstruction error or .

Such dimensionality reduction can be a very useful step for

visualising and processing high-dimensional datasets, while
still retaining as much of the variance in the dataset as
possible. For example, selecting L = 2 and keeping only the
first two principal components finds the two-dimensional
plane through the high-dimensional dataset in which the data
is most spread out, so if the data contains clusters these too
may be most spread out, and therefore most visible to be
plotted out in a two-dimensional diagram; whereas if two
directions through the data (or two of the original variables) A principal components analysis
are chosen at random, the clusters may be much less spread scatterplot of Y-STR haplotypes
apart from each other, and may in fact be much more likely to calculated from repeat-count values
substantially overlay each other, making them for 37 Y-chromosomal STR markers
indistinguishable. from 354 individuals.
PCA has successfully found linear
combinations of the different
Similarly, in regression analysis, the larger the number of
markers, that separate out different
explanatory variables allowed, the greater is the chance of clusters corresponding to different
overfitting the model, producing conclusions that fail to lines of individuals' Y-chromosomal
generalise to other datasets. One approach, especially when genetic descent.
there are strong correlations between different possible
explanatory variables, is to reduce them to a few principal
components and then run the regression against them, a method called principal component
regression.

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Dimensionality reduction may also be appropriate when the variables in a dataset are noisy. If
each column of the dataset contains independent identically distributed Gaussian noise, then the
columns of T will also contain similarly identically distributed Gaussian noise (such a distribution
is invariant under the effects of the matrix W, which can be thought of as a high-dimensional
rotation of the co-ordinate axes). However, with more of the total variance concentrated in the first
few principal components compared to the same noise variance, the proportionate effect of the
noise is less—the first few components achieve a higher signal-to-noise ratio. PCA thus can have
the effect of concentrating much of the signal into the first few principal components, which can
usefully be captured by dimensionality reduction; while the later principal components may be
dominated by noise, and so disposed of without great loss.

Singular value decomposition

The principal components transformation can also be associated with another matrix
factorization, the singular value decomposition (SVD) of X,

Here Σ is an n-by-p rectangular diagonal matrix of positive numbers σ(k), called the singular
values of X; U is an n-by-n matrix, the columns of which are orthogonal unit vectors of length n
called the left singular vectors of X; and W is a p-by-p whose columns are orthogonal unit vectors
of length p and called the right singular vectors of X.

In terms of this factorization, the matrix XTX can be written

where is the square diagonal matrix with the singular values of X and the excess zeros chopped
off that satisfies . Comparison with the eigenvector factorization of XTX establishes
that the right singular vectors W of X are equivalent to the eigenvectors of XTX, while the singular
values σ(k) of are equal to the square-root of the eigenvalues λ(k) of XTX.

Using the singular value decomposition the score matrix T can be written

so each column of T is given by one of the left singular vectors of X multiplied by the
corresponding singular value. This form is also the polar decomposition of T.

Efficient algorithms exist to calculate the SVD of X without having to form the matrix XTX, so
computing the SVD is now the standard way to calculate a principal components analysis from a
data matrix, unless only a handful of components are required.

As with the eigen-decomposition, a truncated n × L score matrix TL can be obtained by

considering only the first L largest singular values and their singular vectors:

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The truncation of a matrix M or T using a truncated singular value decomposition in this way
produces a truncated matrix that is the nearest possible matrix of rank L to the original matrix, in
the sense of the difference between the two having the smallest possible Frobenius norm, a result
known as the Eckart–Young theorem [1936].

Further considerations
Given a set of points in Euclidean space, the first principal component corresponds to a line that
passes through the multidimensional mean and minimizes the sum of squares of the distances of
the points from the line. The second principal component corresponds to the same concept after
all correlation with the first principal component has been subtracted from the points. The
singular values (in Σ) are the square roots of the eigenvalues of the matrix XTX. Each eigenvalue is
proportional to the portion of the "variance" (more correctly of the sum of the squared distances of
the points from their multidimensional mean) that is associated with each eigenvector. The sum of
all the eigenvalues is equal to the sum of the squared distances of the points from their
multidimensional mean. PCA essentially rotates the set of points around their mean in order to
align with the principal components. This moves as much of the variance as possible (using an
orthogonal transformation) into the first few dimensions. The values in the remaining dimensions,
therefore, tend to be small and may be dropped with minimal loss of information (see below). PCA
is often used in this manner for dimensionality reduction. PCA has the distinction of being the
optimal orthogonal transformation for keeping the subspace that has largest "variance" (as defined
above). This advantage, however, comes at the price of greater computational requirements if
compared, for example, and when applicable, to the discrete cosine transform, and in particular to
the DCT-II which is simply known as the "DCT". Nonlinear dimensionality reduction techniques
tend to be more computationally demanding than PCA.

PCA is sensitive to the scaling of the variables. If we have just two variables and they have the same
sample variance and are positively correlated, then the PCA will entail a rotation by 45° and the
"weights" (they are the cosines of rotation) for the two variables with respect to the principal
component will be equal. But if we multiply all values of the first variable by 100, then the first
principal component will be almost the same as that variable, with a small contribution from the
other variable, whereas the second component will be almost aligned with the second original
variable. This means that whenever the different variables have different units (like temperature
and mass), PCA is a somewhat arbitrary method of analysis. (Different results would be obtained if
one used Fahrenheit rather than Celsius for example.) Pearson's original paper was entitled "On
Lines and Planes of Closest Fit to Systems of Points in Space" – "in space" implies physical
Euclidean space where such concerns do not arise. One way of making the PCA less arbitrary is to
use variables scaled so as to have unit variance, by standardizing the data and hence use the
autocorrelation matrix instead of the autocovariance matrix as a basis for PCA. However, this
compresses (or expands) the fluctuations in all dimensions of the signal space to unit variance.

Mean subtraction (a.k.a. "mean centering") is necessary for performing classical PCA to ensure
that the first principal component describes the direction of maximum variance. If mean
subtraction is not performed, the first principal component might instead correspond more or less
to the mean of the data. A mean of zero is needed for finding a basis that minimizes the mean
square error of the approximation of the data.[9]

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Mean-centering is unnecessary if performing a principal components analysis on a correlation

matrix, as the data are already centered after calculating correlations. Correlations are derived
from the cross-product of two standard scores (Z-scores) or statistical moments (hence the name:
Pearson Product-Moment Correlation). Also see the article by Kromrey & Foster-Johnson (1998)
on "Mean-centering in Moderated Regression: Much Ado About Nothing".

An autoencoder neural network with a linear hidden layer is similar to PCA. Upon convergence,
the weight vectors of the K neurons in the hidden layer will form a basis for the space spanned by
the first K principal components. Unlike PCA, this technique will not necessarily produce
orthogonal vectors, yet the principal components can easily be recovered from them using singular
value decomposition.[10]

PCA is a popular primary technique in pattern recognition. It is not, however, optimized for class
separability.[11] However, it has been used to quantify the distance between two or more classes by
calculating center of mass for each class in principal component space and reporting Euclidean
distance between center of mass of two or more classes.[12] The linear discriminant analysis is an
alternative which is optimized for class separability.

Table of symbols and abbreviations

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Symbol Meaning Dimensions Indices

data matrix, consisting of the set of all data vectors, one vector per
row

the number of row vectors in the data set scalar

the number of elements in each row vector (dimension) scalar

the number of dimensions in the dimensionally reduced subspace,

scalar

vector of empirical means, one mean for each column j of the data
matrix
vector of empirical standard deviations, one standard deviation for
each column j of the data matrix

vector of all 1's

deviations from the mean of each column j of the data matrix

z-scores, computed using the mean and standard deviation for each
row m of the data matrix

covariance matrix

correlation matrix

matrix consisting of the set of all eigenvectors of C, one eigenvector

per column

diagonal matrix consisting of the set of all eigenvalues of C along its

principal diagonal, and 0 for all other elements

matrix of basis vectors, one vector per column, where each basis
vector is one of the eigenvectors of C, and where the vectors in W
are a sub-set of those in V
matrix consisting of n row vectors, where each vector is the
projection of the corresponding data vector from matrix X onto the
basis vectors contained in the columns of matrix W.

Properties and limitations of PCA

Properties
Some properties of PCA include:[13]

Property 1: For any integer q, 1 ≤ q ≤ p, consider the orthogonal linear transformation

where is a q-element vector and is a (q × p) matrix, and let be the

variance-covariance matrix for . Then the trace of , denoted , is maximized by
taking , where consists of the first q columns of is the transposition of
.

Property 2: Consider again the orthonormal transformation

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with and defined as before. Then is minimized by taking

where consists of the last q columns of .

The statistical implication of this property is that the last few PCs are not simply unstructured left-
overs after removing the important PCs. Because these last PCs have variances as small as possible
they are useful in their own right. They can help to detect unsuspected near-constant linear
relationships between the elements of x, and they may also be useful in regression, in selecting a
subset of variables from x, and in outlier detection.

Property 3: (Spectral Decomposition of Σ)

Before we look at its usage, we first look at diagonal elements,

Then, perhaps the main statistical implication of the result is that not only can we decompose the
combined variances of all the elements of x into decreasing contributions due to each PC, but we
can also decompose the whole covariance matrix into contributions from each PC.
Although not strictly decreasing, the elements of will tend to become smaller as
increases, as is nonincreasing for increasing , whereas the elements of tend to stay
about the same size because of the normalization constraints: .

Limitations
As noted above, the results of PCA depend on the scaling of the variables. This can be cured by
scaling each feature by its standard deviation, so that one ends up with dimensionless features
with unital variance [14]

The applicability of PCA as described above is limited by certain (tacit) assumptions [15] made in
its derivation. In particular, PCA can capture linear correlations between the features but fails
when this assumption is violated (see Figure 6a in the reference). In some cases, coordinate
transformations can restore the linearity assumption and PCA can then be applied (see kernel
PCA).

Another limitation is the mean-removal process before constructing the covariance matrix for
PCA. In fields such as astronomy, all the signals are non-negative, and the mean-removal process
will force the mean of some astrophysical exposures to be zero, which consequently creates
unphysical negative fluxes,[16] and forward modeling has to be performed to recover the true
magnitude of the signals.[17] As an alternative method, non-negative matrix factorization focusing
only on the non-negative elements in the matrices, which is well-suited for astrophysical
observations.[18][19][20] See more at Relation between PCA and Non-negative Matrix Factorization.

PCA and information theory

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Dimensionality reduction loses information, in general. PCA-based dimensionality reduction tends

to minimize that information loss, under certain signal and noise models.

Under the assumption that

i.e., that the data vector is the sum of the desired information-bearing signal and a noise signal
one can show that PCA can be optimal for dimensionality reduction, from an information-
theoretic point-of-view.

In particular, Linsker showed that if is Gaussian and is Gaussian noise with a covariance
matrix proportional to the identity matrix, the PCA maximizes the mutual information
between the desired information and the dimensionality-reduced output .[21]

If the noise is still Gaussian and has a covariance matrix proportional to the identity matrix (i.e.,
the components of the vector are iid), but the information-bearing signal is non-Gaussian
(which is a common scenario), PCA at least minimizes an upper bound on the information loss,
which is defined as[22][23]

The optimality of PCA is also preserved if the noise is iid and at least more Gaussian (in terms of
the Kullback–Leibler divergence) than the information-bearing signal .[24] In general, even if the
above signal model holds, PCA loses its information-theoretic optimality as soon as the noise
becomes dependent.

Computing PCA using the covariance method

The following is a detailed description of PCA using the covariance method (see also here (http://
www.cs.otago.ac.nz/cosc453/student_tutorials/principal_components.pdf)) as opposed to the
correlation method.[25]

The goal is to transform a given data set X of dimension p to an alternative data set Y of smaller
dimension L. Equivalently, we are seeking to find the matrix Y, where Y is the Karhunen–Loève
transform (KLT) of matrix X:

Organize the data set

Suppose you have data comprising a set of observations of p variables, and you want to reduce
the data so that each observation can be described with only L variables, L < p. Suppose further,
that the data are arranged as a set of n data vectors with each representing a single
grouped observation of the p variables.

Write as row vectors, each of which has p columns.

Place the row vectors into a single matrix X of dimensions n × p.

Calculate the empirical mean

Find the empirical mean along each column j = 1, ..., p.
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Place the calculated mean values into an empirical mean vector u of dimensions p × 1.

Calculate the deviations from the mean

Mean subtraction is an integral part of the solution towards finding a principal component basis
that minimizes the mean square error of approximating the data.[26] Hence we proceed by
centering the data as follows:

Subtract the empirical mean vector from each row of the data matrix X.
Store mean-subtracted data in the n × p matrix B.

where h is an n × 1 column vector of all 1s:

Find the covariance matrix

Find the p × p empirical covariance matrix C from matrix B:

where is the conjugate transpose operator. If B consists entirely of real numbers, which is
the case in many applications, the "conjugate transpose" is the same as the regular
transpose.

The reasoning behind using n − 1 instead of n to calculate the covariance is Bessel's

correction.

Find the eigenvectors and eigenvalues of the covariance matrix

Compute the matrix V of eigenvectors which diagonalizes the covariance matrix C:

where D is the diagonal matrix of eigenvalues of C. This step will typically involve the use of
a computer-based algorithm for computing eigenvectors and eigenvalues. These algorithms
are readily available as sub-components of most matrix algebra systems, such as SAS,[27]
R, MATLAB,[28][29] Mathematica,[30] SciPy, IDL (Interactive Data Language), or GNU Octave
as well as OpenCV.

Matrix D will take the form of an p × p diagonal matrix, where

is the jth eigenvalue of the covariance matrix C, and

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Matrix V, also of dimension p × p, contains p column vectors, each of length p, which represent
the p eigenvectors of the covariance matrix C.
The eigenvalues and eigenvectors are ordered and paired. The jth eigenvalue corresponds to
the jth eigenvector.
Matrix V denotes the matrix of right eigenvectors (as opposed to left eigenvectors). In general,
the matrix of right eigenvectors need not be the (conjugate) transpose of the matrix of left
eigenvectors.

Rearrange the eigenvectors and eigenvalues

Sort the columns of the eigenvector matrix V and eigenvalue matrix D in order of decreasing
eigenvalue.
Make sure to maintain the correct pairings between the columns in each matrix.

Compute the cumulative energy content for each eigenvector

The eigenvalues represent the distribution of the source data's energy among each of the
eigenvectors, where the eigenvectors form a basis for the data. The cumulative energy content
g for the jth eigenvector is the sum of the energy content across all of the eigenvalues from 1
through j:

Select a subset of the eigenvectors as basis vectors

Save the first L columns of V as the p × L matrix W:

where

Use the vector g as a guide in choosing an appropriate value for L. The goal is to choose a
value of L as small as possible while achieving a reasonably high value of g on a percentage
basis. For example, you may want to choose L so that the cumulative energy g is above a
certain threshold, like 90 percent. In this case, choose the smallest value of L such that

Project the z-scores of the data onto the new basis

The projected vectors are the columns of the matrix

The rows of matrix T represent the Kosambi-Karhunen–Loève transforms (KLT) of the data
vectors in the rows of matrix X.

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Derivation of PCA using the covariance method

Let X be a d-dimensional random vector expressed as column vector. Without loss of generality,
assume X has zero mean.

We want to find a d × d orthonormal transformation matrix P so that PX has a diagonal

covariance matrix (i.e. PX is a random vector with all its distinct components pairwise
uncorrelated).

A quick computation assuming were unitary yields:

Hence holds if and only if were diagonalisable by .

This is very constructive, as cov(X) is guaranteed to be a non-negative definite matrix and thus is
guaranteed to be diagonalisable by some unitary matrix.

Covariance-free computation
In practical implementations, especially with high dimensional data (large p), the naive covariance
method is rarely used because it is not efficient due to high computational and memory costs of
explicitly determining the covariance matrix. The covariance-free approach avoids the np2
operations of explicitly calculating and storing the covariance matrix XTX, instead utilizing one of
matrix-free methods, e.g., based on the function evaluating the product XT(X r) at the cost of 2np
operations.

Iterative computation
One way to compute the first principal component efficiently[31] is shown in the following pseudo-
code, for a data matrix X with zero mean, without ever computing its covariance matrix.

r = a random vector of length p

do c times:
s = 0 (a vector of length p)
for each row

exit if
return

This power iteration algorithm simply calculates the vector XT(X r), normalizes, and places the
result back in r. The eigenvalue is approximated by rT (XTX) r, which is the Rayleigh quotient on
the unit vector r for the covariance matrix XTX . If the largest singular value is well separated
from the next largest one, the vector r gets close to the first principal component of X within the

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number of iterations c, which is small relative to p, at the total cost 2cnp. The power iteration
convergence can be accelerated without noticeably sacrificing the small cost per iteration using
more advanced matrix-free methods, such as the Lanczos algorithm or the Locally Optimal Block
Preconditioned Conjugate Gradient (LOBPCG) method.

Subsequent principal components can be computed one-by-one via deflation or simultaneously as

a block. In the former approach, imprecisions in already computed approximate principal
components additively affect the accuracy of the subsequently computed principal components,
thus increasing the error with every new computation. The latter approach in the block power
method replaces single-vectors r and s with block-vectors, matrices R and S. Every column of R
approximates one of the leading principal components, while all columns are iterated
simultaneously. The main calculation is evaluation of the product XT(X R). Implemented, e.g., in
LOBPCG, efficient blocking eliminates the accumulation of the errors, allows using high-level
BLAS matrix-matrix product functions, and typically leads to faster convergence, compared to the
single-vector one-by-one technique.

The NIPALS method

Non-linear iterative partial least squares (NIPALS) is a variant the classical power iteration with
matrix deflation by subtraction implemented for computing the first few components in a
principal component or partial least squares analysis. For very-high-dimensional datasets, such as
those generated in the *omics sciences (e.g., genomics, metabolomics) it is usually only necessary
to compute the first few PCs. The non-linear iterative partial least squares (NIPALS) algorithm
updates iterative approximations to the leading scores and loadings t1 and r1T by the power
iteration multiplying on every iteration by X on the left and on the right, i.e. calculation of the
covariance matrix is avoided, just as in the matrix-free implementation of the power iterations to
XTX, based on the function evaluating the product XT(X r) = ((X r)TX)T.
The matrix deflation by subtraction is performed by subtracting the outer product, t1r1T from X
leaving the deflated residual matrix used to calculate the subsequent leading PCs.[32] For large
data matrices, or matrices that have a high degree of column collinearity, NIPALS suffers from loss
of orthogonality of PCs due to machine precision round-off errors accumulated in each iteration
and matrix deflation by subtraction.[33] A Gram–Schmidt re-orthogonalization algorithm is
applied to both the scores and the loadings at each iteration step to eliminate this loss of
orthogonality.[34] NIPALS reliance on single-vector multiplications cannot take advantage of high-
level BLAS and results in slow convergence for clustered leading singular values—both these
deficiencies are resolved in more sophisticated matrix-free block solvers, such as the Locally
Optimal Block Preconditioned Conjugate Gradient (LOBPCG) method.

Online/sequential estimation
In an "online" or "streaming" situation with data arriving piece by piece rather than being stored in
a single batch, it is useful to make an estimate of the PCA projection that can be updated
sequentially. This can be done efficiently, but requires different algorithms.[35]

PCA and qualitative variables

In PCA, it is common that we want to introduce qualitative variables as supplementary elements.
For example, many quantitative variables have been measured on plants. For these plants, some
qualitative variables are available as, for example, the species to which the plant belongs. These
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data were subjected to PCA for quantitative variables. When analyzing the results, it is natural to
connect the principal components to the qualitative variable species. For this, the following results
are produced.

Identification, on the factorial planes, of the different species e.g. using different colors.
Representation, on the factorial planes, of the centers of gravity of plants belonging to the
same species.
For each center of gravity and each axis, p-value to judge the significance of the difference
between the center of gravity and origin.
These results are what is called introducing a qualitative variable as supplementary element.
This procedure is detailed in and Husson, Lê & Pagès 2009 and Pagès 2013. Few software offer
this option in an "automatic" way. This is the case of SPAD (http://www.coheris.com/produits/an
alytics/logiciel-data-mining/) that historically, following the work of Ludovic Lebart, was the first
to propose this option, and the R package FactoMineR (http://factominer.free.fr/).

Applications

Quantitative finance
In quantitative finance, principal component analysis can be directly applied to the risk
management of interest rate derivative portfolios.[36] Trading multiple swap instruments which
are usually a function of 30-500 other market quotable swap instruments is sought to be reduced
to usually 3 or 4 principal components, representing the path of interest rates on a macro basis.
Converting risks to be represented as those to factor loadings (or multipliers) provides
assessments and understanding beyond that available to simply collectively viewing risks to
individual 30-500 buckets.

PCA has also been applied to equity portfolios in a similar fashion,[37] both to portfolio risk and to
risk return. One application is to reduce portfolio risk, where allocation strategies are applied to
the "principal portfolios" instead of the underlying stocks.[38] A second is to enhance portfolio
return, using the principal components to select stocks with upside potential.

Neuroscience
A variant of principal components analysis is used in neuroscience to identify the specific
properties of a stimulus that increase a neuron's probability of generating an action potential.[39]
This technique is known as spike-triggered covariance analysis. In a typical application an
experimenter presents a white noise process as a stimulus (usually either as a sensory input to a
test subject, or as a current injected directly into the neuron) and records a train of action
potentials, or spikes, produced by the neuron as a result. Presumably, certain features of the
stimulus make the neuron more likely to spike. In order to extract these features, the experimenter
calculates the covariance matrix of the spike-triggered ensemble, the set of all stimuli (defined and
discretized over a finite time window, typically on the order of 100 ms) that immediately preceded
a spike. The eigenvectors of the difference between the spike-triggered covariance matrix and the
covariance matrix of the prior stimulus ensemble (the set of all stimuli, defined over the same
length time window) then indicate the directions in the space of stimuli along which the variance
of the spike-triggered ensemble differed the most from that of the prior stimulus ensemble.
Specifically, the eigenvectors with the largest positive eigenvalues correspond to the directions
along which the variance of the spike-triggered ensemble showed the largest positive change

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compared to the variance of the prior. Since these were the directions in which varying the
stimulus led to a spike, they are often good approximations of the sought after relevant stimulus
features.

In neuroscience, PCA is also used to discern the identity of a neuron from the shape of its action
potential. Spike sorting is an important procedure because extracellular recording techniques
often pick up signals from more than one neuron. In spike sorting, one first uses PCA to reduce the
dimensionality of the space of action potential waveforms, and then performs clustering analysis
to associate specific action potentials with individual neurons.

PCA as a dimension reduction technique is particularly suited to detect coordinated activities of

large neuronal ensembles. It has been used in determining collective variables, i.e. order
parameters, during phase transitions in the brain.[40]

Relation with other methods

Correspondence analysis
Correspondence analysis (CA) was developed by Jean-Paul Benzécri[41] and is conceptually similar
to PCA, but scales the data (which should be non-negative) so that rows and columns are treated
equivalently. It is traditionally applied to contingency tables. CA decomposes the chi-squared
statistic associated to this table into orthogonal factors.[42] Because CA is a descriptive technique,
it can be applied to tables for which the chi-squared statistic is appropriate or not. Several variants
of CA are available including detrended correspondence analysis and canonical correspondence
analysis. One special extension is multiple correspondence analysis, which may be seen as the
counterpart of principal component analysis for categorical data.[43]

Factor analysis
Principal component analysis creates variables that are linear combinations of the original
variables. The new variables have the property that the variables are all orthogonal. The PCA
transformation can be helpful as a pre-processing step before clustering. PCA is a variance-focused
approach seeking to reproduce the total variable variance, in which components reflect both
common and unique variance of the variable. PCA is generally preferred for purposes of data
reduction (i.e., translating variable space into optimal factor space) but not when the goal is to
detect the latent construct or factors.

Factor analysis is similar to principal component analysis, in that factor analysis also involves
linear combinations of variables. Different from PCA, factor analysis is a correlation-focused
approach seeking to reproduce the inter-correlations among variables, in which the factors
"represent the common variance of variables, excluding unique variance".[44] In terms of the
correlation matrix, this corresponds with focusing on explaining the off-diagonal terms (i.e. shared
co-variance), while PCA focuses on explaining the terms that sit on the diagonal. However, as a
side result, when trying to reproduce the on-diagonal terms, PCA also tends to fit relatively well
the off-diagonal correlations.[45] Results given by PCA and factor analysis are very similar in most
situations, but this is not always the case, and there are some problems where the results are
significantly different. Factor analysis is generally used when the research purpose is detecting
data structure (i.e., latent constructs or factors) or causal modeling.

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K-means clustering
It was asserted in [46][47] that the relaxed solution of k-means clustering, specified by the cluster
indicators, is given by the principal components, and the PCA subspace spanned by the principal
directions is identical to the cluster centroid subspace. However, that PCA is a useful relaxation of
k-means clustering was not a new result (see, for example,[48]), and it is straightforward to
uncover counterexamples to the statement that the cluster centroid subspace is spanned by the
principal directions.[49]

Non-negative matrix factorization

Non-negative matrix
factorization (NMF) is
a dimension reduction
method where only
non-negative elements
in the matrices are
used, which is
therefore a promising
method in
astronomy, [18][19][20]

in the sense that

astrophysical signals
are non-negative. The Fractional residual variance (FRV) plots for PCA and NMF;[20] for PCA, the
PCA components are theoretical values are the contribution from the residual eigenvalues. In comparison,
orthogonal to each the FRV curves for PCA reaches a flat plateau where no signal are captured
effectively; while the NMF FRV curves are declining continuously, indicating a better
other, while the NMF
ability to capture signal. The FRV curves for NMF also converges to higher levels
components are all than PCA, indicating the less-overfitting property of NMF.
non-negative and
therefore constructs a
non-orthogonal basis.

In PCA, the contribution of each component is ranked based on the magnitude of its
corresponding eigenvalue, which is equivalent to the fractional residual variance (FRV) in
analyzing empirical data.[16] For NMF, its components are ranked based only on the empirical

FRV curves.[20] The residual fractional eigenvalue plots, i.e., as a function of

component number given a total of components, for PCA has a flat plateau, where no data is
captured to remove the quasi-static noise, then the curves dropped quickly as an indication of
over-fitting and captures random noise.[16] The FRV curves for NMF is decreasing continuously
[20] when the NMF components are constructed sequentially,[19] indicating the continuous

capturing of quasi-static noise; then converge to higher levels than PCA,[20] indicating the less
over-fitting property of NMF.

Generalizations

Sparse PCA

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A particular disadvantage of PCA is that the principal components are usually linear combinations
of all input variables. Sparse PCA overcomes this disadvantage by finding linear combinations that
contain just a few input variables. It extends the classic method of principal component analysis
(PCA) for the reduction of dimensionality of data by adding sparsity constraint on the input
variables. Several approaches have been proposed, including

a regression framework,[50]
a convex relaxation/semidefinite programming framework,[51]
a generalized power method framework[52]
an alternating maximization framework[53]
forward-backward greedy search and exact methods using branch-and-bound techniques,[54]
Bayesian formulation framework.[55]
The methodological and theoretical developments of Sparse PCA as well as its applications in
scientific studies are recently reviewed in a survey paper.[56]

Nonlinear PCA
Most of the modern methods for nonlinear dimensionality reduction find their theoretical and
algorithmic roots in PCA or K-means. Pearson's original idea was to take a straight line (or plane)
which will be "the best fit" to a set of data points. Principal curves and manifolds[60] give the
natural geometric framework for PCA generalization and extend the geometric interpretation of
PCA by explicitly constructing an embedded manifold for data approximation, and by encoding
using standard geometric projection onto the manifold, as it is illustrated by Fig. See also the
elastic map algorithm and principal geodesic analysis. Another popular generalization is kernel
PCA, which corresponds to PCA performed in a reproducing kernel Hilbert space associated with a
positive definite kernel.

In multilinear subspace learning,[61] PCA is generalized to multilinear PCA (MPCA) that extracts
features directly from tensor representations. MPCA is solved by performing PCA in each mode of
the tensor iteratively. MPCA has been applied to face recognition, gait recognition, etc. MPCA is
further extended to uncorrelated MPCA, non-negative MPCA and robust MPCA.

N-way principal component analysis may be performed with models such as Tucker
decomposition, PARAFAC, multiple factor analysis, co-inertia analysis, STATIS, and DISTATIS.

Robust PCA
While PCA finds the mathematically optimal method (as in minimizing the squared error), it is
still sensitive to outliers in the data that produce large errors, something that the method tries to
avoid in the first place. It is therefore common practice to remove outliers before computing PCA.
However, in some contexts, outliers can be difficult to identify. For example, in data mining
algorithms like correlation clustering, the assignment of points to clusters and outliers is not
known beforehand. A recently proposed generalization of PCA[62] based on a weighted PCA
increases robustness by assigning different weights to data objects based on their estimated
relevancy. Outlier-resistant versions of PCA have also been proposed on L1-norm formulations
(L1-PCA).[63]

Robust principal component analysis (RPCA) via decomposition in low-rank and sparse matrices
is a modification of PCA that works well with respect to grossly corrupted observations.[64][65][66]

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Similar techniques

Independent component analysis

Independent component analysis (ICA) is directed
to similar problems as principal component
analysis, but finds additively separable
components rather than successive
approximations.

Network component analysis

Given a matrix , it tries to decompose it into two
matrices such that . A key difference from
techniques such as PCA and ICA is that some of the
entries of are constrained to be 0. Here is
termed the regulatory layer. While in general such
a decomposition can have multiple solutions, they Linear PCA versus nonlinear Principal
prove that if the following conditions are satisfied : Manifolds[57] for visualization of breast cancer
microarray data: a) Configuration of nodes and
1. has full column rank 2D Principal Surface in the 3D PCA linear
manifold. The dataset is curved and cannot be
2. Each column of must have at least
mapped adequately on a 2D principal plane; b)
zeroes where is the number of columns of
The distribution in the internal 2D non-linear
(or alternatively the number of rows of ). The
principal surface coordinates (ELMap2D) together
justification for this criterion is that if a node is
with an estimation of the density of points; c) The
removed from the regulatory layer along with
same as b), but for the linear 2D PCA manifold
all the output nodes connected to it, the result
(PCA2D). The "basal" breast cancer subtype is
must still be characterized by a connectivity
visualized more adequately with ELMap2D and
matrix with full column rank.
some features of the distribution become better
3. must have full row rank. resolved in comparison to PCA2D. Principal
then the decomposition is unique up to manifolds are produced by the elastic maps
multiplication by a scalar.[67] algorithm. Data are available for public
competition.[58] Software is available for free non-
commercial use.[59]
Software/source code
ALGLIB - a C++ and C# library that implements PCA and truncated PCA
Analytica – The built-in EigenDecomp function computes principal components.
ELKI – includes PCA for projection, including robust variants of PCA, as well as PCA-based
clustering algorithms.
Gretl – principal component analysis can be performed either via the pca command or via the
princomp() function.
Julia – Supports PCA with the pca function in the MultivariateStats package
KNIME – A java based nodal arranging software for Analysis, in this the nodes called PCA,
PCA compute, PCA Apply, PCA inverse make it easily.
Mathematica – Implements principal component analysis with the PrincipalComponents
command using both covariance and correlation methods.
MathPHP (https://github.com/markrogoyski/math-php) - PHP mathematics library with support
for PCA.
MATLAB Statistics Toolbox – The functions princomp and pca (R2012b) give the principal
components, while the function pcares gives the residuals and reconstructed matrix for a low-
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rank PCA approximation.

Matplotlib – Python library have a PCA package in the .mlab module.
mlpack – Provides an implementation of principal component analysis in C++.
NAG Library – Principal components analysis is implemented via the g03aa routine (available
in both the Fortran versions of the Library).
NMath – Proprietary numerical library containing PCA for the .NET Framework.
GNU Octave – Free software computational environment mostly compatible with MATLAB, the
function princomp gives the principal component.
OpenCV
Oracle Database 12c – Implemented via DBMS_DATA_MINING.SVDS_SCORING_MODE by
specifying setting value SVDS_SCORING_PCA
Orange (software) – Integrates PCA in its visual programming environment. PCA displays a
scree plot (degree of explained variance) where user can interactively select the number of
principal components.
Origin – Contains PCA in its Pro version.
Qlucore – Commercial software for analyzing multivariate data with instant response using
PCA.
R – Free statistical package, the functions princomp and prcomp can be used for principal
component analysis; prcomp uses singular value decomposition which generally gives better
numerical accuracy. Some packages that implement PCA in R, include, but are not limited to:
ade4, vegan, ExPosition, dimRed, and FactoMineR.
SAS - Proprietary software; for example, see [68]
Scikit-learn – Python library for machine learning which contains PCA, Probabilistic PCA,
Kernel PCA, Sparse PCA and other techniques in the decomposition module.
Weka – Java library for machine learning which contains modules for computing principal
components.

See also
Correspondence analysis (for contingency tables)
Multiple correspondence analysis (for qualitative variables)
Factor analysis of mixed data (for quantitative and qualitative variables)
Canonical correlation
CUR matrix approximation (can replace of low-rank SVD approximation)
Detrended correspondence analysis
Dynamic mode decomposition
Eigenface
Exploratory factor analysis (Wikiversity)
Factorial code
Functional principal component analysis
Geometric data analysis
Independent component analysis
Kernel PCA
L1-norm principal component analysis
Low-rank approximation
Matrix decomposition
Non-negative matrix factorization
Nonlinear dimensionality reduction
Oja's rule
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Point distribution model (PCA applied to morphometry and computer vision)

Principal component analysis (Wikibooks)
Principal component regression
Singular spectrum analysis
Singular value decomposition
Sparse PCA
Transform coding
Weighted least squares

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Further reading
Jackson, J.E. (1991). A User's Guide to Principal Components (Wiley).
Jolliffe, I. T. (1986). Principal Component Analysis (https://archive.org/details/principalcompone
00joll_0/page/487). Springer Series in Statistics. Springer-Verlag. pp. 487 (https://archive.org/d
etails/principalcompone00joll_0/page/487). CiteSeerX 10.1.1.149.8828 (https://citeseerx.ist.ps
u.edu/viewdoc/summary?doi=10.1.1.149.8828). doi:10.1007/b98835 (https://doi.org/10.1007%
2Fb98835). ISBN 978-0-387-95442-4.
Jolliffe, I.T. (2002). Principal Component Analysis, second edition (Springer).
Husson François, Lê Sébastien & Pagès Jérôme (2009). Exploratory Multivariate Analysis by
Example Using R. Chapman & Hall/CRC The R Series, London. 224p. ISBN 978-2-7535-
0938-2
Pagès Jérôme (2014). Multiple Factor Analysis by Example Using R (https://books.google.co
m/books?id=_RIeBQAAQBAJ&printsec=frontcover#v=snippet&q=%22principal%20componen
t%20analysis%22&f=false). Chapman & Hall/CRC The R Series London 272 p

External links
University of Copenhagen video by Rasmus Bro (https://www.youtube.com/watch?v=UUxIXU_
Ob6E) on YouTube
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7.1.2020 Principal component analysis - Wikipedia

Stanford University video by Andrew Ng (https://www.youtube.com/watch?v=ey2PE5xi9-A#t=2

385) on YouTube
A Tutorial on Principal Component Analysis (https://arxiv.org/abs/1404.1100)
A layman's introduction to principal component analysis (https://www.youtube.com/watch?v=Bf
TMmoDFXyE) on YouTube (a video of less than 100 seconds.)
StatQuest: Principal Component Analysis (PCA) clearly explained (https://www.youtube.com/w
atch?v=_UVHneBUBW0) on YouTube
See also the list of Software implementations

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