WHAT IS PRINCIPAL COMPONENT ANALYSIS?

Principal Component Analysis, or PCA, is a dimensionality-reduction method that is

often used to reduce the dimensionality of large data sets, by transforming a large
set of variables into a smaller one that still contains most of the information in
the large set.

Reducing the number of variables of a data set naturally comes at the expense of
accuracy, but the trick in dimensionality reduction is to trade a little accuracy
for simplicity. Because smaller data sets are easier to explore and visualize and
make analyzing data much easier and faster for machine learning algorithms without
extraneous variables to process.

So to sum up, the idea of PCA is simple — reduce the number of variables of a data
set, while preserving as much information as possible.

STEP BY STEP EXPLANATION OF PCA

STEP 1: STANDARDIZATION
The aim of this step is to standardize the range of the continuous initial
variables so that each one of them contributes equally to the analysis.

More specifically, the reason why it is critical to perform standardization prior

to PCA, is that the latter is quite sensitive regarding the variances of the
initial variables. That is, if there are large differences between the ranges of
initial variables, those variables with larger ranges will dominate over those with
small ranges (For example, a variable that ranges between 0 and 100 will dominate
over a variable that ranges between 0 and 1), which will lead to biased results.
So, transforming the data to comparable scales can prevent this problem.

Mathematically, this can be done by subtracting the mean and dividing by the
standard deviation for each value of each variable.

Once the standardization is done, all the variables will be transformed to the same
scale.

STEP 2: COVARIANCE MATRIX COMPUTATION

The aim of this step is to understand how the variables of the input data set are
varying from the mean with respect to each other, or in other words, to see if
there is any relationship between them. Because sometimes, variables are highly
correlated in such a way that they contain redundant information. So, in order to
identify these correlations, we compute the covariance matrix.

The covariance matrix is a p × p symmetric matrix (where p is the number of

dimensions) that has as entries the covariances associated with all possible pairs
of the initial variables. For example, for a 3-dimensional data set with 3
variables x, y, and z, the covariance matrix is a 3×3 matrix of this from:

Since the covariance of a variable with itself is its variance (Cov(a,a)=Var(a)),

in the main diagonal (Top left to bottom right) we actually have the variances of
each initial variable. And since the covariance is commutative (Cov(a,b)=Cov(b,a)),
the entries of the covariance matrix are symmetric with respect to the main
diagonal, which means that the upper and the lower triangular portions are equal.

What do the covariances that we have as entries of the matrix tell us about the
correlations between the variables?
It’s actually the sign of the covariance that matters :

if positive then: the two variables increase or decrease together (correlated)

if negative then : One increases when the other decreases (Inversely correlated)
Now, that we know that the covariance matrix is not more than a table that
summaries the correlations between all the possible pairs of variables, let’s move
to the next step.
STEP 3: COMPUTE THE EIGENVECTORS AND EIGENVALUES OF THE COVARIANCE MATRIX TO
IDENTIFY THE PRINCIPAL COMPONENTS
Eigenvectors and eigenvalues are the linear algebra concepts that we need to
compute from the covariance matrix in order to determine the principal components
of the data. Before getting to the explanation of these concepts, let’s first
understand what do we mean by principal components.

Principal components are new variables that are constructed as linear combinations
or mixtures of the initial variables. These combinations are done in such a way
that the new variables (i.e., principal components) are uncorrelated and most of
the information within the initial variables is squeezed or compressed into the
first components. So, the idea is 10-dimensional data gives you 10 principal
components, but PCA tries to put maximum possible information in the first
component, then maximum remaining information in the second and so on, until having
something like shown in the scree plot below.

Percentage of Variance (Information) for each by PC

Organizing information in principal components this way, will allow you to reduce
dimensionality without losing much information, and this by discarding the
components with low information and considering the remaining components as your
new variables.

An important thing to realize here is that, the principal components are less
interpretable and don’t have any real meaning since they are constructed as linear
combinations of the initial variables.

Geometrically speaking, principal components represent the directions of the data

that explain a maximal amount of variance, that is to say, the lines that capture
most information of the data. The relationship between variance and information
here, is that, the larger the variance carried by a line, the larger the dispersion
of the data points along it, and the larger the dispersion along a line, the more
the information it has. To put all this simply, just think of principal components
as new axes that provide the best angle to see and evaluate the data, so that the
differences between the observations are better visible.

HOW PCA CONSTRUCTS THE PRINCIPAL COMPONENTS

As there are as many principal components as there are variables in the data,
principal components are constructed in such a manner that the first principal
component accounts for the largest possible variance in the data set. For example,
let’s assume that the scatter plot of our data set is as shown below, can we guess
the first principal component ? Yes, it’s approximately the line that matches the
purple marks because it goes through the origin and it’s the line in which the
projection of the points (red dots) is the most spread out. Or mathematically
speaking, it’s the line that maximizes the variance (the average of the squared
distances from the projected points (red dots) to the origin).

The second principal component is calculated in the same way, with the condition
that it is uncorrelated with (i.e., perpendicular to) the first principal component
and that it accounts for the next highest variance.
This continues until a total of p principal components have been calculated, equal
to the original number of variables.

Now that we understood what we mean by principal components, let’s go back to

eigenvectors and eigenvalues. What you firstly need to know about them is that they
always come in pairs, so that every eigenvector has an eigenvalue. And their number
is equal to the number of dimensions of the data. For example, for a 3-dimensional
data set, there are 3 variables, therefore there are 3 eigenvectors with 3
corresponding eigenvalues.

Without further ado, it is eigenvectors and eigenvalues who are behind all the
magic explained above, because the eigenvectors of the Covariance matrix are
actually the directions of the axes where there is the most variance(most
information) and that we call Principal Components. And eigenvalues are simply the
coefficients attached to eigenvectors, which give the amount of variance carried in
each Principal Component.

By ranking your eigenvectors in order of their eigenvalues, highest to lowest, you

get the principal components in order of significance.

Example:
let’s suppose that our data set is 2-dimensional with 2 variables x,y and that the
eigenvectors and eigenvalues of the covariance matrix are as follows:

Principal Component Analysis Example

If we rank the eigenvalues in descending order, we get λ1>λ2, which means that the
eigenvector that corresponds to the first principal component (PC1) is v1 and the
one that corresponds to the second component (PC2) is v2.

After having the principal components, to compute the percentage of variance

(information) accounted for by each component, we divide the eigenvalue of each
component by the sum of eigenvalues. If we apply this on the example above, we find
that PC1 and PC2 carry respectively 96% and 4% of the variance of the data.

STEP 4: FEATURE VECTOR

As we saw in the previous step, computing the eigenvectors and ordering them by
their eigenvalues in descending order, allow us to find the principal components in
order of significance. In this step, what we do is, to choose whether to keep all
these components or discard those of lesser significance (of low eigenvalues), and
form with the remaining ones a matrix of vectors that we call Feature vector.

So, the feature vector is simply a matrix that has as columns the eigenvectors of
the components that we decide to keep. This makes it the first step towards
dimensionality reduction, because if we choose to keep only p eigenvectors
(components) out of n, the final data set will have only p dimensions.

Example:

Continuing with the example from the previous step, we can either form a feature
vector with both of the eigenvectors v1 and v2:

Or discard the eigenvector v2, which is the one of lesser significance, and form a
feature vector with v1 only:
Discarding the eigenvector v2 will reduce dimensionality by 1, and will
consequently cause a loss of information in the final data set. But given that v2
was carrying only 4% of the information, the loss will be therefore not important
and we will still have 96% of the information that is carried by v1.

So, as we saw in the example, it’s up to you to choose whether to keep all the
components or discard the ones of lesser significance, depending on what you are
looking for. Because if you just want to describe your data in terms of new
variables (principal components) that are uncorrelated without seeking to reduce
dimensionality, leaving out lesser significant components is not needed.

LAST STEP: RECAST THE DATA ALONG THE PRINCIPAL COMPONENTS AXES
In the previous steps, apart from standardization, you do not make any changes on
the data, you just select the principal components and form the feature vector, but
the input data set remains always in terms of the original axes (i.e, in terms of
the initial variables).

In this step, which is the last one, the aim is to use the feature vector formed
using the eigenvectors of the covariance matrix, to reorient the data from the
original axes to the ones represented by the principal components (hence the name
Principal Components Analysis). This can be done by multiplying the transpose of
the original data set by the transpose of the feature vector.