A tutorial on Principal Components Analysis Lindsay I Smith February 26,2002
A tutorial on Principal Components Analysis Lindsay I Smith February 26, 2002
Chapter 1 Introduction This tutorial is designed to give the reader an understanding of Principal Components Analysis(PCA).PCA is a useful statistical technique that has found application in fields such as face recognition and image compression,and is a common technique for finding patterns in data of high dimension. Before getting to a description of PCA,this tutorial first introduces mathematical concepts that will be used in PCA.It covers standard deviation,covariance,eigenvec- tors and eigenvalues.This background knowledge is meant to make the PCA section very straightforward,but can be skipped if the concepts are already familiar. There are examples all the way through this tutorial that are meant to illustrate the concepts being discussed.If further information is required,the mathematics textbook "Elementary Linear Algebra 5e"by Howard Anton,Publisher John Wiley Sons Inc, ISBN 0-471-85223-6 is a good source of information regarding the mathematical back- ground. 1
Chapter 1 Introduction This tutorial is designed to give the reader an understanding of Principal Components Analysis (PCA). PCA is a useful statistical technique that has found application in fields such as face recognition and image compression, and is a common technique for finding patterns in data of high dimension. Before getting to a description of PCA, this tutorial first introduces mathematical concepts that will be used in PCA. It covers standard deviation, covariance, eigenvectors and eigenvalues. This background knowledge is meant to make the PCA section very straightforward, but can be skipped if the concepts are already familiar. There are examples all the way through this tutorial that are meant to illustrate the concepts being discussed. If further information is required, the mathematics textbook “Elementary Linear Algebra 5e” by Howard Anton, Publisher John Wiley & Sons Inc, ISBN 0-471-85223-6 is a good source of information regarding the mathematical background. 1
Chapter 2 Background Mathematics This section will attempt to give some elementary background mathematical skills that will be required to understand the process of Principal Components Analysis.The topics are covered independently ofeach other,and examples given.It is less important to remember the exact mechanics of a mathematical technique than it is to understand the reason why such a technique may be used,and what the result of the operation tells us about our data.Not all of these techniques are used in PCA,but the ones that are not explicitly required do provide the grounding on which the most important techniques are based. I have included a section on Statistics which looks at distribution measurements. or,how the data is spread out.The other section is on Matrix Algebra and looks at eigenvectors and eigenvalues,important properties of matrices that are fundamental to PCA. 2.1 Statistics The entire subject of statistics is based around the idea that you have this big set of data, and you want to analyse that set in terms of the relationships between the individual points in that data set.I am going to look at a few of the measures you can do on a set of data,and what they tell you about the data itself. 2.1.1 Standard Deviation To understand standard deviation,we need a data set.Statisticians are usually con- cerned with taking a sample of a population.To use election polls as an example,the population is all the people in the country,whereas a sample is a subset of the pop- ulation that the statisticians measure.The great thing about statistics is that by only measuring(in this case by doing a phone survey or similar)a sample of the population, you can work out what is most likely to be the measurement if you used the entire pop- ulation.In this statistics section,I am going to assume that our data sets are samples 2
Chapter 2 Background Mathematics This section will attempt to give some elementary background mathematical skills that will be required to understand the process of Principal Components Analysis. The topics are covered independently of each other, and examples given. It is less important to remember the exact mechanics of a mathematical technique than it is to understand the reason why such a technique may be used, and what the result of the operation tells us about our data. Not all of these techniques are used in PCA, but the ones that are not explicitly required do provide the grounding on which the most important techniques are based. I have included a section on Statistics which looks at distribution measurements, or, how the data is spread out. The other section is on Matrix Algebra and looks at eigenvectors and eigenvalues, important properties of matrices that are fundamental to PCA. 2.1 Statistics The entire subject of statistics is based around the idea that you have this big set of data, and you want to analyse that set in terms of the relationships between the individual points in that data set. I am going to look at a few of the measures you can do on a set of data, and what they tell you about the data itself. 2.1.1 Standard Deviation To understand standard deviation, we need a data set. Statisticians are usually concerned with taking a sample of a population. To use election polls as an example, the population is all the people in the country, whereas a sample is a subset of the population that the statisticians measure. The great thing about statistics is that by only measuring (in this case by doing a phone survey or similar) a sample of the population, you can work out what is most likely to be the measurement if you used the entire population. In this statistics section, I am going to assume that our data sets are samples 2
of some bigger population.There is a reference later in this section pointing to more information about samples and populations Here's an example set: X=[12461215254568676598] I could simply use the symbol X to refer to this entire set of numbers.If I want to refer to an individual number in this data set,I will use subscripts on the symbol X to indicate a specific number.Eg.X3 refers to the 3rd number in X,namely the number 4.Note that Xi is the first number in the sequence,not Xo like you may see in some textbooks.Also,the symbol n will be used to refer to the number of elements in the setX There are a number of things that we can calculate about a data set.For example, we can calculate the mean of the sample.I assume that the reader understands what the mean of a sample is,and will only give the formula: X=EHX Notice the symbol X(said "X bar")to indicate the mean of the set X.All this formula says is"Add up all the numbers and then divide by how many there are". Unfortunately,the mean doesn't tell us a lot about the data except for a sort of middle point.For example,these two data sets have exactly the same mean(10),but are obviously quite different [081220]and[891112] So what is different about these two sets?It is the spread of the data that is different. The Standard Deviation(SD)of a data set is a measure of how spread out the data is. How do we calculate it?The English definition of the SD is:"The average distance from the mean of the data set to a point".The way to calculate it is to compute the squares of the distance from each data point to the mean of the set,add them all up, divide by n-1,and take the positive square root.As a formula: =1(Xi-)2 (n-1) Where s is the usual symbol for standard deviation ofa sample.I hear you asking"Why are you using(n-1)and not n?".Well,the answer is a bit complicated,but in general, if your data set is a sample data set,ie.you have taken a subset of the real-world (like surveying 500 people about the election)then you must use(n-1)because it turns out that this gives you an answer that is closer to the standard deviation that would result if you had used the entire population,than if you'd used n.If,however,you are not calculating the standard deviation for a sample,but for an entire population,then you should divide by n instead of(n-1).For further reading on this topic,the web page http://mathcentral.uregina.ca/RR/database/RR.09.95/weston2.html describes standard deviation in a similar way,and also provides an example experiment that shows the 3
of some bigger population. There is a reference later in this section pointing to more information about samples and populations. Here’s an example set: ✂✁☎✄✝✆✟✞✡✠✡☛☞✆✌✞✍✆✌✎✡✞✏✎✡✠✏✎✡☛✒✑✓☛✕✔✖☛✏✎✡✗✏✑✡✘ I could simply use the symbol to refer to this entire set of numbers. If I want to refer to an individual number in this data set, I will use subscripts on the symbol to indicate a specific number. Eg. ✚✙ refers to the 3rd number in , namely the number 4. Note that ✜✛ is the first number in the sequence, not ✚✢ like you may see in some textbooks. Also, the symbol ✣ will be used to refer to the number of elements in the set There are a number of things that we can calculate about a data set. For example, we can calculate the mean of the sample. I assume that the reader understands what the mean of a sample is, and will only give the formula: ✥✁ ✤ ✦✧✩★ ✛ ✧ ✣ Notice the symbol ✤ (said “X bar”) to indicate the mean of the set . All this formula says is “Add up all the numbers and then divide by how many there are”. Unfortunately, the mean doesn’t tell us a lot about the data except for a sort of middle point. For example, these two data sets have exactly the same mean (10), but are obviously quite different: ✄✫✪✬✑✍✆✫✞✡✞✏✪✡✘✕✭✣✯✮ ✄✰✑✡✗✱✆✒✆✓✆✌✞✡✘ So what is different about these two sets? It is the spread of the data that is different. The Standard Deviation (SD) of a data set is a measure of how spread out the data is. How do we calculate it? The English definition of the SD is: “The average distance from the mean of the data set to a point”. The way to calculate it is to compute the squares of the distance from each data point to the mean of the set, add them all up, divide by ✣✳✲ ✆ , and take the positive square root. As a formula: ✴ ✁ ✦✧✩★ ✛✶✵ ✧ ✲ ✸✷✺✹ ✤ ✵✣✜✲ ✆✒✷ Where ✴ is the usual symbol for standard deviation of a sample. I hear you asking “Why are you using ✵✣✻✲ ✆✒✷ and not ✣?”. Well, the answer is a bit complicated, but in general, if your data set is a sample data set, ie. you have taken a subset of the real-world (like surveying 500 people about the election) then you must use ✵✣✼✲ ✆✏✷ because it turns out that this gives you an answer that is closer to the standard deviation that would result if you had used the entire population, than if you’d used ✣. If, however, you are not calculating the standard deviation for a sample, but for an entire population, then you should divide by ✣ instead of ✵✣✽✲ ✆✒✷ . For further reading on this topic, the web page http://mathcentral.uregina.ca/RR/database/RR.09.95/weston2.html describes standard deviation in a similar way, and also provides an example experiment that shows the 3
Set 1: X (X-) (X-)2 0 -10 100 8 -2 4 12 2 20 10 100 Total 208 Divided by (n-1) 69.333 Square Root 8.3266 Set 2: Xi (X:-X)(X:-)2 8 -2 4 -1 11 1 1 12 2 Total 10 Divided by (n-1) 3.333 Square Root 1.8257 Table 2.1:Calculation of standard deviation difference between each of the denominators.It also discusses the difference between samples and populations. So,for our two data sets above,the calculations of standard deviation are in Ta- ble 2.1. And so,as expected,the first set has a much larger standard deviation due to the fact that the data is much more spread out from the mean.Just as another example,the data set: [10101010] also has a mean of 10,but its standard deviation is 0,because all the numbers are the same.None of them deviate from the mean. 2.1.2 Variance Variance is another measure of the spread of data in a data set.In fact it is almost identical to the standard deviation.The formula is this: s2=∑X:-X (n-1) 4
Set 1: ✵ ✲ ✸✷ ✤ ✵ ✲ ✸✷ ✤ ✹ 0 -10 100 8 -2 4 12 2 4 20 10 100 Total 208 Divided by (n-1) 69.333 Square Root 8.3266 Set 2: ✧ ✵ ✧ ✲ ✸✷ ✤ ✵ ✧ ✲ ✸✷ ✤ ✹ 8 -2 4 9 -1 1 11 1 1 12 2 4 Total 10 Divided by (n-1) 3.333 Square Root 1.8257 Table 2.1: Calculation of standard deviation difference between each of the denominators. It also discusses the difference between samples and populations. So, for our two data sets above, the calculations of standard deviation are in Table 2.1. And so, as expected, the first set has a much larger standard deviation due to the fact that the data is much more spread out from the mean. Just as another example, the data set: ✄✝✆✌✪✍✆✌✪✍✆✫✪✍✆✫✪✡✘ also has a mean of 10, but its standard deviation is 0, because all the numbers are the same. None of them deviate from the mean. 2.1.2 Variance Variance is another measure of the spread of data in a data set. In fact it is almost identical to the standard deviation. The formula is this: ✴ ✹ ✁ ✦✧✾★ ✛ ✵ ✧ ✲ ✸✷ ✤ ✹ ✵✣✿✲ ✆✒✷ 4
You will notice that this is simply the standard deviation squared,in both the symbol (s2)and the formula(there is no square root in the formula for variance).s2 is the usual symbol for variance of a sample.Both these measurements are measures of the spread of the data.Standard deviation is the most common measure,but variance is also used.The reason why I have introduced variance in addition to standard deviation is to provide a solid platform from which the next section,covariance,can launch from. Exercises Find the mean,standard deviation,and variance for each of these data sets. ·[12233444597098] ·[12152527328899] ·[15357882909597] 2.1.3 Covariance The last two measures we have looked at are purely 1-dimensional.Data sets like this could be:heights of all the people in the room,marks for the last COMP101 exam etc. However many data sets have more than one dimension,and the aim of the statistical analysis of these data sets is usually to see if there is any relationship between the dimensions.For example,we might have as our data set both the height of all the students in a class,and the mark they received for that paper.We could then perform statistical analysis to see if the height of a student has any effect on their mark. Standard deviation and variance only operate on I dimension,so that you could only calculate the standard deviation for each dimension of the data set independently of the other dimensions.However,it is useful to have a similar measure to find out how much the dimensions vary from the mean with respect to each other. Covariance is such a measure.Covariance is always measured between 2 dimen- sions.If you calculate the covariance between one dimension and itself,you get the variance.So,if you had a 3-dimensional data set(,y,z),then you could measure the covariance between the and y dimensions,the x and z dimensions,and the y and z dimensions.Measuring the covariance between z and z,or y and y,or z and z would give you the variance of the z,y and z dimensions respectively. The formula for covariance is very similar to the formula for variance.The formula for variance could also be written like this: var(X)= ∑(X:-x)(X:-) (n-1) where I have simply expanded the square term to show both parts.So given that knowl- edge,here is the formula for covariance: X,)=∑是X-出- (n-1) 5
You will notice that this is simply the standard deviation squared, in both the symbol (✴ ✹ ) and the formula (there is no square root in the formula for variance). ✴ ✹ is the usual symbol for variance of a sample. Both these measurements are measures of the spread of the data. Standard deviation is the most common measure, but variance is also used. The reason why I have introduced variance in addition to standard deviation is to provide a solid platform from which the next section, covariance, can launch from. Exercises Find the mean, standard deviation, and variance for each of these data sets. ❀ [12 23 34 44 59 70 98] ❀ [12 15 25 27 32 88 99] ❀ [15 35 78 82 90 95 97] 2.1.3 Covariance The last two measures we have looked at are purely 1-dimensional. Data sets like this could be: heights of all the people in the room, marks for the last COMP101 exam etc. However many data sets have more than one dimension, and the aim of the statistical analysis of these data sets is usually to see if there is any relationship between the dimensions. For example, we might have as our data set both the height of all the students in a class, and the mark they received for that paper. We could then perform statistical analysis to see if the height of a student has any effect on their mark. Standard deviation and variance only operate on 1 dimension, so that you could only calculate the standard deviation for each dimension of the data set independently of the other dimensions. However, it is useful to have a similar measure to find out how much the dimensions vary from the mean with respect to each other. Covariance is such a measure. Covariance is always measured between 2 dimensions. If you calculate the covariance between one dimension and itself, you get the variance. So, if you had a 3-dimensional data set (❁, ❂, ❃), then you could measure the covariance between the ❁ and ❂ dimensions, the ❁ and ❃ dimensions, and the ❂ and ❃ dimensions. Measuring the covariance between ❁ and ❁, or ❂ and ❂, or ❃ and ❃ would give you the variance of the ❁, ❂ and ❃ dimensions respectively. The formula for covariance is very similar to the formula for variance. The formula for variance could also be written like this: ❄ ✭✰❅ ✵❆✷✟✁ ✦✧✾★ ✛ ✵ ✧ ✲ ✸✷ ✤ ✵ ✧ ✲ ❆✷ ✤ ✵✣✿✲ ✆✒✷ where I have simply expanded the square term to show both parts. So given that knowledge, here is the formula for covariance: ❇✫❈❉❄ ✵✽❊✰❋✍✷●✁ ✦✧✾★ ✛ ✵ ✧ ✲ ✸✷ ✤ ✵❋ ✧ ✲ ❋✍✷ ✤ ✵✣✳✲ ✆✏✷ 5
includegraphicscovPlot.ps Figure 2.1:A plot of the covariance data showing positive relationship between the number of hours studied against the mark received It is exactly the same except that in the second set of brackets,the X's are replaced by Y's.This says,in English,"For each data item,multiply the difference between the z value and the mean of by the the difference between the y value and the mean of y. Add all these up,and divide by (n-1)". How does this work?Lets use some example data.Imagine we have gone into the world and collected some 2-dimensional data,say,we have asked a bunch of students how many hours in total that they spent studying COSC241,and the mark that they received.So we have two dimensions,the first is the H dimension,the hours studied, and the second is the M dimension,the mark received.Figure 2.2 holds my imaginary data,and the calculation of cov(H,M),the covariance between the Hours of study done and the Mark received. So what does it tell us?The exact value is not as important as it's sign(ie.positive or negative).If the value is positive,as it is here,then that indicates that both di- mensions increase together,meaning that,in general,as the number of hours of study increased,so did the final mark. If the value is negative,then as one dimension increases,the other decreases.If we had ended up with a negative covariance here,then that would have said the opposite, that as the number of hours of study increased the the final mark decreased. In the last case.if the covariance is zero.it indicates that the two dimensions are independent of each other. The result that mark given increases as the number of hours studied increases can be easily seen by drawing a graph of the data,as in Figure 2.1.3.However,the luxury of being able to visualize data is only available at 2 and 3 dimensions.Since the co- variance value can be calculated between any 2 dimensions in a data set,this technique is often used to find relationships between dimensions in high-dimensional data sets where visualisation is difficult. You might ask "is cov(X,Y)equal to cov(Y,X)"?Well,a quick look at the for- mula for covariance tells us that yes,they are exactly the same since the only dif- ference between cov(X,Y)and cov(Y,X)is that (XiX)(Yi-Y)is replaced by (Y-(X;X).And since multiplication is commutative,which means that it doesn't matter which way around I multiply two numbers,I always get the same num- ber,these two equations give the same answer. 2.1.4 The covariance Matrix Recall that covariance is always measured between 2 dimensions.If we have a data set with more than 2 dimensions,there is more than one covariance measurement that can be calculated.For example,from a 3 dimensional data set(dimensions y,z)you could calculate cov(,y),(cov(,z),and cov(y,2).In fact,for an n-dimensional data set,you can calculate different covariance values. 刀 6
includegraphicscovPlot.ps Figure 2.1: A plot of the covariance data showing positive relationship between the number of hours studied against the mark received It is exactly the same except that in the second set of brackets, the ’s are replaced by ❋ ’s. This says, in English, “For each data item, multiply the difference between the ❁ value and the mean of ❁, by the the difference between the ❂ value and the mean of ❂. Add all these up, and divide by ✵✣✳✲ ✆✏✷ ”. How does this work? Lets use some example data. Imagine we have gone into the world and collected some 2-dimensional data, say, we have asked a bunch of students how many hours in total that they spent studying COSC241, and the mark that they received. So we have two dimensions, the first is the ❍ dimension, the hours studied, and the second is the ■ dimension, the mark received. Figure 2.2 holds my imaginary data, and the calculation of ❇✫❈❉❄ ✵❍ ❊ ■✷ , the covariance between the Hours of study done and the Mark received. So what does it tell us? The exact value is not as important as it’s sign (ie. positive or negative). If the value is positive, as it is here, then that indicates that both dimensions increase together, meaning that, in general, as the number of hours of study increased, so did the final mark. If the value is negative, then as one dimension increases, the other decreases. If we had ended up with a negative covariance here, then that would have said the opposite, that as the number of hours of study increased the the final mark decreased. In the last case, if the covariance is zero, it indicates that the two dimensions are independent of each other. The result that mark given increases as the number of hours studied increases can be easily seen by drawing a graph of the data, as in Figure 2.1.3. However, the luxury of being able to visualize data is only available at 2 and 3 dimensions. Since the covariance value can be calculated between any 2 dimensions in a data set, this technique is often used to find relationships between dimensions in high-dimensional data sets where visualisation is difficult. You might ask “is ❇✶❈❉❄ ✵✽❊✶❋✱✷ equal to ❇✫❈❉❄ ✵❋❏❊❑❆✷ ”? Well, a quick look at the formula for covariance tells us that yes, they are exactly the same since the only difference between ❇✶❈❉❄ ✵✽❊✶❋✱✷ and ❇✫❈❉❄ ✵❋▲❊▼◆✷ is that ✵ ✧ ✲ ❆✷ ✤ ✵❋ ✧ ✲ ❋✼✷ ✤ is replaced by ✵❋ ✧ ✲ ❋✍✷ ✤ ✵ ✧ ✲ ❆✷ ✤ . And since multiplication is commutative, which means that it doesn’t matter which way around I multiply two numbers, I always get the same number, these two equations give the same answer. 2.1.4 The covariance Matrix Recall that covariance is always measured between 2 dimensions. If we have a data set with more than 2 dimensions, there is more than one covariance measurement that can be calculated. For example, from a 3 dimensional data set (dimensions ❁, ❂, ❃) you could calculate ❇✫❈❉❄ ✵❁ ❊ ❂ ✷ , ✵ ❇✫❈❉❄ ✵❁ ❊ ❃ ✷ , and ❇✫❈❉❄ ✵❂ ❊ ❃ ✷ . In fact, for an ✣-dimensional data set, you can calculate ✦P❖ ◗✦❙❘ ✹❉❚ ❖ ❯✹ different covariance values. 6
Hours(H) Mark(M) Data 9 15 25 69 14 6 0 5 18 75 0 3 16 85 5 42 19 0 16 66 20 80 Totals 167 749 Averages 13.92 62.42 Covariance: H M (H:- ) |(M:-M)(H:-i)M:-) 39 -4.92 -23.42 115.23 15 1.08 -6.42 -6.93 25 93 11.08 30.58 338.83 14 61 0.08 -1.42 -0.11 10 50 -3.92 -12.42 48.69 18 75 4.08 12.58 51.33 0 32 -13.92 -30.42 423.45 16 85 2.08 22.58 46.97 5 42 -8.92 -20.42 182.15 19 70 5.08 7.58 38.51 16 66 2.08 3.58 7.45 20 80 6.08 17.58 106.89 Total 1149.89 Average 104.54 Table 2.2:2-dimensional data set and covariance calculation 7
Hours(H) Mark(M) Data 9 39 15 56 25 93 14 61 10 50 18 75 0 32 16 85 5 42 19 70 16 66 20 80 Totals 167 749 Averages 13.92 62.42 Covariance: ❍ ■ ✵❍✧ ✲ ✤❍ ✷ ✵■✧ ✲ ✤■✷ ✵❍✧ ✲ ✤❍ ✷ ✵■✧ ✲ ✤■✷ 9 39 -4.92 -23.42 115.23 15 56 1.08 -6.42 -6.93 25 93 11.08 30.58 338.83 14 61 0.08 -1.42 -0.11 10 50 -3.92 -12.42 48.69 18 75 4.08 12.58 51.33 0 32 -13.92 -30.42 423.45 16 85 2.08 22.58 46.97 5 42 -8.92 -20.42 182.15 19 70 5.08 7.58 38.51 16 66 2.08 3.58 7.45 20 80 6.08 17.58 106.89 Total 1149.89 Average 104.54 Table 2.2: 2-dimensional data set and covariance calculation 7
A useful way to get all the possible covariance values between all the different dimensions is to calculate them all and put them in a matrix.I assume in this tutorial that you are familiar with matrices,and how they can be defined.So,the definition for the covariance matrix for a set of data with n dimensions is: Cmxn=(ci.j,ci,j=cov(Dimi,Dimj)), where Cnxn is a matrix with n rows and n columns,and Dim is the zth dimension. All that this ugly looking formula says is that if you have an n-dimensional data set, then the matrix has n rows and columns(so is square)and each entry in the matrix is the result of calculating the covariance between two separate dimensions.Eg.the entry on row 2,column 3,is the covariance value calculated between the 2nd dimension and the 3rd dimension. An example.We'll make up the covariance matrix for an imaginary 3 dimensional data set,using the usual dimensions z,y and z.Then,the covariance matrix has 3 rows and 3 columns,and the values are this: cov(T.T) cov(z,y) CGU(x,z） C= cov(y,x)cov(y,y) CGwy,2） Cov(2,) C0(2,y) C0w2,2) Some points to note:Down the main diagonal,you see that the covariance value is between one of the dimensions and itself.These are the variances for that dimension. The other point is that since cov(a,b)=cou(b,a),the matrix is symmetrical about the main diagonal. Exercises Work out the covariance between the z and y dimensions in the following 2 dimen- sional data set.and describe what the result indicates about the data. Item Number:1 2 3 45 1039192328 4313322120 Calculate the covariance matrix for this 3 dimensional set of data. Item Number: 1123 4 3 2.2 Matrix Algebra This section serves to provide a background for the matrix algebra required in PCA. Specifically I will be looking at eigenvectors and eigenvalues of a given matrix.Again, I assume a basic knowledge of matrices. 8
A useful way to get all the possible covariance values between all the different dimensions is to calculate them all and put them in a matrix. I assume in this tutorial that you are familiar with matrices, and how they can be defined. So, the definition for the covariance matrix for a set of data with ✣ dimensions is: ❱ ✦P❲❙✦ ✁ ✵ ❇ ✧▼❳ ❨ ❊ ❇ ✧❩❳ ❨ ✁ ❇✫❈❉❄ ✵▼❬❪❭❴❫✧ ❊ ❬❵❭❩❫❨ ✷❛✷▼❊ where ❱ ✦P❲❙✦ is a matrix with ✣ rows and ✣ columns, and ❬❵❭❩❫✜❜ is the ❁th dimension. All that this ugly looking formula says is that if you have an ✣-dimensional data set, then the matrix has ✣ rows and columns (so is square) and each entry in the matrix is the result of calculating the covariance between two separate dimensions. Eg. the entry on row 2, column 3, is the covariance value calculated between the 2nd dimension and the 3rd dimension. An example. We’ll make up the covariance matrix for an imaginary 3 dimensional data set, using the usual dimensions ❁, ❂ and ❃. Then, the covariance matrix has 3 rows and 3 columns, and the values are this: ❱ ✁ ❇✫❈❉❄ ✵❁ ❊ ❁ ✷ ❇✫❈❉❄ ✵❁ ❊ ❂ ✷ ❇✫❈❉❄ ✵❁ ❊ ❃ ✷ ❇✫❈❉❄ ✵❂ ❊ ❁ ✷ ❇✫❈❉❄ ✵❂ ❊ ❂ ✷ ❇✫❈❉❄ ✵❂ ❊ ❃ ✷ ❇✫❈❉❄ ✵ ❃ ❊ ❁ ✷ ❇✫❈❉❄ ✵ ❃ ❊ ❂ ✷ ❇✫❈❉❄ ✵ ❃ ❊ ❃ ✷ Some points to note: Down the main diagonal, you see that the covariance value is between one of the dimensions and itself. These are the variances for that dimension. The other point is that since ❇✫❈❉❄ ✵ ✭✝❊✰❝✰✷✟✁ ❇✶❈❉❄ ✵ ❝✫❊✶✭P✷ , the matrix is symmetrical about the main diagonal. Exercises Work out the covariance between the ❁ and ❂ dimensions in the following 2 dimensional data set, and describe what the result indicates about the data. Item Number: 1 2 3 4 5 ❁ 10 39 19 23 28 ❂ 43 13 32 21 20 Calculate the covariance matrix for this 3 dimensional set of data. Item Number: 1 2 3 ❁ 1 -1 4 ❂ 2 1 3 ❃ 1 3 -1 2.2 Matrix Algebra This section serves to provide a background for the matrix algebra required in PCA. Specifically I will be looking at eigenvectors and eigenvalues of a given matrix. Again, I assume a basic knowledge of matrices. 8
()x()=(g) (名)×(8)=(8)=4x(8) Figure 2.2:Example of one non-eigenvector and one eigenvector 2x(8)=(4) (名)×()=(6)=4x(8) Figure 2.3:Example of how a scaled eigenvector is still and eigenvector 2.2.1 Eigenvectors As you know,you can multiply two matrices together,provided they are compatible sizes.Eigenvectors are a special case of this.Consider the two multiplications between a matrix and a vector in Figure 2.2. In the first example,the resulting vector is not an integer multiple of the original vector,whereas in the second example,the example is exactly 4 times the vector we began with.Why is this?Well,the vector is a vector in 2 dimensional space.The 3 vector / (from the second example multiplication)represents an arrow pointing from the origin,(0,0),to the point(3,2).The other matrix,the square one,can be thought of as a transformation matrix.If you multiply this matrix on the left of a vector,the answer is another vector that is transformed from it's original position. It is the nature of the transformation that the eigenvectors arise from.Imagine a transformation matrix that,when multiplied on the left.reflected vectors in the line y=z.Then you can see that if there were a vector that lay on the line y =z,it's reflection it itself.This vector(and all multiples of it,because it wouldn't matter how long the vector was),would be an eigenvector of that transformation matrix. What properties do these eigenvectors have?You should first know that eigenvec- tors can only be found for square matrices.And,not every square matrix has eigen- vectors.And,given an nx n matrix that does have eigenvectors,there are n of them. Given a 3 x 3 matrix,there are 3 eigenvectors. Another property of eigenvectors is that even if I scale the vector by some amount before I multiply it,I still get the same multiple of it as a result,as in Figure 2.3.This is because if you scale a vector by some amount,all you are doing is making it longer. 9
✞❡❞ ✞ ✆ ❢ ✆ ❞ ✁ ✆✒✆ ✎ ✞❡❞ ✞ ✆ ❢ ❞ ✞ ✁ ✆✌✞ ✑ ✁❣✠ ❢ ❞ ✞ Figure 2.2: Example of one non-eigenvector and one eigenvector ✞ ❢ ❞ ✞ ✁ ☛ ✠ ✞❡❞ ✞ ✆ ❢ ☛ ✠ ✁ ✞✒✠ ✆✌☛ ✁❣✠ ❢ ☛ ✠ Figure 2.3: Example of how a scaled eigenvector is still and eigenvector 2.2.1 Eigenvectors As you know, you can multiply two matrices together, provided they are compatible sizes. Eigenvectors are a special case of this. Consider the two multiplications between a matrix and a vector in Figure 2.2. In the first example, the resulting vector is not an integer multiple of the original vector, whereas in the second example, the example is exactly 4 times the vector we began with. Why is this? Well, the vector is a vector in 2 dimensional space. The vector ❞ ✞ (from the second example multiplication) represents an arrow pointing from the origin, ✵✪❙❊❤✪✕✷ , to the point ✵❞❙❊❤✞✕✷ . The other matrix, the square one, can be thought of as a transformation matrix. If you multiply this matrix on the left of a vector, the answer is another vector that is transformed from it’s original position. It is the nature of the transformation that the eigenvectors arise from. Imagine a transformation matrix that, when multiplied on the left, reflected vectors in the line ❂ ✁ ❁. Then you can see that if there were a vector that lay on the line ❂ ✁ ❁, it’s reflection it itself. This vector (and all multiples of it, because it wouldn’t matter how long the vector was), would be an eigenvector of that transformation matrix. What properties do these eigenvectors have? You should first know that eigenvectors can only be found for square matrices. And, not every square matrix has eigenvectors. And, given an ✣ ❢ ✣ matrix that does have eigenvectors, there are ✣ of them. Given a ❞ ❢ ❞ matrix, there are 3 eigenvectors. Another property of eigenvectors is that even if I scale the vector by some amount before I multiply it, I still get the same multiple of it as a result, as in Figure 2.3. This is because if you scale a vector by some amount, all you are doing is making it longer, 9