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Principal Component Analysis

Principal component analysis (PCA) is a technique used to reduce the dimensionality of large datasets by transforming correlated variables into a smaller number of uncorrelated variables called principal components. The key steps are: 1. Standardize the dataset. 2. Calculate the covariance matrix to identify correlations between variables. 3. Compute the eigenvalues and eigenvectors of the covariance matrix to determine the principal components that capture the most variance in the data.

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Shil Shambharkar
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291 views

Principal Component Analysis

Principal component analysis (PCA) is a technique used to reduce the dimensionality of large datasets by transforming correlated variables into a smaller number of uncorrelated variables called principal components. The key steps are: 1. Standardize the dataset. 2. Calculate the covariance matrix to identify correlations between variables. 3. Compute the eigenvalues and eigenvectors of the covariance matrix to determine the principal components that capture the most variance in the data.

Uploaded by

Shil Shambharkar
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Principal Component Analysis

What Is Principal Component Analysis (PCA)? 

Principal components analysis (PCA) is a dimensionality reduction


technique that enables you to identify correlations and patterns in a data
set so that it can be transformed into a data set of significantly lower
dimension without loss of any important information.

The main idea behind PCA is to figure out patterns and correlations
among various features in the data set. On finding a strong correlation
between different variables, a final decision is made about reducing the
dimensions of the data in such a way that the significant data is still
retained.

Such a process is very essential in solving complex data-driven


problems that involve the use of high-dimensional data sets. PCA can be
achieved via a series of steps. Let’s discuss the whole end-to-end
process.

Step By Step Computation Of PCA

The below steps need to be followed to perform dimensionality


reduction using PCA:

1. Standardization of the data


2. Computing the covariance matrix
3. Calculating the eigenvectors and eigenvalues
4. Computing the Principal Components
5. Reducing the dimensions of the data set

Let’s discuss each of the steps in detail:

Step 1: Standardization of the data


If you’re familiar with data analysis and processing, you know that
missing out on standardization will probably result in a biased outcome.
Standardization is all about scaling your data in such a way that all the
variables and their values lie within a similar range.

Consider an example, let’s say that we have 2 variables in our data set,
one has values ranging between 10-100 and the other has values between
1000-5000. In such a scenario, it is obvious that the output calculated by
using these predictor variables is going to be biased since the variable
with a larger range will have a more obvious impact on the outcome.

Therefore, standardizing the data into a comparable range is very


important. Standardization is carried out by subtracting each value in the
data from the mean and dividing it by the overall deviation in the data
set.

It can be calculated like so:

Post this step, all the variables in the


data are scaled across a standard and comparable scale.

Step 2: Computing the covariance matrix

As mentioned earlier, PCA helps to identify the correlation and


dependencies among the features in a data set. A covariance matrix
expresses the correlation between the different variables in the data set.
It is essential to identify heavily dependent variables because they
contain biased and redundant information which reduces the overall
performance of the model.

Mathematically, a covariance matrix is a p × p matrix, where p


represents the dimensions of the data set. Each entry in the matrix
represents the covariance of the corresponding variables.
Consider a case where we have a  2-Dimensional data set with variables
a and b, the covariance matrix is a 2×2 matrix as shown below:

In the above matrix:

 Cov(a, a) represents the covariance of a variable with itself, which


is nothing but the variance of the variable ‘a’
 Cov(a, b) represents the covariance of the variable ‘a’ with respect
to the variable ‘b’. And since covariance is commutative, Cov(a, b)
= Cov(b, a)

Here are the key takeaways from the covariance matrix:

 The covariance value denotes how co-dependent two variables are


with respect to each other
 If the covariance value is negative, it denotes the respective
variables are indirectly proportional to each other
 A positive covariance denotes that the respective variables are
directly proportional to each other

Simple math, isn’t it? Now let’s move on and look at the next step in
PCA.

Step 3: Calculating the Eigenvectors and Eigenvalues


Eigenvectors and eigenvalues are the mathematical constructs that must
be computed from the covariance matrix in order to determine the
principal components of the data set.

But first, let’s understand more about principal components

What are Principal Components?


Simply put, principal components are the new set of variables that are
obtained from the initial set of variables. The principal components are
computed in such a manner that newly obtained variables are highly
significant and independent of each other. The principal components
compress and possess most of the useful information that was scattered
among the initial variables.

If your data set is of 5 dimensions, then 5 principal components are


computed, such that, the first principal component stores the maximum
possible information and the second one stores the remaining maximum
info and so on, you get the idea.

Now, where do Eigenvectors fall into this whole process?

Assuming that you all have a basic understanding of Eigenvectors and


eigenvalues, we know that these two algebraic formulations are always
computed as a pair, i.e, for every eigenvector there is an eigenvalue. The
dimensions in the data determine the number of eigenvectors that you
need to calculate.

Consider a 2-Dimensional data set, for which 2 eigenvectors (and their


respective eigenvalues) are computed. The idea behind eigenvectors is to
use the Covariance matrix to understand where in the data there is the
most amount of variance. Since more variance in the data denotes more
information about the data, eigenvectors are used to identify and
compute Principal Components.

Eigenvalues, on the other hand, simply denote the scalars of the


respective eigenvectors. Therefore, eigenvectors and eigenvalues will
compute the Principal Components of the data set

Step 4: Computing the Principal Components


Once we have computed the Eigenvectors and eigenvalues, all we have
to do is order them in the descending order, where the eigenvector with
the highest eigenvalue is the most significant and thus forms the first
principal component. The principal components of lesser significances
can thus be removed in order to reduce the dimensions of the data.
The final step in computing the Principal Components is to form a
matrix known as the feature matrix that contains all the significant data
variables that possess maximum information about the data.

Step 5: Reducing the dimensions of the data set

The last step in performing PCA is to re-arrange the original data with
the final principal components which represent the maximum and the
most significant information of the data set. In order to replace the
original data axis with the newly formed Principal Components, you
simply multiply the transpose of the original data set by the transpose of
the obtained feature vector.

So that was the theory behind the entire PCA process. It’s time to get
your hands dirty and perform all these steps by using a real data set

Introduction

Principal component analysis (PCA) is a statistical procedure that is


used to reduce the dimensionality. It uses an orthogonal transformation to
convert a set of observations of possibly correlated variables into a set of
values of linearly uncorrelated variables called principal components. It
is often used as a dimensionality reduction technique.

Steps Involved in the PCA

Step 1: Standardize the dataset.

Step 2: Calculate the covariance matrix for the features in the dataset.
Step 3: Calculate the eigenvalues and eigenvectors for the covariance
matrix.

Step 4: Sort eigenvalues and their corresponding eigenvectors.

Step 5: Pick k eigenvalues and form a matrix of eigenvectors.

Step 6: Transform the original matrix.

Let's go to each step one by one.

1. Standardize the Dataset

Assume we have the below dataset which has 4 features and a total of 5
training examples.

Dataset matrix
First, we need to standardize the dataset and for that, we need to calculate
the mean and standard deviation for each feature.

1−4 5−4
=0.3333
3 3
= -1and

Standardization formula

Mean and standard deviation before standardization

After applying the formula for each feature in the dataset is transformed
as below:
Standardized Dataset

2. Calculate the covariance matrix for the whole dataset

The formula to calculate the covariance matrix:

Covariance Formula

the covariance matrix for the given dataset will be calculated as below
For standardized the dataset, the mean for each feature is 0 and the
standard deviation is 1.

var(f1) = ((-1.0-0)² + (0.33-0)² + (-1.0-0)² +(0.33–0)² +(1.33–0)²)/5=0.8


cov(f1,f2) =((-1.0–0)*(-0.632456-0) +(0.33–0)*(1.264911-0) +(-1.0–0)* (0.632456-
0)+(0.33–0)*(0.000000 -0)+(1.33–0)*(-1.264911–0))/5= -0.25298

In the similar way be can calculate the other covariances and which will
result in the below covariance matrix

covariance matrix (population formula)

3. Calculate eigenvalues and eigen vectors.

An eigenvector is a nonzero vector that changes at most by a scalar


factor when that linear transformation is applied to it. The
corresponding eigenvalue is the factor by which the eigenvector is
scaled.

Let A be a square matrix (in our case the covariance matrix), ν a vector
and λ a scalar that satisfies Aν = λν, then λ is called eigenvalue
associated with eigenvector ν of A.
Rearranging the above equation,

Aν-λν =0 ; (A-λI)ν = 0

Since we have already know ν is a non- zero vector, only way this
equation can be equal to zero, if

det(A-λI) = 0

λ is obtained by solving equation det(A-λI) = 0. Hence values are

λ = 2.51579324 , 1.0652885 , 0.39388704 , 0.02503121

Eigenvectors:
Solving the (A-λI)ν = 0 equation for ν vector with different λ values:

For λ = 2.51579324, solving the above equation using Cramer's rule, the
values for v vector are

v1 = 0.16195986
v2 = -0.52404813
v3 = -0.58589647
v4 = -0.59654663

Going by the same approach, we can calculate the eigen vectors for the
other eigen values. We can from a matrix using the eigen vectors.
4. Sort eigenvalues and their corresponding eigenvectors.

Since eigenvalues are already sorted in this case so no need to sort them
again.

5. Pick k eigenvalues and form a matrix of eigenvectors

If we choose the top 2 eigenvectors, the matrix will look like this:

Top 2 eigenvectors(4*2 matrix)

6. Transform the original matrix.

Feature matrix * top k eigenvectors = Transformed Data

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PCA in R
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