Priniciple Component Analysis (and various Eigen-things)¶¶

So we have some dataset with $n$ examples and $d$ dimensions. For some data, $d$ could be large (~10,000 for example), meaning that the data matrix $n\ x\ d$ becomes quite cumbersome to deal with.

Having smaller dimensionality has several more benefits, including:

  • making visualization easier (hard to visualize 3D/4D/RD)
  • discovering 'intrinsic' dimensionality of the data
    • data could actually have many features that are irrelevant

Our goal then could be to reduce the "dimensionality" of the data by significantly reducing the size of $d$. Essentially we want to learn a mapping: $$ f: R^{nxd} \rightarrow R^{nxk} $$ with $k << d$.

We want this mapping to also be a "pretty good" representation of the data, so we need to introduce a notion of "goodness" that lets us measure how good a given mapping is.

Loosely, we'll think about our "pretty good" representation as one that is able re-create the original data without much loss of information about it.

Making this concrete¶

We're also going to do this in the unsupervised setting (we don't have the associated $y$'s).

For simplicity, let's assume I just have a 2 dimensional vector $x = (x_{1}, x_{2})$ that I want to reduce to dimensionality 1.

In [4]:
from IPython.core.display import Image 
Image(filename='reconstruction.png', width = 600)

Okay, so we have this idea of projection and then reconstuction:

  1. we project that data in the 2 dimensions down into the 1 dimension
  2. we reconstruct the data in the 2 dimensions using ONLY the vector we've discovered

Given $n$ data points: $x_1 = (x_{i}[1], x_{i}[2],...,x_{i}[d])$ for $i=1,...,n$.

We'll represent each point as a projection: $$ \hat{x}_{i} = \bar{x} + \sum_{j=1}^{k}\left[z_{i}[j]*u_{j}\right] $$ Note that we can write our original point as $$ x_{i} = \bar{x} + \sum_{j=1}^{d}\left[z_{i}[j]*u_{j}\right] $$

Note here that each point has its own $z_{i}[j]$, and that the $u_{[j]}$ are shared for all points. You'll note that we have to keep track of one of these $u_{j}$ for all $j=1,...,k$. Also: $$ z_{i}[j] = (x_{i} - \bar{x})\cdot u_{j} $$


Given k<d, find $(u_{1},...,u_{k})$ that minimize the reconstuction error: $$ \text{error}_k = \sum_{i=1}^{n}(x_{i} - \hat{x}_{i})^{2} $$ The $x_i$ here is the truth, and the $\hat{x}_i$ is the reconstructed version.

In linear algebra terms: identify the most meaningful basis to re-express a data set, in the hopes of filtering out noise and reveal hidden structure.

Understanding the reconstruction error¶

We'll transform the PCA problem into one you've probably seen before. We'll do this by re-writing the error: $$ \text{error}_k = \sum_{i=1}^{n}(x_{i} - \big[\bar{x} + \sum_{j=1}^{k}z_{i}[j]*u_{j}\big])^{2} $$ $$ = \sum_{i=1}^{n}\Big[\left[\bar{x} + \sum_{j=1}^{d}z_{i}[j]*u_{j}\right] - \left[\bar{x} + \sum_{j=1}^{k}z_{i}[j]*u_{j}\right]\Big]^{2} $$

In [6]:
from IPython.core.display import Image 
Image(filename='reconstruction-math.png', width = 800)
In [5]:
from IPython.core.display import Image 
Image(filename='covar.png', width = 800)

So we've completely rewritten our error such that we are: picking an ordered, orthonormal basis $(u_{1},...,u_{d})$ to minimize: $$ error_{k} = N \sum_{j=k+1}^{D}u_{j}^{T}\Sigma u_{j} $$


So before we go full Math 308 on you, brief eigen-things review:

Def: eigenvector: A vector $u$ is an eigenvector of some matrix $A$ iff there exists some scalar $\lambda$ such that $Au = \lambda u$.

Def: eigenvalue: the $\lambda$ that corresponds to $u$, so every eigenvector is associated w/an eigenvalue and vice versa.

Def: eigenspace: the set of all eigenvectors corresponding to a given $\lambda$

Quickly doing some algebra: $$Au = \lambda u$$ $$Au - \lambda u = 0$$ $$(A - \lambda I)u = 0$$ So essentially we are looking for non-zero solutions to the above problem. Using the Big Theorem, the above equation has a non-zero solution iff $det(A - \lambda I) = 0$.

Example: Find the eigenvalues for: $$ A = \begin{bmatrix} 1 & 0 & 1 \\ 0 & 1 & 2 \\ 0 & 4 & 3 \end{bmatrix} $$ So we solve and recover: $$ det(A - \lambda I) = (1- \lambda)(\lambda - 5)(\lambda +1) $$ We have 3 eigenvalues here: $\lambda_{1} = 5$, $\lambda_{2} = 1$, $\lambda_{3} = -1$.

Another way to think about this is minimizing the sum of the $d-k$ eigenvalues of $\Sigma$, or keeping the top $k$ eigenvalues of $\Sigma$.

The PCA Algorithm¶

  • Start with $n$ by $d$ data matrix $X$
  • Recenter: subtract mean from each row of $X$
  • Compute the covariance matrix: $\Sigma := \frac{1}{N} X_{c}^{T}X_{c}$
  • Find the eigenvalues and eigenvectors of $\Sigma$ (usually via numpy.linalg.eig)
  • The principal components: the $k$ eigenvectors with the highest values
In [4]:
from IPython.core.display import Image 
Image(filename='eigen-ex.png', width = 1000)