转自:http://deeplearning.stanford.edu/wiki/index.php/PCA
中文版:http://deeplearning.stanford.edu/wiki/index.php/%E4%B8%BB%E6%88%90%E5%88%86%E5%88%86%E6%9E%90
这个跟Andrew Ng在Coursera上的Machine Learning课程中讲的基本完全一样,主要介绍了PCA的原理和在图像处理中基本的用法,但个人感觉对PCA核心的分解以及分解中各个矩阵的含义并没有详细的介绍。
PCA
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Introduction
Principal Components Analysis (PCA) is a dimensionality reduction algorithm that can be used to significantly speed up your unsupervised feature learning algorithm. More importantly, understanding PCA will enable us to later implement whitening, which is an important pre-processing step for many algorithms.
Suppose you are training your algorithm on images. Then the input will be somewhat redundant, because the values of adjacent pixels in an image are highly correlated. Concretely, suppose we are training on 16x16 grayscale image patches. Then are 256 dimensional vectors, with one feature
corresponding to the intensity of each pixel. Because of the correlation between adjacent pixels, PCA will allow us to approximate the input with a much lower dimensional one, while incurring very little error.
Example and Mathematical Background
For our running example, we will use a dataset with
dimensional inputs, so that
. Suppose we want to reduce the data from 2 dimensions to 1. (In practice, we might want to reduce data from 256 to 50 dimensions, say; but using lower dimensional data in our example allows us to visualize the algorithms better.) Here is our dataset:
This data has already been pre-processed so that each of the features and
have about the same mean (zero) and variance.
For the purpose of illustration, we have also colored each of the points one of three colors, depending on their value; these colors are not used by the algorithm, and are for illustration only.
PCA will find a lower-dimensional subspace onto which to project our data. From visually examining the data, it appears that is the principal direction of variation of the data, and
the secondary direction of variation:
I.e., the data varies much more in the direction than
. To more formally find the directions
and
, we first compute the matrix
as follows:
If has zero mean, then
is exactly the covariance matrix of
. (The symbol "
", pronounced "Sigma", is the standard notation for denoting the covariance matrix. Unfortunately it looks just like the summation symbol, as in
; but these are two different things.)
It can then be shown that ---the principal direction of variation of the data---is the top (principal) eigenvector of
, and
is the second eigenvector.
Note: If you are interested in seeing a more formal mathematical derivation/justification of this result, see the CS229 (Machine Learning) lecture notes on PCA (link at bottom of this page). You won't need to do so to follow along this course, however.
You can use standard numerical linear algebra software to find these eigenvectors (see Implementation Notes). Concretely, let us compute the eigenvectors of , and stack the eigenvectors in columns to form the matrix
:
Here, is the principal eigenvector (corresponding to the largest eigenvalue),
is the second eigenvector, and so on. Also, let
be the corresponding eigenvalues.
The vectors and
in our example form a new basis in which we can represent the data. Concretely, let
be some training example. Then
is the length (magnitude) of the projection of
onto the vector
.
Similarly, is the magnitude of
projected onto the vector
.
Rotating the Data
Thus, we can represent in the
-basis by computing
(The subscript "rot" comes from the observation that this corresponds to a rotation (and possibly reflection) of the original data.) Lets take the entire training set, and compute for every
. Plotting this transformed data
, we get:
This is the training set rotated into the ,
basis. In the general case,
will be the training set rotated into the basis
,
, ...,
.
One of the properties of is that it is an "orthogonal" matrix, which means that it satisfies
. So if you ever need to go from the rotated vectors
back to the original data
, you can compute
because .
Reducing the Data Dimension
We see that the principal direction of variation of the data is the first dimension of this rotated data. Thus, if we want to reduce this data to one dimension, we can set
More generally, if and we want to reduce it to a
dimensional representation
(where
), we would take the first
components of
, which correspond to the top
directions of variation.
Another way of explaining PCA is that is an
dimensional vector, where the first few components are likely to be large (e.g., in our example, we saw that
takes reasonably large values for most examples
), and the later components are likely to be small (e.g., in our example,
was more likely to be small). What PCA does it it drops the the later (smaller) components of
, and just approximates them with 0's. Concretely, our definition of
can also be arrived at by using an approximation to
where all but the first
components are zeros. In other words, we have:
In our example, this gives us the following plot of (using
):
However, since the final components of
as defined above would always be zero, there is no need to keep these zeros around, and so we define
as a
-dimensional vector with just the first
(non-zero) components.
This also explains why we wanted to express our data in the basis: Deciding which components to keep becomes just keeping the top
components. When we do this, we also say that we are "retaining the top
PCA (or principal) components."
Recovering an Approximation of the Data
Now, is a lower-dimensional, "compressed" representation of the original
. Given
, how can we recover an approximation
to the original value of
? From an earlier section, we know that
. Further, we can think of
as an approximation to
, where we have set the last
components to zeros. Thus, given
, we can pad it out with
zeros to get our approximation to
. Finally, we pre-multiply by
to get our approximation to
. Concretely, we get
The final equality above comes from the definition of given earlier. (In a practical implementation, we wouldn't actually zero pad
and then multiply by
, since that would mean multiplying a lot of things by zeros; instead, we'd just multiply
with the first
columns of
as in the final expression above.) Applying this to our dataset, we get the following plot for
:
We are thus using a 1 dimensional approximation to the original dataset.
If you are training an autoencoder or other unsupervised feature learning algorithm, the running time of your algorithm will depend on the dimension of the input. If you feed into your learning algorithm instead of
, then you'll be training on a lower-dimensional input, and thus your algorithm might run significantly faster. For many datasets, the lower dimensional
representation can be an extremely good approximation to the original, and using PCA this way can significantly speed up your algorithm while introducing very little approximation error.
Number of components to retain
How do we set ; i.e., how many PCA components should we retain? In our simple 2 dimensional example, it seemed natural to retain 1 out of the 2 components, but for higher dimensional data, this decision is less trivial. If
is too large, then we won't be compressing the data much; in the limit of
, then we're just using the original data (but rotated into a different basis). Conversely, if
is too small, then we might be using a very bad approximation to the data.
To decide how to set , we will usually look at the percentage of variance retained for different values of
. Concretely, if
, then we have an exact approximation to the data, and we say that 100% of the variance is retained. I.e., all of the variation of the original data is retained. Conversely, if
, then we are approximating all the data with the zero vector, and thus 0% of the variance is retained.
More generally, let be the eigenvalues of
(sorted in decreasing order), so that
is the eigenvalue corresponding to the eigenvector
. Then if we retain
principal components, the percentage of variance retained is given by:
In our simple 2D example above, , and
. Thus, by keeping only
principal components, we retained
, or 91.3% of the variance.
A more formal definition of percentage of variance retained is beyond the scope of these notes. However, it is possible to show that . Thus, if
, that shows that
is usually near 0 anyway, and we lose relatively little by approximating it with a constant 0. This also explains why we retain the top principal components (corresponding to the larger values of
) instead of the bottom ones. The top principal components
are the ones that're more variable and that take on larger values, and for which we would incur a greater approximation error if we were to set them to zero.
In the case of images, one common heuristic is to choose so as to retain 99% of the variance. In other words, we pick the smallest value of
that satisfies
Depending on the application, if you are willing to incur some additional error, values in the 90-98% range are also sometimes used. When you describe to others how you applied PCA, saying that you chose to retain 95% of the variance will also be a much more easily interpretable description than saying that you retained 120 (or whatever other number of) components.
PCA on Images
For PCA to work, usually we want each of the features to have a similar range of values to the others (and to have a mean close to zero). If you've used PCA on other applications before, you may therefore have separately pre-processed each feature to have zero mean and unit variance, by separately estimating the mean and variance of each feature
. However, this isn't the pre-processing that we will apply to most types of images. Specifically, suppose we are training our algorithm on natural images, so that
is the value of pixel
. By "natural images," we informally mean the type of image that a typical animal or person might see over their lifetime.
Note: Usually we use images of outdoor scenes with grass, trees, etc., and cut out small (say 16x16) image patches randomly from these to train the algorithm. But in practice most feature learning algorithms are extremely robust to the exact type of image it is trained on, so most images taken with a normal camera, so long as they aren't excessively blurry or have strange artifacts, should work.
When training on natural images, it makes little sense to estimate a separate mean and variance for each pixel, because the statistics in one part of the image should (theoretically) be the same as any other. This property of images is called stationarity.
In detail, in order for PCA to work well, informally we require that (i) The features have approximately zero mean, and (ii) The different features have similar variances to each other. With natural images, (ii) is already satisfied even without variance normalization, and so we won't perform any variance normalization. (If you are training on audio data---say, on spectrograms---or on text data---say, bag-of-word vectors---we will usually not perform variance normalization either.) In fact, PCA is invariant to the scaling of the data, and will return the same eigenvectors regardless of the scaling of the input. More formally, if you multiply each feature vector by some positive number (thus scaling every feature in every training example by the same number), PCA's output eigenvectors will not change.
So, we won't use variance normalization. The only normalization we need to perform then is mean normalization, to ensure that the features have a mean around zero. Depending on the application, very often we are not interested in how bright the overall input image is. For example, in object recognition tasks, the overall brightness of the image doesn't affect what objects there are in the image. More formally, we are not interested in the mean intensity value of an image patch; thus, we can subtract out this value, as a form of mean normalization.
Concretely, if are the (grayscale) intensity values of a 16x16 image patch (
), we might normalize the intensity of each image
as follows:
, for all
Note that the two steps above are done separately for each image , and that
here is the mean intensity of the image
. In particular, this is not the same thing as estimating a mean value separately for each pixel
.
If you are training your algorithm on images other than natural images (for example, images of handwritten characters, or images of single isolated objects centered against a white background), other types of normalization might be worth considering, and the best choice may be application dependent. But when training on natural images, using the per-image mean normalization method as given in the equations above would be a reasonable default.