matlab化简数值结果,matlab – 如何使用简化数据 – 主成分分析的输出

我发现很难将理论与实施联系起来.我很感激帮助知道我的理解错误.

符号 – 粗体大写的矩阵和粗体字母小写字母的向量

是观测的数据集,每个变量.因此,给定这些观察到的维数据向量,维主轴为,为,其中为目标维度.

观测数据矩阵的主成分将是,其中矩阵,矩阵和矩阵.

的列形成特征的正交基础,输出是最小化平方重建误差的主要组件投影：

给出了的最佳重建.

数据模型是

X(i,j) = A(i,:)*S(:,j) + noise

其中PCA应在X上完成以获得输出S. S必须等于Y.

问题1：简化数据Y不等于模型中使用的S.我的理解在哪里错了？

问题2：如何重建以使错误最小化？

请帮忙.谢谢.

clear all

clc

n1 = 5; %d dimension

n2 = 500; % number of examples

ncomp = 2; % target reduced dimension

%Generating data according to the model

% X(i,j) = A(i,:)*S(:,j) + noise

Ar = orth(randn(n1,ncomp))*diag(ncomp:-1:1);

T = 1:n2;

%generating synthetic data from a dynamical model

S = [ exp(-T/150).*cos( 2*pi*T/50 )

exp(-T/150).*sin( 2*pi*T/50 ) ];

% Normalizing to zero mean and unit variance

S = ( S - repmat( mean(S,2), 1, n2 ) );

S = S ./ repmat( sqrt( mean( Sr.^2, 2 ) ), 1, n2 );

Xr = Ar * S;

Xrnoise = Xr + 0.2 * randn(n1,n2);

h1 = tsplot(S);

X = Xrnoise;

XX = X';

[pc, ~] = eigs(cov(XX), ncomp);

Y = XX*pc;

更新[8月10日]

根据答案,这里是完整的代码

clear all

clc

n1 = 5; %d dimension

n2 = 500; % number of examples

ncomp = 2; % target reduced dimension

%Generating data according to the model

% X(i,j) = A(i,:)*S(:,j) + noise

Ar = orth(randn(n1,ncomp))*diag(ncomp:-1:1);

T = 1:n2;

%generating synthetic data from a dynamical model

S = [ exp(-T/150).*cos( 2*pi*T/50 )

exp(-T/150).*sin( 2*pi*T/50 ) ];

% Normalizing to zero mean and unit variance

S = ( S - repmat( mean(S,2), 1, n2 ) );

S = S ./ repmat( sqrt( mean( S.^2, 2 ) ), 1, n2 );

Xr = Ar * S;

Xrnoise = Xr + 0.2 * randn(n1,n2);

X = Xrnoise;

XX = X';

[pc, ~] = eigs(cov(XX), ncomp);

Y = XX*pc; %Y are the principal components of X'

%what you call pc is misleading, these are not the principal components

%These Y columns are orthogonal, and should span the same space

%as S approximatively indeed (not exactly, since you introduced noise).

%If you want to reconstruct

%the original data can be retrieved by projecting

%the principal components back on the original space like this:

Xrnoise_reconstructed = Y*pc';

%Then, you still need to project it through

%to the S space, if you want to reconstruct S

S_reconstruct = Ar'*Xrnoise_reconstructed';

plot(1:length(S_reconstruct),S_reconstruct,'r')

hold on

plot(1:length(S),S)

该图是,与答案中显示的图非常不同.只有S的一个组件与S_reconstructed的组件完全匹配.不应该重建源输入S的整个原始二维空间吗？

即使我切断了噪音,那么S的一个组成部分也是精确重建的.