数据挖掘与分析课程笔记
- 参考教材:Data Mining and Analysis : MOHAMMED J.ZAKI, WAGNER MEIRA JR.
文章目录
- 数据挖掘与分析课程笔记(目录)
- 数据挖掘与分析课程笔记(Chapter 1)
- 数据挖掘与分析课程笔记(Chapter 2)
- 数据挖掘与分析课程笔记(Chapter 5)
- 数据挖掘与分析课程笔记(Chapter 7)
- 数据挖掘与分析课程笔记(Chapter 14)
- 数据挖掘与分析课程笔记(Chapter 15)
- 数据挖掘与分析课程笔记(Chapter 20)
- 数据挖掘与分析课程笔记(Chapter 21)
Chapter 20: Linear Discriminant Analysis
Set up: D = { ( x i , y i ) } i = 1 n \mathbf{D}=\{(\mathbf{x}_i,y_i) \}_{i=1}^n D={(xi,yi)}i=1n, 其中 y i = 1 , 2 y_i=1,2 yi=1,2(或 ± 1 \pm 1 ±1 等), D 1 = { x i ∣ y i = 1 } \mathbf{D}_1=\{\mathbf{x}_i|y_i=1 \} D1={xi∣yi=1}, D 2 = { x i ∣ y i = 2 } \mathbf{D}_2=\{\mathbf{x}_i|y_i=2 \} D2={xi∣yi=2}
Goal:寻找向量 w ∈ R d \mathbf{w}\in \mathbb{R}^d w∈Rd (代表直线方向)使得 D 1 , D 2 \mathbf{D}_1,\mathbf{D}_2 D1,D2 的“平均值”距离最大且“总方差”最小。
20.1 Normal LDA
设 w ∈ R d , w T w = 1 \mathbf{w} \in \mathbb{R}^d,\mathbf{w}^T\mathbf{w}=1 w∈Rd,wTw=1,则 x i \mathbf{x}_i xi 在 w \mathbf{w} w 方向上的投影为 x i ′ = ( w T x i w T u ) w = a i w , a i = w T x i \mathbf{x}_{i}^{\prime}=\left(\frac{\mathbf{w}^{T} \mathbf{x}_{i}}{\mathbf{w}^{T} \mathbf{u}}\right) \mathbf{w}=a_{i} \mathbf{w},a_{i}=\mathbf{w}^{T} \mathbf{x}_{i} xi′=(wTuwTxi)w=aiw,ai=wTxi
则
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m_1:=\frac{1}{n_1}\sum\limits_{\mathbf{x}_i\in \mathbf{D}_1}a_i=\boldsymbol{\mu}_1^T\mathbf{w}
m1:=n11xi∈D1∑ai=μ1Tw
投影平均值等于平均值的投影。
类似地:
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m_2:=\frac{1}{n_2}\sum\limits_{\mathbf{x}_i\in \mathbf{D}_2}a_i=\boldsymbol{\mu}_2^T\mathbf{w}
m2:=n21xi∈D2∑ai=μ2Tw
目标之一:寻找
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(m1−m2)2 最大。
对于
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s_i^2=\sum\limits_{\mathbf{x}_k\in \mathbf{D}_i}(a_k-m_i)^2
si2=xk∈Di∑(ak−mi)2
注意:
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s_i^2=n_i\sigma^2_i\ (|D_i|=n_i)
si2=niσi2 (∣Di∣=ni)
Goal:Fisher LDA目标函数:
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\max\limits_{\mathbf{w}}J(\mathbf{w})=\frac{(m_1-m_2)^2}{s_1^2+s_2^2}
wmaxJ(w)=s12+s22(m1−m2)2
注意:
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J(\mathbf{w})=J(w_1,w_2,\cdots,w_d)
J(w)=J(w1,w2,⋯,wd)
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\begin{aligned} \left(m_{1}-m_{2}\right)^{2} &=\left(\mathbf{w}^{T}\left(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2}\right)\right)^{2} \\ &=\mathbf{w}^{T}\left(\left(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2}\right)\left(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2}\right)^{T}\right) \mathbf{w} \\ &=\mathbf{w}^{T} \mathbf{B} \mathbf{w} \end{aligned}
(m1−m2)2=(wT(μ1−μ2))2=wT((μ1−μ2)(μ1−μ2)T)w=wTBw
B \mathbf{B} B 被称为类间扩散矩阵
s 1 2 = ∑ x i ∈ D 1 ( a i − m 1 ) 2 = ∑ x i ∈ D 1 ( w T x i − w T μ 1 ) 2 = ∑ x i ∈ D 1 ( w T ( x i − μ 1 ) ) 2 = w T ( ∑ x i ∈ D 1 ( x i − μ 1 ) ( x i − μ 1 ) T ) w = w T S 1 w \begin{aligned} s_{1}^{2} &=\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left(a_{i}-m_{1}\right)^{2} \\ &=\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left(\mathbf{w}^{T} \mathbf{x}_{i}-\mathbf{w}^{T} \boldsymbol{\mu}_{1}\right)^{2} \\ &=\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left(\mathbf{w}^{T}\left(\mathbf{x}_{i}-\boldsymbol{\mu}_{1}\right)\right)^{2} \\ &=\mathbf{w}^{T}\left(\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left(\mathbf{x}_{i}-\boldsymbol{\mu}_{1}\right)\left(\mathbf{x}_{i}-\boldsymbol{\mu}_{1}\right)^{T}\right) \mathbf{w} \\ &=\mathbf{w}^{T} \mathbf{S}_{1} \mathbf{w} \end{aligned} s12=xi∈D1∑(ai−m1)2=xi∈D1∑(wTxi−wTμ1)2=xi∈D1∑(wT(xi−μ1))2=wT(xi∈D1∑(xi−μ1)(xi−μ1)T)w=wTS1w
S 1 \mathbf{S}_{1} S1 被称为 D 1 \mathbf{D}_1 D1 的扩散矩阵 S 1 = n 1 Σ 1 \mathbf{S}_{1}=n_1\Sigma_1 S1=n1Σ1
类似地, s 2 2 = w T S 2 w s_{2}^{2}=\mathbf{w}^{T} \mathbf{S}_{2} \mathbf{w} s22=wTS2w
令
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S=S1+S2,则
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\max\limits_{\mathbf{w}}J(\mathbf{w})=\frac{(m_1-m_2)^2}{s_1^2+s_2^2}=\frac{\mathbf{w}^{T} \mathbf{B} \mathbf{w}}{\mathbf{w}^{T} \mathbf{S} \mathbf{w}}
wmaxJ(w)=s12+s22(m1−m2)2=wTSwwTBw
注意:
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\frac{d}{d\mathbf{w}}J(\mathbf{w})=\frac{2\mathbf{B}\mathbf{w}(\mathbf{w}^T\mathbf{S}\mathbf{w})-2\mathbf{S}\mathbf{w}(\mathbf{w}^T\mathbf{B}\mathbf{w})}{(\mathbf{w}^T\mathbf{S}\mathbf{w})^2}=\mathbf{0}
dwdJ(w)=(wTSw)22Bw(wTSw)−2Sw(wTBw)=0
即有:
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\begin{aligned} \mathbf{B}\mathbf{w}(\mathbf{w}^T\mathbf{S}\mathbf{w})&=\mathbf{S}\mathbf{w}(\mathbf{w}^T\mathbf{B}\mathbf{w})\\ \mathbf{B}\mathbf{w}&=\mathbf{S}\mathbf{w}\cdot\frac{\mathbf{w}^{T} \mathbf{B} \mathbf{w}}{\mathbf{w}^{T} \mathbf{S} \mathbf{w}}\\ \mathbf{B}\mathbf{w}&=J(\mathbf{w})\cdot\mathbf{S} \mathbf{w}\quad (*) \end{aligned}
Bw(wTSw)BwBw=Sw(wTBw)=Sw⋅wTSwwTBw=J(w)⋅Sw(∗)
若
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故要求最大
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J(w) ,只需
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S−1B 的最大特征值,
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☆ 不求特征向量求出 w \mathbf{w} w 的方法
将
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\mathbf{B}=(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})^{T}
B=(μ1−μ2)(μ1−μ2)T 代入
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(∗) 得
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\begin{aligned} (\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})^{T}\mathbf{w} &=J(\mathbf{w})\cdot\mathbf{S} \mathbf{w}\\ \mathbf{S}^{-1}(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})[\frac{(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})^{T}\mathbf{w}}{J(\mathbf{w})}]&=\mathbf{w} \end{aligned}
(μ1−μ2)(μ1−μ2)TwS−1(μ1−μ2)[J(w)(μ1−μ2)Tw]=J(w)⋅Sw=w
故只需计算
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\mathbf{S}^{-1}(\boldsymbol{\mu}_{1}-\boldsymbol{\mu}_{2})
S−1(μ1−μ2),再单位化。
20.2 Kernel LDA:
事实1:如果 ( S ϕ − 1 B ϕ ) w = λ w \left(\mathbf{S}_{\phi}^{-1} \mathbf{B}_{\phi}\right) \mathbf{w}=\lambda \mathbf{w} (Sϕ−1Bϕ)w=λw,那么 w = ∑ j = 1 n a j ϕ ( x j ) \mathbf{w}=\sum\limits_{j=1}^na_j\phi(\mathbf{x}_j) w=j=1∑najϕ(xj),证明见讲稿最后两页。
令 a = ( a 1 , ⋯ , a n ) T \mathbf{a}=(a_1,\cdots,a_n)^T a=(a1,⋯,an)T 是“事实1”中的向量。
下面将 max w J ( w ) = ( m 1 − m 2 ) 2 s 1 2 + s 2 2 = w T B ϕ w w T S ϕ w \max\limits_{\mathbf{w}}J(\mathbf{w})=\frac{(m_1-m_2)^2}{s_1^2+s_2^2}=\frac{\mathbf{w}^{T} \mathbf{B}_{\phi} \mathbf{w}}{\mathbf{w}^{T} \mathbf{S}_{\phi} \mathbf{w}} wmaxJ(w)=s12+s22(m1−m2)2=wTSϕwwTBϕw 的问题转化为 max G ( a ) \max G(\mathbf{a}) maxG(a) s.t. 使用 K \mathbf{K} K 能求解。
注意到:
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\begin{aligned} m_{i}=\mathbf{w}^{T} \boldsymbol{\mu}_{i}^{\phi} &=\left(\sum_{j=1}^{n} a_{j} \phi\left(\mathbf{x}_{j}\right)\right)^{T}\left(\frac{1}{n_{i}} \sum_{\mathbf{x}_{i} \in \mathbf{D}_{i}} \phi\left(\mathbf{x}_{k}\right)\right) \\ &=\frac{1}{n_{i}} \sum_{j=1}^{n} \sum_{\mathbf{x}_{k} \in \mathbf{D}_{i}} a_{j} \phi\left(\mathbf{x}_{j}\right)^{T} \phi\left(\mathbf{x}_{k}\right) \\ &=\frac{1}{n_{i}} \sum_{j=1}^{n} \sum_{\mathbf{x}_{k} \in \mathbf{D}_{i}} a_{j} K\left(\mathbf{x}_{j}, \mathbf{x}_{k}\right) \\ &=\mathbf{a}^{T} \mathbf{m}_{i} \end{aligned}
mi=wTμiϕ=(j=1∑najϕ(xj))T(ni1xi∈Di∑ϕ(xk))=ni1j=1∑nxk∈Di∑ajϕ(xj)Tϕ(xk)=ni1j=1∑nxk∈Di∑ajK(xj,xk)=aTmi
其中,
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\mathbf{m}_{i}=\frac{1}{n_{i}}\left(\begin{array}{c} \sum\limits_{\mathbf{x}_{k} \in \mathbf{D}_{i}} K\left(\mathbf{x}_{1}, \mathbf{x}_{k}\right) \\ \sum\limits_{\mathbf{x}_{k} \in \mathbf{D}_{i}} K\left(\mathbf{x}_{2}, \mathbf{x}_{k}\right) \\ \vdots \\ \sum\limits_{\mathbf{x}_{k} \in \mathbf{D}_{i}} K\left(\mathbf{x}_{n}, \mathbf{x}_{k}\right) \end{array}\right)_{n\times 1}
mi=ni1⎝
⎛xk∈Di∑K(x1,xk)xk∈Di∑K(x2,xk)⋮xk∈Di∑K(xn,xk)⎠
⎞n×1
故
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\begin{aligned} \left(m_{1}-m_{2}\right)^{2} &=\left(\mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}-\mathbf{w}^{T} \boldsymbol{\mu}_{2}^{\phi}\right)^{2} \\ &=\left(\mathbf{a}^{T} \mathbf{m}_{1}-\mathbf{a}^{T} \mathbf{m}_{2}\right)^{2} \\ &=\mathbf{a}^{T}\left(\mathbf{m}_{1}-\mathbf{m}_{2}\right)\left(\mathbf{m}_{1}-\mathbf{m}_{2}\right)^{T} \mathbf{a} \\ &=\mathbf{a}^{T} \mathbf{M a} \end{aligned}
(m1−m2)2=(wTμ1ϕ−wTμ2ϕ)2=(aTm1−aTm2)2=aT(m1−m2)(m1−m2)Ta=aTMa
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\mathbf{M}
M 被称为核类间扩散矩阵)
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\begin{aligned} s_{1}^{2} &=\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left\|\mathbf{w}^{T} \phi\left(\mathbf{x}_{i}\right)-\mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}\right\|^{2} \\ &=\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left\|\mathbf{w}^{T} \phi\left(\mathbf{x}_{i}\right)\right\|^{2}-2 \sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}} \mathbf{w}^{T} \phi\left(\mathbf{x}_{i}\right) \cdot \mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}+\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left\|\mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}\right\|^{2} \\ &=\left(\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}}\left\|\sum_{j=1}^{n} a_{j} \phi\left(\mathbf{x}_{j}\right)^{T} \phi\left(\mathbf{x}_{i}\right)\right\|^{2}\right)-2 \cdot n_{1} \cdot\left\|\mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}\right\|^{2}+n_{1} \cdot\left\|\mathbf{w}^{T} \boldsymbol{\mu}_{1}^{\phi}\right\|^{2}\\ &=\left(\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}} \mathbf{a}^{T} \mathbf{K}_{i} \mathbf{K}_{i}^{T} \mathbf{a}\right)-n_{1} \cdot \mathbf{a}^{T} \mathbf{m}_{1} \mathbf{m}_{1}^{T} \mathbf{a}\\ &=\mathbf{a}^{T}\left(\left(\sum_{\mathbf{x}_{i} \in \mathbf{D}_{1}} \mathbf{K}_{i} \mathbf{K}_{i}^{T}\right)-n_{1} \mathbf{m}_{1} \mathbf{m}_{1}^{T}\right) \mathbf{a} \\ &=\mathbf{a}^{T} \mathbf{N}_{1} \mathbf{a} \end{aligned}
s12=xi∈D1∑∥
∥wTϕ(xi)−wTμ1ϕ∥
∥2=xi∈D1∑∥
∥wTϕ(xi)∥
∥2−2xi∈D1∑wTϕ(xi)⋅wTμ1ϕ+xi∈D1∑∥
∥wTμ1ϕ∥
∥2=⎝
⎛xi∈D1∑∥
∥j=1∑najϕ(xj)Tϕ(xi)∥
∥2⎠
⎞−2⋅n1⋅∥
∥wTμ1ϕ∥
∥2+n1⋅∥
∥wTμ1ϕ∥
∥2=(xi∈D1∑aTKiKiTa)−n1⋅aTm1m1Ta=aT((xi∈D1∑KiKiT)−n1m1m1T)a=aTN1a
类似地,令
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\mathbf{N}_2=\left(\sum\limits_{\mathbf{x}_{i} \in \mathbf{D}_{2}} \mathbf{K}_{i} \mathbf{K}_{i}^{T}-n_{2} \mathbf{m}_{2} \mathbf{m}_{2}^{T}\right)
N2=(xi∈D2∑KiKiT−n2m2m2T)
则 s 1 2 + s 2 2 = a T ( N 1 + N 2 ) a = a T N a s_1^2+s_2^2=\mathbf{a}^{T} (\mathbf{N}_{1}+\mathbf{N}_{2}) \mathbf{a}=\mathbf{a}^{T}\mathbf{N} \mathbf{a} s12+s22=aT(N1+N2)a=aTNa
故: J ( w ) = a T M a a T N a : = G ( a ) J(\mathbf{w})=\frac{\mathbf{a}^{T}\mathbf{M} \mathbf{a}}{\mathbf{a}^{T}\mathbf{N} \mathbf{a}}:=G(\mathbf{a}) J(w)=aTNaaTMa:=G(a)
类似 20.1, M a = λ N a \mathbf{M} \mathbf{a}=\lambda\mathbf{N} \mathbf{a} Ma=λNa
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若 N − 1 \mathbf{N} ^{-1} N−1 存在, N − 1 M a = λ a \mathbf{N}^{-1} \mathbf{M} \mathbf{a}=\lambda \mathbf{a} N−1Ma=λa, λ \lambda λ 取 N − 1 M \mathbf{N}^{-1} \mathbf{M} N−1M 的最大特征值, a \mathbf{a} a 是相应的特征向量。
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若 N − 1 \mathbf{N} ^{-1} N−1 不存在,MATLAB 求广义逆
最后考查 w T w = 1 \mathbf{w}^T\mathbf{w}=1 wTw=1,即
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n
∑
i
=
1
n
a
j
a
i
ϕ
(
x
j
)
T
ϕ
(
x
i
)
=
1
∑
j
=
1
n
∑
i
=
1
n
a
j
a
i
K
(
x
i
,
x
j
)
=
1
a
T
K
a
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1
\begin{aligned} (\sum\limits_{j=1}^na_j\phi(\mathbf{x}_j))^T(\sum\limits_{i=1}^na_i\phi(\mathbf{x}_i))&=1\\ \sum\limits_{j=1}^n\sum\limits_{i=1}^na_ja_i\phi(\mathbf{x}_j)^T\phi(\mathbf{x}_i)&=1\\ \sum\limits_{j=1}^n\sum\limits_{i=1}^na_ja_iK(\mathbf{x}_i,\mathbf{x}_j)&=1\\ \mathbf{a}^T\mathbf{K}\mathbf{a}&=1 \end{aligned}
(j=1∑najϕ(xj))T(i=1∑naiϕ(xi))j=1∑ni=1∑najaiϕ(xj)Tϕ(xi)j=1∑ni=1∑najaiK(xi,xj)aTKa=1=1=1=1
求出
N
−
1
M
\mathbf{N}^{-1} \mathbf{M}
N−1M 的特征向量
a
\mathbf{a}
a 后,
a
←
a
a
T
K
a
\mathbf{a}\leftarrow \frac{\mathbf{a}}{\sqrt{\mathbf{a}^T\mathbf{K}\mathbf{a}}}
a←aTKaa 以保证
w
T
w
=
1
\mathbf{w}^T\mathbf{w}=1
wTw=1