1 / 38

PCA Principal Component Analysis

PCA Principal Component Analysis. Sensor 3. Sensor 4. x = 1.8196 5.6843 6.8238 4.7767 1.0397 4.1195 6.0911 4.2638 1.1126 4.6507 7.8633 5.5043 1.3735 6.0801 8.0462 5.6324 2.4124 3.6608 7.1652 5.0156

gautam
Télécharger la présentation

PCA Principal Component Analysis

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. PCA Principal Component Analysis

  2. Sensor 3 Sensor 4 x = 1.8196 5.6843 6.8238 4.7767 1.0397 4.1195 6.0911 4.2638 1.1126 4.6507 7.8633 5.5043 1.3735 6.0801 8.0462 5.6324 2.4124 3.6608 7.1652 5.0156 3.2898 4.7301 6.0169 4.2119 2.9436 4.2940 7.4612 5.2228 1.6561 3.1509 5.2104 3.6473 0.4757 1.4661 6.6255 4.6379 2.1659 1.6211 9.2418 6.4692 1.4852 3.6537 7.3074 5.1152 0.7544 3.3891 6.1951 4.3365 2.3136 3.5918 7.6207 5.3345 2.4068 2.5844 6.8016 4.7611 2.5996 4.2271 7.7247 5.4073 1.8136 4.2080 6.7446 4.7212 N Medida 9 Medida 14 m

  3. x= 0.5632 0.0525 0.1992 0.9442 -1.4904 0.0169 0.5112 0.2334 2.3856 0.4861 0.5951 0.0604 0.6180 1.5972 -0.5145 -0.6150 1.7430 1.4551 -1.0344 -0.9598 1.5369 1.3969 0.1178 -0.5428 0.8500 0.9795 -1.4907 -0.7346 -0.0970 -0.7409 -0.9971 -0.8030 -0.1868 -0.2996 -0.5746 -0.8211 1.2367 2.3720 0.3793 0.1620 0.0675 -0.3321 1.3183 0.7651 -0.8986 -0.5059 -0.1140 1.3910 -0.6703 0.1073 2.3948 1.4875 1.0090 1.2579 0.0914 -0.3765 -0.1388 -0.7678 -2.3396 -1.2983 0.9069 1.4772 -0.3849 -0.0941 -0.3874 -0.4512 0.0444 -0.1314 -0.2293 -0.6040 0.4161 0.5944 -3.0050 -1.9646 -1.1580 -0.1741 -0.6379 -1.7942 1.0003 -0.4333 0.2530 -0.1742 1.8173 1.5607 -1.7688 -2.0968 0.1575 -0.1781 -0.5782 0.0264 -2.5254 -1.8191 0.5193 0.9366 1.7935 1.6216 -1.7429 -1.9603 0.4392 -0.3092]

  4. clear all; N=50; sigma2=[1 0.8 ; 0.8 1]; mi=repmat([0 0],N,1); xx=mvnrnd(mi,sigma2); xmean=mean(xx,1); [lin,col]=size(xx); x=xx-repmat(xmean,lin,1); [p,lat,exp]=pcacov(x); plot(x(:,1),x(:,2),'+'); hold on plot([p(1,1) 0 p(1,2)],[p(2,1) 0 p(2,2)])

  5. Como determinar?

  6. cov = [1 0 ; 0 1] cov=[1 0.9 ; 0.9 1]

  7. cov = [1 0 ; 0 1] cov=[1 0.9 ; 0.9 1]

  8. cov = [1 0 ; 0 1] cov=[1 0.9 ; 0.9 1]

  9. Para Gaussianas: Não Correlacionados  Independentes Matriz de Covariança  Diagonal cov = [1 0 ; 0 1]

  10. Dado XNm Obter P, tal que Y = XP é diagonal. No caso de e-valores distintos: P-1 A P = L Dada uma matriz Amm , os auto-valores  e os auto-vetores v são caracterizados por ou seja, Como (s) é um polinômio de grau m, (s) =0 possui m raízes, 1, 2, ... , m associados a v1, v2, ... , vm

  11. Dado XNm Obter P, tal que Y = XP vj T PTP = vi i = j A = XTX P-1 A P = L é diagonal. vi e-vetores de XTX ( normalizados  vi  = 1) P é simétrica P-1 = PT

  12. Dado XNm Obter P, tal que Y = XP vj T PTP = vi é diagonal. PT = P i  j A = XTX P-1 A P = L vi e-vetores de XTX ( normalizados  vi  = 1) P é simétrica P-1 = PT

  13. Dado XNm Obter P, tal que Y = XP vj T PTP = vi é diagonal. A = XTX P-1 A P = L vi e-vetores de XTX ( normalizados  vi  = 1) PTP = I P é simétrica P-1 = PT

  14. Dado XNm Obter P, tal que Y = XP é diagonal. A = XTX P-1 A P = L vi e-vetores de XTX ( normalizados  vi  = 1) P é simétrica P-1 = PT P é ortogonal

  15. Singular Value Decomposition Dado XNm Obter P, tal que Y = XP é diagonal.

  16. Dado XNm Obter P, tal que Y = XP é diagonal. P = Matriz de e-vec de (XTX) V = Matriz à direita no SVD

  17. x= 0.5632 0.0525 0.1992 0.9442 -1.4904 0.0169 0.5112 0.2334 2.3856 0.4861 0.5951 0.0604 0.6180 1.5972 -0.5145 -0.6150 1.7430 1.4551 -1.0344 -0.9598 1.5369 1.3969 0.1178 -0.5428 0.8500 0.9795 -1.4907 -0.7346 -0.0970 -0.7409 -0.9971 -0.8030 -0.1868 -0.2996 -0.5746 -0.8211 1.2367 2.3720 0.3793 0.1620 0.0675 -0.3321 1.3183 0.7651 -0.8986 -0.5059 -0.1140 1.3910 -0.6703 0.1073 2.3948 1.4875 1.0090 1.2579 0.0914 -0.3765 -0.1388 -0.7678 -2.3396 -1.2983 0.9069 1.4772 -0.3849 -0.0941 -0.3874 -0.4512 0.0444 -0.1314 -0.2293 -0.6040 0.4161 0.5944 -3.0050 -1.9646 -1.1580 -0.1741 -0.6379 -1.7942 1.0003 -0.4333 0.2530 -0.1742 1.8173 1.5607 -1.7688 -2.0968 0.1575 -0.1781 -0.5782 0.0264 -2.5254 -1.8191 0.5193 0.9366 1.7935 1.6216 -1.7429 -1.9603 0.4392 -0.3092]

  18. >> [P, Lambda]=eig(xx) P = -0.7563 0.6543 -0.6543 -0.7563 Lambda = 113.9223 0 0 12.1205 >> Lambda = inv(P)*xx*P OK Lambda = 113.9223 0 0.0000 12.1205 Lambda (1) >> Lambda (2) x= 0.5632 0.0525 0.1992 0.9442 -1.4904 0.0169 0.5112 0.2334 2.3856 0.4861 0.5951 0.0604 0.6180 1.5972 -0.5145 -0.6150 1.7430 1.4551 -1.0344 -0.9598 1.5369 1.3969 0.1178 -0.5428 0.8500 0.9795 -1.4907 -0.7346 -0.0970 -0.7409 -0.9971 -0.8030 -0.1868 -0.2996 -0.5746 -0.8211 1.2367 2.3720 0.3793 0.1620 0.0675 -0.3321 1.3183 0.7651 -0.8986 -0.5059 -0.1140 1.3910 -0.6703 0.1073 2.3948 1.4875 1.0090 1.2579 0.0914 -0.3765 -0.1388 -0.7678 -2.3396 -1.2983 0.9069 1.4772 -0.3849 -0.0941 -0.3874 -0.4512 0.0444 -0.1314 -0.2293 -0.6040 0.4161 0.5944 -3.0050 -1.9646 -1.1580 -0.1741 -0.6379 -1.7942 1.0003 -0.4333 0.2530 -0.1742 1.8173 1.5607 -1.7688 -2.0968 0.1575 -0.1781 -0.5782 0.0264 -2.5254 -1.8191 0.5193 0.9366 1.7935 1.6216 -1.7429 -1.9603 0.4392 -0.3092] xx = 70.3445 50.3713 50.3713 55.6982

  19. P = -0.7563 0.6543 -0.6543 -0.7563 >> xnew = x * P Pelim = -0.7563 0.0 -0.6543 0.0 >> xelim = x * Pelim

  20. Médodo da Diagonalização: P = -0.7563 0.6543 -0.6543 -0.7563 >> xn=x/sqrt(N-1) >> [u,sigma,v]=svd(xn) v = -0.7563 0.6543 -0.6543 -0.7563 Lambda = 113.9223 0 0.0000 12.1205 OK sigma = 1.5248 0 0 0.4973 >> sigmadiag =sqrt(Lambda/(N-1)) sigmadiag = 1.5248 0 0.0000 0.4973 OK x= 0.5632 0.0525 0.1992 0.9442 -1.4904 0.0169 0.5112 0.2334 2.3856 0.4861 0.5951 0.0604 0.6180 1.5972 -0.5145 -0.6150 1.7430 1.4551 -1.0344 -0.9598 1.5369 1.3969 0.1178 -0.5428 0.8500 0.9795 -1.4907 -0.7346 -0.0970 -0.7409 -0.9971 -0.8030 -0.1868 -0.2996 -0.5746 -0.8211 1.2367 2.3720 0.3793 0.1620 0.0675 -0.3321 1.3183 0.7651 -0.8986 -0.5059 -0.1140 1.3910 -0.6703 0.1073 Médodo da SVD 2.3948 1.4875 1.0090 1.2579 0.0914 -0.3765 -0.1388 -0.7678 -2.3396 -1.2983 0.9069 1.4772 -0.3849 -0.0941 -0.3874 -0.4512 0.0444 -0.1314 -0.2293 -0.6040 0.4161 0.5944 -3.0050 -1.9646 -1.1580 -0.1741 -0.6379 -1.7942 1.0003 -0.4333 0.2530 -0.1742 1.8173 1.5607 -1.7688 -2.0968 0.1575 -0.1781 -0.5782 0.0264 -2.5254 -1.8191 0.5193 0.9366 1.7935 1.6216 -1.7429 -1.9603 0.4392 -0.3092] x= 0.5632 0.0525 0.1992 0.9442 .... ....

  21. >> [pc,latent,explained]=pcacov(x) latent = 10.6734 3.4814 pc = -0.7563 0.6543 -0.6543 -0.7563 explained = 75.4046 24.5954 >> help pcacov PCACOV Principal Component Analysis using the covariance matrix. [PC, LATENT, EXPLAINED] = PCACOV(X) takes a the covariance matrix, X, and returns the principal components in PC, the eigenvalues of the covariance matrix of X in LATENT, and the percentage of the total variance in the observations explained by each eigenvector in EXPLAINED.

  22. >> [pc,latent,explained]=pcacov(x) latent = 10.6734 3.4814 pc = -0.7563 0.6543 -0.6543 -0.7563 explained = 75.4046 24.5954 >> help pcacov PCACOV Principal Component Analysis using the covariance matrix. [PC, LATENT, EXPLAINED] = PCACOV(X) takes a the covariance matrix, X, and returns the principal components in PC, the eigenvalues of the covariance matrix of X in LATENT, and the percentage of the total variance in the observations explained by each eigenvector in EXPLAINED. P = -0.7563 0.6543 -0.6543 -0.7563 v = -0.7563 0.6543 -0.6543 -0.7563 OK

  23. >> help pcacov PCACOV Principal Component Analysis using the covariance matrix. [PC, LATENT, EXPLAINED] = PCACOV(X) takes a the covariance matrix, X, and returns the principal components in PC, the eigenvalues of the covariance matrix of X in LATENT, and the percentage of the total variance in the observations explained by each eigenvector in EXPLAINED. >> [pc,latent,explained]=pcacov(x) latent = 10.6734 3.4814 pc = -0.7563 0.6543 -0.6543 -0.7563 explained = 75.4046 24.5954 Lambda = 113.9223 0 0 12.1205 sqrlamb = 10.6734 0 0 3.4814 >> sqrlamb=sqrt(evalor)

  24. >> help pcacov PCACOV Principal Component Analysis using the covariance matrix. [PC, LATENT, EXPLAINED] = PCACOV(X) takes a the covariance matrix, X, and returns the principal components in PC, the eigenvalues of the covariance matrix of X in LATENT, and the percentage of the total variance in the observations explained by each eigenvector in EXPLAINED. >> [pc,latent,explained]=pcacov(x) latent = 10.6734 3.4814 pc = -0.7563 0.6543 -0.6543 -0.7563 explained = 75.4046 24.5954 sqrlamb = 10.6734 0 0 3.4814 percent = 75.4046 24.5954 >> e=[Lambda(1,1) ; Lambda(2,2)] >> soma=sum(e) >> percent=e*100/soma

  25. >> [pc,score,latent1,tsquare]=princomp(x) score = -0.4603 0.3288 -0.7684 -0.5837 1.1161 -0.9879 -0.5393 0.1579 -2.1222 1.1932 -0.4896 0.3437 ..... ..... pc = -0.7563 0.6543 -0.6543 -0.7563 latent1 = 2.3249 0.2474 tsquare = 0.5281 1.6315 4.4813 0.2260 7.6929 0.5806 ..... >> help princomp PRINCOMP Principal Component Analysis (centered and scaled data). [PC, SCORE, LATENT, TSQUARE] = PRINCOMP(X) takes a data matrix X and returns the principal components in PC, the so-called Z-scores in SCORES, the eigenvalues of the covariance matrix of X in LATENT, and Hotelling's T-squared statistic for each data point in TSQUARE.

  26. >> help princomp PRINCOMP Principal Component Analysis (centered and scaled data). [PC, SCORE, LATENT, TSQUARE] = PRINCOMP(X) takes a data matrix X and returns the principal components in PC, the so-called Z-scores in SCORES, the eigenvalues of the covariance matrix of X in LATENT, and Hotelling's T-squared statistic for each data point in TSQUARE. >> [pc,score,latent1,tsquare]=princomp(x) score = -0.4603 0.3288 -0.7684 -0.5837 1.1161 -0.9879 -0.5393 0.1579 -2.1222 1.1932 -0.4896 0.3437 ..... ..... pc = -0.7563 0.6543 -0.6543 -0.7563 latent1 = 2.3249 0.2474 tsquare = 0.5281 1.6315 4.4813 0.2260 7.6929 0.5806 ..... P = -0.7563 0.6543 -0.6543 -0.7563

  27. >> help princomp PRINCOMP Principal Component Analysis (centered and scaled data). [PC, SCORE, LATENT, TSQUARE] = PRINCOMP(X) takes a data matrix X and returns the principal components in PC, the so-called Z-scores in SCORES, the eigenvalues of the covariance matrix of X in LATENT, and Hotelling's T-squared statistic for each data point in TSQUARE. >> [pc,score,latent1,tsquare]=princomp(x) score = -0.4603 0.3288 -0.7684 -0.5837 1.1161 -0.9879 -0.5393 0.1579 -2.1222 1.1932 -0.4896 0.3437 ..... ..... sco = -0.4603 0.3288 -0.7684 -0.5838 1.1161 -0.9880 -0.5393 0.1580 -2.1223 1.1933 -0.4896 0.3437 >> sco=x*P

  28. >> help princomp PRINCOMP Principal Component Analysis (centered and scaled data). [PC, SCORE, LATENT, TSQUARE] = PRINCOMP(X) takes a data matrix X and returns the principal components in PC, the so-called Z-scores in SCORES, the eigenvalues of the covariance matrix of X in LATENT, and Hotelling's T-squared statistic for each data point in TSQUARE. >> [pc,score,latent1,tsquare]=princomp(x) score = -0.4603 0.3288 -0.7684 -0.5837 1.1161 -0.9879 -0.5393 0.1579 -2.1222 1.1932 -0.4896 0.3437 ..... ..... pc = -0.7563 0.6543 -0.6543 -0.7563 latent1 = 2.3249 0.2474 tsquare = 0.5281 1.6315 4.4813 0.2260 7.6929 0.5806 ..... >> eig(x'*x/(N-1)) ans = 0.2474 2.3249

  29. caracteriza a região de confiança 100 a% >> help princomp PRINCOMP Principal Component Analysis (centered and scaled data). [PC, SCORE, LATENT, TSQUARE] = PRINCOMP(X) takes a data matrix X and returns the principal components in PC, the so-called Z-scores in SCORES, the eigenvalues of the covariance matrix of X in LATENT, and Hotelling's T-squared statistic for each data point in TSQUARE. >> [pc,score,latent1,tsquare]=princomp(x) score = -0.4603 0.3288 -0.7684 -0.5837 1.1161 -0.9879 -0.5393 0.1579 -2.1222 1.1932 -0.4896 0.3437 ..... ..... pc = -0.7563 0.6543 -0.6543 -0.7563 latent1 = 2.3249 0.2474 tsquare = 0.5281 1.6315 4.4813 0.2260 7.6929 0.5806 .....

  30. Não gaussianidade = OK?

  31. Não gaussianidade = OK?

  32. Não gaussianidade = OK?

  33. >> xm=mean(xx); >> [lin,col]=size(xx); >> xm=repmat(xm,lin,1); >> xx=xx-xm;

  34. x = -0.4326 -1.6656 0.1253 0.2877 -1.1465 1.1909 1.1892 -0.0376 0.3273 0.1746 -0.1867 0.7258 -0.5883 2.1832 -0.1364 0.1139 1.0668 0.0593 -0.0956 -0.8323 N >> [u,sigma,v]=svd(x) sigma = 3.2980 0 0 2.0045 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 u = 0.4460 0.4456 -0.2868 0.4908 0.1650 0.0392 0.1066 -0.0386 0.4553 -0.1743 -0.0726 -0.1012 -0.4848 0.1055 -0.0323 -0.2554 -0.7703 -0.0485 0.0638 0.2687 -0.4458 0.3769 0.6421 0.2784 0.0623 -0.0995 -0.3056 -0.0404 0.2425 0.0424 0.1146 -0.5628 0.1922 0.7577 -0.0733 0.0123 0.0424 0.0239 -0.2207 0.0494 -0.0222 -0.1814 0.0253 -0.0595 0.9785 -0.0107 -0.0308 0.0038 -0.0560 0.0280 -0.2271 -0.0149 -0.1378 0.0660 0.0063 0.9434 -0.1717 -0.0146 0.0532 0.0484 -0.6853 -0.0321 -0.4187 0.2038 0.0205 -0.1705 0.4827 -0.0445 0.1649 0.1443 -0.0450 0.0488 -0.0384 0.0320 0.0076 -0.0097 -0.0300 0.9956 0.0281 0.0029 0.0758 -0.5182 0.1585 -0.2137 -0.0664 0.0039 0.0167 0.0200 0.8044 0.0516 0.2334 0.1651 0.1094 -0.0129 0.0120 0.0625 0.1882 0.0107 -0.0038 0.9309 v = 0.2876 -0.9578 -0.9578 -0.2876 N  N

  35. Muito Obrigado!

More Related