# Cleve's Cubicle

(Difference between revisions)
 Revision as of 18:46, 17 October 2017 (edit)← Previous diff Revision as of 18:48, 17 October 2017 (edit) (undo)Next diff → Line 1: Line 1: Singular Value Decomposition versus Principal Component Analysis Singular Value Decomposition versus Principal Component Analysis - SVD meets PCA, by Cleve Moler + from SVD meets PCA, slide by Cleve Moler “''The Wikipedia pages on SVD and PCA are quite good and contain a number of useful links, although not to each other.''” “''The Wikipedia pages on SVD and PCA are quite good and contain a number of useful links, although not to each other.''”

## Revision as of 18:48, 17 October 2017

Singular Value Decomposition versus Principal Component Analysis

from SVD meets PCA, slide by Cleve Moler

The Wikipedia pages on SVD and PCA are quite good and contain a number of useful links, although not to each other.
$LaTeX: -$MATLAB News & Notes, Cleve’s Corner, 2006

```%relationship of pca to svd
m=3;  n=7;
A = randn(m,n);

[coef,score,latent] = pca(A)

X       = A - mean(A);
[U,S,V] = svd(X,'econ');

% S  vs. latent
rho   = rank(X);
latent = diag(S(:,1:rho)).^2/(m-1)

% U  vs. score
sense = sign(score).*sign(U*S(:,1:rho));  %account for negated left singular vector
score = U*S(:,1:rho).*sense

% V  vs. coef
sense2 = sign(coef).*sign(V(:,1:rho));    %account for corresponding negated right singular vector
coef = V(:,1:rho).*sense2
```