We consider the dimensionality-reduction problem (finding a subspace approximation of observed data) for contaminated data in the high dimensional regime, where the number of observations is of the same magnitude as the number of variables of each observation, and the data set contains some (arbitrarily) corrupted observations. We propose a High-dimensional Robust Principal Component Analysis (HR-PCA) algorithm that is tractable, robust to contaminated points, and easily kernelizable. The resulting subspace has a bounded deviation from the desired one, achieves maximal robustness -- a breakdown point of 50% while all existing algorithms have a breakdown point of zero, and unlike ordinary PCA algorithms, achieves optimality in the limit case where the proportion of corrupted points goes to zero.
We consider principal component analysis for contaminated data-set in the high dimensional regime, where the dimensionality of each observation is comparable or even more than the number of observations. We propose a deterministic high-dimensional robust PCA algorithm which inherits all theoretical properties of its randomized counterpart, i.e., it is tractable, robust to contaminated points, easily kernelizable, asymptotic consistent and achieves maximal robustness -- a breakdown point of 50%. More importantly, the proposed method exhibits significantly better computational efficiency, which …
Principal component analysis (PCA) is one of the most popular dimension reduction methods. The usual PCA is known to be sensitive to the presence of outliers, and thus many robust PCA methods have been developed. Among them, the Tyler's M-estimator is shown to be the most robust scatter estimator under the elliptical distribution. However, when the underlying distribution is contaminated and deviates from ellipticity, Tyler's M-estimator might not work well. In this article, we apply the semiparametric theory to propose a robust semiparametric PCA. The merits of our proposal are twofold. First…
In this paper we analyze different ways of performing principal component analysis throughout three different approaches: robust covariance and correlation matrix estimation, projection pursuit approach and non-parametric maximum entropy algorithm. The objective of these approaches is the correction of the well known sensitivity to outliers of the classical method for principal component analysis. Due to their robustness, they perform very well in contaminated data, while the classical approach fails to preserve the characteristics of the core information.
Principal component regression (PCR) is a two-stage procedure: the first stage performs principal component analysis (PCA) and the second stage constructs a regression model whose explanatory variables are replaced by principal components obtained by the first stage. Since PCA is performed by using only explanatory variables, the principal components have no information about the response variable. To address the problem, we propose a one-stage procedure for PCR in terms of singular value decomposition approach. Our approach is based upon two loss functions, a regression loss and a PCA loss, w…
Generalized principal component analysis (GLM-PCA) facilitates dimension reduction of non-normally distributed data. We provide a detailed derivation of GLM-PCA with a focus on optimization. We also demonstrate how to incorporate covariates, and suggest post-processing transformations to improve interpretability of latent factors.
Outlier based Robust Principal Component Analysis (RPCA) requires centering of the non-outliers. We show a "bias trick" that automatically centers these non-outliers. Using this bias trick we obtain the first RPCA algorithm that is optimal with respect to centering.
The article discusses selected problems related to both principal component analysis (PCA) and factor analysis (FA). In particular, both types of analysis were compared. A vector interpretation for both PCA and FA has also been proposed. The problem of determining the number of principal components in PCA and factors in FA was discussed in detail. A new criterion for determining the number of factors and principal components is discussed, which will allow to present most of the variance of each of the analyzed primary variables. An efficient algorithm for determining the number of factors in F…
Stanford University（斯坦福大学）；MIT（麻省理工学院）；Microsoft Research, New England（新英格兰微软研究院）
We show how to efficiently project a vector onto the top principal components of a matrix, without explicitly computing these components. Specifically, we introduce an iterative algorithm that provably computes the projection using few calls to any black-box routine for ridge regression. By avoiding explicit principal component analysis (PCA), our algorithm is the first with no runtime dependence on the number of top principal components. We show that it can be used to give a fast iterative method for the popular principal component regression problem, giving the first major runtime improvemen…
Conventional principal component analysis (PCA) finds a principal vector that maximizes the sum of second powers of principal components. We consider a generalized PCA that aims at maximizing the sum of an arbitrary convex function of principal components. We present a gradient ascent algorithm to solve the problem. For the kernel version of generalized PCA, we show that the solutions can be obtained as fixed points of a simple single-layer recurrent neural network. We also evaluate our algorithms on different datasets.
We propose a new method for supervised learning, especially suited to wide data where the number of features is much greater than the number of observations. The method combines the lasso ($\ell_1$) sparsity penalty with a quadratic penalty that shrinks the coefficient vector toward the leading principal components of the feature matrix. We call the proposed method the "principal components lasso" ("pcLasso"). The method can be especially powerful if the features are pre-assigned to groups (such as cell-pathways, assays or protein interaction networks). In that case, pcLasso shrinks each group…
In this paper we review existing methods for robust functional principal component analysis (FPCA) and propose a new method for FPCA that can be applied to longitudinal data where only a few observations per trajectory are available. This method is robust against the presence of atypical observations, and can also be used to derive a new non-robust FPCA approach for sparsely observed functional data. We use local regression to estimate the values of the covariance function, taking advantage of the fact that for elliptically distributed random vectors the conditional location parameter of some …
PCA (Principal Component Analysis) and its variants areubiquitous techniques for matrix dimension reduction and reduced-dimensionlatent-factor extraction. One significant challenge in using PCA, is thechoice of the number of principal components. The information-theoreticMDL (Minimum Description Length) principle gives objective compression-based criteria for model selection, but it is difficult to analytically applyits modern definition - NML (Normalized Maximum Likelihood) - to theproblem of PCA. This work shows a general reduction of NML prob-lems to lower-dimension problems. Applying this …
Princeton University（普林斯顿大学）；Tencent AI Lab（腾讯人工智能实验室）
In this paper, we propose to adopt the diffusion approximation tools to study the dynamics of Oja's iteration which is an online stochastic gradient descent method for the principal component analysis. Oja's iteration maintains a running estimate of the true principal component from streaming data and enjoys less temporal and spatial complexities. We show that the Oja's iteration for the top eigenvector generates a continuous-state discrete-time Markov chain over the unit sphere. We characterize the Oja's iteration in three phases using diffusion approximation and weak convergence tools. Our t…
We consider spatially dependent functional data collected under a geostatistics setting, where locations are sampled from a spatial point process. The functional response is the sum of a spatially dependent functional effect and a spatially independent functional nugget effect. Observations on each function are made on discrete time points and contaminated with measurement errors. Under the assumption of spatial stationarity and isotropy, we propose a tensor product spline estimator for the spatio-temporal covariance function. When a coregionalization covariance structure is further assumed, w…
Principal component analysis (PCA) is a mainstay of modern data analysis - a black box that is widely used but (sometimes) poorly understood. The goal of this paper is to dispel the magic behind this black box. This manuscript focuses on building a solid intuition for how and why principal component analysis works. This manuscript crystallizes this knowledge by deriving from simple intuitions, the mathematics behind PCA. This tutorial does not shy away from explaining the ideas informally, nor does it shy away from the mathematics. The hope is that by addressing both aspects, readers of all le…
Carnegie Mellon University（卡内基梅隆大学）；University of Chicago（芝加哥大学）
An increasing number of data science and machine learning problems rely on computation with tensors, which better capture the multi-way relationships and interactions of data than matrices. When tapping into this critical advantage, a key challenge is to develop computationally efficient and provably correct algorithms for extracting useful information from tensor data that are simultaneously robust to corruptions and ill-conditioning. This paper tackles tensor robust principal component analysis (RPCA), which aims to recover a low-rank tensor from its observations contaminated by sparse corru…
We propose to directly compute classification estimates by learning features encoded with their class scores using PCA. Our resulting model has a encoder-decoder structure suitable for supervised learning, it is computationally efficient and performs well for classification on several datasets.
In this paper the exact linear relation between the leading eigenvectors of the modularity matrix and the singular vectors of an uncentered data matrix is developed. Based on this analysis the concept of a modularity component is defined, and its properties are developed. It is shown that modularity component analysis can be used to cluster data similar to how traditional principal component analysis is used except that modularity component analysis does not require data centering.
Principal component analysis (PCA) is a standard dimensionality reduction technique used in various research and applied fields. From an algorithmic point of view, classical PCA can be formulated in terms of operations on a multivariate Gaussian likelihood. As a consequence of the implied Gaussian formulation, the principal components are not robust to outliers. In this paper, we propose a modified formulation, based on the use of a multivariate Cauchy likelihood instead of the Gaussian likelihood, which has the effect of robustifying the principal components. We present an algorithm to comput…
A major concern when dealing with financial time series involving a wide variety ofmarket risk factors is the presence of anomalies. These induce a miscalibration of the models used toquantify and manage risk, resulting in potential erroneous risk measures. We propose an approachthat aims to improve anomaly detection in financial time series, overcoming most of the inherentdifficulties. Valuable features are extracted from the time series by compressing and reconstructingthe data through principal component analysis. We then define an anomaly score using a feedforwardneural network. A time ser…
We consider the problem of how many components to retain in the application of principal component analysis when the dimension is much higher than the number of observations. To estimate the number of components, we propose to sequentially test skewness of the squared lengths of residual scores that are obtained by removing leading principal components. The residual lengths are asymptotically left-skewed if all principal components with diverging variances are removed, and right-skewed if not. The proposed estimator is shown to be consistent, performs well in high-dimensional simulation studie…
We propose a new sparse principal component analysis (SPCA) method in which the solutions are obtained by projecting the full cardinality principal components onto subsets of variables. The resulting components are guaranteed to explain a given proportion of variance. The computation of these solutions is very efficient. The proposed method compares well with the optimal least squares sparse components. We show that other SPCA methods fail to identify the best sparse approximations of the principal components and explain less variance than our solutions. We illustrate and compare our method wi…
Southeast University（东南大学）；Université de Rennes 1（雷涅第一大学）
In order to classify the nonlinear feature with linear classifier and improve the classification accuracy, a deep learning network named kernel principal component analysis network (KPCANet) is proposed. First, mapping the data into higher space with kernel principal component analysis to make the data linearly separable. Then building a two-layer KPCANet to obtain the principal components of image. Finally, classifying the principal components with linearly classifier. Experimental results show that the proposed KPCANet is effective in face recognition, object recognition and hand-writing dig…
Mixtures of probabilistic principal component analysis (MPPCA) is a well-known mixture model extension of principal component analysis (PCA). Similar to PCA, MPPCA assumes the data samples in each mixture contain homoscedastic noise. However, datasets with heterogeneous noise across samples are becoming increasingly common, as larger datasets are generated by collecting samples from several sources with varying noise profiles. The performance of MPPCA is suboptimal for data with heteroscedastic noise across samples. This paper proposes a heteroscedastic mixtures of probabilistic PCA technique …
Sparse Principal Components Analysis aims to find principal components with few non-zero loadings. We derive such sparse solutions by adding a genuine sparsity requirement to the original Principal Components Analysis (PCA) objective function. This approach differs from others because it preserves PCA's original optimality: \uns\ of the components and Least Squares approximation of the data. To identify the best subset of non-zero loadings we propose a Branch-and-Bound search and an iterative elimination algorithm. This last algorithm finds sparse solutions with large loadings and can be run w…
In this paper we propose a novel optimization framework to systematically solve robust PCA problem with rigorous theoretical guarantee, based on which we investigate very computationally economic updating algorithms.
A new look on the principal component analysis has been presented. Firstly, a geometric interpretation of determination coefficient was shown. In turn, the ability to represent the analyzed data and their interdependencies in the form of easy-to-understand basic geometric structures was shown. As a result of the analysis of these structures it was proposed to enrich the classical PCA. In particular, it was proposed a new criterion for the selection of important principal components and a new algorithm for clustering primary variables by their level of similarity to the principal components. Vi…
Outliers contaminating data sets are a challenge to statistical estimators. Even a small fraction of outlying observations can heavily influence most classical statistical methods. In this paper we propose generalized spherical principal component analysis, a new robust version of principal component analysis that is based on the generalized spatial sign covariance matrix. Supporting theoretical properties of the proposed method including influence functions, breakdown values and asymptotic efficiencies are studied, and a simulation study is conducted to compare our new method to existing meth…
The allocation of a (treatment) condition-effect on the wrong principal component (misallocation of variance) in principal component analysis (PCA) has been addressed in research on event-related potentials of the electroencephalogram. However, the correct allocation of condition-effects on PCA components might be relevant in several domains of research. The present paper investigates whether different loading patterns at each condition-level are a basis for an optimal allocation of between-condition variance on principal components. It turns out that a similar loading shape at each condition-…
We introduce a new method for sparse principal component analysis, based on the aggregation of eigenvector information from carefully-selected axis-aligned random projections of the sample covariance matrix. Unlike most alternative approaches, our algorithm is non-iterative, so is not vulnerable to a bad choice of initialisation. We provide theoretical guarantees under which our principal subspace estimator can attain the minimax optimal rate of convergence in polynomial time. In addition, our theory provides a more refined understanding of the statistical and computational trade-off in the pr…
We propose a nonparametric method to explicitly model and represent the derivatives of smooth underlying trajectories for longitudinal data. This representation is based on a direct Karhunen--Loève expansion of the unobserved derivatives and leads to the notion of derivative principal component analysis, which complements functional principal component analysis, one of the most popular tools of functional data analysis. The proposed derivative principal component scores can be obtained for irregularly spaced and sparsely observed longitudinal data, as typically encountered in biomedical studie…
We propose a new two stage algorithm LING for large scale regression problems. LING has the same risk as the well known Ridge Regression under the fixed design setting and can be computed much faster. Our experiments have shown that LING performs well in terms of both prediction accuracy and computational efficiency compared with other large scale regression algorithms like Gradient Descent, Stochastic Gradient Descent and Principal Component Regression on both simulated and real datasets.
Principal component analysis (PCA) is recognised as a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known sensitivity of PCA to non-Gaussian samples and/or outliers often makes it unreliable in practice. To this end, a robust formulation of PCA is derived based on the maximum correntropy criterion (MCC) so as to maximise the expected likelihood of Gaussian distributed reconstruction errors. In this way, the proposed solution reduces to a generalised power iteration, whereby: (i) robust estimates of t…
We propose a novel model for nonlinear dimension reduction motivated by the probabilistic formulation of principal component analysis. Nonlinearity is achieved by specifying different transformation matrices at different locations of the latent space and smoothing the transformation using a Markov random field type prior. The computation is made feasible by the recent advances in sampling from von Mises-Fisher distributions.
IMT School for Advanced Studies, Lucca, Italy（IMT卢卡高等研究院）；University of Genoa, Italy（热那亚大学）
In this short paper, a matrix perturbation bound on the eigenvalues found by principal component analysis is investigated, for the case in which the data matrix on which principal component analysis is performed is a convex combination of two data matrices. The application of the theoretical analysis to multi-objective optimization problems (e.g., those arising in the design of acoustic metamaterial filters) is briefly discussed, together with possible extensions.
University of Leicester（莱斯特大学）；Lobachevsky University（罗巴切夫斯基大学）
In this paper we argue that (lexical) meaning in science can be represented in a 13 dimension Meaning Space. This space is constructed using principal component analysis (singular decomposition) on the matrix of word category relative information gains, where the categories are those used by the Web of Science, and the words are taken from a reduced word set from texts in the Web of Science. We show that this reduced word set plausibly represents all texts in the corpus, so that the principal component analysis has some objective meaning with respect to the corpus. We argue that 13 dimensions …
SAS Institute（SAS研究所）；Shanghai Jiao Tong University（上海交通大学）
Robust PCA methods are typically batch algorithms which requires loading all observations into memory before processing. This makes them inefficient to process big data. In this paper, we develop an efficient online robust principal component methods, namely online moving window robust principal component analysis (OMWRPCA). Unlike existing algorithms, OMWRPCA can successfully track not only slowly changing subspace but also abruptly changed subspace. By embedding hypothesis testing into the algorithm, OMWRPCA can detect change points of the underlying subspaces. Extensive simulation studies d…
Principal Component Analysis (PCA) and its nonlinear extension Kernel PCA (KPCA) are widely used across science and industry for data analysis and dimensionality reduction. Modern deep learning tools have achieved great empirical success, but a framework for deep principal component analysis is still lacking. Here we develop a deep kernel PCA methodology (DKPCA) to extract multiple levels of the most informative components of the data. Our scheme can effectively identify new hierarchical variables, called deep principal components, capturing the main characteristics of high-dimensional data th…
The statistical analysis of tree structured data is a new topic in statistics with wide application areas. Some Principal Component Analysis (PCA) ideas were previously developed for binary tree spaces. In this study, we extend these ideas to the more general space of rooted and labeled trees. We re-define concepts such as tree-line and forward principal component tree-line for this more general space, and generalize the optimal algorithm that finds them. We then develop an analog of classical dimension reduction technique in PCA for the tree space. To do this, we define the components that ca…
We present a new straightforward principal component analysis (PCA) method based on the diagonalization of the weighted variance-covariance matrix through two spectral decomposition methods: power iteration and Rayleigh quotient iteration. This method allows one to retrieve a given number of orthogonal principal components amongst the most meaningful ones for the case of problems with weighted and/or missing data. Principal coefficients are then retrieved by fitting principal components to the data while providing the final decomposition. Tests performed on real and simulated cases show that o…
Principal component analysis (PCA) is commonly used in genetics to infer and visualize population structure and admixture between populations. PCA is often interpreted in a way similar to inferred admixture proportions, where it is assumed that individuals belong to one of several possible populations or are admixed between these populations. We propose a new method to assess the statistical fit of PCA (interpreted as a model spanned by the top principal components) and to show that violations of the PCA assumptions affect the fit. Our method uses the chosen top principal components to predict…
Principal component analysis (PCA) is an important tool in exploring data. The conventional approach to PCA leads to a solution which favours the structures with large variances. This is sensitive to outliers and could obfuscate interesting underlying structures. One of the equivalent definitions of PCA is that it seeks the subspaces that maximize the sum of squared pairwise distances between data projections. This definition opens up more flexibility in the analysis of principal components which is useful in enhancing PCA. In this paper we introduce scales into PCA by maximizing only the sum …
Principal component analysis (PCA) has been a prominent tool for high-dimensional data analysis. Online algorithms that estimate the principal component by processing streaming data are of tremendous practical and theoretical interests. Despite its rich applications, theoretical convergence analysis remains largely open. In this paper, we cast online PCA into a stochastic nonconvex optimization problem, and we analyze the online PCA algorithm as a stochastic approximation iteration. The stochastic approximation iteration processes data points incrementally and maintains a running estimate of t…
We analyse the prediction error of principal component regression (PCR) and prove non-asymptotic upper bounds for the corresponding squared risk. Under mild assumptions, we show that PCR performs as well as the oracle method obtained by replacing empirical principal components by their population counterparts. Our approach relies on upper bounds for the excess risk of principal component analysis.
