Spectral clustering is a popular algorithm that clusters points using the eigenvalues and eigenvectors of Laplacian matrices derived from the data. For years, spectral clustering has been working mysteriously. This paper explains spectral clustering by dividing it into two categories based on whether the graph Laplacian is fully connected or not. For a fully connected graph, this paper demonstrates the dimension reduction part by offering an objective function: the covariance between the original data points' similarities and the mapped data points' similarities. For a multi-connected graph, this paper proves that with a proper $k$, the first $k$ eigenvectors are the indicators of the connected components. This paper also proves there is an equivalence between spectral embedding and PCA.
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…
Network anomaly detection is a very relevant research area nowadays, especially due to its multiple applications in the field of network security. The boost of new models based on variational autoencoders and generative adversarial networks has motivated a reevaluation of traditional techniques for anomaly detection. It is, however, essential to be able to understand these new models from the perspective of the experience attained from years of evaluating network security data for anomaly detection. In this paper, we revisit anomaly detection techniques based on PCA from a probabilistic genera…
We propose a spectral clustering method based on local principal components analysis (PCA). After performing local PCA in selected neighborhoods, the algorithm builds a nearest neighbor graph weighted according to a discrepancy between the principal subspaces in the neighborhoods, and then applies spectral clustering. As opposed to standard spectral methods based solely on pairwise distances between points, our algorithm is able to resolve intersections. We establish theoretical guarantees for simpler variants within a prototypical mathematical framework for multi-manifold clustering, and eval…
KAIST（韩国科学技术院）；UC Berkeley IEOR（加州大学伯克利分校工业工程与运筹学系）；Citadel（城堡投资）；University of Illinois Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
This paper defines fair principal component analysis (PCA) as minimizing the maximum mean discrepancy (MMD) between dimensionality-reduced conditional distributions of different protected classes. The incorporation of MMD naturally leads to an exact and tractable mathematical formulation of fairness with good statistical properties. We formulate the problem of fair PCA subject to MMD constraints as a non-convex optimization over the Stiefel manifold and solve it using the Riemannian Exact Penalty Method with Smoothing (REPMS; Liu and Boumal, 2019). Importantly, we provide local optimality guar…
Graph convolution operator of the GCN model is originally motivated from a localized first-order approximation of spectral graph convolutions. This work stands on a different view; establishing a \textit{mathematical connection between graph convolution and graph-regularized PCA} (GPCA). Based on this connection, GCN architecture, shaped by stacking graph convolution layers, shares a close relationship with stacking GPCA. We empirically demonstrate that the \textit{unsupervised} embeddings by GPCA paired with a 1- or 2-layer MLP achieves similar or even better performance than GCN on semi-supe…
Pennsylvania State University（宾夕法尼亚州立大学）；Massachusetts Institute of Technology（麻省理工学院）；Istituto Italiano di Tecnologia（意大利技术研究院）；Universita’ degli Studi di Genova（热那亚大学）；INRIA（法国国家信息与自动化研究所）；École-Normale Supérieure, PSL Research University（巴黎文理研究大学巴黎高等师范学院）
In this paper, we propose and study a Nyström based approach to efficient large scale kernel principal component analysis (PCA). The latter is a natural nonlinear extension of classical PCA based on considering a nonlinear feature map or the corresponding kernel. Like other kernel approaches, kernel PCA enjoys good mathematical and statistical properties but, numerically, it scales poorly with the sample size. Our analysis shows that Nyström sampling greatly improves computational efficiency without incurring any loss of statistical accuracy. While similar effects have been observed in supervi…
Singular value decomposition (SVD) is the mathematical basis of principal component analysis (PCA). Together, SVD and PCA are one of the most widely used mathematical formalism/decomposition in machine learning, data mining, pattern recognition, artificial intelligence, computer vision, signal processing, etc. In recent applications, regularization becomes an increasing trend. In this paper, we present a regularized SVD (RSVD), present an efficient computational algorithm, and provide several theoretical analysis. We show that although RSVD is non-convex, it has a closed-form global optimal so…
Daugavpils University（达加夫皮尔斯大学）；Data Science Institute（数据科学研究所）；Hasselt University（哈瑟尔特大学）；Amsterdam UMC（阿姆斯特丹大学医学中心）；Institute for Computing Applications（计算应用研究所）
In this paper, we propose a new method to perform Sparse Kernel Principal Component Analysis (SKPCA) and also mathematically analyze the validity of SKPCA. We formulate SKPCA as a constrained optimization problem with elastic net regularization (Hastie et al.) in kernel feature space and solve it. We consider outlier detection (where KPCA is employed) as an application for SKPCA, using the RBF kernel. We test it on 5 real-world datasets and show that by using just 4% (or even less) of the principal components (PCs), where each PC has on average less than 12% non-zero elements in the worst case…
University of Konstanz（康斯坦茨大学）；University of Stuttgart（斯图加特大学）
We present a technique to perform dimensionality reduction on data that is subject to uncertainty. Our method is a generalization of traditional principal component analysis (PCA) to multivariate probability distributions. In comparison to non-linear methods, linear dimensionality reduction techniques have the advantage that the characteristics of such probability distributions remain intact after projection. We derive a representation of the PCA sample covariance matrix that respects potential uncertainty in each of the inputs, building the mathematical foundation of our new method: uncertain…
Principal component analysis (PCA) is a widespread technique for data analysis that relies on the covariance-correlation matrix of the analyzed data. However to properly work with high-dimensional data, PCA poses severe mathematical constraints on the minimum number of different replicates or samples that must be included in the analysis. Here we show that a modified algorithm works not only on well dimensioned datasets, but also on degenerated ones.
Oja's rule [Oja, Journal of mathematical biology 1982] is a well-known biologically-plausible algorithm using a Hebbian-type synaptic update rule to solve streaming principal component analysis (PCA). Computational neuroscientists have known that this biological version of Oja's rule converges to the top eigenvector of the covariance matrix of the input in the limit. However, prior to this work, it was open to prove any convergence rate guarantee. In this work, we give the first convergence rate analysis for the biological version of Oja's rule in solving streaming PCA. Moreover, our convergen…
Data visualisation helps understanding data represented by multiple variables, also called features, stored in a large matrix where individuals are stored in lines and variable values in columns. These data structures are frequently called multidimensional spaces.In this paper, we illustrate ways of employing the visual results of multidimensional projection algorithms to understand and fine-tune the parameters of their mathematical framework. Some of the common mathematical common to these approaches are Laplacian matrices, Euclidian distance, Cosine distance, and statistical methods such as …
Big data is transforming our world, revolutionizing operations and analytics everywhere, from financial engineering to biomedical sciences. The complexity of big data often makes dimension reduction techniques necessary before conducting statistical inference. Principal component analysis, commonly referred to as PCA, has become an essential tool for multivariate data analysis and unsupervised dimension reduction, the goal of which is to find a lower dimensional subspace that captures most of the variation in the dataset. This article provides an overview of methodological and theoretical deve…
Recently, the robustification of principal component analysis has attracted lots of attention from statisticians, engineers and computer scientists. In this work we study the type of outliers that are not necessarily apparent in the original observation space but can seriously affect the principal subspace estimation. Based on a mathematical formulation of such transformed outliers, a novel robust orthogonal complement principal component analysis (ROC-PCA) is proposed. The framework combines the popular sparsity-enforcing and low rank regularization techniques to deal with row-wise outliers a…
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…
Brownian Motion with a Pulse: A Biostatistician's Guide to Diffusions, Bridges, Functional PCA, and First-Passage Models
Department of Biostatistics, University of California, Los Angeles, Los Angeles, CA, USA（加州大学洛杉矶分校生物统计学系）；Kuntuo, an IQVIA company, China（IQVIA旗下公司Kuntuo，中国）
In this paper, we apply the Logistic PCA (LPCA) as a dimensionality reduction tool for visualizing patterns and characterizing the relevance of mathematics abilities from a given population measured by a large-scale assessment. We establish an equivalence of parameters between LPCA, Inner Product Representation (IPR) and the two paramenter logistic model (2PL) from the Item Response Theory (IRT). This equivalence provides three complemetary ways of looking at data that assists professionals in education to perform in-context interpretations. Particularly, we analyse the data collected from SPA…
Tsinghua University（清华大学）；University of Toronto（多伦多大学）
Recently there have been increasing interests in learning and inference with implicit distributions (i.e., distributions without tractable densities). To this end, we develop a gradient estimator for implicit distributions based on Stein's identity and a spectral decomposition of kernel operators, where the eigenfunctions are approximated by the Nyström method. Unlike the previous works that only provide estimates at the sample points, our approach directly estimates the gradient function, thus allows for a simple and principled out-of-sample extension. We provide theoretical results on the er…
University of Warsaw（华沙大学）；University of California, San Diego（加利福尼亚大学圣迭戈分校）
Topological data analysis aims to extract topological quantities from data, which tend to focus on the broader global structure of the data rather than local information. The Mapper method, specifically, generalizes clustering methods to identify significant global mathematical structures, which are out of reach of many other approaches. We propose a classifier based on applying the Mapper algorithm to data projected onto a latent space. We obtain the latent space by using PCA or autoencoders. Notably, a classifier based on the Mapper method is immune to any gradient based attack, and improves…
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the decomposition of variation of a high dimensional object into uncorrelated factors or components. However, in many of the above applications, one is interested in capturing the tail variables of the data rather than variation around the mean. Such applications include weather related event curves, expected sh…
A set of curves or images of similar shape is an increasingly common functional data set collected in the sciences. Principal Component Analysis (PCA) is the most widely used technique to decompose variation in functional data. However, the linear modes of variation found by PCA are not always interpretable by the experimenters. In addition, the modes of variation of interest to the experimenter are not always linear. We present in this paper a new analysis of variance for Functional Data. Our method was motivated by decomposing the variation in the data into predetermined and interpretable di…
