How to apply PCA correctly?

Hello

I'm currently struggling with PCA and Matlab. Let's say we have a data matrix X and a response y (classification task). X consists of 12 rows and 4 columns. The rows are the data points, the columns are the predictors (features).

Now, I can do PCA with the following command:

[coeff, score] = pca(X);

As I understood from the matlab documentation, coeff contains the loadings and score contains the principal components in the columns. That mean first column of score contains the first principal component (associated with the highest variance) and the first column of coeff contains the loadings for the first principal component.

Is this correct?

But if this is correct, why is then X * coeff not equal to score?

[DrJ]

Sepp @Sepp

your doubt can be clarified by this tutorial (eventhough in another program context) .. specially after 5' in https://www.youtube.com/watch?v=eJ08Gdl5LH0

the cliclist

fabulous and generous explanation

Answer 1

[the cyclist]

Maybe this script will help.

rng 'default'

M = 7; % Number of observations
N = 5; % Number of variables observed

X = rand(M,N);

% De-mean
X = bsxfun(@minus,X,mean(X));

% Do the PCA
[coeff,score,latent] = pca(X);

% Calculate eigenvalues and eigenvectors of the covariance matrix
covarianceMatrix = cov(X);
[V,D] = eig(covarianceMatrix);

% "coeff" are the principal component vectors.
% These are the eigenvectors of the covariance matrix.
% Compare the columns of coeff and V.
% (Note that the columns are not necessarily in the same *order*,
%  and they might be *lightly different from each other
%  due to floating-point error.)
coeff
V

% Multiply the original data by the principal component vectors
% to get the projections of the original data on the
% principal component vector space. This is also the output "score".
% Compare ...

dataInPrincipalComponentSpace = X*coeff
score

% The columns of X*coeff are orthogonal to each other. This is shown with ...

corrcoef(dataInPrincipalComponentSpace)

% The variances of these vectors are the eigenvalues of the covariance matrix, and are also the output "latent". Compare
% these three outputs

var(dataInPrincipalComponentSpace)'
latent
sort(diag(D),'descend')

[Sepp]

Thank you very much cyclist. Your example made it much clearer. My mistake was that I did not center X because PCA automatically centers X. If I center X, score is equal to X * coeff.

But I'm still confused about coeff and score. I'm referring now to the PCA documentation . You said that coeff holds the actual principal components. The documentation says that coeff holds the loadings (principal component coefficients). That means the coefficients of the linear combination of the predictors. You said that score are the projections. An example in the documentation says "Each column of score corresponds to one principal component". Could you resolve my confusion?

Second, for reducing the dimensionality (machine learning classification task) I can just use score(:,1:N), is this right?

[the cyclist]

I think it is difficult to make the language crystal clear. I would trust MATLAB's documentation language more than mine. My script was intended to just illustrate what was going on mathematically.

Yes, I think one would use score as you suggest, although it will only be a dimensional reduction if you use less than the full N.

You can judge how components to keep by seeing how much of the variance is explained by each additional component. (The output explained tells you that.)

[Image Analyst]

The first PC or the one that explains most variation is not necessarily that one that you want. I know this from very recent first hand experience. I wanted to find the "blueness" of an image that had a gamut not exactly aligned with the axes of the gamut is HSV color space. So I took the PCA of the HSV image. The first PC was along the main axis of the gamut and explained most of the variation. But it mostly corresponded to the lightness-to-darkness range of the image and nothing related to how pastel or deep the blue was. The PC2 seemed to correlate well with the saturation ("purity" of the blue color) and this is what I wanted. The third PC was virtually flat noise - nothing of interest.

So you should look at your PCs and figure out which one contains the most relevant information.

[Sepp]

Thanks for your answer. Now it should be clear. There is only one remaining question. In the book Applied Predictive Modeling (very good book, high recommendation) I have read the following:

"If the predictive relationship between the predictors and response is not connected to the predictors’ variability, then the derived PCs will not provide a suitable relationship with the response [and thus PCA should not be used]. In this case, a supervised technique, like PLS, will derive components while simultaneously considering the corresponding response."

PLS means partial least squares. Do you see how one can test if PCA is appropriate to use? The text is a bit theoretically and I don't see how to apply it.

[Geetanjali Geetanjali]

in the above code where you load the data & what is m & n ????

[Ashesh Shah]

Nice explaination of PCA using programming. However, It couldn't be understood that why de-mean is taken and what is purpose of bsxfun function? Is this function is inbuilt?

[the cyclist]

Yes, bsxfun is a built-in function. It applies the element-wise operation, implicitly expanding either array, if necessary. With more modern versions of MATLAB, implicit expansion will happen automatically, so one could actually replace that line with

X = X - mean(X);

Take a look at this CrossValidated answer about why centering (i.e. de-meaning) can be important.

[Jaime de la Mota]

This is very interesting, but a question comes to my mind. Coeffs are the eigenvectors and scores are the projection of the data in the principal component space.

Are these then equivalent to the eigenfunctions and random variables of the Karhunen-Loève expansion?

[the cyclist]

That's a math question, not a MATLAB question. :-)

I don't really know, but this abstract -- I did not access or read the paper itself -- suggests that KL and PCA are not strictly equivalent.

[Xiying Deng]

Hi. What does these lines do? Thank you!

% "coeff" are the principal component vectors. These are the eigenvectors of the covariance matrix. Compare ...
coeff
V

[the cyclist]

The first line (in green) is a comment that describes what these lines mean.

The second line

coeff

displays the value of the variable coeff to the screen. coeff is one of the outputs of MATLAB's pca function. It is a numeric array in which each column is a principal component vector.

The third line

V

displays the value of the variable V to the screen. V is one of the outputs of MATLAB's eig function. I applied eig to the covariance matrix of the data, to calculate its eigenvectors. My code shows that coeff and V are equal to each other.

[V_sal]

Thanks, you explanation is really good, I'm working with EEG data , and I cant make 'V' and 'coeff' be the same, don't really understand why, do you have any idea?

[the cyclist]

coeff and V are not necessarily identical.

Their columns will be the same (within floating-point error), but those columns will not necessarily appear in the same order.

I've edited the comments in the code above to reflect that.

If that does not fix the issue, maybe you could upload your data and I could take a look.

[Keinan Poradosu]

Hi, thanks for the explanation, however for some reason when I run made up data coeff*X doesnt equal score. Any insights? here's the code:

%%

X=[80,90,30;

90,90,70;

95,85,50;

92,92,20];

[coeff,score,latent,~,explained] = pca(X);

Pca_space_Dat=X*coeff;

%%

What I get is:

Pca_space_Dat =

31.6028 61.1270 103.2703

72.2528 67.1491 106.6326

53.0821 74.7708 101.6937

22.5825 73.5387 106.8180

score =

-13.2773 -8.0194 -1.3334

27.3728 -1.9973 2.0290

8.2020 5.6244 -2.9099

-22.2975 4.3923 2.2144

%%

Thanks in advance

[the cyclist]

You skipped the step where the means are subtracted:

%%
X=[80,90,30;
    90,90,70;
    95,85,50;
    92,92,20];

% De-mean
X = bsxfun(@minus,X,mean(X));    % <------ YOU MISSED THIS STEP

[coeff,score,latent,~,explained] = pca(X);
Pca_space_Dat=X*coeff

Pca_space_Dat = 4×3

-13.2773 -8.0194 -1.3334 27.3728 -1.9973 2.0290 8.2020 5.6244 -2.9099 -22.2975 4.3923 2.2144

score

score = 4×3

-13.2773 -8.0194 -1.3334 27.3728 -1.9973 2.0290 8.2020 5.6244 -2.9099 -22.2975 4.3923 2.2144

The reason for this step is mentioned in the comments above. Also, in more recent versions of MATLAB, you can do

X = X - mean(X);

rather than

X = bsxfun(@minus,X,mean(X));

Answer 2

[Yaser Khojah]

Dear the cyclist, thanks for showing this example. I have a question regarding to the order of the COEFF since they are different than the V. Is there anyway to see which order of these columns? In another word, what are the variables of each column?

[the cyclist]

Quoting from the first section of the documentation for the pca function.

"Each column of coeff contains coefficients for one principal component, and the columns are in descending order of component variance."

You can see that

var(dataInPrincipalComponentSpace)

has values in descending order.

[Yaser Khojah]

i understand that but I do not see how the PC is related to the column of the original data (X). How can I know which variables from the original data has the strength impact?

[Nyssa Capman]

I believe each row of coeff corresponds to the variables, in the order they were input as.

So, the first column has the coefficients for the 1st* PC, for each variable. The second column has the coefficints for the 2nd PC, for each variable, and so on.

This post is now several months old, and not really the original question, however I was also confused by this when getting started so I wanted to add this in case someone else is confused in the future and finds this post.

*[edited typo from '2nd' to '1st']

[Image Analyst]

"So, the first column has the coefficients for the 2nd PC, for each variable. " ??? Huh? And this is supposed to reduce confusion?

[Alex]

Hello,

I have some doubts on pca.

I have 2 variables with n observations each, and the coeff matrix is the following:

0.9999 -0.00944

0.0094 0.9999

As I understood, the first column represents the coefficient of the first principal component, 0.9999 is for the first variable in the initial matrix and 0.0094 for the second one.

But why the linear combination of coeff*variable does not give the same result as the first column of score?

Thank you

[the cyclist]

As you can see in my code above it is

X * coeff

that should equal score, not

coeff * X

(where X is the de-meaned input to pca).

[Yuan Luo]

why X need to be de-meaned? since pca by defualt will center the data.

[the cyclist]

Sorry it took me a while to see this question.

If you do

[coeff,score] = pca(X);

it is true that pca() will internally de-mean the data. So, score is derived from de-meaned data.

But it does not mean that X itself [outside of pca()] has been de-meaned. So, if you are trying to re-create what happens inside pca(), you need to manually de-mean X first.

Answer 3

[Greg Heath]

http://www.mathworks.com/matlabcentral/answers/18439-pca-matrix-data-compression-help

Hope this helps.

Thank you for formally accepting my answer

Greg