...  ...  @@ 99,7 +99,9 @@ How do we find the correct directions in the PC space? Note that the variance is 


u_{1}^TSu_{1} = u_{1}^T\lambda_1u_{1} = \lambda_1u_{1}^Tu_{1} = \lambda_1



```






In other words, what is to be maximized is the eigenvalue, where $`u_{1}`$ is the eigenvector corresponding to the largest eigenvalue of S, $`\lambda_1`$. For M principle component, we need to calculate the eigenvectors and eigenvalues of the covariance matrix S.



In other words, what is to be maximized is the eigenvalue, where $`u_{1}`$ is the eigenvector corresponding to the largest eigenvalue of S, $`\lambda_1`$.






For M principle components, we just need to calculate the eigenvectors and eigenvalues of the covariance matrix S.










...  ...  