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  • cihan.ates
  • Data Driven EngineeringData Driven Engineering
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  • Dimensionality reduction

Dimensionality reduction · Changes

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Update Dimensionality reduction authored Dec 01, 2021 by cihan.ates's avatar cihan.ates
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DDE-1/Dimensionality-reduction.md
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......@@ -85,7 +85,7 @@ After getting the mean of the projected data, we can calculate the variance of t
1/N \sum_{n=1}^{N} (u_{1}^Tx_{n} - u_{1}^T\overline{x})^2 = u_{1}^TSu_{1}
```
We now have a definition of the variance of the data projected on $`u_1`$. We are ready to maximize it. But maximization is not an easy optimization problem. If we simply try to maximize the above equation, $`||u_1||`$ would go to $`\infty`$. As a solution, we add a constraint to the solution,by saying that $`u_{1}`$ is a unit vector ($`u_{1}^T\u_{1}=1`$) and enforcing via a [Lagrange multiplier](https://en.wikipedia.org/wiki/Lagrange_multiplier):
We now have a definition of the variance of the data projected on $`u_1`$. We are ready to maximize it. But maximization is not an easy optimization problem. If we simply try to maximize the above equation, $`||u_1||`$ would go to $`\infty`$. As a solution, we add a constraint,by saying (i) $`u_{1}`$ is a unit vector ($`u_{1}^T\u_{1}=1`$) and (ii) enforcing via a [Lagrange multiplier](https://en.wikipedia.org/wiki/Lagrange_multiplier):
```math
u_{1}^TSu_{1} - \lambda_1(u_{1}^Tu_{1}-1)
......
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