A Generalization of Principal Component Analysis

10/29/2019

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by   Samuele Battaglino, et al.

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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.