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** Key Idea: Use a weighted sum of parameters to
**

classify the components.

Let xij denote the ith parameter for jth component.

yj = ∑i=1n wi xij

Principal component analysis assigns weights wi's

such that yj's provide the maximum discrimination

among the components.

The quantity yj is called the principal factor.

The factors are ordered. First factor explains the

highest percentage of the variance.

©2010 Raj Jain www.rajjain.com

6-12

Principal Component Analysis (Cont)

Statistically:

¾ The y's are linear combinations of x's:

yi = ∑j=1n aij xj

Here, aij is called the loading of variable xj on factor yi.

**¾ The y's form an orthogonal set, that is, their inner
**

product is zero:

<yi, yj> = ∑k aikakj = 0

This is equivalent to stating that yi's are uncorrelated to

each other.

**¾ The y's form an ordered set such that y1 explains the
**

highest percentage of the variance in resource demands.

©2010 Raj Jain www.rajjain.com

6-13

Finding Principal Factors

Find the correlation matrix.

Find the eigen values of the matrix and sort them in

the order of decreasing magnitude.

Find corresponding eigen vectors.

These give the required loadings.

©2010 Raj Jain www.rajjain.com

6-14

Principal Component Example

©2010 Raj Jain www.rajjain.com

6-15

Principal Component Example

Compute the mean and standard deviations of the

variables:

©2010 Raj Jain www.rajjain.com

6-16

Principal Component (Cont)

Similarly:

©2010 Raj Jain www.rajjain.com

6-17

Principal Component (Cont)

Normalize the variables to zero mean and unit standard

deviation. The normalized values xs0 and xr0 are given by:

©2010 Raj Jain www.rajjain.com

6-18

Principal Component (Cont)

Compute the correlation among the variables:

Prepare the correlation matrix:

©2010 Raj Jain www.rajjain.com

6-19

Principal Component (Cont)

Compute the eigen values of the correlation matrix: By solving

the characteristic equation:

The eigen values are 1.916 and 0.084.

©2010 Raj Jain www.rajjain.com

6-20

Principal Component (Cont)

Compute the eigen vectors of the correlation matrix. The

eigen vectors q1 corresponding to λ1=1.916 are defined by

the following relationship:

{ C}{ q}1 = λ1 { q}1

or:

or:

q11=q21

©2010 Raj Jain www.rajjain.com

6-21

Principal Component (Cont)

Restricting the length of the eigen vectors to one:

** Obtain principal factors by multiplying the eigen vectors by the
**

normalized vectors:

** Compute the values of the principal factors.
**

Compute the sum and sum of squares of the principal factors.

©2010 Raj Jain www.rajjain.com

6-22

Principal Component (Cont)

The sum must be zero.

The sum of squares give the percentage of variation

explained.

©2010 Raj Jain www.rajjain.com

6-23

Principal Component (Cont)

** The first factor explains 32.565/(32.565+1.435) or 95.7% of
**

the variation.

The second factor explains only 4.3% of the variation and can,

thus, be ignored.

©2010 Raj Jain www.rajjain.com

6-24

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