Probabilistic Principal Component Analysis（概率主成分分析）.pdfVIP

Microsoft Research St George House 1 Guildhall Street Cambridge CB2 3NH United Kingdom Tel: +44 (0)1223 744 744 Fax: +44 (0)1223 744 777 September 27, 1999

    
 Probabilistic Principal Component Analysis Michael E. Tipping Christopher M. Bishop
 
      
 Abstract Principal component analysis (PCA) is a ubiquitous technique for data analysis and processing, but one which is not based upon a probability model. In this pa- per we demonstrate how the principal axes of a set of observed data vectors may be determined through maximum-likelihood estimation of parameters in a latent variable model closely related to factor analysis. We consider the properties of the associated likelihood function, giving an EM algorithm for estimating the princi- pal subspace iteratively, and discuss, with illustrative examples, the advantages conveyed by this probabilistic approach to PCA. Keywords: Principal component analysis; probability model; density estimation; maximum-likelihood; EM algorithm;