inst/scripts/FeatureSel/pca.R

In gbonte/gbcode: Code from the handbook "Statistical foundations of machine learning"

## "INFOF422 Statistical foundations of machine learning" course
## R package gbcode 
## Author: G. Bontempi


rm(list=ls())
N=500

X1=rnorm(N,sd=2)

X2=rnorm(1)*X1+rnorm(N,sd=3)

Xtilde=scale(cbind(X1,X2))

S=svd(Xtilde)
V1=array(S$v[,1],c(2,1))

Z=Xtilde%*%V1

Xtilde2=Z%*%t(V1)

plot(Xtilde[,1],Xtilde[,2],xlab="x1",ylab="x2")
lines(X1,V1[2]/V1[1]*X1,col="red",lwd=2)
points(Xtilde2[,1],Xtilde2[,2],col="red")

RecE=(Xtilde-Xtilde2) ## reconstruction error

cat("Reconstruction error=",mean(apply(RecE^2,1,sum)), ":",S$d[2]^2/N,"\n")