pca

Principal Component Analysis (PCA) is an algorithm that I first learnt in a pattern recognition class in college. I understood the motivation and how to use it, but never really understood why we do what we do in PCA. We compute some big matrix then do singular value decomposition on it and then filter out some of the components. Why? What does that actually mean? What are we doing to the data? but again life moves on. I just put it in my bag of tools for ML and moved on. ...