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From Ted Dunning <ted.dunn...@gmail.com>
Subject Re: PCA doc question for devs:
Date Wed, 05 Sep 2012 23:56:30 GMT
Yes.  (A-M)V is U \Sigma.  You may actually want something like U \sqrt
\Sigma instead, though.


On Wed, Sep 5, 2012 at 4:10 PM, Dmitriy Lyubimov <dlieu.7@gmail.com> wrote:

> Hello,
>
> I have a question w.r.t what to advise people in the SSVD manual for PCA.
>
> So we have
>
> (A-M) \approx U \Sigma V^t
>
> and strictly speaking since svd is reduced rank, we need to re-project
> original data points as
>
> Y= (A-M)V
>
> However we can assume (A-M)V \approx U \Sigma, can't we? I.e. instead of
> recomputing tough job of (A-M)V we can just advise to use U\Sigma or just U
> in some cases, can't we?
>
> Thanks.
> -d
>

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