每日一练 | Data Scientist & Business Analyst &...

Standardize the data.

Obtain the Eigenvectors and Eigenvalues from the covariance matrix or correlation matrix, or perform Singular Vector Decomposition.

Sort eigenvalues in descending order and choose the k eigenvectors that correspond to the k largest eigenvalues where k is the number of dimensions of the new feature subspace (k≤d).

Construct the projection matrix W from the selected k eigenvectors.