Conduct PCA

This example shows how to conduct PCA on a given dataset.

Problem

Find the weight vectors for the data points , , , , .

Solution:

Start by constructing out matrix for the data:
Now we find the non-zero eigenvectors of or , we will choose since this this matrix is smaller and will allow us to calculate the weight vectors directly.
Now we find the eigenvectors associate with the eigenvalues, these will be our and vectors.
Now we have solved the problem since we know that and .