Principal Component Analysis (Scripts) Publisher's description
from Mark Tygert
The enclosed function PCA implements what is probably the method of choice for computing principal component analyses fairly efficiently
The enclosed function PCA implements what is probably the method of choice for computing principal component analyses fairly efficiently, while guaranteeing nearly optimal accuracy. The enclosed function DIFFSNORM provides an efficient, reliable means for checking the accuracies of the low-rank approximations produced by PCA (often the accuracies are slightly better than recently proven bounds guarantee).
Though recently obtained proofs guarantee the accuracy and efficiency of the algorithms implemented in these functions, the enclosed m-files should be considered to be in the beta-testing phase. Although the author has subjected the routines to a battery of tests, he would not be surprised if the functions respond inappropriately to sufficiently bizarre errant input.
Please note that these functions are tailored for the low-rank approximation of large matrices (both dense and sparse).
System Requirements:MATLAB 7.6 (R2008a)
Program Release Status: New Release
Program Install Support: Install and Uninstall