Probabilistic principal component analysis based on JoyStick Probability Selector

Marko V. Jankovic, Masashi Sugiyama

Abstract: Principal component analysis (PCA) is a commonly applied technique for data analysis and processing, e.g. compression or clustering. In this paper we propose a probabilistic PCA model based on the Born rule. In off-line realization it can be seen as a successive optimization problem. In the on-line realization it will be solved by introduction of two different time scales. It will be shown that recently proposed time oriented hierarchical method, used for realization of biologically plausible PCA neural networks, represents a special case of the proposed model. The proposed model gives a general framework for creating different PCA realizations/algorithms. A particular realization can optimize locality of calculation, convergence speed, preciseness or some other parameter of interest. We will present some experimental results to illustrate effectiveness of the proposed model.