I was recently asked how singular value decompostion (SVD) could be used to perform principal component analysis (PCA).

SVD is a general matrix decomposition method that can be used on any m × n matrix. (Compare this to eigenvalue decomposition, which can only be used on some types of square matrices.)

The eigenvector with the highest eigenvalue is the first principal component of a data set. This eigenvector (with the largest eigenvalue) will travel along the most varying axes of the data, and is essentially the most significant relationship between data dimensions.

In the following example, say we have a matrix called faces, which is a set of images of faces (of size 32x32 in the example). You can get the Yale dataset, or the ORL dataset. If you want to do classification, you'll have to label some of them as neutral or smiling. Then to get the principal components, we could do the following. Note that code is in Matlab syntax.

% Define the faces which are neutral or smiling for later classification
neutral = []; smile = [];

% Subtract the mean 'face' before performing PCA
h = 32; w = 32;
meanFace = mean(faces, 2);
faces = faces - repmat(meanFace, 1, numFaces);

% Perform Singular Value Decomposition
[u,d,v] = svd(faces, 0);

% Pull out eigen values and vectors
eigVals = diag(d);
eigVecs = u;

% Plot the mean sample and the first three principal components
figure; imshow(reshape(meanFace, h, w)); title('Mean Face');
title('First Eigenface');subplot(1, 3, 1); imagesc(reshape(u(:, 1), h, w)); colormap(gray);
title('Second Eigenface'); subplot(1, 3, 2); imagesc(reshape(u(:, 2), h, w)); colormap(gray);
title('Third Eigenface'); subplot(1, 3, 3); imagesc(reshape(u(:, 3), h, w)); colormap(gray);

% The cumulative energy content for the m'th eigenvector is the sum of the energy content across eigenvalues 1:m
for i = 1:numFaces
energy(i) = sum(eigVals(1:i));
propEnergy = energy./energy(end);

% Determine the number of principal components required to model 90% of data variance
percentMark = min(find(propEnergy > 0.9));

% Pick those principal components
eigenVecs = u(:, 1:percentMark);

% Do something with them; for example, project each of the neutral and smiling faces onto the corresponding eigenfaces
neurtalFaces = faces(:, neutral); smileFaces = faces(:, smile);
neutralWeights = eigenVecs' * neutralFaces;
smileWeights = eigenVecs' * smileFaces;

% Use the coefficients of these projections to classify each smiling face
for i = 1:numFaces
weightDiff = repmat(smileWeights(:, i), 1, numFaces) - neutralWeights;
[val, ind] = min(sum(abs(weightDiff), 1));
bestMatch(i) = ind;