Kernel PCA

The Kernel PCA is an algorithm that not only keeps the main spirit of PCA as it is, but goes a step further to make use of the kernel trick so that it is operational for non-linear data:

  1. Let's define the covariance matrix of the data in the feature space, which is the product of the mapping function and the transpose of the mapping function:

 

It is similar to the one we used for PCA.

  1. The next step is to solve the following equation so that we can compute principal components:

Here, CF is the covariance matrix of the data in feature ...

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