PCA Dimensionality Reduction Code - MATLAB Implementation
This MATLAB implementation performs dimensionality reduction for M*N large datasets with clear procedural steps. The function y = pca(mixedsig) processes an n*T mixed signal matrix where n represents the number of signals and T denotes sampling points, returning an m*T principal component matrix. Algorithm workflow includes: 1) Mean centering, 2) Covariance matrix computation with eigenvalues/eigenvectors, 3) Threshold-based eigenvalue selection, 4) Descending eigenvalue sorting, 5) Small eigenvalue removal, 6) Large eigenvalue removal (typically skipped), 7) Selected eigenvalue merging, 8) Corresponding eigenvector selection, 9) Whitening matrix calculation, 10) Principal component extraction.