Bayesian compressive principal component analysis

摘要

Principal component analysis (PCA) is a widely used method for multivariate data analysis that projects the original high-dimensional data onto a low-dimensional subspace with maximum variance. However, in practice, we would be more likely to obtain a few compressed sensing (CS) measurements than the complete high-dimensional data due to the high cost of data acquisition and storage. In this paper, we propose a novel Bayesian algorithm for learning the solutions of PCA for the original data just from these CS measurements. To this end, we utilize a generative latent variable model incorporated with a structure prior to model both sparsity of the original data and effective dimensionality of the latent space. The proposed algorithm enjoys two important advantages: 1) The effective dimensionality of the latent space can be determined automatically with no need to be pre-specified; 2) The sparsity modeling makes us unnecessary to employ multiple measurement matrices to maintain the original data space but a single one, thus being storage efficient. Experimental results on synthetic and real-world datasets show that the proposed algorithm can accurately learn the solutions of PCA for the original data, which can in turn be applied in reconstruction task with favorable results.