Demystifying the mathematics behind PCA
Demystifying the mathematics behind PCA We all know PCA and we all love PCA. Our friend that helps us deal with the curse of dimensionality. All data scientists have probably used PCA. I thought I knew PCA. Until I was asked to explain the mathematics behind PCA in an interview and all I could murmur was that it somehow maximizes the variance of the new features. The interviewer was even kind enough to throw me a hint about projections....