Uncertainty-Aware Principal Component Analysis

@article{Grtler2019UncertaintyAwarePC,
  title={Uncertainty-Aware Principal Component Analysis},
  author={Jochen G{\"o}rtler and Thilo Spinner and Dirk Streeb and Daniel Weiskopf and Oliver Deussen},
  journal={IEEE Transactions on Visualization and Computer Graphics},
  year={2019},
  volume={26},
  pages={822-831}
}
We present a technique to perform dimensionality reduction on data that is subject to uncertainty. [...] Key Method We derive a representation of the PCA sample covariance matrix that respects potential uncertainty in each of the inputs, building the mathematical foundation of our new method: uncertainty-aware PCA. In addition to the accuracy and performance gained by our approach over sampling-based strategies, our formulation allows us to perform sensitivity analysis with regard to the uncertainty in the data…Expand Abstract
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