Principal component analysis (PCA) [19] is probably the most
applied linear projection method, and is widely used for data
reduction and visualization. The basic idea behind the PCA is that
it allows projecting the data from a high dimensional space onto
a lower dimensional one, without losing much information. The
projection is done by transforming a set of correlated variables into
a set of a few orthogonal ones, called principal components (PCs).
The PCs are constructed in such a way that the first explains most
of the data variance; the second is orthogonal to the first and describes
most of the variance not explained by the first PC, and so
on. PCA decomposes the original data matrix, X (m n), into three
matrices: