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matlaboctavepcamissing-dataleast-squares

Principal Component Analysis w/ Alternating Least Squares for Missing Data

In MATLAB R2014b there is a new function, pca(), that performs PCA that can handle missing data. In the documentation it says that it performs pca with the "alternating least squares" algorithm in order to estimate the missing values.

I would like to know if there are any practical references in how to apply PCA with this algorithm without the use of the function, or if there is a good reference on als. The reason is, there is no such function in Octave that can handle missing data and so I would like to code it myself.

Solution

  • Thanks for all your help. I went through the references and was able to find their matlab code on the als algorithm from two of the references. For anybody wondering, the source code can be found in these two links:

    1) http://research.ics.aalto.fi/bayes/software/index.shtml 2) https://www.cs.nyu.edu/~roweis/code.html