Tag: ard
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Automatic Relevance Determination for Probabilistic PCA
In this note I flesh out the computations for Section 12.2.3 of Bishop’s Pattern Recognition and Machine Learning, where he uses automatic relevance to determine the dimensionality of the principal subspace in probabilistic PCA. The principal subspace describing the data is spanned by the columns $\ww_1, \dots, \ww_M$ of $\WW$. The proper Bayesian way to…