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Homework Statement
I have 100 samples. Each sample is from a 200 000 dimensional space. My goal is to reduce the number of samples (but not the dimension). The samples (columns vectors) are represented in the (200000x100) matrix A.
Homework Equations
The Attempt at a Solution
I do a eigendecomposition of the 100x100 matrix A'*A. The eigenvectors are then the principal components and I can just disregard those that are assosiated with very small eigenvalues.
So, let's say that I want do reduce my original set to 25 samples, hence to a new (200000x25) matrix B. What I do not understand is how I'm supposed to compute this matrix.