Subjective principal component analysis (Q760737)

In this study we deal with the problem of finding subjective principal components for a given set of variables in a data matrix. The principal components are not determined by maximizing their variances; they are specified by a user, who can maximize the absolute values of the correlations between principal components and the variables important to him. The correlation matrix of the variables is the basic information needed in the analysis. The problem is formulated as a multiple criteria problem and solved by using an interactive procedure. The procedure is convenient to use and easy to implement. We have implemented an experimental version on an APPLE III microcomputer. A graphical display is used as an aid in finding the principal components. An illustrative application is presented, too.