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It’s pretty much all in the title: what library would you recommend to perform principal component analysis? I’m looking for free and simple to use – performance is not necessarily a criterion so far as I just want to play around with the concept and see what I get. Google got me this:
http://crsouza.blogspot.com/2009/09/principal-component-analysis-in-c.html
Anyone tried this? How good is it? Would you have any other recommendation?
Thanks for the help guys. I eventually decided to implement the algorithm myself, using Math.Net Numerics to lay the matrix groundwork and ARPACK to do the hard work of finding the biggest eigenvectors of the correlation matrix (I don’t need of all them). Subject closed.