Prompt Network Anomaly Detection using SSA-Based Change-Point Detection. Hao Chen 3/7/2014

Size: px
Start display at page:

Download "Prompt Network Anomaly Detection using SSA-Based Change-Point Detection. Hao Chen 3/7/2014"

Transcription

1 Prompt Network Anomaly Detection using SSA-Based Change-Point Detection Hao Chen 3/7/2014

2 Network Anomaly Detection Network Intrusion Detection (NID) Signature-based detection Detect known attacks Use pattern for detection Very high accuracy Anomaly detection Detect unknown attacks, or zero-day attacks The essential rational of detection: Detecting any network behavior which is distinguishable from normal activities. Tolerate certain false positive

3 Attack Example: Witty Worms 2004 More than Five Days Monitoring Variation of Destination IPs VS. specified Source IP flows

4 Attack Example: Flooding DDoS 2007 Around One Hour s Monitoring Variation of Source IPs VS. Victim s IP

5 Attack Example: Shrew DDoS attack It uses short synchronized bursts of traffic to disrupt TCP connections on the same link, by exploiting a weakness in TCP's re-stransmission timeout mechanism

6 Change-Point Detection Change-point detection concerns with the design and analysis of procedures for on-thego detection of possible changes in the characteristics of a running (random) process. Change-point The time instance at which the state of the process changes Purpose : to detect changes in the statistical profile of network traffic as rapidly as possible, while maintaining a tolerable level of the risk of making a false detection.

7 The Relation of SSA-based Change-Point Detection Statistical Inference CUSUM Maximum Likelihood approach Shiryaev-Roberts (SR) Procedure EWMA Bayesian approach Depends on the change-point s prior distribution. However, it is unknown Singular Spectral Analysis (SSA) In time series analysis, singular spectrum analysis (SSA) is a nonparametric spectral estimation method. *. When the likelihood ratio is either difficult or impossible to obtain or compute, it can be replaced with a score function, S n (X 1,..., X n ). SSA-based Score Function SSA relates to the spectrum of eigenvalues in a Singular Value Decomposition(SVD) of a covariance matrix

8 SSA-based Score Function The main idea of SSA M-dimensional observations (columns of the trajectory matrix) are projected onto a subspace of Eigenvectors, which provides a way to learn the structure of the observations series (if there is one). i.e.: calculate Euclidean distance between a group of vectors and their projection mapping on the reference eigenspace associated with another group of vectors. the difference reflects the variation of data structure of the current observation from its predecessor. Z 2 diff 2 U T H T 2 = U T *Z 2

9 SSA-based Score Function Classic algorithm of SSA 1st step: Embedding Form the trajectory matrix of the sampling sequence 2nd step: Singular Value Decomposition (SVD) Obtain EigenVectors U 3rd step: Eigentriple grouping 4th step: Diagonal averaging.

10 SSA-based Score Function Embedding Use structure of hankel matrix to build a trajectory matrix X (a group of vectors )which represents multi-dimension variables with multiple spans Example: Sequence length: Time series : 3 : variable variable variable variable observation observation observation

11 SSA-based Score Function Singular Value Decomposition (SVD) Operation Use Base Matrix X for constructing lag-covariance matrix Output of SVD (R) U: Eigenvectors of S: Eigenvalues V: Eigenvectors of A subset of U forms the eigenspace for accepting mapping, so as to study structure variation of continuous data stream Z 2 diff 2 U T H T 2 = U T *Z 2

12 SSA-based Score Function Connection between two groups of observations: Base Matrix X Vs. Target Matrix Z [M x?] [M x?] If U is eigenvectors of If H is eigenvectors of If Z and X share the same data structure [? x M] * [M x?] [? x M] * [M x?] H Z [? x M] * [M x?] [? x M] * [M x?] Z T Z 2 diff 2 U H=Z T *U U T H T 2 = U T *Z 2

13 Applying individual observations on time series for the operation of SSA-based score function the length of input Base sequence is: nn the row number of Base Matrix X is : mm the column number of Base Matrix X is : nn - mm + 1 the length of input Target sequence is: mm-1+q-p the row number of Target matrix Z is : mm the column number of Target matrix Z is : q - p *. Setting proper parameters for desired performance is a challenge mm mm nn-mm+1 q - p

14 Sliding-window detection scheme 0 => 1 => 1 2 1

15 Workflow of SSA-based score function EigenV: Eigenvector Eu.: Euclidean ν λν Z T U H=Z T *U If U is eigenvectors of If H is eigenvectors of H Z 2 diff 2 U T HT 2 = U T *Z 2

16 Case Study Use data from DDoS attack for test our approach

17 Case Study nn =30 mm =20 nn =30 mm =6 nn =30 mm =15

18 Case Study nn =120 mm =80 nn =120 mm =30 nn =120 mm =60

19 Future Work Correct existent problems Develop more sophisticated detection scheme to reduce false alarm Optimizing parameter setting Applying other real cases for practice

20 Conclusion Demonstrate examples of network attacks Develop SSA-based score function for changepoint detection Conduct related experiment for verification Discuss the feature work

21 Questions?

Problem # Max points possible Actual score Total 120

Problem # Max points possible Actual score Total 120 FINAL EXAMINATION - MATH 2121, FALL 2017. Name: ID#: Email: Lecture & Tutorial: Problem # Max points possible Actual score 1 15 2 15 3 10 4 15 5 15 6 15 7 10 8 10 9 15 Total 120 You have 180 minutes to

More information

Linear Systems. Class 27. c 2008 Ron Buckmire. TITLE Projection Matrices and Orthogonal Diagonalization CURRENT READING Poole 5.4

Linear Systems. Class 27. c 2008 Ron Buckmire. TITLE Projection Matrices and Orthogonal Diagonalization CURRENT READING Poole 5.4 Linear Systems Math Spring 8 c 8 Ron Buckmire Fowler 9 MWF 9: am - :5 am http://faculty.oxy.edu/ron/math//8/ Class 7 TITLE Projection Matrices and Orthogonal Diagonalization CURRENT READING Poole 5. Summary

More information

Assignment 1 Math 5341 Linear Algebra Review. Give complete answers to each of the following questions. Show all of your work.

Assignment 1 Math 5341 Linear Algebra Review. Give complete answers to each of the following questions. Show all of your work. Assignment 1 Math 5341 Linear Algebra Review Give complete answers to each of the following questions Show all of your work Note: You might struggle with some of these questions, either because it has

More information

(a) II and III (b) I (c) I and III (d) I and II and III (e) None are true.

(a) II and III (b) I (c) I and III (d) I and II and III (e) None are true. 1 Which of the following statements is always true? I The null space of an m n matrix is a subspace of R m II If the set B = {v 1,, v n } spans a vector space V and dimv = n, then B is a basis for V III

More information

Linear Algebra Review. Vectors

Linear Algebra Review. Vectors Linear Algebra Review 9/4/7 Linear Algebra Review By Tim K. Marks UCSD Borrows heavily from: Jana Kosecka http://cs.gmu.edu/~kosecka/cs682.html Virginia de Sa (UCSD) Cogsci 8F Linear Algebra review Vectors

More information

PRACTICE FINAL EXAM. why. If they are dependent, exhibit a linear dependence relation among them.

PRACTICE FINAL EXAM. why. If they are dependent, exhibit a linear dependence relation among them. Prof A Suciu MTH U37 LINEAR ALGEBRA Spring 2005 PRACTICE FINAL EXAM Are the following vectors independent or dependent? If they are independent, say why If they are dependent, exhibit a linear dependence

More information

Linear Algebra Practice Problems

Linear Algebra Practice Problems Linear Algebra Practice Problems Page of 7 Linear Algebra Practice Problems These problems cover Chapters 4, 5, 6, and 7 of Elementary Linear Algebra, 6th ed, by Ron Larson and David Falvo (ISBN-3 = 978--68-78376-2,

More information

Background Mathematics (2/2) 1. David Barber

Background Mathematics (2/2) 1. David Barber Background Mathematics (2/2) 1 David Barber University College London Modified by Samson Cheung (sccheung@ieee.org) 1 These slides accompany the book Bayesian Reasoning and Machine Learning. The book and

More information

Chapter 3 Transformations

Chapter 3 Transformations Chapter 3 Transformations An Introduction to Optimization Spring, 2014 Wei-Ta Chu 1 Linear Transformations A function is called a linear transformation if 1. for every and 2. for every If we fix the bases

More information

Remark 1 By definition, an eigenvector must be a nonzero vector, but eigenvalue could be zero.

Remark 1 By definition, an eigenvector must be a nonzero vector, but eigenvalue could be zero. Sec 5 Eigenvectors and Eigenvalues In this chapter, vector means column vector Definition An eigenvector of an n n matrix A is a nonzero vector x such that A x λ x for some scalar λ A scalar λ is called

More information

I. Multiple Choice Questions (Answer any eight)

I. Multiple Choice Questions (Answer any eight) Name of the student : Roll No : CS65: Linear Algebra and Random Processes Exam - Course Instructor : Prashanth L.A. Date : Sep-24, 27 Duration : 5 minutes INSTRUCTIONS: The test will be evaluated ONLY

More information

Review problems for MA 54, Fall 2004.

Review problems for MA 54, Fall 2004. Review problems for MA 54, Fall 2004. Below are the review problems for the final. They are mostly homework problems, or very similar. If you are comfortable doing these problems, you should be fine on

More information

Math 1553, Introduction to Linear Algebra

Math 1553, Introduction to Linear Algebra Learning goals articulate what students are expected to be able to do in a course that can be measured. This course has course-level learning goals that pertain to the entire course, and section-level

More information

Example Linear Algebra Competency Test

Example Linear Algebra Competency Test Example Linear Algebra Competency Test The 4 questions below are a combination of True or False, multiple choice, fill in the blank, and computations involving matrices and vectors. In the latter case,

More information

Principal Component Analysis. Applied Multivariate Statistics Spring 2012

Principal Component Analysis. Applied Multivariate Statistics Spring 2012 Principal Component Analysis Applied Multivariate Statistics Spring 2012 Overview Intuition Four definitions Practical examples Mathematical example Case study 2 PCA: Goals Goal 1: Dimension reduction

More information

Quickest Changepoint Detection: Optimality Properties of the Shiryaev Roberts-Type Procedures

Quickest Changepoint Detection: Optimality Properties of the Shiryaev Roberts-Type Procedures Quickest Changepoint Detection: Optimality Properties of the Shiryaev Roberts-Type Procedures Alexander Tartakovsky Department of Statistics a.tartakov@uconn.edu Inference for Change-Point and Related

More information

Algorithm S1. Nonlinear Laplacian spectrum analysis (NLSA)

Algorithm S1. Nonlinear Laplacian spectrum analysis (NLSA) Algorithm S1. Nonlinear Laplacian spectrum analysis (NLSA) input : data array x of size m S lag window q Gaussian width ɛ number of nearest neighbors b number of Laplacian eigenfunctions l output: array

More information

Review of Some Concepts from Linear Algebra: Part 2

Review of Some Concepts from Linear Algebra: Part 2 Review of Some Concepts from Linear Algebra: Part 2 Department of Mathematics Boise State University January 16, 2019 Math 566 Linear Algebra Review: Part 2 January 16, 2019 1 / 22 Vector spaces A set

More information

Modeling Classes of Shapes Suppose you have a class of shapes with a range of variations: System 2 Overview

Modeling Classes of Shapes Suppose you have a class of shapes with a range of variations: System 2 Overview 4 4 4 6 4 4 4 6 4 4 4 6 4 4 4 6 4 4 4 6 4 4 4 6 4 4 4 6 4 4 4 6 Modeling Classes of Shapes Suppose you have a class of shapes with a range of variations: System processes System Overview Previous Systems:

More information

Definition (T -invariant subspace) Example. Example

Definition (T -invariant subspace) Example. Example Eigenvalues, Eigenvectors, Similarity, and Diagonalization We now turn our attention to linear transformations of the form T : V V. To better understand the effect of T on the vector space V, we begin

More information

For each problem, place the letter choice of your answer in the spaces provided on this page.

For each problem, place the letter choice of your answer in the spaces provided on this page. Math 6 Final Exam Spring 6 Your name Directions: For each problem, place the letter choice of our answer in the spaces provided on this page...... 6. 7. 8. 9....... 6. 7. 8. 9....... B signing here, I

More information

Eigenvalues and Eigenvectors. Prepared by Vince Zaccone For Campus Learning Assistance Services at UCSB

Eigenvalues and Eigenvectors. Prepared by Vince Zaccone For Campus Learning Assistance Services at UCSB Eigenvalues and Eigenvectors Consider the equation A x = λ x, where A is an nxn matrix. We call x (must be non-zero) an eigenvector of A if this equation can be solved for some value of λ. We call λ an

More information

Lecture 13. Principal Component Analysis. Brett Bernstein. April 25, CDS at NYU. Brett Bernstein (CDS at NYU) Lecture 13 April 25, / 26

Lecture 13. Principal Component Analysis. Brett Bernstein. April 25, CDS at NYU. Brett Bernstein (CDS at NYU) Lecture 13 April 25, / 26 Principal Component Analysis Brett Bernstein CDS at NYU April 25, 2017 Brett Bernstein (CDS at NYU) Lecture 13 April 25, 2017 1 / 26 Initial Question Intro Question Question Let S R n n be symmetric. 1

More information

Parallel Singular Value Decomposition. Jiaxing Tan

Parallel Singular Value Decomposition. Jiaxing Tan Parallel Singular Value Decomposition Jiaxing Tan Outline What is SVD? How to calculate SVD? How to parallelize SVD? Future Work What is SVD? Matrix Decomposition Eigen Decomposition A (non-zero) vector

More information

(a)

(a) Chapter 8 Subspace Methods 8. Introduction Principal Component Analysis (PCA) is applied to the analysis of time series data. In this context we discuss measures of complexity and subspace methods for

More information

J-SPECTRAL FACTORIZATION

J-SPECTRAL FACTORIZATION J-SPECTRAL FACTORIZATION of Regular Para-Hermitian Transfer Matrices Qing-Chang Zhong zhongqc@ieee.org School of Electronics University of Glamorgan United Kingdom Outline Notations and definitions Regular

More information

Linear Algebra using Dirac Notation: Pt. 2

Linear Algebra using Dirac Notation: Pt. 2 Linear Algebra using Dirac Notation: Pt. 2 PHYS 476Q - Southern Illinois University February 6, 2018 PHYS 476Q - Southern Illinois University Linear Algebra using Dirac Notation: Pt. 2 February 6, 2018

More information

Exercise Set 7.2. Skills

Exercise Set 7.2. Skills Orthogonally diagonalizable matrix Spectral decomposition (or eigenvalue decomposition) Schur decomposition Subdiagonal Upper Hessenburg form Upper Hessenburg decomposition Skills Be able to recognize

More information

Chapter 2 Basic SSA. 2.1 The Main Algorithm Description of the Algorithm

Chapter 2 Basic SSA. 2.1 The Main Algorithm Description of the Algorithm Chapter 2 Basic SSA 2.1 The Main Algorithm 2.1.1 Description of the Algorithm Consider a real-valued time series X = X N = (x 1,...,x N ) of length N. Assume that N > 2 and X is a nonzero series; that

More information

STATISTICAL LEARNING SYSTEMS

STATISTICAL LEARNING SYSTEMS STATISTICAL LEARNING SYSTEMS LECTURE 8: UNSUPERVISED LEARNING: FINDING STRUCTURE IN DATA Institute of Computer Science, Polish Academy of Sciences Ph. D. Program 2013/2014 Principal Component Analysis

More information

Chapters 5 & 6: Theory Review: Solutions Math 308 F Spring 2015

Chapters 5 & 6: Theory Review: Solutions Math 308 F Spring 2015 Chapters 5 & 6: Theory Review: Solutions Math 308 F Spring 205. If A is a 3 3 triangular matrix, explain why det(a) is equal to the product of entries on the diagonal. If A is a lower triangular or diagonal

More information

Large Scale Data Analysis Using Deep Learning

Large Scale Data Analysis Using Deep Learning Large Scale Data Analysis Using Deep Learning Linear Algebra U Kang Seoul National University U Kang 1 In This Lecture Overview of linear algebra (but, not a comprehensive survey) Focused on the subset

More information

LINEAR ALGEBRA 1, 2012-I PARTIAL EXAM 3 SOLUTIONS TO PRACTICE PROBLEMS

LINEAR ALGEBRA 1, 2012-I PARTIAL EXAM 3 SOLUTIONS TO PRACTICE PROBLEMS LINEAR ALGEBRA, -I PARTIAL EXAM SOLUTIONS TO PRACTICE PROBLEMS Problem (a) For each of the two matrices below, (i) determine whether it is diagonalizable, (ii) determine whether it is orthogonally diagonalizable,

More information

Diagonalizing Matrices

Diagonalizing Matrices Diagonalizing Matrices Massoud Malek A A Let A = A k be an n n non-singular matrix and let B = A = [B, B,, B k,, B n ] Then A n A B = A A 0 0 A k [B, B,, B k,, B n ] = 0 0 = I n 0 A n Notice that A i B

More information

Tutorial on Principal Component Analysis

Tutorial on Principal Component Analysis Tutorial on Principal Component Analysis Copyright c 1997, 2003 Javier R. Movellan. This is an open source document. Permission is granted to copy, distribute and/or modify this document under the terms

More information

80 min. 65 points in total. The raw score will be normalized according to the course policy to count into the final score.

80 min. 65 points in total. The raw score will be normalized according to the course policy to count into the final score. This is a closed book, closed notes exam You need to justify every one of your answers unless you are asked not to do so Completely correct answers given without justification will receive little credit

More information

Variations of Singular Spectrum Analysis for separability improvement: non-orthogonal decompositions of time series

Variations of Singular Spectrum Analysis for separability improvement: non-orthogonal decompositions of time series Variations of Singular Spectrum Analysis for separability improvement: non-orthogonal decompositions of time series ina Golyandina, Alex Shlemov Department of Statistical Modelling, Department of Statistical

More information

Linear Algebra & Geometry why is linear algebra useful in computer vision?

Linear Algebra & Geometry why is linear algebra useful in computer vision? Linear Algebra & Geometry why is linear algebra useful in computer vision? References: -Any book on linear algebra! -[HZ] chapters 2, 4 Some of the slides in this lecture are courtesy to Prof. Octavia

More information

MATH 1553 PRACTICE FINAL EXAMINATION

MATH 1553 PRACTICE FINAL EXAMINATION MATH 553 PRACTICE FINAL EXAMINATION Name Section 2 3 4 5 6 7 8 9 0 Total Please read all instructions carefully before beginning. The final exam is cumulative, covering all sections and topics on the master

More information

UNIT 6: The singular value decomposition.

UNIT 6: The singular value decomposition. UNIT 6: The singular value decomposition. María Barbero Liñán Universidad Carlos III de Madrid Bachelor in Statistics and Business Mathematical methods II 2011-2012 A square matrix is symmetric if A T

More information

Focus was on solving matrix inversion problems Now we look at other properties of matrices Useful when A represents a transformations.

Focus was on solving matrix inversion problems Now we look at other properties of matrices Useful when A represents a transformations. Previously Focus was on solving matrix inversion problems Now we look at other properties of matrices Useful when A represents a transformations y = Ax Or A simply represents data Notion of eigenvectors,

More information

Expectation Maximization

Expectation Maximization Expectation Maximization Machine Learning CSE546 Carlos Guestrin University of Washington November 13, 2014 1 E.M.: The General Case E.M. widely used beyond mixtures of Gaussians The recipe is the same

More information

Assignment #10: Diagonalization of Symmetric Matrices, Quadratic Forms, Optimization, Singular Value Decomposition. Name:

Assignment #10: Diagonalization of Symmetric Matrices, Quadratic Forms, Optimization, Singular Value Decomposition. Name: Assignment #10: Diagonalization of Symmetric Matrices, Quadratic Forms, Optimization, Singular Value Decomposition Due date: Friday, May 4, 2018 (1:35pm) Name: Section Number Assignment #10: Diagonalization

More information

Contents. Preface for the Instructor. Preface for the Student. xvii. Acknowledgments. 1 Vector Spaces 1 1.A R n and C n 2

Contents. Preface for the Instructor. Preface for the Student. xvii. Acknowledgments. 1 Vector Spaces 1 1.A R n and C n 2 Contents Preface for the Instructor xi Preface for the Student xv Acknowledgments xvii 1 Vector Spaces 1 1.A R n and C n 2 Complex Numbers 2 Lists 5 F n 6 Digression on Fields 10 Exercises 1.A 11 1.B Definition

More information

The value of a problem is not so much coming up with the answer as in the ideas and attempted ideas it forces on the would be solver I.N.

The value of a problem is not so much coming up with the answer as in the ideas and attempted ideas it forces on the would be solver I.N. Math 410 Homework Problems In the following pages you will find all of the homework problems for the semester. Homework should be written out neatly and stapled and turned in at the beginning of class

More information

Family Feud Review. Linear Algebra. October 22, 2013

Family Feud Review. Linear Algebra. October 22, 2013 Review Linear Algebra October 22, 2013 Question 1 Let A and B be matrices. If AB is a 4 7 matrix, then determine the dimensions of A and B if A has 19 columns. Answer 1 Answer A is a 4 19 matrix, while

More information

Name: Final Exam MATH 3320

Name: Final Exam MATH 3320 Name: Final Exam MATH 3320 Directions: Make sure to show all necessary work to receive full credit. If you need extra space please use the back of the sheet with appropriate labeling. (1) State the following

More information

7. Symmetric Matrices and Quadratic Forms

7. Symmetric Matrices and Quadratic Forms Linear Algebra 7. Symmetric Matrices and Quadratic Forms CSIE NCU 1 7. Symmetric Matrices and Quadratic Forms 7.1 Diagonalization of symmetric matrices 2 7.2 Quadratic forms.. 9 7.4 The singular value

More information

Lecture II: Linear Algebra Revisited

Lecture II: Linear Algebra Revisited Lecture II: Linear Algebra Revisited Overview Vector spaces, Hilbert & Banach Spaces, etrics & Norms atrices, Eigenvalues, Orthogonal Transformations, Singular Values Operators, Operator Norms, Function

More information

MATH 221, Spring Homework 10 Solutions

MATH 221, Spring Homework 10 Solutions MATH 22, Spring 28 - Homework Solutions Due Tuesday, May Section 52 Page 279, Problem 2: 4 λ A λi = and the characteristic polynomial is det(a λi) = ( 4 λ)( λ) ( )(6) = λ 6 λ 2 +λ+2 The solutions to the

More information

Review of similarity transformation and Singular Value Decomposition

Review of similarity transformation and Singular Value Decomposition Review of similarity transformation and Singular Value Decomposition Nasser M Abbasi Applied Mathematics Department, California State University, Fullerton July 8 7 page compiled on June 9, 5 at 9:5pm

More information

Linear Algebra- Final Exam Review

Linear Algebra- Final Exam Review Linear Algebra- Final Exam Review. Let A be invertible. Show that, if v, v, v 3 are linearly independent vectors, so are Av, Av, Av 3. NOTE: It should be clear from your answer that you know the definition.

More information

The Scale Self-Adjusting Multi-Resolution Network Traffic Anomaly Detection

The Scale Self-Adjusting Multi-Resolution Network Traffic Anomaly Detection The Scale Self-Adjusting Multi-Resolution Network Traffic Anomaly Detection Qi Xing-jian, Hu Guang-min, Yang Dan, Li Zong-lin School of Communication and Information Engineering University of Electronic

More information

We use the overhead arrow to denote a column vector, i.e., a number with a direction. For example, in three-space, we write

We use the overhead arrow to denote a column vector, i.e., a number with a direction. For example, in three-space, we write 1 MATH FACTS 11 Vectors 111 Definition We use the overhead arrow to denote a column vector, ie, a number with a direction For example, in three-space, we write The elements of a vector have a graphical

More information

University of Ottawa

University of Ottawa University of Ottawa Department of Mathematics and Statistics MAT 1302A: Mathematical Methods II Instructor: Hadi Salmasian Final Exam April 2016 Surname First Name Seat # Instructions: (a) You have 3

More information

1 Singular Value Decomposition and Principal Component

1 Singular Value Decomposition and Principal Component Singular Value Decomposition and Principal Component Analysis In these lectures we discuss the SVD and the PCA, two of the most widely used tools in machine learning. Principal Component Analysis (PCA)

More information

LINEAR ALGEBRA KNOWLEDGE SURVEY

LINEAR ALGEBRA KNOWLEDGE SURVEY LINEAR ALGEBRA KNOWLEDGE SURVEY Instructions: This is a Knowledge Survey. For this assignment, I am only interested in your level of confidence about your ability to do the tasks on the following pages.

More information

33A Linear Algebra and Applications: Practice Final Exam - Solutions

33A Linear Algebra and Applications: Practice Final Exam - Solutions 33A Linear Algebra and Applications: Practice Final Eam - Solutions Question Consider a plane V in R 3 with a basis given by v = and v =. Suppose, y are both in V. (a) [3 points] If [ ] B =, find. (b)

More information

Example: Face Detection

Example: Face Detection Announcements HW1 returned New attendance policy Face Recognition: Dimensionality Reduction On time: 1 point Five minutes or more late: 0.5 points Absent: 0 points Biometrics CSE 190 Lecture 14 CSE190,

More information

LINEAR ALGEBRA REVIEW

LINEAR ALGEBRA REVIEW LINEAR ALGEBRA REVIEW SPENCER BECKER-KAHN Basic Definitions Domain and Codomain. Let f : X Y be any function. This notation means that X is the domain of f and Y is the codomain of f. This means that for

More information

Dimensionality Reduction: PCA. Nicholas Ruozzi University of Texas at Dallas

Dimensionality Reduction: PCA. Nicholas Ruozzi University of Texas at Dallas Dimensionality Reduction: PCA Nicholas Ruozzi University of Texas at Dallas Eigenvalues λ is an eigenvalue of a matrix A R n n if the linear system Ax = λx has at least one non-zero solution If Ax = λx

More information

DIAGONALIZATION. In order to see the implications of this definition, let us consider the following example Example 1. Consider the matrix

DIAGONALIZATION. In order to see the implications of this definition, let us consider the following example Example 1. Consider the matrix DIAGONALIZATION Definition We say that a matrix A of size n n is diagonalizable if there is a basis of R n consisting of eigenvectors of A ie if there are n linearly independent vectors v v n such that

More information

Lecture 3: Review of Linear Algebra

Lecture 3: Review of Linear Algebra ECE 83 Fall 2 Statistical Signal Processing instructor: R Nowak Lecture 3: Review of Linear Algebra Very often in this course we will represent signals as vectors and operators (eg, filters, transforms,

More information

Recall : Eigenvalues and Eigenvectors

Recall : Eigenvalues and Eigenvectors Recall : Eigenvalues and Eigenvectors Let A be an n n matrix. If a nonzero vector x in R n satisfies Ax λx for a scalar λ, then : The scalar λ is called an eigenvalue of A. The vector x is called an eigenvector

More information

Lecture 11: Eigenvalues and Eigenvectors

Lecture 11: Eigenvalues and Eigenvectors Lecture : Eigenvalues and Eigenvectors De nition.. Let A be a square matrix (or linear transformation). A number λ is called an eigenvalue of A if there exists a non-zero vector u such that A u λ u. ()

More information

Lecture 3: Review of Linear Algebra

Lecture 3: Review of Linear Algebra ECE 83 Fall 2 Statistical Signal Processing instructor: R Nowak, scribe: R Nowak Lecture 3: Review of Linear Algebra Very often in this course we will represent signals as vectors and operators (eg, filters,

More information

Math 2114 Common Final Exam May 13, 2015 Form A

Math 2114 Common Final Exam May 13, 2015 Form A Math 4 Common Final Exam May 3, 5 Form A Instructions: Using a # pencil only, write your name and your instructor s name in the blanks provided. Write your student ID number and your CRN in the blanks

More information

ECE 661: Homework 10 Fall 2014

ECE 661: Homework 10 Fall 2014 ECE 661: Homework 10 Fall 2014 This homework consists of the following two parts: (1) Face recognition with PCA and LDA for dimensionality reduction and the nearest-neighborhood rule for classification;

More information

Principal Component Analysis (PCA)

Principal Component Analysis (PCA) Principal Component Analysis (PCA) Salvador Dalí, Galatea of the Spheres CSC411/2515: Machine Learning and Data Mining, Winter 2018 Michael Guerzhoy and Lisa Zhang Some slides from Derek Hoiem and Alysha

More information

Singular Value Decomposition

Singular Value Decomposition Singular Value Decomposition Motivatation The diagonalization theorem play a part in many interesting applications. Unfortunately not all matrices can be factored as A = PDP However a factorization A =

More information

Linear Algebra & Geometry why is linear algebra useful in computer vision?

Linear Algebra & Geometry why is linear algebra useful in computer vision? Linear Algebra & Geometry why is linear algebra useful in computer vision? References: -Any book on linear algebra! -[HZ] chapters 2, 4 Some of the slides in this lecture are courtesy to Prof. Octavia

More information

(a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? Solution: dim N(A) 1, since rank(a) 3. Ax =

(a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? Solution: dim N(A) 1, since rank(a) 3. Ax = . (5 points) (a) If A is a 3 by 4 matrix, what does this tell us about its nullspace? dim N(A), since rank(a) 3. (b) If we also know that Ax = has no solution, what do we know about the rank of A? C(A)

More information

Jordan Normal Form and Singular Decomposition

Jordan Normal Form and Singular Decomposition University of Debrecen Diagonalization and eigenvalues Diagonalization We have seen that if A is an n n square matrix, then A is diagonalizable if and only if for all λ eigenvalues of A we have dim(u λ

More information

5.) For each of the given sets of vectors, determine whether or not the set spans R 3. Give reasons for your answers.

5.) For each of the given sets of vectors, determine whether or not the set spans R 3. Give reasons for your answers. Linear Algebra - Test File - Spring Test # For problems - consider the following system of equations. x + y - z = x + y + 4z = x + y + 6z =.) Solve the system without using your calculator..) Find the

More information

Anomaly detection and. in time series

Anomaly detection and. in time series Anomaly detection and sequential statistics in time series Alex Shyr CS 294 Practical Machine Learning 11/12/2009 (many slides from XuanLong Nguyen and Charles Sutton) Two topics Anomaly detection Sequential

More information

Mathematical foundations - linear algebra

Mathematical foundations - linear algebra Mathematical foundations - linear algebra Andrea Passerini passerini@disi.unitn.it Machine Learning Vector space Definition (over reals) A set X is called a vector space over IR if addition and scalar

More information

MTH 464: Computational Linear Algebra

MTH 464: Computational Linear Algebra MTH 464: Computational Linear Algebra Lecture Outlines Exam 2 Material Prof. M. Beauregard Department of Mathematics & Statistics Stephen F. Austin State University March 2, 2018 Linear Algebra (MTH 464)

More information

This is a closed book exam. No notes or calculators are permitted. We will drop your lowest scoring question for you.

This is a closed book exam. No notes or calculators are permitted. We will drop your lowest scoring question for you. Math 54 Fall 2017 Practice Exam 2 Exam date: 10/31/17 Time Limit: 80 Minutes Name: Student ID: GSI or Section: This exam contains 7 pages (including this cover page) and 7 problems. Problems are printed

More information

Announcements Monday, November 26

Announcements Monday, November 26 Announcements Monday, November 26 Please fill out your CIOS survey! WeBWorK 6.6, 7.1, 7.2 are due on Wednesday. No quiz on Friday! But this is the only recitation on chapter 7. My office is Skiles 244

More information

MA 265 FINAL EXAM Fall 2012

MA 265 FINAL EXAM Fall 2012 MA 265 FINAL EXAM Fall 22 NAME: INSTRUCTOR S NAME:. There are a total of 25 problems. You should show work on the exam sheet, and pencil in the correct answer on the scantron. 2. No books, notes, or calculators

More information

15 Singular Value Decomposition

15 Singular Value Decomposition 15 Singular Value Decomposition For any high-dimensional data analysis, one s first thought should often be: can I use an SVD? The singular value decomposition is an invaluable analysis tool for dealing

More information

PRACTICE PROBLEMS FOR THE FINAL

PRACTICE PROBLEMS FOR THE FINAL PRACTICE PROBLEMS FOR THE FINAL Here are a slew of practice problems for the final culled from old exams:. Let P be the vector space of polynomials of degree at most. Let B = {, (t ), t + t }. (a) Show

More information

Introduction to Machine Learning. PCA and Spectral Clustering. Introduction to Machine Learning, Slides: Eran Halperin

Introduction to Machine Learning. PCA and Spectral Clustering. Introduction to Machine Learning, Slides: Eran Halperin 1 Introduction to Machine Learning PCA and Spectral Clustering Introduction to Machine Learning, 2013-14 Slides: Eran Halperin Singular Value Decomposition (SVD) The singular value decomposition (SVD)

More information

Linear Algebra (Review) Volker Tresp 2018

Linear Algebra (Review) Volker Tresp 2018 Linear Algebra (Review) Volker Tresp 2018 1 Vectors k, M, N are scalars A one-dimensional array c is a column vector. Thus in two dimensions, ( ) c1 c = c 2 c i is the i-th component of c c T = (c 1, c

More information

2. Review of Linear Algebra

2. Review of Linear Algebra 2. Review of Linear Algebra ECE 83, Spring 217 In this course we will represent signals as vectors and operators (e.g., filters, transforms, etc) as matrices. This lecture reviews basic concepts from linear

More information

Review of some mathematical tools

Review of some mathematical tools MATHEMATICAL FOUNDATIONS OF SIGNAL PROCESSING Fall 2016 Benjamín Béjar Haro, Mihailo Kolundžija, Reza Parhizkar, Adam Scholefield Teaching assistants: Golnoosh Elhami, Hanjie Pan Review of some mathematical

More information

Lecture: Face Recognition and Feature Reduction

Lecture: Face Recognition and Feature Reduction Lecture: Face Recognition and Feature Reduction Juan Carlos Niebles and Ranjay Krishna Stanford Vision and Learning Lab Lecture 11-1 Recap - Curse of dimensionality Assume 5000 points uniformly distributed

More information

Exercises * on Principal Component Analysis

Exercises * on Principal Component Analysis Exercises * on Principal Component Analysis Laurenz Wiskott Institut für Neuroinformatik Ruhr-Universität Bochum, Germany, EU 4 February 207 Contents Intuition 3. Problem statement..........................................

More information

Eigenvalues and Eigenvectors 7.1 Eigenvalues and Eigenvecto

Eigenvalues and Eigenvectors 7.1 Eigenvalues and Eigenvecto 7.1 November 6 7.1 Eigenvalues and Eigenvecto Goals Suppose A is square matrix of order n. Eigenvalues of A will be defined. Eigenvectors of A, corresponding to each eigenvalue, will be defined. Eigenspaces

More information

Dimensionality reduction

Dimensionality reduction Dimensionality Reduction PCA continued Machine Learning CSE446 Carlos Guestrin University of Washington May 22, 2013 Carlos Guestrin 2005-2013 1 Dimensionality reduction n Input data may have thousands

More information

November 28 th, Carlos Guestrin 1. Lower dimensional projections

November 28 th, Carlos Guestrin 1. Lower dimensional projections PCA Machine Learning 10701/15781 Carlos Guestrin Carnegie Mellon University November 28 th, 2007 1 Lower dimensional projections Rather than picking a subset of the features, we can new features that are

More information

1. Let A = (a) 2 (b) 3 (c) 0 (d) 4 (e) 1

1. Let A = (a) 2 (b) 3 (c) 0 (d) 4 (e) 1 . Let A =. The rank of A is (a) (b) (c) (d) (e). Let P = {a +a t+a t } where {a,a,a } range over all real numbers, and let T : P P be a linear transformation dedifined by T (a + a t + a t )=a +9a t If

More information

LECTURE 16: PCA AND SVD

LECTURE 16: PCA AND SVD Instructor: Sael Lee CS549 Computational Biology LECTURE 16: PCA AND SVD Resource: PCA Slide by Iyad Batal Chapter 12 of PRML Shlens, J. (2003). A tutorial on principal component analysis. CONTENT Principal

More information

Lecture 7: Positive Semidefinite Matrices

Lecture 7: Positive Semidefinite Matrices Lecture 7: Positive Semidefinite Matrices Rajat Mittal IIT Kanpur The main aim of this lecture note is to prepare your background for semidefinite programming. We have already seen some linear algebra.

More information

Lecture 16: Small Sample Size Problems (Covariance Estimation) Many thanks to Carlos Thomaz who authored the original version of these slides

Lecture 16: Small Sample Size Problems (Covariance Estimation) Many thanks to Carlos Thomaz who authored the original version of these slides Lecture 16: Small Sample Size Problems (Covariance Estimation) Many thanks to Carlos Thomaz who authored the original version of these slides Intelligent Data Analysis and Probabilistic Inference Lecture

More information

2. LINEAR ALGEBRA. 1. Definitions. 2. Linear least squares problem. 3. QR factorization. 4. Singular value decomposition (SVD) 5.

2. LINEAR ALGEBRA. 1. Definitions. 2. Linear least squares problem. 3. QR factorization. 4. Singular value decomposition (SVD) 5. 2. LINEAR ALGEBRA Outline 1. Definitions 2. Linear least squares problem 3. QR factorization 4. Singular value decomposition (SVD) 5. Pseudo-inverse 6. Eigenvalue decomposition (EVD) 1 Definitions Vector

More information

On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods

On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods Statistics and Its Interface Volume 3 (2010) 259 279 On the choice of parameters in Singular Spectrum Analysis and related subspace-based methods Nina Golyandina In the present paper we investigate methods

More information

Remark By definition, an eigenvector must be a nonzero vector, but eigenvalue could be zero.

Remark By definition, an eigenvector must be a nonzero vector, but eigenvalue could be zero. Sec 6 Eigenvalues and Eigenvectors Definition An eigenvector of an n n matrix A is a nonzero vector x such that A x λ x for some scalar λ A scalar λ is called an eigenvalue of A if there is a nontrivial

More information

CS 231A Section 1: Linear Algebra & Probability Review. Kevin Tang

CS 231A Section 1: Linear Algebra & Probability Review. Kevin Tang CS 231A Section 1: Linear Algebra & Probability Review Kevin Tang Kevin Tang Section 1-1 9/30/2011 Topics Support Vector Machines Boosting Viola Jones face detector Linear Algebra Review Notation Operations

More information

Math Final December 2006 C. Robinson

Math Final December 2006 C. Robinson Math 285-1 Final December 2006 C. Robinson 2 5 8 5 1 2 0-1 0 1. (21 Points) The matrix A = 1 2 2 3 1 8 3 2 6 has the reduced echelon form U = 0 0 1 2 0 0 0 0 0 1. 2 6 1 0 0 0 0 0 a. Find a basis for the

More information