We present a technique to perform dimensionality reduction on data that is
subject to uncertainty. Our method is a generalization of traditional principal
component analysis (PCA) to multivariate probability distributions. In
comparison to non-linear methods, linear dimensionality reduction techniques
have the advantage that the characteristics of such probability distributions
remain intact after projection. We derive a representation of the PCA sample
covariance matrix that respects potential uncertainty in each of the inputs,
building the mathematical foundation of our new method: uncertainty-aware PCA.
In addition to the accuracy and performance gained by our approach over
sampling-based strategies, our formulation allows us to perform sensitivity
analysis with regard to the uncertainty in the data. For this, we propose
factor traces as a novel visualization that enables to better understand the
influence of uncertainty on the chosen principal components. We provide
multiple examples of our technique using real-world datasets. As a special
case, we show how to propagate multivariate normal distributions through PCA in
closed form. Furthermore, we discuss extensions and limitations of our
approach
