An approximate inference approach for the pca reconstruction error
Proceedings of NIPS2005
The problem of computing a resample estimate for the
reconstruction error in PCA is reformulated as an inference problem
with the help of the replica method.
Using the expectation consistent (EC) approximation, the
intractable inference problem can be solved efficiently
with two variational parameters. A perturbative correction to
the result is computed and an alternative simplified
derivation is also presented.