I am doing PCA analysis on a large amount of data and I need to compute the eigen-decomposition of the covariance matrix which is a real, symmetric, positive semi definite matrix. It doesn't get any simpler than that!
I want to compute this myself from first principles and not using some matlab, mathematica or whatever package. That's an infinite process but I am looking for a fast and robust method. Can anyone post an algorithm for it? I did a web search and found several methods but nothing complete and from scratch.
Please help, thanks in advance.