In many physical, statistical, biological and other investigations it is desirable to approximate a system of points by objects of lower dimension and/or complexity. For this purpose, Karl Pearson invented principal component analysis in 1901 and found lines and planes of closest fit to system of points. The famous k-means algorithm solves the approximation problem too, but by finite sets instead of lines and planes. This chapter gives a brief practical introduction into the methods of construction of general principal objects, i.e. objects embedded in the middle of the multidimensional data set. As a basis, the unifying framework of mean squared distance approximation of finite datasets is selected. Principal graphs and manifolds are constructed as generalisations of principal components and k-means principal points. For this purpose, the family of expectation/maximisation algorithms with nearest generalisations is presented. Construction of principal graphs with controlled complexity is based on the graph grammar approach.
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