The invention discloses a method and a device for preprocessing industrial generated data containing high-dimensional
noise, and relates to the field of data preprocessing, and the method comprises the following steps: outputting a sampling time
point set and a multi-dimensional
observation data set by collecting multi-dimensional
function type observation data in a set time interval; and representing the real function of each dimension observation value as a primary function linear combination, extracting effective features, and outputting a primary function set and an expansion coefficient. And constructing a
design matrix, and establishing association between the multi-dimensional
observation data and the effective features. A combined objective function is constructed by combining multivariable synchronous
processing requirements and
signal importance differences, and a penalty matrix is constructed through an inner product of a second derivative of a primary function. And selecting a
smoothing parameter by minimizing a generalized
cross validation criterion, solving a target function to obtain an
estimation expansion coefficient, and constructing and outputting a
smoothing function as input data of a
statistical process control or fault diagnosis model. The method solves the problems that in the prior art, effective features are prone to being lost, multi-dimensional
collaboration is not considered, and smooth parameter selection lacks self-adaption.