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finally added pca package again

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This commit is contained in:
Max Zwiessele 2014-03-24 11:16:57 +00:00
parent ed2aaab4bb
commit 321a75100c
5 changed files with 134 additions and 33 deletions
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23
GPy/util/linalg.py
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@ -580,26 +580,3 @@ def backsub_both_sides(L, X, transpose='left'):
tmp, _ = dtrtrs(L, X, lower=1, trans=0)
return dtrtrs(L, tmp.T, lower=1, trans=0)[0].T
def PCA(Y, input_dim):
"""
Principal component analysis: maximum likelihood solution by SVD
:param Y: NxD np.array of data
:param input_dim: int, dimension of projection
:rval X: - Nxinput_dim np.array of dimensionality reduced data
:rval W: - input_dimxD mapping from X to Y
"""
if not np.allclose(Y.mean(axis=0), 0.0):
print "Y is not zero mean, centering it locally (GPy.util.linalg.PCA)"
# Y -= Y.mean(axis=0)
Z = linalg.svd(Y - Y.mean(axis=0), full_matrices=False)
[X, W] = [Z[0][:, 0:input_dim], np.dot(np.diag(Z[1]), Z[2]).T[:, 0:input_dim]]
v = X.std(axis=0)
X /= v;
W *= v;
return X, W.T