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wangz10/pca_eigen_docomposition_np.py

Created March 16, 2019 14:25
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Perform PCA by eigen decomposition
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pca_eigen_docomposition_np.py
def pca(X):
# Data matrix X, assumes 0-centered
n, m = X.shape
assert np.allclose(X.mean(axis=0), np.zeros(m))
# Compute covariance matrix
C = np.dot(X.T, X) / (n-1)
# Eigen decomposition
eigen_vals, eigen_vecs = np.linalg.eig(C)
# Project X onto PC space
X_pca = np.dot(X, eigen_vecs)
return X_pca
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