PCA详解

import numpy as np

import pandas as pd

from matplotlib import pyplot as plt

from sklearn.decomposition import PCA

estimator=PCA(n_components=4) #将高维压缩

data=pd.read_csv('/Users/xutao/Desktop/2.csv',header=None)

meanVals=np.mean(data,axis=0)

meanRemove=meanVals-data #去中心化

print "\nZero-centered:"

print meanRemove #去中心化矩阵

covMat=np.cov(meanRemove,rowvar=0)

print "\nCovariance Matrix:"

print covMat #协方差矩阵

eigVals,eigVects=np.linalg.eig(np.mat(covMat)) #特征值，特征向量

print "\neigenvalue :"

print eigVals

print "\neigenvector :"

print eigVects

eigValInd=np.argsort(-eigVals) #加负号表示降序，否则升序

print '\neigenvalue after sorted'

print eigValInd #输出降序后的下标

redEigVects=eigVects[:,eigValInd] #按照降序后的特征值对应的特征向量

print "\neigenvector"

print redEigVects

print "\nfinalData:"

print np.dot(meanRemove,redEigVects) #去中心化后的矩阵和特征向量相乘，作为最终的转换后的样本