Eigen 特征值

void PCA(Matrix<double, Dynamic, Dynamic> X) {
	//动态存储
	Matrix<double, Dynamic, Dynamic> C;
	C = X * X.transpose() / X.cols();
	int row = 2;
	EigenSolver<Matrix<double,Dynamic,Dynamic>> es(C);
	//特征值矩阵
	Matrix<double, Dynamic, Dynamic> D = es.pseudoEigenvalueMatrix();
	//特征向量矩阵
	Matrix<double, Dynamic, Dynamic> V = es.pseudoEigenvectors();
	//降维矩阵，当取前k行且k<n时，实现降维
	Matrix<double, Dynamic, Dynamic> P = V.transpose();
	cout << P*X<< endl;
}