pca q matlab,PCA原理二-Matlab实现

这是从Gonzalez的书上抄的

function P=pca(X,q)

%PCA Obtains principal component vectors and realted

quantities.

% P=PCA(X,Q) computes the principal component vectors of the

vector

% population contained in the rows of X, a matrix of size K-by-n

where K is

% the number of vectors and n is their dimonsionality. Q ,with

values in the

% range [0,n], is the number of eigenvectors used in constructing

the

% principal components transformation matrix. P is a structure with

the

% following fields:

% P.Y K-by-Q matrix whose columns are the principal component

% vectors.

% P.A Q-by-n principal components transformation matrix whose rows

% are the Q eigenvectors of Cx corresponding to the Q largest

% eigenvalues.

% P.X K-by-n matrix whose rows are the vectors reconstructed from

% the principal component vectors. P.X and P.Y are identical if

Q=n.

% P.ems The mean square error

incurred in using only the Q

% eigenvectors corresponding to the largest eigenvalues. P.ems is 0

if

% Q=n.

% P.Cx The

n-by-n convariance matrix of the population in X.

% P.mx The

n-by-1mean vector of the population in X.

% P.Cy The

Q-by-Q covariance matrix of the population in Y. The

% main diagonal contains the eigenvalues ( in descending order)

% corresponding to the Q eigenvectors.

% Copyright by Rafael C. Gonzalez,.

% This is a copy from his book.

[K,n]=size(X);

X=double(X);

%Obtain the mean vector and covariance matrix of the vectors in

X.

[P.Cx,P.mx]=covmatrix(X);

P.mx=P.mx';% Convert mean vector to a row vector

%Obtain the eigenvectors and corresponding eigenvaluse of Cx.

The

%eigenvectors are the columns of n-by-n matrix V. D is an n-by-n

diagnoal

%matrix whose elements along the main diagoanl are the

eigenvaluse

%corresponding to the eigenvectors in V, so that X*V =D*V.

[V,D]=eig(P.Cx);

%Sort the eigenvalues in decreadsing order. Rearrange the

eigenvectors to

%match.

d=diag(D);%Subtract the diagonal elements of

D.

[d,idx]=sort(d);

d=flipud(d);%d is in decreasing order now.

idx=flipud(idx);

V=V(:,idx);%Rearrage the order of eigenvectors as d.

%Now form the q rows of A from first q columns of V.

P.A=V(:,1:q)';

%Compute the principal component vectors.

Mx=repmat(P.mx,K,1);%M-by-n matrix.Each row=P.mx.

P.Y=P.A*(X-Mx)';% q-by-k matrix.

%Obtain the reconstructed vectors.

P.X=(P.A'*P.Y)'+Mx;

%Convert P.Y to K-by-q array and P.mx to n-by-1 vector.

P.Y=P.Y';

P.mx=P.mx';

%The mean square error is given by the sum of all the

eigenvalues minus the

%sum of the q largest eigenvalues.

P.ems=sum(d(q+1:end));

%Covariance matrix of the Y's.

P.Cy=P.A*P.Cx*P.A';