matlab 矩阵白化,主成分分析中如何对矩阵进行白化处理

这是我从here得到的矩阵白化的一些Matlab代码的numpy实现。import numpy as np

def whiten(X,fudge=1E-18):

# the matrix X should be observations-by-components

# get the covariance matrix

Xcov = np.dot(X.T,X)

# eigenvalue decomposition of the covariance matrix

d, V = np.linalg.eigh(Xcov)

# a fudge factor can be used so that eigenvectors associated with

# small eigenvalues do not get overamplified.

D = np.diag(1. / np.sqrt(d+fudge))

# whitening matrix

W = np.dot(np.dot(V, D), V.T)

# multiply by the whitening matrix

X_white = np.dot(X, W)

return X_white, W

也可以使用SVD对矩阵进行白化：def svd_whiten(X):

U, s, Vt = np.linalg.svd(X, full_matrices=False)

# U and Vt are the singular matrices, and s contains the singular values.

# Since the rows of both U and Vt are orthonormal vectors, then U * Vt

# will be white

X_white = np.dot(U, Vt)

return X_white

第二种方法比较慢，但数值上可能更稳定。