fisher_iris_visualization.py 文件源码

def PCA(data, num_components=None):
    # mean center the data
    data -= data.mean(axis=0)
    # calculate the covariance matrix
    R = np.cov(data, rowvar=False)
    # calculate eigenvectors & eigenvalues of the covariance matrix
    # use 'eigh' rather than 'eig' since R is symmetric,
    # the performance gain is substantial
    V, E = np.linalg.eigh(R)
    # sort eigenvalue in decreasing order
    idx = np.argsort(V)[::-1]
    E = E[:,idx]
    # sort eigenvectors according to same index
    V = V[idx]
    # select the first n eigenvectors (n is desired dimension
    # of rescaled data array, or dims_rescaled_data)
    E = E[:, :num_components]
    # carry out the transformation on the data using eigenvectors
    # and return the re-scaled data, eigenvalues, and eigenvectors
    return np.dot(E.T, data.T).T, V, E