linear_time.py 文件源码

def mahalanobis_distance(difference, num_random_features):
    num_samples, _ = np.shape(difference)
    sigma = np.cov(np.transpose(difference))

    mu = np.mean(difference, 0)

    if num_random_features == 1:
        stat = float(num_samples * mu ** 2) / float(sigma)
    else:
        try:
            linalg.inv(sigma)
        except LinAlgError:
            print('covariance matrix is singular. Pvalue returned is 1.1')
            warnings.warn('covariance matrix is singular. Pvalue returned is 1.1')
            return 0
        stat = num_samples * mu.dot(linalg.solve(sigma, np.transpose(mu)))

    return chi2.sf(stat, num_random_features)