pca.py 文件源码

def _maximum_likelihood(self, X):
        n_samples, n_features = X.shape if X.ndim > 1 else (1, X.shape[0])
        n_components = self.n_components

        # Predict mean
        mu = X.mean(axis=0)

        # Predict covariance
        cov = sp.cov(X, rowvar=0)
        eigvals, eigvecs = self._eig_decomposition(cov)
        sigma2 = ((sp.sum(cov.diagonal()) - sp.sum(eigvals.sum())) /
                  (n_features - n_components))  # FIXME: M < D?

        weight = sp.dot(eigvecs, sp.diag(sp.sqrt(eigvals - sigma2)))
        M = sp.dot(weight.T, weight) + sigma2 * sp.eye(n_components)
        inv_M = spla.inv(M)

        self.eigvals = eigvals
        self.eigvecs = eigvecs
        self.predict_mean = mu
        self.predict_cov = sp.dot(weight, weight.T) + sigma2 * sp.eye(n_features)
        self.latent_mean = sp.transpose(sp.dot(inv_M, sp.dot(weight.T, X.T - mu[:, sp.newaxis])))
        self.latent_cov = sigma2 * inv_M
        self.sigma2 = sigma2    # FIXME!
        self.weight = weight
        self.inv_M = inv_M

        return self.latent_mean