utils.py 文件源码

def get_whitening_matrix(X, fudge=1E-18):
   from numpy.linalg import eigh
   Xcov = numpy.dot(X.T, X)/X.shape[0]
   d,V  = eigh(Xcov)
   D    = numpy.diag(1./numpy.sqrt(d+fudge))
   W    = numpy.dot(numpy.dot(V,D), V.T)
   return W