decomposition.py 文件源码

def gsvd(X, M, A, n_comps = 10):
    """
    Generalized SVD

    :param X:
    :param M:
    :param A:
    :return:
    """

    print("GSVD")
    print("GSVD: Weights... ", end='')
    Xw = np.dot(np.sqrt(M), np.dot(X, np.sqrt(A)))
    print("Done!")

    print("GSVD: SVD... ", end='')
    [P_, D, Q_] = randomized_svd(Xw, n_comps)

    #P_ = P_[:,0:n_comps]
    #D = D[0:n_comps]
    #Q_ = Q_[0:n_comps,:]
    print('Done!')

    print("GSVD: Factor scores and eigenvalues... ", end='')
    Mp = np.power(np.diag(M), -0.5)
    Ap = np.power(np.diag(A), -0.5)

    P = np.dot(np.diag(Mp), P_)
    Q = np.dot(np.diag(Ap), Q_.T)
    ev = np.power(D, 2)

    print('Done!')

    return P, D, Q, ev