C.M Bishop的《Pattern Recognition and Machine Learning》12章介绍PCA,式(12.3)计算样本的协方差矩阵,写了个简单的python代码计算下,并与numpy中的cov函数对比下,结果一致
python代码如下:
import numpy as np def cov(data): mean_ = np.mean(data, axis = 0) data = data - mean_ cov_mat = data.T.dot(data) / (data.shape[0] - 1) return cov_mat if __name__ == '__main__': a = np.random.random((10,2)) cov_mat = np.cov(a, rowvar = 0) print 'covariance matrix using Numpy' print cov_mat my_cov_mar = cov(a) print 'covariance matrix from Bishop book (eq12.3).<<Pattern Recognition and Machine Learning>>' print my_cov_mar
计算结果为:
covariance matrix using Numpy
[[ 0.1063101 -0.00794282]
[-0.00794282 0.07562934]]
covariance matrix from Bishop book (eq12.3).<<Pattern Recognition and Machine Learning>>
[[ 0.1063101 -0.00794282]
[-0.00794282 0.07562934]]