wehub-resource-sync
29 lines
703 B
Matlab
Executable File
29 lines
703 B
Matlab
Executable File
function U = fda(X, t, q)
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% Fisher (linear) discriminant analysis
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% Input:
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% X: d x n data matrix
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% t: 1 x n class label
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% d: target dimension
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% Output:
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% U: projection matrix y=U'*x
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% Written by Mo Chen (sth4nth@gmail.com).
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n = size(X,2);
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k = max(t);
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E = sparse(1:n,t,true,n,k,n); % transform label into indicator matrix
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nk = full(sum(E));
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m = mean(X,2);
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Xo = bsxfun(@minus,X,m);
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St = (Xo*Xo')/n; % 4.43
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mk = bsxfun(@times,X*E,1./nk);
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mo = bsxfun(@minus,mk,m);
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mo = bsxfun(@times,mo,sqrt(nk/n));
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Sb = mo*mo'; % 4.46
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% Sw = St-Sb; % 4.45
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[U,A] = eig(Sb,St,'chol');
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[~,idx] = sort(diag(A),'descend');
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U = U(:,idx(1:q));
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