wehub-resource-sync
22 lines
524 B
Matlab
Executable File
22 lines
524 B
Matlab
Executable File
function [U, L, mu, mse] = pca(X, m)
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% Principal component analysis
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% Input:
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% X: d x n data matrix
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% m: target dimension
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% Output:
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% U: d x m Projection matrix
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% L: m x 1 Eigen values
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% mu: d x 1 mean
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% mse: mean square error
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% Written by Mo Chen (sth4nth@gmail.com).
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n = size(X,2);
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mu = mean(X,2);
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Xo = bsxfun(@minus,X,mu);
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S = Xo*Xo'/n; % 12.3
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[U,L] = eig(S); % 12.5
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[L,idx] = sort(diag(L),'descend');
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mse = sum(L)-sum(L(1:m));
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U = U(:,idx(1:m));
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L = L(1:m);
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