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Chap 16. PCA 中SVD解法中参数的问题 #58

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ChenGeng777 opened this issue Jul 11, 2021 · 0 comments

ChenGeng777 commented Jul 11, 2021

numpy.linalg.svd(A) 中, 如果用多元随机变量的协方差的无偏样本对协方差矩阵C= Cov(X^T,X) = X^T*X/(n-1) 进行 SVD, A应该是中心化的X, 即
$$X = USV^h$$
$$C = VS U^h USV/(n-1) = V S^2 V^h $$

所以, 应该用 np.linalg.svd(X), 其中 X 做了中心化。实例中做标准化再 SVD 是用相关系数矩阵为标准做PCA。

相关资源参考： PCA 和 SVD 关系

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