Implementing PCA/Whitening
From Ufldl
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x = x - repmat(avg, 1, size(x, 2)); | x = x - repmat(avg, 1, size(x, 2)); | ||
| - | we need to compute <math>\textstyle \Sigma = \frac{1}{m} \sum_{i=1}^m (x^{(i)})(x^{(i)})^T</math>. If you're implementing this in Matlab (or even if you're implementing this in C++, Java, etc., but have access to an efficient linear algebra library), doing it as an explicit sum is inefficient. Instead, we can instead compute this in one fell swoop as | + | Next, we need to compute <math>\textstyle \Sigma = \frac{1}{m} \sum_{i=1}^m (x^{(i)})(x^{(i)})^T</math>. If you're implementing this in Matlab (or even if you're implementing this in C++, Java, etc., but have access to an efficient linear algebra library), doing it as an explicit sum is inefficient. Instead, we can instead compute this in one fell swoop as |
sigma = x * x' / size(x, 2); | sigma = x * x' / size(x, 2); | ||
