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Diffstat (limited to 'sourcecodes/bnt-master/netlab3.3/ppca.m')
| -rw-r--r-- | sourcecodes/bnt-master/netlab3.3/ppca.m | 52 |
1 files changed, 52 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/netlab3.3/ppca.m b/sourcecodes/bnt-master/netlab3.3/ppca.m new file mode 100644 index 00000000..fd125b02 --- /dev/null +++ b/sourcecodes/bnt-master/netlab3.3/ppca.m @@ -0,0 +1,52 @@ +function [var, U, lambda] = ppca(x, ppca_dim) +%PPCA Probabilistic Principal Components Analysis +% +% Description +% [VAR, U, LAMBDA] = PPCA(X, PPCA_DIM) computes the principal +% component subspace U of dimension PPCA_DIM using a centred covariance +% matrix X. The variable VAR contains the off-subspace variance (which +% is assumed to be spherical), while the vector LAMBDA contains the +% variances of each of the principal components. This is computed +% using the eigenvalue and eigenvector decomposition of X. +% +% See also +% EIGDEC, PCA +% + +% Copyright (c) Ian T Nabney (1996-2001) + + +if ppca_dim ~= round(ppca_dim) | ppca_dim < 1 | ppca_dim > size(x, 2) + error('Number of PCs must be integer, >0, < dim'); +end + +[ndata, data_dim] = size(x); +% Assumes that x is centred and responsibility weighted +% covariance matrix +[l Utemp] = eigdec(x, data_dim); +% Zero any negative eigenvalues (caused by rounding) +l(l<0) = 0; +% Now compute the sigma squared values for all possible values +% of q +s2_temp = cumsum(l(end:-1:1))./[1:data_dim]'; +% If necessary, reduce the value of q so that var is at least +% eps * largest eigenvalue +q_temp = min([ppca_dim; data_dim-min(find(s2_temp/l(1) > eps))]); +if q_temp ~= ppca_dim + wstringpart = 'Covariance matrix ill-conditioned: extracted'; + wstring = sprintf('%s %d/%d PCs', ... + wstringpart, q_temp, ppca_dim); + warning(wstring); +end +if q_temp == 0 + % All the latent dimensions have disappeared, so we are + % just left with the noise model + var = l(1)/data_dim; + lambda = var*ones(1, ppca_dim); +else + var = mean(l(q_temp+1:end)); +end +U = Utemp(:, 1:q_temp); +lambda(1:q_temp) = l(1:q_temp); + + |
