def get_whitener( A, k ):
"""Return the matrix W that whitens A, i.e. W^T A W = I. Assumes A
is k-rank"""
U, D, V = svdk(A, k)
Ds = sqrt(D)
Di = 1./Ds
return U.dot(diag(Di)), U.dot(diag(Ds))
def get_whitener( A, k ):
"""Return the matrix W that whitens A, i.e. W^T A W = I. Assumes A
is k-rank"""
#assert( mrank( A ) == k )
# Verify PSD
e = eigvals( A )[:k].real
if not (e >= 0).all():
print "Warning: Not PSD"
print e
# If A is PSD
U, _, _ = svdk( A, k )
A2 = cholesky( U.T.dot( A ).dot( U ) )
W, Wt = U.dot( pinv( A2 ) ), U.dot( A2 )
return W, Wt
def get_whitener(A, k):
"""Return the matrix W that whitens A, i.e. W^T A W = I. Assumes A
is k-rank"""
#assert( mrank( A ) == k )
# Verify PSD
e = eigvals(A)[:k].real
if not (e >= 0).all():
print "Warning: Not PSD"
print e
# If A is PSD
U, _, _ = svdk(A, k)
A2 = cholesky(U.T.dot(A).dot(U))
W, Wt = U.dot(pinv(A2)), U.dot(A2)
return W, Wt
