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andykitchen/zca.py

Created October 19, 2015 12:15
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zca.py
U,s,V = np.linalg.svd(X, full_matrices=False)
n = X.shape[0]
k = n # or however many terms you want to keep
X_zca = np.sqrt(n) * U[:,:k].dot(V[:k])
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