whiten.py

import numpy as np


def whiten(X, method='zca'):
    """
    Whitens the input matrix X using specified whitening method.
    Inputs:
        X:      Input data matrix with data examples along the first dimension

        method: Whitening method. Must be one of 'zca', 'zca_cor', 'pca',
                'pca_cor', or 'cholesky'.
    """
    X = X.reshape((-1, np.prod(X.shape[1:])))
    X_centered = X - np.mean(X, axis=0)
    Sigma = np.dot(X_centered.T, X_centered) / X_centered.shape[0]
    W = None
    
    if method in ['zca', 'pca', 'cholesky']:
        U, Lambda, _ = np.linalg.svd(Sigma)
        if method == 'zca':
            W = np.dot(U, np.dot(np.diag(1.0 / np.sqrt(Lambda + 1e-5)), U.T))
        elif method =='pca':
            W = np.dot(np.diag(1.0 / np.sqrt(Lambda + 1e-5)), U.T)
        elif method == 'cholesky':
            W = np.linalg.cholesky(np.dot(U, np.dot(np.diag(1.0 / (Lambda + 1e-5)), U.T))).T
    elif method in ['zca_cor', 'pca_cor']:
        V_sqrt = np.diag(np.std(X, axis=0))
        P = np.dot(np.dot(np.linalg.inv(V_sqrt), Sigma), np.linalg.inv(V_sqrt))
        G, Theta, _ = np.linalg.svd(P)
        if method == 'zca_cor':
            W = np.dot(np.dot(G, np.dot(np.diag(1.0 / np.sqrt(Theta + 1e-5)), G.T)), np.linalg.inv(V_sqrt))
        elif method == 'pca_cor':
            W = np.dot(np.dot(np.diag(1.0/np.sqrt(Theta + 1e-5)), G.T), np.linalg.inv(V_sqrt))
    else:
        raise Exception('Whitening method not found.')

    return np.dot(X_centered, W.T)

Thanks!!

Alternative method: using whiten parameter of sklearn's PCA.

from sklearn.decomposition import PCA
X_white = PCA(n_components = X.shape[1], whiten = True, svd_solver='full').fit_transform(X)

Note that the rotation of the transformed data may differ.