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Classe « Covariance »

Méthode scipy.stats.Covariance.from_eigendecomposition

Signature de la méthode from_eigendecomposition

def from_eigendecomposition(eigendecomposition) 

Description

help(Covariance.from_eigendecomposition)

Representation of a covariance provided via eigendecomposition

Parameters
----------
eigendecomposition : sequence
    A sequence (nominally a tuple) containing the eigenvalue and
    eigenvector arrays as computed by `scipy.linalg.eigh` or
    `numpy.linalg.eigh`.

Notes
-----
Let the covariance matrix be :math:`A`, let :math:`V` be matrix of
eigenvectors, and let :math:`W` be the diagonal matrix of eigenvalues
such that `V W V^T = A`.

When all of the eigenvalues are strictly positive, whitening of a
data point :math:`x` is performed by computing
:math:`x^T (V W^{-1/2})`, where the inverse square root can be taken
element-wise.
:math:`\log\det{A}` is calculated as  :math:`tr(\log{W})`,
where the :math:`\log` operation is performed element-wise.

This `Covariance` class supports singular covariance matrices. When
computing ``_log_pdet``, non-positive eigenvalues are ignored.
Whitening is not well defined when the point to be whitened
does not lie in the span of the columns of the covariance matrix. The
convention taken here is to treat the inverse square root of
non-positive eigenvalues as zeros.

Examples
--------
Prepare a symmetric positive definite covariance matrix ``A`` and a
data point ``x``.

>>> import numpy as np
>>> from scipy import stats
>>> rng = np.random.default_rng()
>>> n = 5
>>> A = rng.random(size=(n, n))
>>> A = A @ A.T  # make the covariance symmetric positive definite
>>> x = rng.random(size=n)

Perform the eigendecomposition of ``A`` and create the `Covariance`
object.

>>> w, v = np.linalg.eigh(A)
>>> cov = stats.Covariance.from_eigendecomposition((w, v))

Compare the functionality of the `Covariance` object against
reference implementations.

>>> res = cov.whiten(x)
>>> ref = x @ (v @ np.diag(w**-0.5))
>>> np.allclose(res, ref)
True
>>> res = cov.log_pdet
>>> ref = np.linalg.slogdet(A)[-1]
>>> np.allclose(res, ref)
True

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