easy_pca.py

import numpy as np
from matplotlib import pyplot as plt

mean = [0, 0]
cov  = [[1., .5], [.5, 1.]]
m = 128

X = np.random.multivariate_normal(mean, cov, m)

cov = np.cov(X.T)
eig_val, eig_vec = np.linalg.eigh(cov)

eig_vec[0,:] = eig_vec[0,:] * eig_val[0]
eig_vec[1,:] = eig_vec[1,:] * eig_val[1]

plt.figure(figsize=(8, 8))
plt.plot(X[:,0], X[:,1], 'o')
plt.arrow(mean[0], mean[1], eig_vec[0, 0], eig_vec[0, 1])
plt.arrow(mean[0], mean[1], eig_vec[1, 0], eig_vec[1, 1])
plt.show()