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erogol/svd_whiten.py

Created November 19, 2014 16:28
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svd based whitining
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svd_whiten.py
def svd_whiten(X):
U, s, Vt = np.linalg.svd(X)
# U and Vt are the singular matrices, and s contains the singular values.
# Since the rows of both U and Vt are orthonormal vectors, then U * Vt
# will be white
X_white = np.dot(U, Vt)
return X_white
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