simple K-L transform algorithm implemented in Octave

KLTransform.m

function Y=KLTransform(X, d)

[sampleNum, featureNum] = size(X);
m = mean(X);
for i = 1:sampleNum 
    X(i,:) = X(i,:) - m;
end
C = cov(X);
[V, D] = eig(C);
S = [diag(D), V];
S = sortrows(S, -1);
S = S(1:d, 2:end);
Y = (S*X')';

end