[Numpy-discussion] performance matrix multiplication vs. matlab

[David Warde-Farley]

On 8-Jun-09, at 1:17 AM, David Cournapeau wrote:

> I would not be surprised if David had this paper in mind :)
>
> http://www.cs.toronto.edu/~roweis/papers/empca.pdf

Right you are :)

There is a slight trick to it, though, in that it won't produce an  
orthogonal basis on its own, just something that spans that principal  
subspace. So you typically have to at least extract the first PC  
independently to uniquely orient your basis. You can then either  
subtract off the projection of the data on the 1st PC and find the  
next one, one at at time, or extract a spanning set all at once and  
orthogonalize with respect to the first PC.

David