eigenvalue_decomposition

menpo.math.eigenvalue_decomposition(S, eps=1e-10)[source]

Eigenvalue decomposition of a given covariance (or scatter) matrix.

Parameters:
  • S ((N, N) ndarray) – Covariance/Scatter matrix
  • eps (float, optional) –

    Small value to be used for the tolerance limit computation. The final limit is computed as

    limit = np.max(np.abs(eigenvalues)) * eps
Returns:

  • pos_eigenvectors ((N, p) ndarray) – The matrix with the eigenvectors corresponding to positive eigenvalues.
  • pos_eigenvalues ((p,) ndarray) – The array of positive eigenvalues.