Get a sorted matrix of eigen vectors

2015 11 29
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更新时间：2015 11 29
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I have to write a function that takes in X (N*D data matrix) and return eigenvecs a D*D matrix, normalized eigenvectors (with length=1) sorted based on its eigenvalue magnitude (with d-th column corresponds to eigenvector with the d-th biggest eigenvalue).
How can I use eig to solve this problem. eig take sonly square matrix but X here id N*D

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回答（1 个）

Tushar Aggarwal
Tushar Aggarwal 2015-11-29

0 个投票

Normalize X to have 0 mean
X=X-mean(X(:));
calculate covariance
covx = cov(X);
and then eignvectors and eigenvalue
[a,b] = eig(covx);

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