Principle Component Analysis in Python

Author: Jeremy Stober
Contact: [email protected]
Version: 0.1

This is PCA for cases where sample size is much smaller than the
dimensionality of the thing being sampled (e.g. Eigenfaces). There are
two versions of the main compute_pca function. One is pure Python and
not necessarily memory efficient (due in part to the strange memory
inefficiency of large np.dot operations and the fact that no
operations are done inplace. There is a faster, more efficient in
place version (which replaces the input samples with PCs) that is
coded using Cython.