perform varimax rotation in python using numpy

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南笙
南笙 2021-02-13 15:15

I am working on principal component analysis of a matrix. I have already found the component matrix shown below

A = np.array([[-0.73465832 -0.24819766 -0.3204505         


        
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  •  栀梦
    栀梦 (楼主)
    2021-02-13 15:55

    Wikipedia has an example in python here!

    Lifting the example and tailoring it for numpy:

    from numpy import eye, asarray, dot, sum, diag
    from numpy.linalg import svd
    def varimax(Phi, gamma = 1.0, q = 20, tol = 1e-6):
        p,k = Phi.shape
        R = eye(k)
        d=0
        for i in xrange(q):
            d_old = d
            Lambda = dot(Phi, R)
            u,s,vh = svd(dot(Phi.T,asarray(Lambda)**3 - (gamma/p) * dot(Lambda, diag(diag(dot(Lambda.T,Lambda))))))
            R = dot(u,vh)
            d = sum(s)
            if d_old!=0 and d/d_old < 1 + tol: break
        return dot(Phi, R)
    

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