stat: test that principal vectors are orthonormal
MODIFY
stat/pca_test.go
stat/pca_test.go
@@ -180,6 +180,18 @@ tests:
t.Errorf("%d use %d: unexpected variance result got:%v, want:%v",
i, j, vars, test.wantVars)
}
+
+ // Check that the set of principal vectors is
+ // orthonormal by comparing V^T*V to the identity matrix.
+ I := mat.NewDiagonal(c, nil)
+ for k := 0; k < c; k++ {
+ I.SetSymBand(k, k, 1)
+ }
+ var vv mat.Dense
+ vv.Mul(vecs.T(), vecs)
+ if !mat.EqualApprox(&vv, I, test.epsilon) {
+ t.Errorf("%d use %d: vectors not orthonormal\n%v", i, j, mat.Formatted(I))
+ }
}
}
}

stat: test that principal vectors are orthonormal