ENH improve numerical stability of orthogonalization in fastica, see s…

…cikit-learn#2735
alimuldal · Jan 10, 2014 · 9c6b89a · rphlypo · Feb 19, 2014 · alimuldal
1 parent b3a9da9
commit 9c6b89a
Showing 1 changed file with 4 additions and 5 deletions.
diff --git a/sklearn/decomposition/fastica_.py b/sklearn/decomposition/fastica_.py
@@ -43,13 +43,12 @@ def _gs_decorrelation(w, W, j):
 
 
 def _sym_decorrelation(W):
-    """ Symmetric decorrelation
+    """ Symmetric decorrelation using SVD
     i.e. W <- (W * W.T) ^{-1/2} * W
     """
-    s, u = linalg.eigh(np.dot(W, W.T))
-    # u (resp. s) contains the eigenvectors (resp. square roots of
-    # the eigenvalues) of W * W.T
-    return np.dot(np.dot(u * (1. / np.sqrt(s)), u.T), W)
+    U, _, Vt = linalg.svd(W, full_matrices=False)
+    W = np.dot(U, Vt)
+    return W
 
 
 def _ica_def(X, tol, g, fun_args, max_iter, w_init):