StackOverflow示例，使用scipy的svd进行PCA：

#!/usr/bin/env python
# -*- coding: utf-8 -*-
'''
ref:
http://stackoverflow.com/questions/1730600/principal-
component-analysis-in-python
'''
import numpy as np
from scipy.linalg import svd
from scipy.misc import lena
import matplotlib.pyplot as plt

# the underlying signal is a sinusoidally modulated image
img = lena()
t = np.arange(30)
time = np.sin(0.1*t)
real = time[:,np.newaxis,np.newaxis]*np.repeat(img[np.newaxis,...],30,axis=0)

noisy = real + np.random.randn(*real.shape)*255

# types*observations matrix
M = noisy.reshape(noisy.shape,-1).T

# singular value decomposition factorises your data matrix such that
#
#   M = U*S*V.T     (where '*' is matrix multiplication)
#
# U and V are the singular matrices, containing orthogonal vectors of
# unit length in their rows and columns respectively. S is a diagonal
# matrix containing the singular values of M - these values squared will
# give the proportional variance explained by each PC. since U and V
# both contain orthogonal vectors, U*V.T is a whitened version of M.
U,s,Vt = svd(M,full_matrices=False)
V = Vt.T

# sort the PCs by descending order of the singular values (i.e. by the
# proportion of total variance they explain)
ind = np.argsort(s)[::-1]
print 'ind=', ind
U = U[:,ind]
s = s[ind]
V = V[:,ind]

# if we use all of the PCs we can reconstruct the noisy signal perfectly
S = np.diag(s)
Mhat = np.dot(U,np.dot(S,V.T))
print "Using all PCs, MSE = %.6G" %(np.mean((M-Mhat)**2))

# if we use only the first 15 PCs the reconstruction is less accurate
Mhat2 = np.dot(U[:,:15],np.dot(S[:15,:15],V[:,:15].T))
print "Using first 15 PCs, MSE = %.6G" %(np.mean((M-Mhat2)**2))

fig,[ax1,ax2,ax3] = plt.subplots(1,3)
ax1.imshow(img)
ax1.set_title('true image')
ax2.imshow(noisy.mean(0))
ax2.set_title('mean of noisy images')
ax3.imshow(U[:,0].reshape(img.shape))
ax3.set_title('first spatial PC')
plt.show()