kernelPCA.jl

function kernelPCA(X; α=1.0)
    κ = GaussianKernel(α)
    K = kernelmatrix(κ,X)
    N = size(K)[1]
    In = ones(N,N)./N
    K = K-In*K - K*In + In*K*In

    (D,V) = eig(K)
    Kpc = K*V
    Kpc,D,V
end