Convert array of indices to 1-hot encoded numpy array

Your array a defines the columns of the nonzero elements in the output array. You need to also define the rows and then use fancy indexing:

>>> a = np.array([1, 0, 3])
>>> b = np.zeros((a.size, a.max()+1))
>>> b[np.arange(a.size),a] = 1
>>> b
array([[ 0.,  1.,  0.,  0.],
       [ 1.,  0.,  0.,  0.],
       [ 0.,  0.,  0.,  1.]])

>>> values = [1, 0, 3]
>>> n_values = np.max(values) + 1
>>> np.eye(n_values)[values]
array([[ 0.,  1.,  0.,  0.],
       [ 1.,  0.,  0.,  0.],
       [ 0.,  0.,  0.,  1.]])

In case you are using keras, there is a built in utility for that:

from keras.utils.np_utils import to_categorical   

categorical_labels = to_categorical(int_labels, num_classes=3)

And it does pretty much the same as @YXD's answer (see source-code).