What does the c underscore expression `c_` do exactly?

Use IPython’s ? syntax to get more information:

In [2]: c_?
Type:       CClass
Base Class: <class 'numpy.lib.index_tricks.CClass'>
String Form:<numpy.lib.index_tricks.CClass object at 0x9a848cc>
Namespace:  Interactive
Length:     0
File:       /usr/lib/python2.7/dist-packages/numpy/lib/index_tricks.py
Translates slice objects to concatenation along the second axis.

This is short-hand for ``np.r_['-1,2,0', index expression]``, which is
useful because of its common occurrence. In particular, arrays will be
stacked along their last axis after being upgraded to at least 2-D with
1's post-pended to the shape (column vectors made out of 1-D arrays).

For detailed documentation, see `r_`.

>>> np.c_[np.array([[1,2,3]]), 0, 0, np.array([[4,5,6]])]
array([[1, 2, 3, 0, 0, 4, 5, 6]])

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