# Copyright 2020 Erik Härkönen. All rights reserved. # This file is licensed to you under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. You may obtain a copy # of the License at http://www.apache.org/licenses/LICENSE-2.0 # Unless required by applicable law or agreed to in writing, software distributed under # the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR REPRESENTATIONS # OF ANY KIND, either express or implied. See the License for the specific language # governing permissions and limitations under the License. from sklearn.decomposition import FastICA, PCA, IncrementalPCA, MiniBatchSparsePCA, SparsePCA, KernelPCA import fbpca import numpy as np import itertools from types import SimpleNamespace # ICA class ICAEstimator(): def __init__(self, n_components): self.n_components = n_components self.maxiter = 10000 self.whiten = True # ICA: whitening is essential, should not be skipped self.transformer = FastICA(n_components, random_state=0, whiten=self.whiten, max_iter=self.maxiter) self.batch_support = False self.stdev = np.zeros((n_components,)) self.total_var = 0.0 def get_param_str(self): return "ica_c{}{}".format(self.n_components, '_w' if self.whiten else '') def fit(self, X): self.transformer.fit(X) if self.transformer.n_iter_ >= self.maxiter: raise RuntimeError(f'FastICA did not converge (N={X.shape[0]}, it={self.maxiter})') # Normalize components self.transformer.components_ /= np.sqrt(np.sum(self.transformer.components_**2, axis=-1, keepdims=True)) # Save variance for later self.total_var = X.var(axis=0).sum() # Compute projected standard deviations self.stdev = np.dot(self.transformer.components_, X.T).std(axis=1) # Sort components based on explained variance idx = np.argsort(self.stdev)[::-1] self.stdev = self.stdev[idx] self.transformer.components_[:] = self.transformer.components_[idx] def get_components(self): var_ratio = self.stdev**2 / self.total_var return self.transformer.components_, self.stdev, var_ratio # ICA outputs are not normalized # Incremental PCA class IPCAEstimator(): def __init__(self, n_components): self.n_components = n_components self.whiten = False self.transformer = IncrementalPCA(n_components, whiten=self.whiten, batch_size=max(100, 2*n_components)) self.batch_support = True def get_param_str(self): return "ipca_c{}{}".format(self.n_components, '_w' if self.whiten else '') def fit(self, X): self.transformer.fit(X) def fit_partial(self, X): try: self.transformer.partial_fit(X) self.transformer.n_samples_seen_ = \ self.transformer.n_samples_seen_.astype(np.int64) # avoid overflow return True except ValueError as e: print(f'\nIPCA error:', e) return False def get_components(self): stdev = np.sqrt(self.transformer.explained_variance_) # already sorted var_ratio = self.transformer.explained_variance_ratio_ return self.transformer.components_, stdev, var_ratio # PCA outputs are normalized # Standard PCA class PCAEstimator(): def __init__(self, n_components): self.n_components = n_components self.solver = 'full' self.transformer = PCA(n_components, svd_solver=self.solver) self.batch_support = False def get_param_str(self): return f"pca-{self.solver}_c{self.n_components}" def fit(self, X): self.transformer.fit(X) # Save variance for later self.total_var = X.var(axis=0).sum() # Compute projected standard deviations self.stdev = np.dot(self.transformer.components_, X.T).std(axis=1) # Sort components based on explained variance idx = np.argsort(self.stdev)[::-1] self.stdev = self.stdev[idx] self.transformer.components_[:] = self.transformer.components_[idx] # Check orthogonality dotps = [np.dot(*self.transformer.components_[[i, j]]) for (i, j) in itertools.combinations(range(self.n_components), 2)] if not np.allclose(dotps, 0, atol=1e-4): print('IPCA components not orghogonal, max dot', np.abs(dotps).max()) self.transformer.mean_ = X.mean(axis=0, keepdims=True) def get_components(self): var_ratio = self.stdev**2 / self.total_var return self.transformer.components_, self.stdev, var_ratio # Facebook's PCA # Good default choice: very fast and accurate. # Very high sample counts won't fit into RAM, # in which case IncrementalPCA must be used. class FacebookPCAEstimator(): def __init__(self, n_components): self.n_components = n_components self.transformer = SimpleNamespace() self.batch_support = False self.n_iter = 2 self.l = 2*self.n_components def get_param_str(self): return "fbpca_c{}_it{}_l{}".format(self.n_components, self.n_iter, self.l) def fit(self, X): U, s, Va = fbpca.pca(X, k=self.n_components, n_iter=self.n_iter, raw=True, l=self.l) self.transformer.components_ = Va # Save variance for later self.total_var = X.var(axis=0).sum() # Compute projected standard deviations self.stdev = np.dot(self.transformer.components_, X.T).std(axis=1) # Sort components based on explained variance idx = np.argsort(self.stdev)[::-1] self.stdev = self.stdev[idx] self.transformer.components_[:] = self.transformer.components_[idx] # Check orthogonality dotps = [np.dot(*self.transformer.components_[[i, j]]) for (i, j) in itertools.combinations(range(self.n_components), 2)] if not np.allclose(dotps, 0, atol=1e-4): print('FBPCA components not orghogonal, max dot', np.abs(dotps).max()) self.transformer.mean_ = X.mean(axis=0, keepdims=True) def get_components(self): var_ratio = self.stdev**2 / self.total_var return self.transformer.components_, self.stdev, var_ratio # Sparse PCA # The algorithm is online along the features direction, not the samples direction # => no partial_fit class SPCAEstimator(): def __init__(self, n_components, alpha=10.0): self.n_components = n_components self.whiten = False self.alpha = alpha # higher alpha => sparser components #self.transformer = MiniBatchSparsePCA(n_components, alpha=alpha, n_iter=100, # batch_size=max(20, n_components//5), random_state=0, normalize_components=True) self.transformer = SparsePCA(n_components, alpha=alpha, ridge_alpha=0.01, max_iter=100, random_state=0, n_jobs=-1, normalize_components=True) # TODO: warm start using PCA result? self.batch_support = False # maybe through memmap and HDD-stored tensor self.stdev = np.zeros((n_components,)) self.total_var = 0.0 def get_param_str(self): return "spca_c{}_a{}{}".format(self.n_components, self.alpha, '_w' if self.whiten else '') def fit(self, X): self.transformer.fit(X) # Save variance for later self.total_var = X.var(axis=0).sum() # Compute projected standard deviations # NB: cannot simply project with dot product! self.stdev = self.transformer.transform(X).std(axis=0) # X = (n_samples, n_features) # Sort components based on explained variance idx = np.argsort(self.stdev)[::-1] self.stdev = self.stdev[idx] self.transformer.components_[:] = self.transformer.components_[idx] # Check orthogonality dotps = [np.dot(*self.transformer.components_[[i, j]]) for (i, j) in itertools.combinations(range(self.n_components), 2)] if not np.allclose(dotps, 0, atol=1e-4): print('SPCA components not orghogonal, max dot', np.abs(dotps).max()) def get_components(self): var_ratio = self.stdev**2 / self.total_var return self.transformer.components_, self.stdev, var_ratio # SPCA outputs are normalized def get_estimator(name, n_components, alpha): if name == 'pca': return PCAEstimator(n_components) if name == 'ipca': return IPCAEstimator(n_components) elif name == 'fbpca': return FacebookPCAEstimator(n_components) elif name == 'ica': return ICAEstimator(n_components) elif name == 'spca': return SPCAEstimator(n_components, alpha) else: raise RuntimeError('Unknown estimator')