first commit

This commit is contained in:
Carla Floricel
2022-08-02 09:52:52 -04:00
parent 417ea8660b
commit 05e52aa52b
10444 changed files with 2300232 additions and 0 deletions

View File

@@ -0,0 +1,53 @@
"""
The :mod:`sklearn.decomposition` module includes matrix decomposition
algorithms, including among others PCA, NMF or ICA. Most of the algorithms of
this module can be regarded as dimensionality reduction techniques.
"""
from ._nmf import (
NMF,
MiniBatchNMF,
non_negative_factorization,
)
from ._pca import PCA
from ._incremental_pca import IncrementalPCA
from ._kernel_pca import KernelPCA
from ._sparse_pca import SparsePCA, MiniBatchSparsePCA
from ._truncated_svd import TruncatedSVD
from ._fastica import FastICA, fastica
from ._dict_learning import (
dict_learning,
dict_learning_online,
sparse_encode,
DictionaryLearning,
MiniBatchDictionaryLearning,
SparseCoder,
)
from ._factor_analysis import FactorAnalysis
from ..utils.extmath import randomized_svd
from ._lda import LatentDirichletAllocation
__all__ = [
"DictionaryLearning",
"FastICA",
"IncrementalPCA",
"KernelPCA",
"MiniBatchDictionaryLearning",
"MiniBatchNMF",
"MiniBatchSparsePCA",
"NMF",
"PCA",
"SparseCoder",
"SparsePCA",
"dict_learning",
"dict_learning_online",
"fastica",
"non_negative_factorization",
"randomized_svd",
"sparse_encode",
"FactorAnalysis",
"TruncatedSVD",
"LatentDirichletAllocation",
]

View File

@@ -0,0 +1,164 @@
"""Principal Component Analysis Base Classes"""
# Author: Alexandre Gramfort <alexandre.gramfort@inria.fr>
# Olivier Grisel <olivier.grisel@ensta.org>
# Mathieu Blondel <mathieu@mblondel.org>
# Denis A. Engemann <denis-alexander.engemann@inria.fr>
# Kyle Kastner <kastnerkyle@gmail.com>
#
# License: BSD 3 clause
import numpy as np
from scipy import linalg
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..utils.validation import check_is_fitted
from abc import ABCMeta, abstractmethod
class _BasePCA(
_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator, metaclass=ABCMeta
):
"""Base class for PCA methods.
Warning: This class should not be used directly.
Use derived classes instead.
"""
def get_covariance(self):
"""Compute data covariance with the generative model.
``cov = components_.T * S**2 * components_ + sigma2 * eye(n_features)``
where S**2 contains the explained variances, and sigma2 contains the
noise variances.
Returns
-------
cov : array of shape=(n_features, n_features)
Estimated covariance of data.
"""
components_ = self.components_
exp_var = self.explained_variance_
if self.whiten:
components_ = components_ * np.sqrt(exp_var[:, np.newaxis])
exp_var_diff = np.maximum(exp_var - self.noise_variance_, 0.0)
cov = np.dot(components_.T * exp_var_diff, components_)
cov.flat[:: len(cov) + 1] += self.noise_variance_ # modify diag inplace
return cov
def get_precision(self):
"""Compute data precision matrix with the generative model.
Equals the inverse of the covariance but computed with
the matrix inversion lemma for efficiency.
Returns
-------
precision : array, shape=(n_features, n_features)
Estimated precision of data.
"""
n_features = self.components_.shape[1]
# handle corner cases first
if self.n_components_ == 0:
return np.eye(n_features) / self.noise_variance_
if np.isclose(self.noise_variance_, 0.0, atol=0.0):
return linalg.inv(self.get_covariance())
# Get precision using matrix inversion lemma
components_ = self.components_
exp_var = self.explained_variance_
if self.whiten:
components_ = components_ * np.sqrt(exp_var[:, np.newaxis])
exp_var_diff = np.maximum(exp_var - self.noise_variance_, 0.0)
precision = np.dot(components_, components_.T) / self.noise_variance_
precision.flat[:: len(precision) + 1] += 1.0 / exp_var_diff
precision = np.dot(components_.T, np.dot(linalg.inv(precision), components_))
precision /= -(self.noise_variance_**2)
precision.flat[:: len(precision) + 1] += 1.0 / self.noise_variance_
return precision
@abstractmethod
def fit(self, X, y=None):
"""Placeholder for fit. Subclasses should implement this method!
Fit the model with X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples and
`n_features` is the number of features.
Returns
-------
self : object
Returns the instance itself.
"""
def transform(self, X):
"""Apply dimensionality reduction to X.
X is projected on the first principal components previously extracted
from a training set.
Parameters
----------
X : array-like of shape (n_samples, n_features)
New data, where `n_samples` is the number of samples
and `n_features` is the number of features.
Returns
-------
X_new : array-like of shape (n_samples, n_components)
Projection of X in the first principal components, where `n_samples`
is the number of samples and `n_components` is the number of the components.
"""
check_is_fitted(self)
X = self._validate_data(X, dtype=[np.float64, np.float32], reset=False)
if self.mean_ is not None:
X = X - self.mean_
X_transformed = np.dot(X, self.components_.T)
if self.whiten:
X_transformed /= np.sqrt(self.explained_variance_)
return X_transformed
def inverse_transform(self, X):
"""Transform data back to its original space.
In other words, return an input `X_original` whose transform would be X.
Parameters
----------
X : array-like of shape (n_samples, n_components)
New data, where `n_samples` is the number of samples
and `n_components` is the number of components.
Returns
-------
X_original array-like of shape (n_samples, n_features)
Original data, where `n_samples` is the number of samples
and `n_features` is the number of features.
Notes
-----
If whitening is enabled, inverse_transform will compute the
exact inverse operation, which includes reversing whitening.
"""
if self.whiten:
return (
np.dot(
X,
np.sqrt(self.explained_variance_[:, np.newaxis]) * self.components_,
)
+ self.mean_
)
else:
return np.dot(X, self.components_) + self.mean_
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]

View File

@@ -0,0 +1,456 @@
"""Factor Analysis.
A latent linear variable model.
FactorAnalysis is similar to probabilistic PCA implemented by PCA.score
While PCA assumes Gaussian noise with the same variance for each
feature, the FactorAnalysis model assumes different variances for
each of them.
This implementation is based on David Barber's Book,
Bayesian Reasoning and Machine Learning,
http://www.cs.ucl.ac.uk/staff/d.barber/brml,
Algorithm 21.1
"""
# Author: Christian Osendorfer <osendorf@gmail.com>
# Alexandre Gramfort <alexandre.gramfort@inria.fr>
# Denis A. Engemann <denis-alexander.engemann@inria.fr>
# License: BSD3
import warnings
from math import sqrt, log
import numpy as np
from scipy import linalg
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..utils import check_random_state
from ..utils.extmath import fast_logdet, randomized_svd, squared_norm
from ..utils.validation import check_is_fitted
from ..exceptions import ConvergenceWarning
class FactorAnalysis(_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator):
"""Factor Analysis (FA).
A simple linear generative model with Gaussian latent variables.
The observations are assumed to be caused by a linear transformation of
lower dimensional latent factors and added Gaussian noise.
Without loss of generality the factors are distributed according to a
Gaussian with zero mean and unit covariance. The noise is also zero mean
and has an arbitrary diagonal covariance matrix.
If we would restrict the model further, by assuming that the Gaussian
noise is even isotropic (all diagonal entries are the same) we would obtain
:class:`PPCA`.
FactorAnalysis performs a maximum likelihood estimate of the so-called
`loading` matrix, the transformation of the latent variables to the
observed ones, using SVD based approach.
Read more in the :ref:`User Guide <FA>`.
.. versionadded:: 0.13
Parameters
----------
n_components : int, default=None
Dimensionality of latent space, the number of components
of ``X`` that are obtained after ``transform``.
If None, n_components is set to the number of features.
tol : float, default=1e-2
Stopping tolerance for log-likelihood increase.
copy : bool, default=True
Whether to make a copy of X. If ``False``, the input X gets overwritten
during fitting.
max_iter : int, default=1000
Maximum number of iterations.
noise_variance_init : ndarray of shape (n_features,), default=None
The initial guess of the noise variance for each feature.
If None, it defaults to np.ones(n_features).
svd_method : {'lapack', 'randomized'}, default='randomized'
Which SVD method to use. If 'lapack' use standard SVD from
scipy.linalg, if 'randomized' use fast ``randomized_svd`` function.
Defaults to 'randomized'. For most applications 'randomized' will
be sufficiently precise while providing significant speed gains.
Accuracy can also be improved by setting higher values for
`iterated_power`. If this is not sufficient, for maximum precision
you should choose 'lapack'.
iterated_power : int, default=3
Number of iterations for the power method. 3 by default. Only used
if ``svd_method`` equals 'randomized'.
rotation : {'varimax', 'quartimax'}, default=None
If not None, apply the indicated rotation. Currently, varimax and
quartimax are implemented. See
`"The varimax criterion for analytic rotation in factor analysis"
<https://link.springer.com/article/10.1007%2FBF02289233>`_
H. F. Kaiser, 1958.
.. versionadded:: 0.24
random_state : int or RandomState instance, default=0
Only used when ``svd_method`` equals 'randomized'. Pass an int for
reproducible results across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Components with maximum variance.
loglike_ : list of shape (n_iterations,)
The log likelihood at each iteration.
noise_variance_ : ndarray of shape (n_features,)
The estimated noise variance for each feature.
n_iter_ : int
Number of iterations run.
mean_ : ndarray of shape (n_features,)
Per-feature empirical mean, estimated from the training set.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
PCA: Principal component analysis is also a latent linear variable model
which however assumes equal noise variance for each feature.
This extra assumption makes probabilistic PCA faster as it can be
computed in closed form.
FastICA: Independent component analysis, a latent variable model with
non-Gaussian latent variables.
References
----------
- David Barber, Bayesian Reasoning and Machine Learning,
Algorithm 21.1.
- Christopher M. Bishop: Pattern Recognition and Machine Learning,
Chapter 12.2.4.
Examples
--------
>>> from sklearn.datasets import load_digits
>>> from sklearn.decomposition import FactorAnalysis
>>> X, _ = load_digits(return_X_y=True)
>>> transformer = FactorAnalysis(n_components=7, random_state=0)
>>> X_transformed = transformer.fit_transform(X)
>>> X_transformed.shape
(1797, 7)
"""
def __init__(
self,
n_components=None,
*,
tol=1e-2,
copy=True,
max_iter=1000,
noise_variance_init=None,
svd_method="randomized",
iterated_power=3,
rotation=None,
random_state=0,
):
self.n_components = n_components
self.copy = copy
self.tol = tol
self.max_iter = max_iter
self.svd_method = svd_method
self.noise_variance_init = noise_variance_init
self.iterated_power = iterated_power
self.random_state = random_state
self.rotation = rotation
def fit(self, X, y=None):
"""Fit the FactorAnalysis model to X using SVD based approach.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data.
y : Ignored
Ignored parameter.
Returns
-------
self : object
FactorAnalysis class instance.
"""
if self.svd_method not in ["lapack", "randomized"]:
raise ValueError(
f"SVD method {self.svd_method!r} is not supported. Possible methods "
"are either 'lapack' or 'randomized'."
)
X = self._validate_data(X, copy=self.copy, dtype=np.float64)
n_samples, n_features = X.shape
n_components = self.n_components
if n_components is None:
n_components = n_features
self.mean_ = np.mean(X, axis=0)
X -= self.mean_
# some constant terms
nsqrt = sqrt(n_samples)
llconst = n_features * log(2.0 * np.pi) + n_components
var = np.var(X, axis=0)
if self.noise_variance_init is None:
psi = np.ones(n_features, dtype=X.dtype)
else:
if len(self.noise_variance_init) != n_features:
raise ValueError(
"noise_variance_init dimension does not "
"with number of features : %d != %d"
% (len(self.noise_variance_init), n_features)
)
psi = np.array(self.noise_variance_init)
loglike = []
old_ll = -np.inf
SMALL = 1e-12
# we'll modify svd outputs to return unexplained variance
# to allow for unified computation of loglikelihood
if self.svd_method == "lapack":
def my_svd(X):
_, s, Vt = linalg.svd(X, full_matrices=False, check_finite=False)
return (
s[:n_components],
Vt[:n_components],
squared_norm(s[n_components:]),
)
elif self.svd_method == "randomized":
random_state = check_random_state(self.random_state)
def my_svd(X):
_, s, Vt = randomized_svd(
X,
n_components,
random_state=random_state,
n_iter=self.iterated_power,
)
return s, Vt, squared_norm(X) - squared_norm(s)
else:
raise ValueError(
"SVD method %s is not supported. Please consider the documentation"
% self.svd_method
)
for i in range(self.max_iter):
# SMALL helps numerics
sqrt_psi = np.sqrt(psi) + SMALL
s, Vt, unexp_var = my_svd(X / (sqrt_psi * nsqrt))
s **= 2
# Use 'maximum' here to avoid sqrt problems.
W = np.sqrt(np.maximum(s - 1.0, 0.0))[:, np.newaxis] * Vt
del Vt
W *= sqrt_psi
# loglikelihood
ll = llconst + np.sum(np.log(s))
ll += unexp_var + np.sum(np.log(psi))
ll *= -n_samples / 2.0
loglike.append(ll)
if (ll - old_ll) < self.tol:
break
old_ll = ll
psi = np.maximum(var - np.sum(W**2, axis=0), SMALL)
else:
warnings.warn(
"FactorAnalysis did not converge."
+ " You might want"
+ " to increase the number of iterations.",
ConvergenceWarning,
)
self.components_ = W
if self.rotation is not None:
self.components_ = self._rotate(W)
self.noise_variance_ = psi
self.loglike_ = loglike
self.n_iter_ = i + 1
return self
def transform(self, X):
"""Apply dimensionality reduction to X using the model.
Compute the expected mean of the latent variables.
See Barber, 21.2.33 (or Bishop, 12.66).
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
The latent variables of X.
"""
check_is_fitted(self)
X = self._validate_data(X, reset=False)
Ih = np.eye(len(self.components_))
X_transformed = X - self.mean_
Wpsi = self.components_ / self.noise_variance_
cov_z = linalg.inv(Ih + np.dot(Wpsi, self.components_.T))
tmp = np.dot(X_transformed, Wpsi.T)
X_transformed = np.dot(tmp, cov_z)
return X_transformed
def get_covariance(self):
"""Compute data covariance with the FactorAnalysis model.
``cov = components_.T * components_ + diag(noise_variance)``
Returns
-------
cov : ndarray of shape (n_features, n_features)
Estimated covariance of data.
"""
check_is_fitted(self)
cov = np.dot(self.components_.T, self.components_)
cov.flat[:: len(cov) + 1] += self.noise_variance_ # modify diag inplace
return cov
def get_precision(self):
"""Compute data precision matrix with the FactorAnalysis model.
Returns
-------
precision : ndarray of shape (n_features, n_features)
Estimated precision of data.
"""
check_is_fitted(self)
n_features = self.components_.shape[1]
# handle corner cases first
if self.n_components == 0:
return np.diag(1.0 / self.noise_variance_)
if self.n_components == n_features:
return linalg.inv(self.get_covariance())
# Get precision using matrix inversion lemma
components_ = self.components_
precision = np.dot(components_ / self.noise_variance_, components_.T)
precision.flat[:: len(precision) + 1] += 1.0
precision = np.dot(components_.T, np.dot(linalg.inv(precision), components_))
precision /= self.noise_variance_[:, np.newaxis]
precision /= -self.noise_variance_[np.newaxis, :]
precision.flat[:: len(precision) + 1] += 1.0 / self.noise_variance_
return precision
def score_samples(self, X):
"""Compute the log-likelihood of each sample.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
The data.
Returns
-------
ll : ndarray of shape (n_samples,)
Log-likelihood of each sample under the current model.
"""
check_is_fitted(self)
X = self._validate_data(X, reset=False)
Xr = X - self.mean_
precision = self.get_precision()
n_features = X.shape[1]
log_like = -0.5 * (Xr * (np.dot(Xr, precision))).sum(axis=1)
log_like -= 0.5 * (n_features * log(2.0 * np.pi) - fast_logdet(precision))
return log_like
def score(self, X, y=None):
"""Compute the average log-likelihood of the samples.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
The data.
y : Ignored
Ignored parameter.
Returns
-------
ll : float
Average log-likelihood of the samples under the current model.
"""
return np.mean(self.score_samples(X))
def _rotate(self, components, n_components=None, tol=1e-6):
"Rotate the factor analysis solution."
# note that tol is not exposed
implemented = ("varimax", "quartimax")
method = self.rotation
if method in implemented:
return _ortho_rotation(components.T, method=method, tol=tol)[
: self.n_components
]
else:
raise ValueError("'method' must be in %s, not %s" % (implemented, method))
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]
def _ortho_rotation(components, method="varimax", tol=1e-6, max_iter=100):
"""Return rotated components."""
nrow, ncol = components.shape
rotation_matrix = np.eye(ncol)
var = 0
for _ in range(max_iter):
comp_rot = np.dot(components, rotation_matrix)
if method == "varimax":
tmp = comp_rot * np.transpose((comp_rot**2).sum(axis=0) / nrow)
elif method == "quartimax":
tmp = 0
u, s, v = np.linalg.svd(np.dot(components.T, comp_rot**3 - tmp))
rotation_matrix = np.dot(u, v)
var_new = np.sum(s)
if var != 0 and var_new < var * (1 + tol):
break
var = var_new
return np.dot(components, rotation_matrix).T

View File

@@ -0,0 +1,735 @@
"""
Python implementation of the fast ICA algorithms.
Reference: Tables 8.3 and 8.4 page 196 in the book:
Independent Component Analysis, by Hyvarinen et al.
"""
# Authors: Pierre Lafaye de Micheaux, Stefan van der Walt, Gael Varoquaux,
# Bertrand Thirion, Alexandre Gramfort, Denis A. Engemann
# License: BSD 3 clause
import warnings
import numpy as np
from scipy import linalg
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..exceptions import ConvergenceWarning
from ..utils import check_array, as_float_array, check_random_state
from ..utils.validation import check_is_fitted
__all__ = ["fastica", "FastICA"]
def _gs_decorrelation(w, W, j):
"""
Orthonormalize w wrt the first j rows of W.
Parameters
----------
w : ndarray of shape (n,)
Array to be orthogonalized
W : ndarray of shape (p, n)
Null space definition
j : int < p
The no of (from the first) rows of Null space W wrt which w is
orthogonalized.
Notes
-----
Assumes that W is orthogonal
w changed in place
"""
w -= np.linalg.multi_dot([w, W[:j].T, W[:j]])
return w
def _sym_decorrelation(W):
"""Symmetric decorrelation
i.e. W <- (W * W.T) ^{-1/2} * W
"""
s, u = linalg.eigh(np.dot(W, W.T))
# Avoid sqrt of negative values because of rounding errors. Note that
# np.sqrt(tiny) is larger than tiny and therefore this clipping also
# prevents division by zero in the next step.
s = np.clip(s, a_min=np.finfo(W.dtype).tiny, a_max=None)
# u (resp. s) contains the eigenvectors (resp. square roots of
# the eigenvalues) of W * W.T
return np.linalg.multi_dot([u * (1.0 / np.sqrt(s)), u.T, W])
def _ica_def(X, tol, g, fun_args, max_iter, w_init):
"""Deflationary FastICA using fun approx to neg-entropy function
Used internally by FastICA.
"""
n_components = w_init.shape[0]
W = np.zeros((n_components, n_components), dtype=X.dtype)
n_iter = []
# j is the index of the extracted component
for j in range(n_components):
w = w_init[j, :].copy()
w /= np.sqrt((w**2).sum())
for i in range(max_iter):
gwtx, g_wtx = g(np.dot(w.T, X), fun_args)
w1 = (X * gwtx).mean(axis=1) - g_wtx.mean() * w
_gs_decorrelation(w1, W, j)
w1 /= np.sqrt((w1**2).sum())
lim = np.abs(np.abs((w1 * w).sum()) - 1)
w = w1
if lim < tol:
break
n_iter.append(i + 1)
W[j, :] = w
return W, max(n_iter)
def _ica_par(X, tol, g, fun_args, max_iter, w_init):
"""Parallel FastICA.
Used internally by FastICA --main loop
"""
W = _sym_decorrelation(w_init)
del w_init
p_ = float(X.shape[1])
for ii in range(max_iter):
gwtx, g_wtx = g(np.dot(W, X), fun_args)
W1 = _sym_decorrelation(np.dot(gwtx, X.T) / p_ - g_wtx[:, np.newaxis] * W)
del gwtx, g_wtx
# builtin max, abs are faster than numpy counter parts.
lim = max(abs(abs(np.diag(np.dot(W1, W.T))) - 1))
W = W1
if lim < tol:
break
else:
warnings.warn(
"FastICA did not converge. Consider increasing "
"tolerance or the maximum number of iterations.",
ConvergenceWarning,
)
return W, ii + 1
# Some standard non-linear functions.
# XXX: these should be optimized, as they can be a bottleneck.
def _logcosh(x, fun_args=None):
alpha = fun_args.get("alpha", 1.0) # comment it out?
x *= alpha
gx = np.tanh(x, x) # apply the tanh inplace
g_x = np.empty(x.shape[0], dtype=x.dtype)
# XXX compute in chunks to avoid extra allocation
for i, gx_i in enumerate(gx): # please don't vectorize.
g_x[i] = (alpha * (1 - gx_i**2)).mean()
return gx, g_x
def _exp(x, fun_args):
exp = np.exp(-(x**2) / 2)
gx = x * exp
g_x = (1 - x**2) * exp
return gx, g_x.mean(axis=-1)
def _cube(x, fun_args):
return x**3, (3 * x**2).mean(axis=-1)
def fastica(
X,
n_components=None,
*,
algorithm="parallel",
whiten="warn",
fun="logcosh",
fun_args=None,
max_iter=200,
tol=1e-04,
w_init=None,
random_state=None,
return_X_mean=False,
compute_sources=True,
return_n_iter=False,
):
"""Perform Fast Independent Component Analysis.
The implementation is based on [1]_.
Read more in the :ref:`User Guide <ICA>`.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples and
`n_features` is the number of features.
n_components : int, default=None
Number of components to extract. If None no dimension reduction
is performed.
algorithm : {'parallel', 'deflation'}, default='parallel'
Apply a parallel or deflational FASTICA algorithm.
whiten : str or bool, default="warn"
Specify the whitening strategy to use.
If 'arbitrary-variance' (default), a whitening with variance arbitrary is used.
If 'unit-variance', the whitening matrix is rescaled to ensure that each
recovered source has unit variance.
If False, the data is already considered to be whitened, and no
whitening is performed.
.. deprecated:: 1.1
From version 1.3, `whiten='unit-variance'` will be used by default.
`whiten=True` is deprecated from 1.1 and will raise ValueError in 1.3.
Use `whiten=arbitrary-variance` instead.
fun : {'logcosh', 'exp', 'cube'} or callable, default='logcosh'
The functional form of the G function used in the
approximation to neg-entropy. Could be either 'logcosh', 'exp',
or 'cube'.
You can also provide your own function. It should return a tuple
containing the value of the function, and of its derivative, in the
point. The derivative should be averaged along its last dimension.
Example:
def my_g(x):
return x ** 3, np.mean(3 * x ** 2, axis=-1)
fun_args : dict, default=None
Arguments to send to the functional form.
If empty or None and if fun='logcosh', fun_args will take value
{'alpha' : 1.0}.
max_iter : int, default=200
Maximum number of iterations to perform.
tol : float, default=1e-04
A positive scalar giving the tolerance at which the
un-mixing matrix is considered to have converged.
w_init : ndarray of shape (n_components, n_components), default=None
Initial un-mixing array of dimension (n.comp,n.comp).
If None (default) then an array of normal r.v.'s is used.
random_state : int, RandomState instance or None, default=None
Used to initialize ``w_init`` when not specified, with a
normal distribution. Pass an int, for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
return_X_mean : bool, default=False
If True, X_mean is returned too.
compute_sources : bool, default=True
If False, sources are not computed, but only the rotation matrix.
This can save memory when working with big data. Defaults to True.
return_n_iter : bool, default=False
Whether or not to return the number of iterations.
Returns
-------
K : ndarray of shape (n_components, n_features) or None
If whiten is 'True', K is the pre-whitening matrix that projects data
onto the first n_components principal components. If whiten is 'False',
K is 'None'.
W : ndarray of shape (n_components, n_components)
The square matrix that unmixes the data after whitening.
The mixing matrix is the pseudo-inverse of matrix ``W K``
if K is not None, else it is the inverse of W.
S : ndarray of shape (n_samples, n_components) or None
Estimated source matrix.
X_mean : ndarray of shape (n_features,)
The mean over features. Returned only if return_X_mean is True.
n_iter : int
If the algorithm is "deflation", n_iter is the
maximum number of iterations run across all components. Else
they are just the number of iterations taken to converge. This is
returned only when return_n_iter is set to `True`.
Notes
-----
The data matrix X is considered to be a linear combination of
non-Gaussian (independent) components i.e. X = AS where columns of S
contain the independent components and A is a linear mixing
matrix. In short ICA attempts to `un-mix' the data by estimating an
un-mixing matrix W where ``S = W K X.``
While FastICA was proposed to estimate as many sources
as features, it is possible to estimate less by setting
n_components < n_features. It this case K is not a square matrix
and the estimated A is the pseudo-inverse of ``W K``.
This implementation was originally made for data of shape
[n_features, n_samples]. Now the input is transposed
before the algorithm is applied. This makes it slightly
faster for Fortran-ordered input.
References
----------
.. [1] A. Hyvarinen and E. Oja, "Fast Independent Component Analysis",
Algorithms and Applications, Neural Networks, 13(4-5), 2000,
pp. 411-430.
"""
est = FastICA(
n_components=n_components,
algorithm=algorithm,
whiten=whiten,
fun=fun,
fun_args=fun_args,
max_iter=max_iter,
tol=tol,
w_init=w_init,
random_state=random_state,
)
S = est._fit(X, compute_sources=compute_sources)
if est._whiten in ["unit-variance", "arbitrary-variance"]:
K = est.whitening_
X_mean = est.mean_
else:
K = None
X_mean = None
returned_values = [K, est._unmixing, S]
if return_X_mean:
returned_values.append(X_mean)
if return_n_iter:
returned_values.append(est.n_iter_)
return returned_values
class FastICA(_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator):
"""FastICA: a fast algorithm for Independent Component Analysis.
The implementation is based on [1]_.
Read more in the :ref:`User Guide <ICA>`.
Parameters
----------
n_components : int, default=None
Number of components to use. If None is passed, all are used.
algorithm : {'parallel', 'deflation'}, default='parallel'
Apply parallel or deflational algorithm for FastICA.
whiten : str or bool, default="warn"
Specify the whitening strategy to use.
If 'arbitrary-variance' (default), a whitening with variance arbitrary is used.
If 'unit-variance', the whitening matrix is rescaled to ensure that each
recovered source has unit variance.
If False, the data is already considered to be whitened, and no
whitening is performed.
.. deprecated:: 1.1
From version 1.3 whiten='unit-variance' will be used by default.
`whiten=True` is deprecated from 1.1 and will raise ValueError in 1.3.
Use `whiten=arbitrary-variance` instead.
fun : {'logcosh', 'exp', 'cube'} or callable, default='logcosh'
The functional form of the G function used in the
approximation to neg-entropy. Could be either 'logcosh', 'exp',
or 'cube'.
You can also provide your own function. It should return a tuple
containing the value of the function, and of its derivative, in the
point. Example::
def my_g(x):
return x ** 3, (3 * x ** 2).mean(axis=-1)
fun_args : dict, default=None
Arguments to send to the functional form.
If empty and if fun='logcosh', fun_args will take value
{'alpha' : 1.0}.
max_iter : int, default=200
Maximum number of iterations during fit.
tol : float, default=1e-4
Tolerance on update at each iteration.
w_init : ndarray of shape (n_components, n_components), default=None
The mixing matrix to be used to initialize the algorithm.
random_state : int, RandomState instance or None, default=None
Used to initialize ``w_init`` when not specified, with a
normal distribution. Pass an int, for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
The linear operator to apply to the data to get the independent
sources. This is equal to the unmixing matrix when ``whiten`` is
False, and equal to ``np.dot(unmixing_matrix, self.whitening_)`` when
``whiten`` is True.
mixing_ : ndarray of shape (n_features, n_components)
The pseudo-inverse of ``components_``. It is the linear operator
that maps independent sources to the data.
mean_ : ndarray of shape(n_features,)
The mean over features. Only set if `self.whiten` is True.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
n_iter_ : int
If the algorithm is "deflation", n_iter is the
maximum number of iterations run across all components. Else
they are just the number of iterations taken to converge.
whitening_ : ndarray of shape (n_components, n_features)
Only set if whiten is 'True'. This is the pre-whitening matrix
that projects data onto the first `n_components` principal components.
See Also
--------
PCA : Principal component analysis (PCA).
IncrementalPCA : Incremental principal components analysis (IPCA).
KernelPCA : Kernel Principal component analysis (KPCA).
MiniBatchSparsePCA : Mini-batch Sparse Principal Components Analysis.
SparsePCA : Sparse Principal Components Analysis (SparsePCA).
References
----------
.. [1] A. Hyvarinen and E. Oja, Independent Component Analysis:
Algorithms and Applications, Neural Networks, 13(4-5), 2000,
pp. 411-430.
Examples
--------
>>> from sklearn.datasets import load_digits
>>> from sklearn.decomposition import FastICA
>>> X, _ = load_digits(return_X_y=True)
>>> transformer = FastICA(n_components=7,
... random_state=0,
... whiten='unit-variance')
>>> X_transformed = transformer.fit_transform(X)
>>> X_transformed.shape
(1797, 7)
"""
def __init__(
self,
n_components=None,
*,
algorithm="parallel",
whiten="warn",
fun="logcosh",
fun_args=None,
max_iter=200,
tol=1e-4,
w_init=None,
random_state=None,
):
super().__init__()
self.n_components = n_components
self.algorithm = algorithm
self.whiten = whiten
self.fun = fun
self.fun_args = fun_args
self.max_iter = max_iter
self.tol = tol
self.w_init = w_init
self.random_state = random_state
def _fit(self, X, compute_sources=False):
"""Fit the model.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples
and `n_features` is the number of features.
compute_sources : bool, default=False
If False, sources are not computes but only the rotation matrix.
This can save memory when working with big data. Defaults to False.
Returns
-------
S : ndarray of shape (n_samples, n_components) or None
Sources matrix. `None` if `compute_sources` is `False`.
"""
self._whiten = self.whiten
if self._whiten == "warn":
warnings.warn(
"From version 1.3 whiten='unit-variance' will be used by default.",
FutureWarning,
)
self._whiten = "arbitrary-variance"
if self._whiten is True:
warnings.warn(
"From version 1.3 whiten=True should be specified as "
"whiten='arbitrary-variance' (its current behaviour). This "
"behavior is deprecated in 1.1 and will raise ValueError in 1.3.",
FutureWarning,
stacklevel=2,
)
self._whiten = "arbitrary-variance"
XT = self._validate_data(
X, copy=self._whiten, dtype=[np.float64, np.float32], ensure_min_samples=2
).T
fun_args = {} if self.fun_args is None else self.fun_args
random_state = check_random_state(self.random_state)
alpha = fun_args.get("alpha", 1.0)
if not 1 <= alpha <= 2:
raise ValueError("alpha must be in [1,2]")
if self.fun == "logcosh":
g = _logcosh
elif self.fun == "exp":
g = _exp
elif self.fun == "cube":
g = _cube
elif callable(self.fun):
def g(x, fun_args):
return self.fun(x, **fun_args)
else:
exc = ValueError if isinstance(self.fun, str) else TypeError
raise exc(
"Unknown function %r;"
" should be one of 'logcosh', 'exp', 'cube' or callable"
% self.fun
)
n_features, n_samples = XT.shape
n_components = self.n_components
if not self._whiten and n_components is not None:
n_components = None
warnings.warn("Ignoring n_components with whiten=False.")
if n_components is None:
n_components = min(n_samples, n_features)
if n_components > min(n_samples, n_features):
n_components = min(n_samples, n_features)
warnings.warn(
"n_components is too large: it will be set to %s" % n_components
)
if self._whiten:
# Centering the features of X
X_mean = XT.mean(axis=-1)
XT -= X_mean[:, np.newaxis]
# Whitening and preprocessing by PCA
u, d, _ = linalg.svd(XT, full_matrices=False, check_finite=False)
del _
K = (u / d).T[:n_components] # see (6.33) p.140
del u, d
X1 = np.dot(K, XT)
# see (13.6) p.267 Here X1 is white and data
# in X has been projected onto a subspace by PCA
X1 *= np.sqrt(n_samples)
else:
# X must be casted to floats to avoid typing issues with numpy
# 2.0 and the line below
X1 = as_float_array(XT, copy=False) # copy has been taken care of
w_init = self.w_init
if w_init is None:
w_init = np.asarray(
random_state.normal(size=(n_components, n_components)), dtype=X1.dtype
)
else:
w_init = np.asarray(w_init)
if w_init.shape != (n_components, n_components):
raise ValueError(
"w_init has invalid shape -- should be %(shape)s"
% {"shape": (n_components, n_components)}
)
if self.max_iter < 1:
raise ValueError(
"max_iter should be greater than 1, got (max_iter={})".format(
self.max_iter
)
)
kwargs = {
"tol": self.tol,
"g": g,
"fun_args": fun_args,
"max_iter": self.max_iter,
"w_init": w_init,
}
if self.algorithm == "parallel":
W, n_iter = _ica_par(X1, **kwargs)
elif self.algorithm == "deflation":
W, n_iter = _ica_def(X1, **kwargs)
else:
raise ValueError(
"Invalid algorithm: must be either `parallel` or `deflation`."
)
del X1
self.n_iter_ = n_iter
if compute_sources:
if self._whiten:
S = np.linalg.multi_dot([W, K, XT]).T
else:
S = np.dot(W, XT).T
else:
S = None
if self._whiten:
if self._whiten == "unit-variance":
if not compute_sources:
S = np.linalg.multi_dot([W, K, XT]).T
S_std = np.std(S, axis=0, keepdims=True)
S /= S_std
W /= S_std.T
self.components_ = np.dot(W, K)
self.mean_ = X_mean
self.whitening_ = K
else:
self.components_ = W
self.mixing_ = linalg.pinv(self.components_, check_finite=False)
self._unmixing = W
return S
def fit_transform(self, X, y=None):
"""Fit the model and recover the sources from X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Estimated sources obtained by transforming the data with the
estimated unmixing matrix.
"""
return self._fit(X, compute_sources=True)
def fit(self, X, y=None):
"""Fit the model to X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
Returns
-------
self : object
Returns the instance itself.
"""
self._fit(X, compute_sources=False)
return self
def transform(self, X, copy=True):
"""Recover the sources from X (apply the unmixing matrix).
Parameters
----------
X : array-like of shape (n_samples, n_features)
Data to transform, where `n_samples` is the number of samples
and `n_features` is the number of features.
copy : bool, default=True
If False, data passed to fit can be overwritten. Defaults to True.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Estimated sources obtained by transforming the data with the
estimated unmixing matrix.
"""
check_is_fitted(self)
X = self._validate_data(
X, copy=(copy and self._whiten), dtype=[np.float64, np.float32], reset=False
)
if self._whiten:
X -= self.mean_
return np.dot(X, self.components_.T)
def inverse_transform(self, X, copy=True):
"""Transform the sources back to the mixed data (apply mixing matrix).
Parameters
----------
X : array-like of shape (n_samples, n_components)
Sources, where `n_samples` is the number of samples
and `n_components` is the number of components.
copy : bool, default=True
If False, data passed to fit are overwritten. Defaults to True.
Returns
-------
X_new : ndarray of shape (n_samples, n_features)
Reconstructed data obtained with the mixing matrix.
"""
check_is_fitted(self)
X = check_array(X, copy=(copy and self._whiten), dtype=[np.float64, np.float32])
X = np.dot(X, self.mixing_.T)
if self._whiten:
X += self.mean_
return X
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]
def _more_tags(self):
return {"preserves_dtype": [np.float32, np.float64]}

View File

@@ -0,0 +1,393 @@
"""Incremental Principal Components Analysis."""
# Author: Kyle Kastner <kastnerkyle@gmail.com>
# Giorgio Patrini
# License: BSD 3 clause
import numpy as np
from scipy import linalg, sparse
from ._base import _BasePCA
from ..utils import gen_batches
from ..utils.extmath import svd_flip, _incremental_mean_and_var
class IncrementalPCA(_BasePCA):
"""Incremental principal components analysis (IPCA).
Linear dimensionality reduction using Singular Value Decomposition of
the data, keeping only the most significant singular vectors to
project the data to a lower dimensional space. The input data is centered
but not scaled for each feature before applying the SVD.
Depending on the size of the input data, this algorithm can be much more
memory efficient than a PCA, and allows sparse input.
This algorithm has constant memory complexity, on the order
of ``batch_size * n_features``, enabling use of np.memmap files without
loading the entire file into memory. For sparse matrices, the input
is converted to dense in batches (in order to be able to subtract the
mean) which avoids storing the entire dense matrix at any one time.
The computational overhead of each SVD is
``O(batch_size * n_features ** 2)``, but only 2 * batch_size samples
remain in memory at a time. There will be ``n_samples / batch_size`` SVD
computations to get the principal components, versus 1 large SVD of
complexity ``O(n_samples * n_features ** 2)`` for PCA.
Read more in the :ref:`User Guide <IncrementalPCA>`.
.. versionadded:: 0.16
Parameters
----------
n_components : int, default=None
Number of components to keep. If ``n_components`` is ``None``,
then ``n_components`` is set to ``min(n_samples, n_features)``.
whiten : bool, default=False
When True (False by default) the ``components_`` vectors are divided
by ``n_samples`` times ``components_`` to ensure uncorrelated outputs
with unit component-wise variances.
Whitening will remove some information from the transformed signal
(the relative variance scales of the components) but can sometimes
improve the predictive accuracy of the downstream estimators by
making data respect some hard-wired assumptions.
copy : bool, default=True
If False, X will be overwritten. ``copy=False`` can be used to
save memory but is unsafe for general use.
batch_size : int, default=None
The number of samples to use for each batch. Only used when calling
``fit``. If ``batch_size`` is ``None``, then ``batch_size``
is inferred from the data and set to ``5 * n_features``, to provide a
balance between approximation accuracy and memory consumption.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Principal axes in feature space, representing the directions of
maximum variance in the data. Equivalently, the right singular
vectors of the centered input data, parallel to its eigenvectors.
The components are sorted by ``explained_variance_``.
explained_variance_ : ndarray of shape (n_components,)
Variance explained by each of the selected components.
explained_variance_ratio_ : ndarray of shape (n_components,)
Percentage of variance explained by each of the selected components.
If all components are stored, the sum of explained variances is equal
to 1.0.
singular_values_ : ndarray of shape (n_components,)
The singular values corresponding to each of the selected components.
The singular values are equal to the 2-norms of the ``n_components``
variables in the lower-dimensional space.
mean_ : ndarray of shape (n_features,)
Per-feature empirical mean, aggregate over calls to ``partial_fit``.
var_ : ndarray of shape (n_features,)
Per-feature empirical variance, aggregate over calls to
``partial_fit``.
noise_variance_ : float
The estimated noise covariance following the Probabilistic PCA model
from Tipping and Bishop 1999. See "Pattern Recognition and
Machine Learning" by C. Bishop, 12.2.1 p. 574 or
http://www.miketipping.com/papers/met-mppca.pdf.
n_components_ : int
The estimated number of components. Relevant when
``n_components=None``.
n_samples_seen_ : int
The number of samples processed by the estimator. Will be reset on
new calls to fit, but increments across ``partial_fit`` calls.
batch_size_ : int
Inferred batch size from ``batch_size``.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
PCA : Principal component analysis (PCA).
KernelPCA : Kernel Principal component analysis (KPCA).
SparsePCA : Sparse Principal Components Analysis (SparsePCA).
TruncatedSVD : Dimensionality reduction using truncated SVD.
Notes
-----
Implements the incremental PCA model from:
*D. Ross, J. Lim, R. Lin, M. Yang, Incremental Learning for Robust Visual
Tracking, International Journal of Computer Vision, Volume 77, Issue 1-3,
pp. 125-141, May 2008.*
See https://www.cs.toronto.edu/~dross/ivt/RossLimLinYang_ijcv.pdf
This model is an extension of the Sequential Karhunen-Loeve Transform from:
*A. Levy and M. Lindenbaum, Sequential Karhunen-Loeve Basis Extraction and
its Application to Images, IEEE Transactions on Image Processing, Volume 9,
Number 8, pp. 1371-1374, August 2000.*
See https://www.cs.technion.ac.il/~mic/doc/skl-ip.pdf
We have specifically abstained from an optimization used by authors of both
papers, a QR decomposition used in specific situations to reduce the
algorithmic complexity of the SVD. The source for this technique is
*Matrix Computations, Third Edition, G. Holub and C. Van Loan, Chapter 5,
section 5.4.4, pp 252-253.*. This technique has been omitted because it is
advantageous only when decomposing a matrix with ``n_samples`` (rows)
>= 5/3 * ``n_features`` (columns), and hurts the readability of the
implemented algorithm. This would be a good opportunity for future
optimization, if it is deemed necessary.
References
----------
D. Ross, J. Lim, R. Lin, M. Yang. Incremental Learning for Robust Visual
Tracking, International Journal of Computer Vision, Volume 77,
Issue 1-3, pp. 125-141, May 2008.
G. Golub and C. Van Loan. Matrix Computations, Third Edition, Chapter 5,
Section 5.4.4, pp. 252-253.
Examples
--------
>>> from sklearn.datasets import load_digits
>>> from sklearn.decomposition import IncrementalPCA
>>> from scipy import sparse
>>> X, _ = load_digits(return_X_y=True)
>>> transformer = IncrementalPCA(n_components=7, batch_size=200)
>>> # either partially fit on smaller batches of data
>>> transformer.partial_fit(X[:100, :])
IncrementalPCA(batch_size=200, n_components=7)
>>> # or let the fit function itself divide the data into batches
>>> X_sparse = sparse.csr_matrix(X)
>>> X_transformed = transformer.fit_transform(X_sparse)
>>> X_transformed.shape
(1797, 7)
"""
def __init__(self, n_components=None, *, whiten=False, copy=True, batch_size=None):
self.n_components = n_components
self.whiten = whiten
self.copy = copy
self.batch_size = batch_size
def fit(self, X, y=None):
"""Fit the model with X, using minibatches of size batch_size.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples and
`n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
Returns
-------
self : object
Returns the instance itself.
"""
self.components_ = None
self.n_samples_seen_ = 0
self.mean_ = 0.0
self.var_ = 0.0
self.singular_values_ = None
self.explained_variance_ = None
self.explained_variance_ratio_ = None
self.noise_variance_ = None
X = self._validate_data(
X,
accept_sparse=["csr", "csc", "lil"],
copy=self.copy,
dtype=[np.float64, np.float32],
)
n_samples, n_features = X.shape
if self.batch_size is None:
self.batch_size_ = 5 * n_features
else:
self.batch_size_ = self.batch_size
for batch in gen_batches(
n_samples, self.batch_size_, min_batch_size=self.n_components or 0
):
X_batch = X[batch]
if sparse.issparse(X_batch):
X_batch = X_batch.toarray()
self.partial_fit(X_batch, check_input=False)
return self
def partial_fit(self, X, y=None, check_input=True):
"""Incremental fit with X. All of X is processed as a single batch.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples and
`n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
check_input : bool, default=True
Run check_array on X.
Returns
-------
self : object
Returns the instance itself.
"""
first_pass = not hasattr(self, "components_")
if check_input:
if sparse.issparse(X):
raise TypeError(
"IncrementalPCA.partial_fit does not support "
"sparse input. Either convert data to dense "
"or use IncrementalPCA.fit to do so in batches."
)
X = self._validate_data(
X, copy=self.copy, dtype=[np.float64, np.float32], reset=first_pass
)
n_samples, n_features = X.shape
if first_pass:
self.components_ = None
if self.n_components is None:
if self.components_ is None:
self.n_components_ = min(n_samples, n_features)
else:
self.n_components_ = self.components_.shape[0]
elif not 1 <= self.n_components <= n_features:
raise ValueError(
"n_components=%r invalid for n_features=%d, need "
"more rows than columns for IncrementalPCA "
"processing" % (self.n_components, n_features)
)
elif not self.n_components <= n_samples:
raise ValueError(
"n_components=%r must be less or equal to "
"the batch number of samples "
"%d." % (self.n_components, n_samples)
)
else:
self.n_components_ = self.n_components
if (self.components_ is not None) and (
self.components_.shape[0] != self.n_components_
):
raise ValueError(
"Number of input features has changed from %i "
"to %i between calls to partial_fit! Try "
"setting n_components to a fixed value."
% (self.components_.shape[0], self.n_components_)
)
# This is the first partial_fit
if not hasattr(self, "n_samples_seen_"):
self.n_samples_seen_ = 0
self.mean_ = 0.0
self.var_ = 0.0
# Update stats - they are 0 if this is the first step
col_mean, col_var, n_total_samples = _incremental_mean_and_var(
X,
last_mean=self.mean_,
last_variance=self.var_,
last_sample_count=np.repeat(self.n_samples_seen_, X.shape[1]),
)
n_total_samples = n_total_samples[0]
# Whitening
if self.n_samples_seen_ == 0:
# If it is the first step, simply whiten X
X -= col_mean
else:
col_batch_mean = np.mean(X, axis=0)
X -= col_batch_mean
# Build matrix of combined previous basis and new data
mean_correction = np.sqrt(
(self.n_samples_seen_ / n_total_samples) * n_samples
) * (self.mean_ - col_batch_mean)
X = np.vstack(
(
self.singular_values_.reshape((-1, 1)) * self.components_,
X,
mean_correction,
)
)
U, S, Vt = linalg.svd(X, full_matrices=False, check_finite=False)
U, Vt = svd_flip(U, Vt, u_based_decision=False)
explained_variance = S**2 / (n_total_samples - 1)
explained_variance_ratio = S**2 / np.sum(col_var * n_total_samples)
self.n_samples_seen_ = n_total_samples
self.components_ = Vt[: self.n_components_]
self.singular_values_ = S[: self.n_components_]
self.mean_ = col_mean
self.var_ = col_var
self.explained_variance_ = explained_variance[: self.n_components_]
self.explained_variance_ratio_ = explained_variance_ratio[: self.n_components_]
# we already checked `self.n_components <= n_samples` above
if self.n_components_ not in (n_samples, n_features):
self.noise_variance_ = explained_variance[self.n_components_ :].mean()
else:
self.noise_variance_ = 0.0
return self
def transform(self, X):
"""Apply dimensionality reduction to X.
X is projected on the first principal components previously extracted
from a training set, using minibatches of size batch_size if X is
sparse.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
New data, where `n_samples` is the number of samples
and `n_features` is the number of features.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Projection of X in the first principal components.
Examples
--------
>>> import numpy as np
>>> from sklearn.decomposition import IncrementalPCA
>>> X = np.array([[-1, -1], [-2, -1], [-3, -2],
... [1, 1], [2, 1], [3, 2]])
>>> ipca = IncrementalPCA(n_components=2, batch_size=3)
>>> ipca.fit(X)
IncrementalPCA(batch_size=3, n_components=2)
>>> ipca.transform(X) # doctest: +SKIP
"""
if sparse.issparse(X):
n_samples = X.shape[0]
output = []
for batch in gen_batches(
n_samples, self.batch_size_, min_batch_size=self.n_components or 0
):
output.append(super().transform(X[batch].toarray()))
return np.vstack(output)
else:
return super().transform(X)

View File

@@ -0,0 +1,556 @@
"""Kernel Principal Components Analysis."""
# Author: Mathieu Blondel <mathieu@mblondel.org>
# Sylvain Marie <sylvain.marie@schneider-electric.com>
# License: BSD 3 clause
import numpy as np
import numbers
from scipy import linalg
from scipy.sparse.linalg import eigsh
from ..utils._arpack import _init_arpack_v0
from ..utils.extmath import svd_flip, _randomized_eigsh
from ..utils.validation import (
check_is_fitted,
_check_psd_eigenvalues,
check_scalar,
)
from ..utils.deprecation import deprecated
from ..exceptions import NotFittedError
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..preprocessing import KernelCenterer
from ..metrics.pairwise import pairwise_kernels
class KernelPCA(_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator):
"""Kernel Principal component analysis (KPCA) [1]_.
Non-linear dimensionality reduction through the use of kernels (see
:ref:`metrics`).
It uses the :func:`scipy.linalg.eigh` LAPACK implementation of the full SVD
or the :func:`scipy.sparse.linalg.eigsh` ARPACK implementation of the
truncated SVD, depending on the shape of the input data and the number of
components to extract. It can also use a randomized truncated SVD by the
method proposed in [3]_, see `eigen_solver`.
Read more in the :ref:`User Guide <kernel_PCA>`.
Parameters
----------
n_components : int, default=None
Number of components. If None, all non-zero components are kept.
kernel : {'linear', 'poly', \
'rbf', 'sigmoid', 'cosine', 'precomputed'}, default='linear'
Kernel used for PCA.
gamma : float, default=None
Kernel coefficient for rbf, poly and sigmoid kernels. Ignored by other
kernels. If ``gamma`` is ``None``, then it is set to ``1/n_features``.
degree : int, default=3
Degree for poly kernels. Ignored by other kernels.
coef0 : float, default=1
Independent term in poly and sigmoid kernels.
Ignored by other kernels.
kernel_params : dict, default=None
Parameters (keyword arguments) and
values for kernel passed as callable object.
Ignored by other kernels.
alpha : float, default=1.0
Hyperparameter of the ridge regression that learns the
inverse transform (when fit_inverse_transform=True).
fit_inverse_transform : bool, default=False
Learn the inverse transform for non-precomputed kernels
(i.e. learn to find the pre-image of a point). This method is based
on [2]_.
eigen_solver : {'auto', 'dense', 'arpack', 'randomized'}, \
default='auto'
Select eigensolver to use. If `n_components` is much
less than the number of training samples, randomized (or arpack to a
smaller extent) may be more efficient than the dense eigensolver.
Randomized SVD is performed according to the method of Halko et al
[3]_.
auto :
the solver is selected by a default policy based on n_samples
(the number of training samples) and `n_components`:
if the number of components to extract is less than 10 (strict) and
the number of samples is more than 200 (strict), the 'arpack'
method is enabled. Otherwise the exact full eigenvalue
decomposition is computed and optionally truncated afterwards
('dense' method).
dense :
run exact full eigenvalue decomposition calling the standard
LAPACK solver via `scipy.linalg.eigh`, and select the components
by postprocessing
arpack :
run SVD truncated to n_components calling ARPACK solver using
`scipy.sparse.linalg.eigsh`. It requires strictly
0 < n_components < n_samples
randomized :
run randomized SVD by the method of Halko et al. [3]_. The current
implementation selects eigenvalues based on their module; therefore
using this method can lead to unexpected results if the kernel is
not positive semi-definite. See also [4]_.
.. versionchanged:: 1.0
`'randomized'` was added.
tol : float, default=0
Convergence tolerance for arpack.
If 0, optimal value will be chosen by arpack.
max_iter : int, default=None
Maximum number of iterations for arpack.
If None, optimal value will be chosen by arpack.
iterated_power : int >= 0, or 'auto', default='auto'
Number of iterations for the power method computed by
svd_solver == 'randomized'. When 'auto', it is set to 7 when
`n_components < 0.1 * min(X.shape)`, other it is set to 4.
.. versionadded:: 1.0
remove_zero_eig : bool, default=False
If True, then all components with zero eigenvalues are removed, so
that the number of components in the output may be < n_components
(and sometimes even zero due to numerical instability).
When n_components is None, this parameter is ignored and components
with zero eigenvalues are removed regardless.
random_state : int, RandomState instance or None, default=None
Used when ``eigen_solver`` == 'arpack' or 'randomized'. Pass an int
for reproducible results across multiple function calls.
See :term:`Glossary <random_state>`.
.. versionadded:: 0.18
copy_X : bool, default=True
If True, input X is copied and stored by the model in the `X_fit_`
attribute. If no further changes will be done to X, setting
`copy_X=False` saves memory by storing a reference.
.. versionadded:: 0.18
n_jobs : int, default=None
The number of parallel jobs to run.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
.. versionadded:: 0.18
Attributes
----------
eigenvalues_ : ndarray of shape (n_components,)
Eigenvalues of the centered kernel matrix in decreasing order.
If `n_components` and `remove_zero_eig` are not set,
then all values are stored.
lambdas_ : ndarray of shape (n_components,)
Same as `eigenvalues_` but this attribute is deprecated.
.. deprecated:: 1.0
`lambdas_` was renamed to `eigenvalues_` in version 1.0 and will be
removed in 1.2.
eigenvectors_ : ndarray of shape (n_samples, n_components)
Eigenvectors of the centered kernel matrix. If `n_components` and
`remove_zero_eig` are not set, then all components are stored.
alphas_ : ndarray of shape (n_samples, n_components)
Same as `eigenvectors_` but this attribute is deprecated.
.. deprecated:: 1.0
`alphas_` was renamed to `eigenvectors_` in version 1.0 and will be
removed in 1.2.
dual_coef_ : ndarray of shape (n_samples, n_features)
Inverse transform matrix. Only available when
``fit_inverse_transform`` is True.
X_transformed_fit_ : ndarray of shape (n_samples, n_components)
Projection of the fitted data on the kernel principal components.
Only available when ``fit_inverse_transform`` is True.
X_fit_ : ndarray of shape (n_samples, n_features)
The data used to fit the model. If `copy_X=False`, then `X_fit_` is
a reference. This attribute is used for the calls to transform.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
FastICA : A fast algorithm for Independent Component Analysis.
IncrementalPCA : Incremental Principal Component Analysis.
NMF : Non-Negative Matrix Factorization.
PCA : Principal Component Analysis.
SparsePCA : Sparse Principal Component Analysis.
TruncatedSVD : Dimensionality reduction using truncated SVD.
References
----------
.. [1] `Schölkopf, Bernhard, Alexander Smola, and Klaus-Robert Müller.
"Kernel principal component analysis."
International conference on artificial neural networks.
Springer, Berlin, Heidelberg, 1997.
<https://people.eecs.berkeley.edu/~wainwrig/stat241b/scholkopf_kernel.pdf>`_
.. [2] `Bakır, Gökhan H., Jason Weston, and Bernhard Schölkopf.
"Learning to find pre-images."
Advances in neural information processing systems 16 (2004): 449-456.
<https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.68.5164&rep=rep1&type=pdf>`_
.. [3] :arxiv:`Halko, Nathan, Per-Gunnar Martinsson, and Joel A. Tropp.
"Finding structure with randomness: Probabilistic algorithms for
constructing approximate matrix decompositions."
SIAM review 53.2 (2011): 217-288. <0909.4061>`
.. [4] `Martinsson, Per-Gunnar, Vladimir Rokhlin, and Mark Tygert.
"A randomized algorithm for the decomposition of matrices."
Applied and Computational Harmonic Analysis 30.1 (2011): 47-68.
<https://www.sciencedirect.com/science/article/pii/S1063520310000242>`_
Examples
--------
>>> from sklearn.datasets import load_digits
>>> from sklearn.decomposition import KernelPCA
>>> X, _ = load_digits(return_X_y=True)
>>> transformer = KernelPCA(n_components=7, kernel='linear')
>>> X_transformed = transformer.fit_transform(X)
>>> X_transformed.shape
(1797, 7)
"""
def __init__(
self,
n_components=None,
*,
kernel="linear",
gamma=None,
degree=3,
coef0=1,
kernel_params=None,
alpha=1.0,
fit_inverse_transform=False,
eigen_solver="auto",
tol=0,
max_iter=None,
iterated_power="auto",
remove_zero_eig=False,
random_state=None,
copy_X=True,
n_jobs=None,
):
self.n_components = n_components
self.kernel = kernel
self.kernel_params = kernel_params
self.gamma = gamma
self.degree = degree
self.coef0 = coef0
self.alpha = alpha
self.fit_inverse_transform = fit_inverse_transform
self.eigen_solver = eigen_solver
self.tol = tol
self.max_iter = max_iter
self.iterated_power = iterated_power
self.remove_zero_eig = remove_zero_eig
self.random_state = random_state
self.n_jobs = n_jobs
self.copy_X = copy_X
# TODO: Remove in 1.2
# mypy error: Decorated property not supported
@deprecated( # type: ignore
"Attribute `lambdas_` was deprecated in version 1.0 and will be "
"removed in 1.2. Use `eigenvalues_` instead."
)
@property
def lambdas_(self):
return self.eigenvalues_
# mypy error: Decorated property not supported
@deprecated( # type: ignore
"Attribute `alphas_` was deprecated in version 1.0 and will be "
"removed in 1.2. Use `eigenvectors_` instead."
)
@property
def alphas_(self):
return self.eigenvectors_
def _get_kernel(self, X, Y=None):
if callable(self.kernel):
params = self.kernel_params or {}
else:
params = {"gamma": self.gamma, "degree": self.degree, "coef0": self.coef0}
return pairwise_kernels(
X, Y, metric=self.kernel, filter_params=True, n_jobs=self.n_jobs, **params
)
def _fit_transform(self, K):
"""Fit's using kernel K"""
# center kernel
K = self._centerer.fit_transform(K)
# adjust n_components according to user inputs
if self.n_components is None:
n_components = K.shape[0] # use all dimensions
else:
check_scalar(self.n_components, "n_components", numbers.Integral, min_val=1)
n_components = min(K.shape[0], self.n_components)
# compute eigenvectors
if self.eigen_solver == "auto":
if K.shape[0] > 200 and n_components < 10:
eigen_solver = "arpack"
else:
eigen_solver = "dense"
else:
eigen_solver = self.eigen_solver
if eigen_solver == "dense":
# Note: eigvals specifies the indices of smallest/largest to return
self.eigenvalues_, self.eigenvectors_ = linalg.eigh(
K, eigvals=(K.shape[0] - n_components, K.shape[0] - 1)
)
elif eigen_solver == "arpack":
v0 = _init_arpack_v0(K.shape[0], self.random_state)
self.eigenvalues_, self.eigenvectors_ = eigsh(
K, n_components, which="LA", tol=self.tol, maxiter=self.max_iter, v0=v0
)
elif eigen_solver == "randomized":
self.eigenvalues_, self.eigenvectors_ = _randomized_eigsh(
K,
n_components=n_components,
n_iter=self.iterated_power,
random_state=self.random_state,
selection="module",
)
else:
raise ValueError("Unsupported value for `eigen_solver`: %r" % eigen_solver)
# make sure that the eigenvalues are ok and fix numerical issues
self.eigenvalues_ = _check_psd_eigenvalues(
self.eigenvalues_, enable_warnings=False
)
# flip eigenvectors' sign to enforce deterministic output
self.eigenvectors_, _ = svd_flip(
self.eigenvectors_, np.zeros_like(self.eigenvectors_).T
)
# sort eigenvectors in descending order
indices = self.eigenvalues_.argsort()[::-1]
self.eigenvalues_ = self.eigenvalues_[indices]
self.eigenvectors_ = self.eigenvectors_[:, indices]
# remove eigenvectors with a zero eigenvalue (null space) if required
if self.remove_zero_eig or self.n_components is None:
self.eigenvectors_ = self.eigenvectors_[:, self.eigenvalues_ > 0]
self.eigenvalues_ = self.eigenvalues_[self.eigenvalues_ > 0]
# Maintenance note on Eigenvectors normalization
# ----------------------------------------------
# there is a link between
# the eigenvectors of K=Phi(X)'Phi(X) and the ones of Phi(X)Phi(X)'
# if v is an eigenvector of K
# then Phi(X)v is an eigenvector of Phi(X)Phi(X)'
# if u is an eigenvector of Phi(X)Phi(X)'
# then Phi(X)'u is an eigenvector of Phi(X)'Phi(X)
#
# At this stage our self.eigenvectors_ (the v) have norm 1, we need to scale
# them so that eigenvectors in kernel feature space (the u) have norm=1
# instead
#
# We COULD scale them here:
# self.eigenvectors_ = self.eigenvectors_ / np.sqrt(self.eigenvalues_)
#
# But choose to perform that LATER when needed, in `fit()` and in
# `transform()`.
return K
def _fit_inverse_transform(self, X_transformed, X):
if hasattr(X, "tocsr"):
raise NotImplementedError(
"Inverse transform not implemented for sparse matrices!"
)
n_samples = X_transformed.shape[0]
K = self._get_kernel(X_transformed)
K.flat[:: n_samples + 1] += self.alpha
self.dual_coef_ = linalg.solve(K, X, sym_pos=True, overwrite_a=True)
self.X_transformed_fit_ = X_transformed
def fit(self, X, y=None):
"""Fit the model from data in X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
Returns
-------
self : object
Returns the instance itself.
"""
if self.fit_inverse_transform and self.kernel == "precomputed":
raise ValueError("Cannot fit_inverse_transform with a precomputed kernel.")
X = self._validate_data(X, accept_sparse="csr", copy=self.copy_X)
self._centerer = KernelCenterer()
K = self._get_kernel(X)
self._fit_transform(K)
if self.fit_inverse_transform:
# no need to use the kernel to transform X, use shortcut expression
X_transformed = self.eigenvectors_ * np.sqrt(self.eigenvalues_)
self._fit_inverse_transform(X_transformed, X)
self.X_fit_ = X
return self
def fit_transform(self, X, y=None, **params):
"""Fit the model from data in X and transform X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
**params : kwargs
Parameters (keyword arguments) and values passed to
the fit_transform instance.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Returns the instance itself.
"""
self.fit(X, **params)
# no need to use the kernel to transform X, use shortcut expression
X_transformed = self.eigenvectors_ * np.sqrt(self.eigenvalues_)
if self.fit_inverse_transform:
self._fit_inverse_transform(X_transformed, X)
return X_transformed
def transform(self, X):
"""Transform X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Returns the instance itself.
"""
check_is_fitted(self)
X = self._validate_data(X, accept_sparse="csr", reset=False)
# Compute centered gram matrix between X and training data X_fit_
K = self._centerer.transform(self._get_kernel(X, self.X_fit_))
# scale eigenvectors (properly account for null-space for dot product)
non_zeros = np.flatnonzero(self.eigenvalues_)
scaled_alphas = np.zeros_like(self.eigenvectors_)
scaled_alphas[:, non_zeros] = self.eigenvectors_[:, non_zeros] / np.sqrt(
self.eigenvalues_[non_zeros]
)
# Project with a scalar product between K and the scaled eigenvectors
return np.dot(K, scaled_alphas)
def inverse_transform(self, X):
"""Transform X back to original space.
``inverse_transform`` approximates the inverse transformation using
a learned pre-image. The pre-image is learned by kernel ridge
regression of the original data on their low-dimensional representation
vectors.
.. note:
:meth:`~sklearn.decomposition.fit` internally uses a centered
kernel. As the centered kernel no longer contains the information
of the mean of kernel features, such information is not taken into
account in reconstruction.
.. note::
When users want to compute inverse transformation for 'linear'
kernel, it is recommended that they use
:class:`~sklearn.decomposition.PCA` instead. Unlike
:class:`~sklearn.decomposition.PCA`,
:class:`~sklearn.decomposition.KernelPCA`'s ``inverse_transform``
does not reconstruct the mean of data when 'linear' kernel is used
due to the use of centered kernel.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_components)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
Returns
-------
X_new : ndarray of shape (n_samples, n_features)
Returns the instance itself.
References
----------
`Bakır, Gökhan H., Jason Weston, and Bernhard Schölkopf.
"Learning to find pre-images."
Advances in neural information processing systems 16 (2004): 449-456.
<https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.68.5164&rep=rep1&type=pdf>`_
"""
if not self.fit_inverse_transform:
raise NotFittedError(
"The fit_inverse_transform parameter was not"
" set to True when instantiating and hence "
"the inverse transform is not available."
)
K = self._get_kernel(X, self.X_transformed_fit_)
return np.dot(K, self.dual_coef_)
def _more_tags(self):
return {
"preserves_dtype": [np.float64, np.float32],
"pairwise": self.kernel == "precomputed",
}
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.eigenvalues_.shape[0]

View File

@@ -0,0 +1,896 @@
"""
=============================================================
Online Latent Dirichlet Allocation with variational inference
=============================================================
This implementation is modified from Matthew D. Hoffman's onlineldavb code
Link: https://github.com/blei-lab/onlineldavb
"""
# Author: Chyi-Kwei Yau
# Author: Matthew D. Hoffman (original onlineldavb implementation)
import numpy as np
import scipy.sparse as sp
from scipy.special import gammaln, logsumexp
from joblib import Parallel, effective_n_jobs
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..utils import check_random_state, gen_batches, gen_even_slices
from ..utils.validation import check_non_negative
from ..utils.validation import check_is_fitted
from ..utils.fixes import delayed
from ._online_lda_fast import (
mean_change,
_dirichlet_expectation_1d,
_dirichlet_expectation_2d,
)
EPS = np.finfo(float).eps
def _update_doc_distribution(
X,
exp_topic_word_distr,
doc_topic_prior,
max_doc_update_iter,
mean_change_tol,
cal_sstats,
random_state,
):
"""E-step: update document-topic distribution.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
exp_topic_word_distr : ndarray of shape (n_topics, n_features)
Exponential value of expectation of log topic word distribution.
In the literature, this is `exp(E[log(beta)])`.
doc_topic_prior : float
Prior of document topic distribution `theta`.
max_doc_update_iter : int
Max number of iterations for updating document topic distribution in
the E-step.
mean_change_tol : float
Stopping tolerance for updating document topic distribution in E-step.
cal_sstats : bool
Parameter that indicate to calculate sufficient statistics or not.
Set `cal_sstats` to `True` when we need to run M-step.
random_state : RandomState instance or None
Parameter that indicate how to initialize document topic distribution.
Set `random_state` to None will initialize document topic distribution
to a constant number.
Returns
-------
(doc_topic_distr, suff_stats) :
`doc_topic_distr` is unnormalized topic distribution for each document.
In the literature, this is `gamma`. we can calculate `E[log(theta)]`
from it.
`suff_stats` is expected sufficient statistics for the M-step.
When `cal_sstats == False`, this will be None.
"""
is_sparse_x = sp.issparse(X)
n_samples, n_features = X.shape
n_topics = exp_topic_word_distr.shape[0]
if random_state:
doc_topic_distr = random_state.gamma(100.0, 0.01, (n_samples, n_topics))
else:
doc_topic_distr = np.ones((n_samples, n_topics))
# In the literature, this is `exp(E[log(theta)])`
exp_doc_topic = np.exp(_dirichlet_expectation_2d(doc_topic_distr))
# diff on `component_` (only calculate it when `cal_diff` is True)
suff_stats = np.zeros(exp_topic_word_distr.shape) if cal_sstats else None
if is_sparse_x:
X_data = X.data
X_indices = X.indices
X_indptr = X.indptr
for idx_d in range(n_samples):
if is_sparse_x:
ids = X_indices[X_indptr[idx_d] : X_indptr[idx_d + 1]]
cnts = X_data[X_indptr[idx_d] : X_indptr[idx_d + 1]]
else:
ids = np.nonzero(X[idx_d, :])[0]
cnts = X[idx_d, ids]
doc_topic_d = doc_topic_distr[idx_d, :]
# The next one is a copy, since the inner loop overwrites it.
exp_doc_topic_d = exp_doc_topic[idx_d, :].copy()
exp_topic_word_d = exp_topic_word_distr[:, ids]
# Iterate between `doc_topic_d` and `norm_phi` until convergence
for _ in range(0, max_doc_update_iter):
last_d = doc_topic_d
# The optimal phi_{dwk} is proportional to
# exp(E[log(theta_{dk})]) * exp(E[log(beta_{dw})]).
norm_phi = np.dot(exp_doc_topic_d, exp_topic_word_d) + EPS
doc_topic_d = exp_doc_topic_d * np.dot(cnts / norm_phi, exp_topic_word_d.T)
# Note: adds doc_topic_prior to doc_topic_d, in-place.
_dirichlet_expectation_1d(doc_topic_d, doc_topic_prior, exp_doc_topic_d)
if mean_change(last_d, doc_topic_d) < mean_change_tol:
break
doc_topic_distr[idx_d, :] = doc_topic_d
# Contribution of document d to the expected sufficient
# statistics for the M step.
if cal_sstats:
norm_phi = np.dot(exp_doc_topic_d, exp_topic_word_d) + EPS
suff_stats[:, ids] += np.outer(exp_doc_topic_d, cnts / norm_phi)
return (doc_topic_distr, suff_stats)
class LatentDirichletAllocation(
_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator
):
"""Latent Dirichlet Allocation with online variational Bayes algorithm.
The implementation is based on [1]_ and [2]_.
.. versionadded:: 0.17
Read more in the :ref:`User Guide <LatentDirichletAllocation>`.
Parameters
----------
n_components : int, default=10
Number of topics.
.. versionchanged:: 0.19
``n_topics`` was renamed to ``n_components``
doc_topic_prior : float, default=None
Prior of document topic distribution `theta`. If the value is None,
defaults to `1 / n_components`.
In [1]_, this is called `alpha`.
topic_word_prior : float, default=None
Prior of topic word distribution `beta`. If the value is None, defaults
to `1 / n_components`.
In [1]_, this is called `eta`.
learning_method : {'batch', 'online'}, default='batch'
Method used to update `_component`. Only used in :meth:`fit` method.
In general, if the data size is large, the online update will be much
faster than the batch update.
Valid options::
'batch': Batch variational Bayes method. Use all training data in
each EM update.
Old `components_` will be overwritten in each iteration.
'online': Online variational Bayes method. In each EM update, use
mini-batch of training data to update the ``components_``
variable incrementally. The learning rate is controlled by the
``learning_decay`` and the ``learning_offset`` parameters.
.. versionchanged:: 0.20
The default learning method is now ``"batch"``.
learning_decay : float, default=0.7
It is a parameter that control learning rate in the online learning
method. The value should be set between (0.5, 1.0] to guarantee
asymptotic convergence. When the value is 0.0 and batch_size is
``n_samples``, the update method is same as batch learning. In the
literature, this is called kappa.
learning_offset : float, default=10.0
A (positive) parameter that downweights early iterations in online
learning. It should be greater than 1.0. In the literature, this is
called tau_0.
max_iter : int, default=10
The maximum number of passes over the training data (aka epochs).
It only impacts the behavior in the :meth:`fit` method, and not the
:meth:`partial_fit` method.
batch_size : int, default=128
Number of documents to use in each EM iteration. Only used in online
learning.
evaluate_every : int, default=-1
How often to evaluate perplexity. Only used in `fit` method.
set it to 0 or negative number to not evaluate perplexity in
training at all. Evaluating perplexity can help you check convergence
in training process, but it will also increase total training time.
Evaluating perplexity in every iteration might increase training time
up to two-fold.
total_samples : int, default=1e6
Total number of documents. Only used in the :meth:`partial_fit` method.
perp_tol : float, default=1e-1
Perplexity tolerance in batch learning. Only used when
``evaluate_every`` is greater than 0.
mean_change_tol : float, default=1e-3
Stopping tolerance for updating document topic distribution in E-step.
max_doc_update_iter : int, default=100
Max number of iterations for updating document topic distribution in
the E-step.
n_jobs : int, default=None
The number of jobs to use in the E-step.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
verbose : int, default=0
Verbosity level.
random_state : int, RandomState instance or None, default=None
Pass an int for reproducible results across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Variational parameters for topic word distribution. Since the complete
conditional for topic word distribution is a Dirichlet,
``components_[i, j]`` can be viewed as pseudocount that represents the
number of times word `j` was assigned to topic `i`.
It can also be viewed as distribution over the words for each topic
after normalization:
``model.components_ / model.components_.sum(axis=1)[:, np.newaxis]``.
exp_dirichlet_component_ : ndarray of shape (n_components, n_features)
Exponential value of expectation of log topic word distribution.
In the literature, this is `exp(E[log(beta)])`.
n_batch_iter_ : int
Number of iterations of the EM step.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
n_iter_ : int
Number of passes over the dataset.
bound_ : float
Final perplexity score on training set.
doc_topic_prior_ : float
Prior of document topic distribution `theta`. If the value is None,
it is `1 / n_components`.
random_state_ : RandomState instance
RandomState instance that is generated either from a seed, the random
number generator or by `np.random`.
topic_word_prior_ : float
Prior of topic word distribution `beta`. If the value is None, it is
`1 / n_components`.
See Also
--------
sklearn.discriminant_analysis.LinearDiscriminantAnalysis:
A classifier with a linear decision boundary, generated by fitting
class conditional densities to the data and using Bayes rule.
References
----------
.. [1] "Online Learning for Latent Dirichlet Allocation", Matthew D.
Hoffman, David M. Blei, Francis Bach, 2010
https://github.com/blei-lab/onlineldavb
.. [2] "Stochastic Variational Inference", Matthew D. Hoffman,
David M. Blei, Chong Wang, John Paisley, 2013
Examples
--------
>>> from sklearn.decomposition import LatentDirichletAllocation
>>> from sklearn.datasets import make_multilabel_classification
>>> # This produces a feature matrix of token counts, similar to what
>>> # CountVectorizer would produce on text.
>>> X, _ = make_multilabel_classification(random_state=0)
>>> lda = LatentDirichletAllocation(n_components=5,
... random_state=0)
>>> lda.fit(X)
LatentDirichletAllocation(...)
>>> # get topics for some given samples:
>>> lda.transform(X[-2:])
array([[0.00360392, 0.25499205, 0.0036211 , 0.64236448, 0.09541846],
[0.15297572, 0.00362644, 0.44412786, 0.39568399, 0.003586 ]])
"""
def __init__(
self,
n_components=10,
*,
doc_topic_prior=None,
topic_word_prior=None,
learning_method="batch",
learning_decay=0.7,
learning_offset=10.0,
max_iter=10,
batch_size=128,
evaluate_every=-1,
total_samples=1e6,
perp_tol=1e-1,
mean_change_tol=1e-3,
max_doc_update_iter=100,
n_jobs=None,
verbose=0,
random_state=None,
):
self.n_components = n_components
self.doc_topic_prior = doc_topic_prior
self.topic_word_prior = topic_word_prior
self.learning_method = learning_method
self.learning_decay = learning_decay
self.learning_offset = learning_offset
self.max_iter = max_iter
self.batch_size = batch_size
self.evaluate_every = evaluate_every
self.total_samples = total_samples
self.perp_tol = perp_tol
self.mean_change_tol = mean_change_tol
self.max_doc_update_iter = max_doc_update_iter
self.n_jobs = n_jobs
self.verbose = verbose
self.random_state = random_state
def _check_params(self):
"""Check model parameters."""
if self.n_components <= 0:
raise ValueError("Invalid 'n_components' parameter: %r" % self.n_components)
if self.total_samples <= 0:
raise ValueError(
"Invalid 'total_samples' parameter: %r" % self.total_samples
)
if self.learning_offset < 0:
raise ValueError(
"Invalid 'learning_offset' parameter: %r" % self.learning_offset
)
if self.learning_method not in ("batch", "online"):
raise ValueError(
"Invalid 'learning_method' parameter: %r" % self.learning_method
)
def _init_latent_vars(self, n_features):
"""Initialize latent variables."""
self.random_state_ = check_random_state(self.random_state)
self.n_batch_iter_ = 1
self.n_iter_ = 0
if self.doc_topic_prior is None:
self.doc_topic_prior_ = 1.0 / self.n_components
else:
self.doc_topic_prior_ = self.doc_topic_prior
if self.topic_word_prior is None:
self.topic_word_prior_ = 1.0 / self.n_components
else:
self.topic_word_prior_ = self.topic_word_prior
init_gamma = 100.0
init_var = 1.0 / init_gamma
# In the literature, this is called `lambda`
self.components_ = self.random_state_.gamma(
init_gamma, init_var, (self.n_components, n_features)
)
# In the literature, this is `exp(E[log(beta)])`
self.exp_dirichlet_component_ = np.exp(
_dirichlet_expectation_2d(self.components_)
)
def _e_step(self, X, cal_sstats, random_init, parallel=None):
"""E-step in EM update.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
cal_sstats : bool
Parameter that indicate whether to calculate sufficient statistics
or not. Set ``cal_sstats`` to True when we need to run M-step.
random_init : bool
Parameter that indicate whether to initialize document topic
distribution randomly in the E-step. Set it to True in training
steps.
parallel : joblib.Parallel, default=None
Pre-initialized instance of joblib.Parallel.
Returns
-------
(doc_topic_distr, suff_stats) :
`doc_topic_distr` is unnormalized topic distribution for each
document. In the literature, this is called `gamma`.
`suff_stats` is expected sufficient statistics for the M-step.
When `cal_sstats == False`, it will be None.
"""
# Run e-step in parallel
random_state = self.random_state_ if random_init else None
# TODO: make Parallel._effective_n_jobs public instead?
n_jobs = effective_n_jobs(self.n_jobs)
if parallel is None:
parallel = Parallel(n_jobs=n_jobs, verbose=max(0, self.verbose - 1))
results = parallel(
delayed(_update_doc_distribution)(
X[idx_slice, :],
self.exp_dirichlet_component_,
self.doc_topic_prior_,
self.max_doc_update_iter,
self.mean_change_tol,
cal_sstats,
random_state,
)
for idx_slice in gen_even_slices(X.shape[0], n_jobs)
)
# merge result
doc_topics, sstats_list = zip(*results)
doc_topic_distr = np.vstack(doc_topics)
if cal_sstats:
# This step finishes computing the sufficient statistics for the
# M-step.
suff_stats = np.zeros(self.components_.shape)
for sstats in sstats_list:
suff_stats += sstats
suff_stats *= self.exp_dirichlet_component_
else:
suff_stats = None
return (doc_topic_distr, suff_stats)
def _em_step(self, X, total_samples, batch_update, parallel=None):
"""EM update for 1 iteration.
update `_component` by batch VB or online VB.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
total_samples : int
Total number of documents. It is only used when
batch_update is `False`.
batch_update : bool
Parameter that controls updating method.
`True` for batch learning, `False` for online learning.
parallel : joblib.Parallel, default=None
Pre-initialized instance of joblib.Parallel
Returns
-------
doc_topic_distr : ndarray of shape (n_samples, n_components)
Unnormalized document topic distribution.
"""
# E-step
_, suff_stats = self._e_step(
X, cal_sstats=True, random_init=True, parallel=parallel
)
# M-step
if batch_update:
self.components_ = self.topic_word_prior_ + suff_stats
else:
# online update
# In the literature, the weight is `rho`
weight = np.power(
self.learning_offset + self.n_batch_iter_, -self.learning_decay
)
doc_ratio = float(total_samples) / X.shape[0]
self.components_ *= 1 - weight
self.components_ += weight * (
self.topic_word_prior_ + doc_ratio * suff_stats
)
# update `component_` related variables
self.exp_dirichlet_component_ = np.exp(
_dirichlet_expectation_2d(self.components_)
)
self.n_batch_iter_ += 1
return
def _more_tags(self):
return {"requires_positive_X": True}
def _check_non_neg_array(self, X, reset_n_features, whom):
"""check X format
check X format and make sure no negative value in X.
Parameters
----------
X : array-like or sparse matrix
"""
X = self._validate_data(X, reset=reset_n_features, accept_sparse="csr")
check_non_negative(X, whom)
return X
def partial_fit(self, X, y=None):
"""Online VB with Mini-Batch update.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
self
Partially fitted estimator.
"""
self._check_params()
first_time = not hasattr(self, "components_")
X = self._check_non_neg_array(
X, reset_n_features=first_time, whom="LatentDirichletAllocation.partial_fit"
)
n_samples, n_features = X.shape
batch_size = self.batch_size
# initialize parameters or check
if first_time:
self._init_latent_vars(n_features)
if n_features != self.components_.shape[1]:
raise ValueError(
"The provided data has %d dimensions while "
"the model was trained with feature size %d."
% (n_features, self.components_.shape[1])
)
n_jobs = effective_n_jobs(self.n_jobs)
with Parallel(n_jobs=n_jobs, verbose=max(0, self.verbose - 1)) as parallel:
for idx_slice in gen_batches(n_samples, batch_size):
self._em_step(
X[idx_slice, :],
total_samples=self.total_samples,
batch_update=False,
parallel=parallel,
)
return self
def fit(self, X, y=None):
"""Learn model for the data X with variational Bayes method.
When `learning_method` is 'online', use mini-batch update.
Otherwise, use batch update.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
self
Fitted estimator.
"""
self._check_params()
X = self._check_non_neg_array(
X, reset_n_features=True, whom="LatentDirichletAllocation.fit"
)
n_samples, n_features = X.shape
max_iter = self.max_iter
evaluate_every = self.evaluate_every
learning_method = self.learning_method
batch_size = self.batch_size
# initialize parameters
self._init_latent_vars(n_features)
# change to perplexity later
last_bound = None
n_jobs = effective_n_jobs(self.n_jobs)
with Parallel(n_jobs=n_jobs, verbose=max(0, self.verbose - 1)) as parallel:
for i in range(max_iter):
if learning_method == "online":
for idx_slice in gen_batches(n_samples, batch_size):
self._em_step(
X[idx_slice, :],
total_samples=n_samples,
batch_update=False,
parallel=parallel,
)
else:
# batch update
self._em_step(
X, total_samples=n_samples, batch_update=True, parallel=parallel
)
# check perplexity
if evaluate_every > 0 and (i + 1) % evaluate_every == 0:
doc_topics_distr, _ = self._e_step(
X, cal_sstats=False, random_init=False, parallel=parallel
)
bound = self._perplexity_precomp_distr(
X, doc_topics_distr, sub_sampling=False
)
if self.verbose:
print(
"iteration: %d of max_iter: %d, perplexity: %.4f"
% (i + 1, max_iter, bound)
)
if last_bound and abs(last_bound - bound) < self.perp_tol:
break
last_bound = bound
elif self.verbose:
print("iteration: %d of max_iter: %d" % (i + 1, max_iter))
self.n_iter_ += 1
# calculate final perplexity value on train set
doc_topics_distr, _ = self._e_step(
X, cal_sstats=False, random_init=False, parallel=parallel
)
self.bound_ = self._perplexity_precomp_distr(
X, doc_topics_distr, sub_sampling=False
)
return self
def _unnormalized_transform(self, X):
"""Transform data X according to fitted model.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
Returns
-------
doc_topic_distr : ndarray of shape (n_samples, n_components)
Document topic distribution for X.
"""
doc_topic_distr, _ = self._e_step(X, cal_sstats=False, random_init=False)
return doc_topic_distr
def transform(self, X):
"""Transform data X according to the fitted model.
.. versionchanged:: 0.18
*doc_topic_distr* is now normalized
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
Returns
-------
doc_topic_distr : ndarray of shape (n_samples, n_components)
Document topic distribution for X.
"""
check_is_fitted(self)
X = self._check_non_neg_array(
X, reset_n_features=False, whom="LatentDirichletAllocation.transform"
)
doc_topic_distr = self._unnormalized_transform(X)
doc_topic_distr /= doc_topic_distr.sum(axis=1)[:, np.newaxis]
return doc_topic_distr
def _approx_bound(self, X, doc_topic_distr, sub_sampling):
"""Estimate the variational bound.
Estimate the variational bound over "all documents" using only the
documents passed in as X. Since log-likelihood of each word cannot
be computed directly, we use this bound to estimate it.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
doc_topic_distr : ndarray of shape (n_samples, n_components)
Document topic distribution. In the literature, this is called
gamma.
sub_sampling : bool, default=False
Compensate for subsampling of documents.
It is used in calculate bound in online learning.
Returns
-------
score : float
"""
def _loglikelihood(prior, distr, dirichlet_distr, size):
# calculate log-likelihood
score = np.sum((prior - distr) * dirichlet_distr)
score += np.sum(gammaln(distr) - gammaln(prior))
score += np.sum(gammaln(prior * size) - gammaln(np.sum(distr, 1)))
return score
is_sparse_x = sp.issparse(X)
n_samples, n_components = doc_topic_distr.shape
n_features = self.components_.shape[1]
score = 0
dirichlet_doc_topic = _dirichlet_expectation_2d(doc_topic_distr)
dirichlet_component_ = _dirichlet_expectation_2d(self.components_)
doc_topic_prior = self.doc_topic_prior_
topic_word_prior = self.topic_word_prior_
if is_sparse_x:
X_data = X.data
X_indices = X.indices
X_indptr = X.indptr
# E[log p(docs | theta, beta)]
for idx_d in range(0, n_samples):
if is_sparse_x:
ids = X_indices[X_indptr[idx_d] : X_indptr[idx_d + 1]]
cnts = X_data[X_indptr[idx_d] : X_indptr[idx_d + 1]]
else:
ids = np.nonzero(X[idx_d, :])[0]
cnts = X[idx_d, ids]
temp = (
dirichlet_doc_topic[idx_d, :, np.newaxis] + dirichlet_component_[:, ids]
)
norm_phi = logsumexp(temp, axis=0)
score += np.dot(cnts, norm_phi)
# compute E[log p(theta | alpha) - log q(theta | gamma)]
score += _loglikelihood(
doc_topic_prior, doc_topic_distr, dirichlet_doc_topic, self.n_components
)
# Compensate for the subsampling of the population of documents
if sub_sampling:
doc_ratio = float(self.total_samples) / n_samples
score *= doc_ratio
# E[log p(beta | eta) - log q (beta | lambda)]
score += _loglikelihood(
topic_word_prior, self.components_, dirichlet_component_, n_features
)
return score
def score(self, X, y=None):
"""Calculate approximate log-likelihood as score.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
score : float
Use approximate bound as score.
"""
check_is_fitted(self)
X = self._check_non_neg_array(
X, reset_n_features=False, whom="LatentDirichletAllocation.score"
)
doc_topic_distr = self._unnormalized_transform(X)
score = self._approx_bound(X, doc_topic_distr, sub_sampling=False)
return score
def _perplexity_precomp_distr(self, X, doc_topic_distr=None, sub_sampling=False):
"""Calculate approximate perplexity for data X with ability to accept
precomputed doc_topic_distr
Perplexity is defined as exp(-1. * log-likelihood per word)
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
doc_topic_distr : ndarray of shape (n_samples, n_components), \
default=None
Document topic distribution.
If it is None, it will be generated by applying transform on X.
Returns
-------
score : float
Perplexity score.
"""
if doc_topic_distr is None:
doc_topic_distr = self._unnormalized_transform(X)
else:
n_samples, n_components = doc_topic_distr.shape
if n_samples != X.shape[0]:
raise ValueError(
"Number of samples in X and doc_topic_distr do not match."
)
if n_components != self.n_components:
raise ValueError("Number of topics does not match.")
current_samples = X.shape[0]
bound = self._approx_bound(X, doc_topic_distr, sub_sampling)
if sub_sampling:
word_cnt = X.sum() * (float(self.total_samples) / current_samples)
else:
word_cnt = X.sum()
perword_bound = bound / word_cnt
return np.exp(-1.0 * perword_bound)
def perplexity(self, X, sub_sampling=False):
"""Calculate approximate perplexity for data X.
Perplexity is defined as exp(-1. * log-likelihood per word)
.. versionchanged:: 0.19
*doc_topic_distr* argument has been deprecated and is ignored
because user no longer has access to unnormalized distribution
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Document word matrix.
sub_sampling : bool
Do sub-sampling or not.
Returns
-------
score : float
Perplexity score.
"""
check_is_fitted(self)
X = self._check_non_neg_array(
X, reset_n_features=True, whom="LatentDirichletAllocation.perplexity"
)
return self._perplexity_precomp_distr(X, sub_sampling=sub_sampling)
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]

File diff suppressed because it is too large Load Diff

View File

@@ -0,0 +1,691 @@
""" Principal Component Analysis.
"""
# Author: Alexandre Gramfort <alexandre.gramfort@inria.fr>
# Olivier Grisel <olivier.grisel@ensta.org>
# Mathieu Blondel <mathieu@mblondel.org>
# Denis A. Engemann <denis-alexander.engemann@inria.fr>
# Michael Eickenberg <michael.eickenberg@inria.fr>
# Giorgio Patrini <giorgio.patrini@anu.edu.au>
#
# License: BSD 3 clause
from math import log, sqrt
import numbers
import numpy as np
from scipy import linalg
from scipy.special import gammaln
from scipy.sparse import issparse
from scipy.sparse.linalg import svds
from ._base import _BasePCA
from ..utils import check_random_state, check_scalar
from ..utils._arpack import _init_arpack_v0
from ..utils.extmath import fast_logdet, randomized_svd, svd_flip
from ..utils.extmath import stable_cumsum
from ..utils.validation import check_is_fitted
def _assess_dimension(spectrum, rank, n_samples):
"""Compute the log-likelihood of a rank ``rank`` dataset.
The dataset is assumed to be embedded in gaussian noise of shape(n,
dimf) having spectrum ``spectrum``. This implements the method of
T. P. Minka.
Parameters
----------
spectrum : ndarray of shape (n_features,)
Data spectrum.
rank : int
Tested rank value. It should be strictly lower than n_features,
otherwise the method isn't specified (division by zero in equation
(31) from the paper).
n_samples : int
Number of samples.
Returns
-------
ll : float
The log-likelihood.
References
----------
This implements the method of `Thomas P. Minka:
Automatic Choice of Dimensionality for PCA. NIPS 2000: 598-604
<https://proceedings.neurips.cc/paper/2000/file/7503cfacd12053d309b6bed5c89de212-Paper.pdf>`_
"""
n_features = spectrum.shape[0]
if not 1 <= rank < n_features:
raise ValueError("the tested rank should be in [1, n_features - 1]")
eps = 1e-15
if spectrum[rank - 1] < eps:
# When the tested rank is associated with a small eigenvalue, there's
# no point in computing the log-likelihood: it's going to be very
# small and won't be the max anyway. Also, it can lead to numerical
# issues below when computing pa, in particular in log((spectrum[i] -
# spectrum[j]) because this will take the log of something very small.
return -np.inf
pu = -rank * log(2.0)
for i in range(1, rank + 1):
pu += (
gammaln((n_features - i + 1) / 2.0)
- log(np.pi) * (n_features - i + 1) / 2.0
)
pl = np.sum(np.log(spectrum[:rank]))
pl = -pl * n_samples / 2.0
v = max(eps, np.sum(spectrum[rank:]) / (n_features - rank))
pv = -np.log(v) * n_samples * (n_features - rank) / 2.0
m = n_features * rank - rank * (rank + 1.0) / 2.0
pp = log(2.0 * np.pi) * (m + rank) / 2.0
pa = 0.0
spectrum_ = spectrum.copy()
spectrum_[rank:n_features] = v
for i in range(rank):
for j in range(i + 1, len(spectrum)):
pa += log(
(spectrum[i] - spectrum[j]) * (1.0 / spectrum_[j] - 1.0 / spectrum_[i])
) + log(n_samples)
ll = pu + pl + pv + pp - pa / 2.0 - rank * log(n_samples) / 2.0
return ll
def _infer_dimension(spectrum, n_samples):
"""Infers the dimension of a dataset with a given spectrum.
The returned value will be in [1, n_features - 1].
"""
ll = np.empty_like(spectrum)
ll[0] = -np.inf # we don't want to return n_components = 0
for rank in range(1, spectrum.shape[0]):
ll[rank] = _assess_dimension(spectrum, rank, n_samples)
return ll.argmax()
class PCA(_BasePCA):
"""Principal component analysis (PCA).
Linear dimensionality reduction using Singular Value Decomposition of the
data to project it to a lower dimensional space. The input data is centered
but not scaled for each feature before applying the SVD.
It uses the LAPACK implementation of the full SVD or a randomized truncated
SVD by the method of Halko et al. 2009, depending on the shape of the input
data and the number of components to extract.
It can also use the scipy.sparse.linalg ARPACK implementation of the
truncated SVD.
Notice that this class does not support sparse input. See
:class:`TruncatedSVD` for an alternative with sparse data.
Read more in the :ref:`User Guide <PCA>`.
Parameters
----------
n_components : int, float or 'mle', default=None
Number of components to keep.
if n_components is not set all components are kept::
n_components == min(n_samples, n_features)
If ``n_components == 'mle'`` and ``svd_solver == 'full'``, Minka's
MLE is used to guess the dimension. Use of ``n_components == 'mle'``
will interpret ``svd_solver == 'auto'`` as ``svd_solver == 'full'``.
If ``0 < n_components < 1`` and ``svd_solver == 'full'``, select the
number of components such that the amount of variance that needs to be
explained is greater than the percentage specified by n_components.
If ``svd_solver == 'arpack'``, the number of components must be
strictly less than the minimum of n_features and n_samples.
Hence, the None case results in::
n_components == min(n_samples, n_features) - 1
copy : bool, default=True
If False, data passed to fit are overwritten and running
fit(X).transform(X) will not yield the expected results,
use fit_transform(X) instead.
whiten : bool, default=False
When True (False by default) the `components_` vectors are multiplied
by the square root of n_samples and then divided by the singular values
to ensure uncorrelated outputs with unit component-wise variances.
Whitening will remove some information from the transformed signal
(the relative variance scales of the components) but can sometime
improve the predictive accuracy of the downstream estimators by
making their data respect some hard-wired assumptions.
svd_solver : {'auto', 'full', 'arpack', 'randomized'}, default='auto'
If auto :
The solver is selected by a default policy based on `X.shape` and
`n_components`: if the input data is larger than 500x500 and the
number of components to extract is lower than 80% of the smallest
dimension of the data, then the more efficient 'randomized'
method is enabled. Otherwise the exact full SVD is computed and
optionally truncated afterwards.
If full :
run exact full SVD calling the standard LAPACK solver via
`scipy.linalg.svd` and select the components by postprocessing
If arpack :
run SVD truncated to n_components calling ARPACK solver via
`scipy.sparse.linalg.svds`. It requires strictly
0 < n_components < min(X.shape)
If randomized :
run randomized SVD by the method of Halko et al.
.. versionadded:: 0.18.0
tol : float, default=0.0
Tolerance for singular values computed by svd_solver == 'arpack'.
Must be of range [0.0, infinity).
.. versionadded:: 0.18.0
iterated_power : int or 'auto', default='auto'
Number of iterations for the power method computed by
svd_solver == 'randomized'.
Must be of range [0, infinity).
.. versionadded:: 0.18.0
n_oversamples : int, default=10
This parameter is only relevant when `svd_solver="randomized"`.
It corresponds to the additional number of random vectors to sample the
range of `X` so as to ensure proper conditioning. See
:func:`~sklearn.utils.extmath.randomized_svd` for more details.
.. versionadded:: 1.1
power_iteration_normalizer : {auto, QR, LU, none}, default=auto
Power iteration normalizer for randomized SVD solver.
Not used by ARPACK. See :func:`~sklearn.utils.extmath.randomized_svd`
for more details.
.. versionadded:: 1.1
random_state : int, RandomState instance or None, default=None
Used when the 'arpack' or 'randomized' solvers are used. Pass an int
for reproducible results across multiple function calls.
See :term:`Glossary <random_state>`.
.. versionadded:: 0.18.0
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Principal axes in feature space, representing the directions of
maximum variance in the data. Equivalently, the right singular
vectors of the centered input data, parallel to its eigenvectors.
The components are sorted by ``explained_variance_``.
explained_variance_ : ndarray of shape (n_components,)
The amount of variance explained by each of the selected components.
The variance estimation uses `n_samples - 1` degrees of freedom.
Equal to n_components largest eigenvalues
of the covariance matrix of X.
.. versionadded:: 0.18
explained_variance_ratio_ : ndarray of shape (n_components,)
Percentage of variance explained by each of the selected components.
If ``n_components`` is not set then all components are stored and the
sum of the ratios is equal to 1.0.
singular_values_ : ndarray of shape (n_components,)
The singular values corresponding to each of the selected components.
The singular values are equal to the 2-norms of the ``n_components``
variables in the lower-dimensional space.
.. versionadded:: 0.19
mean_ : ndarray of shape (n_features,)
Per-feature empirical mean, estimated from the training set.
Equal to `X.mean(axis=0)`.
n_components_ : int
The estimated number of components. When n_components is set
to 'mle' or a number between 0 and 1 (with svd_solver == 'full') this
number is estimated from input data. Otherwise it equals the parameter
n_components, or the lesser value of n_features and n_samples
if n_components is None.
n_features_ : int
Number of features in the training data.
n_samples_ : int
Number of samples in the training data.
noise_variance_ : float
The estimated noise covariance following the Probabilistic PCA model
from Tipping and Bishop 1999. See "Pattern Recognition and
Machine Learning" by C. Bishop, 12.2.1 p. 574 or
http://www.miketipping.com/papers/met-mppca.pdf. It is required to
compute the estimated data covariance and score samples.
Equal to the average of (min(n_features, n_samples) - n_components)
smallest eigenvalues of the covariance matrix of X.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
KernelPCA : Kernel Principal Component Analysis.
SparsePCA : Sparse Principal Component Analysis.
TruncatedSVD : Dimensionality reduction using truncated SVD.
IncrementalPCA : Incremental Principal Component Analysis.
References
----------
For n_components == 'mle', this class uses the method from:
`Minka, T. P.. "Automatic choice of dimensionality for PCA".
In NIPS, pp. 598-604 <https://tminka.github.io/papers/pca/minka-pca.pdf>`_
Implements the probabilistic PCA model from:
`Tipping, M. E., and Bishop, C. M. (1999). "Probabilistic principal
component analysis". Journal of the Royal Statistical Society:
Series B (Statistical Methodology), 61(3), 611-622.
<http://www.miketipping.com/papers/met-mppca.pdf>`_
via the score and score_samples methods.
For svd_solver == 'arpack', refer to `scipy.sparse.linalg.svds`.
For svd_solver == 'randomized', see:
:doi:`Halko, N., Martinsson, P. G., and Tropp, J. A. (2011).
"Finding structure with randomness: Probabilistic algorithms for
constructing approximate matrix decompositions".
SIAM review, 53(2), 217-288.
<10.1137/090771806>`
and also
:doi:`Martinsson, P. G., Rokhlin, V., and Tygert, M. (2011).
"A randomized algorithm for the decomposition of matrices".
Applied and Computational Harmonic Analysis, 30(1), 47-68.
<10.1016/j.acha.2010.02.003>`
Examples
--------
>>> import numpy as np
>>> from sklearn.decomposition import PCA
>>> X = np.array([[-1, -1], [-2, -1], [-3, -2], [1, 1], [2, 1], [3, 2]])
>>> pca = PCA(n_components=2)
>>> pca.fit(X)
PCA(n_components=2)
>>> print(pca.explained_variance_ratio_)
[0.9924... 0.0075...]
>>> print(pca.singular_values_)
[6.30061... 0.54980...]
>>> pca = PCA(n_components=2, svd_solver='full')
>>> pca.fit(X)
PCA(n_components=2, svd_solver='full')
>>> print(pca.explained_variance_ratio_)
[0.9924... 0.00755...]
>>> print(pca.singular_values_)
[6.30061... 0.54980...]
>>> pca = PCA(n_components=1, svd_solver='arpack')
>>> pca.fit(X)
PCA(n_components=1, svd_solver='arpack')
>>> print(pca.explained_variance_ratio_)
[0.99244...]
>>> print(pca.singular_values_)
[6.30061...]
"""
def __init__(
self,
n_components=None,
*,
copy=True,
whiten=False,
svd_solver="auto",
tol=0.0,
iterated_power="auto",
n_oversamples=10,
power_iteration_normalizer="auto",
random_state=None,
):
self.n_components = n_components
self.copy = copy
self.whiten = whiten
self.svd_solver = svd_solver
self.tol = tol
self.iterated_power = iterated_power
self.n_oversamples = n_oversamples
self.power_iteration_normalizer = power_iteration_normalizer
self.random_state = random_state
def fit(self, X, y=None):
"""Fit the model with X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Ignored.
Returns
-------
self : object
Returns the instance itself.
"""
check_scalar(
self.n_oversamples,
"n_oversamples",
min_val=1,
target_type=numbers.Integral,
)
self._fit(X)
return self
def fit_transform(self, X, y=None):
"""Fit the model with X and apply the dimensionality reduction on X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training data, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Ignored.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Transformed values.
Notes
-----
This method returns a Fortran-ordered array. To convert it to a
C-ordered array, use 'np.ascontiguousarray'.
"""
U, S, Vt = self._fit(X)
U = U[:, : self.n_components_]
if self.whiten:
# X_new = X * V / S * sqrt(n_samples) = U * sqrt(n_samples)
U *= sqrt(X.shape[0] - 1)
else:
# X_new = X * V = U * S * Vt * V = U * S
U *= S[: self.n_components_]
return U
def _fit(self, X):
"""Dispatch to the right submethod depending on the chosen solver."""
# Raise an error for sparse input.
# This is more informative than the generic one raised by check_array.
if issparse(X):
raise TypeError(
"PCA does not support sparse input. See "
"TruncatedSVD for a possible alternative."
)
X = self._validate_data(
X, dtype=[np.float64, np.float32], ensure_2d=True, copy=self.copy
)
# Handle n_components==None
if self.n_components is None:
if self.svd_solver != "arpack":
n_components = min(X.shape)
else:
n_components = min(X.shape) - 1
else:
n_components = self.n_components
# Handle svd_solver
self._fit_svd_solver = self.svd_solver
if self._fit_svd_solver == "auto":
# Small problem or n_components == 'mle', just call full PCA
if max(X.shape) <= 500 or n_components == "mle":
self._fit_svd_solver = "full"
elif n_components >= 1 and n_components < 0.8 * min(X.shape):
self._fit_svd_solver = "randomized"
# This is also the case of n_components in (0,1)
else:
self._fit_svd_solver = "full"
# Call different fits for either full or truncated SVD
if self._fit_svd_solver == "full":
return self._fit_full(X, n_components)
elif self._fit_svd_solver in ["arpack", "randomized"]:
return self._fit_truncated(X, n_components, self._fit_svd_solver)
else:
raise ValueError(
"Unrecognized svd_solver='{0}'".format(self._fit_svd_solver)
)
def _fit_full(self, X, n_components):
"""Fit the model by computing full SVD on X."""
n_samples, n_features = X.shape
if n_components == "mle":
if n_samples < n_features:
raise ValueError(
"n_components='mle' is only supported if n_samples >= n_features"
)
elif not 0 <= n_components <= min(n_samples, n_features):
raise ValueError(
"n_components=%r must be between 0 and "
"min(n_samples, n_features)=%r with "
"svd_solver='full'" % (n_components, min(n_samples, n_features))
)
elif n_components >= 1:
if not isinstance(n_components, numbers.Integral):
raise ValueError(
"n_components=%r must be of type int "
"when greater than or equal to 1, "
"was of type=%r" % (n_components, type(n_components))
)
# Center data
self.mean_ = np.mean(X, axis=0)
X -= self.mean_
U, S, Vt = linalg.svd(X, full_matrices=False)
# flip eigenvectors' sign to enforce deterministic output
U, Vt = svd_flip(U, Vt)
components_ = Vt
# Get variance explained by singular values
explained_variance_ = (S**2) / (n_samples - 1)
total_var = explained_variance_.sum()
explained_variance_ratio_ = explained_variance_ / total_var
singular_values_ = S.copy() # Store the singular values.
# Postprocess the number of components required
if n_components == "mle":
n_components = _infer_dimension(explained_variance_, n_samples)
elif 0 < n_components < 1.0:
# number of components for which the cumulated explained
# variance percentage is superior to the desired threshold
# side='right' ensures that number of features selected
# their variance is always greater than n_components float
# passed. More discussion in issue: #15669
ratio_cumsum = stable_cumsum(explained_variance_ratio_)
n_components = np.searchsorted(ratio_cumsum, n_components, side="right") + 1
# Compute noise covariance using Probabilistic PCA model
# The sigma2 maximum likelihood (cf. eq. 12.46)
if n_components < min(n_features, n_samples):
self.noise_variance_ = explained_variance_[n_components:].mean()
else:
self.noise_variance_ = 0.0
self.n_samples_, self.n_features_ = n_samples, n_features
self.components_ = components_[:n_components]
self.n_components_ = n_components
self.explained_variance_ = explained_variance_[:n_components]
self.explained_variance_ratio_ = explained_variance_ratio_[:n_components]
self.singular_values_ = singular_values_[:n_components]
return U, S, Vt
def _fit_truncated(self, X, n_components, svd_solver):
"""Fit the model by computing truncated SVD (by ARPACK or randomized)
on X.
"""
n_samples, n_features = X.shape
if isinstance(n_components, str):
raise ValueError(
"n_components=%r cannot be a string with svd_solver='%s'"
% (n_components, svd_solver)
)
elif not 1 <= n_components <= min(n_samples, n_features):
raise ValueError(
"n_components=%r must be between 1 and "
"min(n_samples, n_features)=%r with "
"svd_solver='%s'"
% (n_components, min(n_samples, n_features), svd_solver)
)
elif not isinstance(n_components, numbers.Integral):
raise ValueError(
"n_components=%r must be of type int "
"when greater than or equal to 1, was of type=%r"
% (n_components, type(n_components))
)
elif svd_solver == "arpack" and n_components == min(n_samples, n_features):
raise ValueError(
"n_components=%r must be strictly less than "
"min(n_samples, n_features)=%r with "
"svd_solver='%s'"
% (n_components, min(n_samples, n_features), svd_solver)
)
random_state = check_random_state(self.random_state)
# Center data
self.mean_ = np.mean(X, axis=0)
X -= self.mean_
if svd_solver == "arpack":
v0 = _init_arpack_v0(min(X.shape), random_state)
U, S, Vt = svds(X, k=n_components, tol=self.tol, v0=v0)
# svds doesn't abide by scipy.linalg.svd/randomized_svd
# conventions, so reverse its outputs.
S = S[::-1]
# flip eigenvectors' sign to enforce deterministic output
U, Vt = svd_flip(U[:, ::-1], Vt[::-1])
elif svd_solver == "randomized":
# sign flipping is done inside
U, S, Vt = randomized_svd(
X,
n_components=n_components,
n_oversamples=self.n_oversamples,
n_iter=self.iterated_power,
power_iteration_normalizer=self.power_iteration_normalizer,
flip_sign=True,
random_state=random_state,
)
self.n_samples_, self.n_features_ = n_samples, n_features
self.components_ = Vt
self.n_components_ = n_components
# Get variance explained by singular values
self.explained_variance_ = (S**2) / (n_samples - 1)
# Workaround in-place variance calculation since at the time numpy
# did not have a way to calculate variance in-place.
N = X.shape[0] - 1
np.square(X, out=X)
np.sum(X, axis=0, out=X[0])
total_var = (X[0] / N).sum()
self.explained_variance_ratio_ = self.explained_variance_ / total_var
self.singular_values_ = S.copy() # Store the singular values.
if self.n_components_ < min(n_features, n_samples):
self.noise_variance_ = total_var - self.explained_variance_.sum()
self.noise_variance_ /= min(n_features, n_samples) - n_components
else:
self.noise_variance_ = 0.0
return U, S, Vt
def score_samples(self, X):
"""Return the log-likelihood of each sample.
See. "Pattern Recognition and Machine Learning"
by C. Bishop, 12.2.1 p. 574
or http://www.miketipping.com/papers/met-mppca.pdf
Parameters
----------
X : array-like of shape (n_samples, n_features)
The data.
Returns
-------
ll : ndarray of shape (n_samples,)
Log-likelihood of each sample under the current model.
"""
check_is_fitted(self)
X = self._validate_data(X, dtype=[np.float64, np.float32], reset=False)
Xr = X - self.mean_
n_features = X.shape[1]
precision = self.get_precision()
log_like = -0.5 * (Xr * (np.dot(Xr, precision))).sum(axis=1)
log_like -= 0.5 * (n_features * log(2.0 * np.pi) - fast_logdet(precision))
return log_like
def score(self, X, y=None):
"""Return the average log-likelihood of all samples.
See. "Pattern Recognition and Machine Learning"
by C. Bishop, 12.2.1 p. 574
or http://www.miketipping.com/papers/met-mppca.pdf
Parameters
----------
X : array-like of shape (n_samples, n_features)
The data.
y : Ignored
Ignored.
Returns
-------
ll : float
Average log-likelihood of the samples under the current model.
"""
return np.mean(self.score_samples(X))
def _more_tags(self):
return {"preserves_dtype": [np.float64, np.float32]}

View File

@@ -0,0 +1,465 @@
"""Matrix factorization with Sparse PCA."""
# Author: Vlad Niculae, Gael Varoquaux, Alexandre Gramfort
# License: BSD 3 clause
import warnings
import numpy as np
from ..utils import check_random_state
from ..utils.validation import check_is_fitted
from ..linear_model import ridge_regression
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ._dict_learning import dict_learning, dict_learning_online
class SparsePCA(_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator):
"""Sparse Principal Components Analysis (SparsePCA).
Finds the set of sparse components that can optimally reconstruct
the data. The amount of sparseness is controllable by the coefficient
of the L1 penalty, given by the parameter alpha.
Read more in the :ref:`User Guide <SparsePCA>`.
Parameters
----------
n_components : int, default=None
Number of sparse atoms to extract. If None, then ``n_components``
is set to ``n_features``.
alpha : float, default=1
Sparsity controlling parameter. Higher values lead to sparser
components.
ridge_alpha : float, default=0.01
Amount of ridge shrinkage to apply in order to improve
conditioning when calling the transform method.
max_iter : int, default=1000
Maximum number of iterations to perform.
tol : float, default=1e-8
Tolerance for the stopping condition.
method : {'lars', 'cd'}, default='lars'
Method to be used for optimization.
lars: uses the least angle regression method to solve the lasso problem
(linear_model.lars_path)
cd: uses the coordinate descent method to compute the
Lasso solution (linear_model.Lasso). Lars will be faster if
the estimated components are sparse.
n_jobs : int, default=None
Number of parallel jobs to run.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
U_init : ndarray of shape (n_samples, n_components), default=None
Initial values for the loadings for warm restart scenarios. Only used
if `U_init` and `V_init` are not None.
V_init : ndarray of shape (n_components, n_features), default=None
Initial values for the components for warm restart scenarios. Only used
if `U_init` and `V_init` are not None.
verbose : int or bool, default=False
Controls the verbosity; the higher, the more messages. Defaults to 0.
random_state : int, RandomState instance or None, default=None
Used during dictionary learning. Pass an int for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Sparse components extracted from the data.
error_ : ndarray
Vector of errors at each iteration.
n_components_ : int
Estimated number of components.
.. versionadded:: 0.23
n_iter_ : int
Number of iterations run.
mean_ : ndarray of shape (n_features,)
Per-feature empirical mean, estimated from the training set.
Equal to ``X.mean(axis=0)``.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
PCA : Principal Component Analysis implementation.
MiniBatchSparsePCA : Mini batch variant of `SparsePCA` that is faster but less
accurate.
DictionaryLearning : Generic dictionary learning problem using a sparse code.
Examples
--------
>>> import numpy as np
>>> from sklearn.datasets import make_friedman1
>>> from sklearn.decomposition import SparsePCA
>>> X, _ = make_friedman1(n_samples=200, n_features=30, random_state=0)
>>> transformer = SparsePCA(n_components=5, random_state=0)
>>> transformer.fit(X)
SparsePCA(...)
>>> X_transformed = transformer.transform(X)
>>> X_transformed.shape
(200, 5)
>>> # most values in the components_ are zero (sparsity)
>>> np.mean(transformer.components_ == 0)
0.9666...
"""
def __init__(
self,
n_components=None,
*,
alpha=1,
ridge_alpha=0.01,
max_iter=1000,
tol=1e-8,
method="lars",
n_jobs=None,
U_init=None,
V_init=None,
verbose=False,
random_state=None,
):
self.n_components = n_components
self.alpha = alpha
self.ridge_alpha = ridge_alpha
self.max_iter = max_iter
self.tol = tol
self.method = method
self.n_jobs = n_jobs
self.U_init = U_init
self.V_init = V_init
self.verbose = verbose
self.random_state = random_state
def fit(self, X, y=None):
"""Fit the model from data in X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
self : object
Returns the instance itself.
"""
random_state = check_random_state(self.random_state)
X = self._validate_data(X)
self.mean_ = X.mean(axis=0)
X = X - self.mean_
if self.n_components is None:
n_components = X.shape[1]
else:
n_components = self.n_components
code_init = self.V_init.T if self.V_init is not None else None
dict_init = self.U_init.T if self.U_init is not None else None
Vt, _, E, self.n_iter_ = dict_learning(
X.T,
n_components,
alpha=self.alpha,
tol=self.tol,
max_iter=self.max_iter,
method=self.method,
n_jobs=self.n_jobs,
verbose=self.verbose,
random_state=random_state,
code_init=code_init,
dict_init=dict_init,
return_n_iter=True,
)
self.components_ = Vt.T
components_norm = np.linalg.norm(self.components_, axis=1)[:, np.newaxis]
components_norm[components_norm == 0] = 1
self.components_ /= components_norm
self.n_components_ = len(self.components_)
self.error_ = E
return self
def transform(self, X):
"""Least Squares projection of the data onto the sparse components.
To avoid instability issues in case the system is under-determined,
regularization can be applied (Ridge regression) via the
`ridge_alpha` parameter.
Note that Sparse PCA components orthogonality is not enforced as in PCA
hence one cannot use a simple linear projection.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
Test data to be transformed, must have the same number of
features as the data used to train the model.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Transformed data.
"""
check_is_fitted(self)
X = self._validate_data(X, reset=False)
X = X - self.mean_
U = ridge_regression(
self.components_.T, X.T, self.ridge_alpha, solver="cholesky"
)
return U
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]
def _more_tags(self):
return {
"preserves_dtype": [np.float64, np.float32],
}
class MiniBatchSparsePCA(SparsePCA):
"""Mini-batch Sparse Principal Components Analysis.
Finds the set of sparse components that can optimally reconstruct
the data. The amount of sparseness is controllable by the coefficient
of the L1 penalty, given by the parameter alpha.
Read more in the :ref:`User Guide <SparsePCA>`.
Parameters
----------
n_components : int, default=None
Number of sparse atoms to extract. If None, then ``n_components``
is set to ``n_features``.
alpha : int, default=1
Sparsity controlling parameter. Higher values lead to sparser
components.
ridge_alpha : float, default=0.01
Amount of ridge shrinkage to apply in order to improve
conditioning when calling the transform method.
n_iter : int, default=100
Number of iterations to perform for each mini batch.
callback : callable, default=None
Callable that gets invoked every five iterations.
batch_size : int, default=3
The number of features to take in each mini batch.
verbose : int or bool, default=False
Controls the verbosity; the higher, the more messages. Defaults to 0.
shuffle : bool, default=True
Whether to shuffle the data before splitting it in batches.
n_jobs : int, default=None
Number of parallel jobs to run.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
method : {'lars', 'cd'}, default='lars'
Method to be used for optimization.
lars: uses the least angle regression method to solve the lasso problem
(linear_model.lars_path)
cd: uses the coordinate descent method to compute the
Lasso solution (linear_model.Lasso). Lars will be faster if
the estimated components are sparse.
random_state : int, RandomState instance or None, default=None
Used for random shuffling when ``shuffle`` is set to ``True``,
during online dictionary learning. Pass an int for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
Sparse components extracted from the data.
n_components_ : int
Estimated number of components.
.. versionadded:: 0.23
n_iter_ : int
Number of iterations run.
mean_ : ndarray of shape (n_features,)
Per-feature empirical mean, estimated from the training set.
Equal to ``X.mean(axis=0)``.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
DictionaryLearning : Find a dictionary that sparsely encodes data.
IncrementalPCA : Incremental principal components analysis.
PCA : Principal component analysis.
SparsePCA : Sparse Principal Components Analysis.
TruncatedSVD : Dimensionality reduction using truncated SVD.
Examples
--------
>>> import numpy as np
>>> from sklearn.datasets import make_friedman1
>>> from sklearn.decomposition import MiniBatchSparsePCA
>>> X, _ = make_friedman1(n_samples=200, n_features=30, random_state=0)
>>> transformer = MiniBatchSparsePCA(n_components=5, batch_size=50,
... random_state=0)
>>> transformer.fit(X)
MiniBatchSparsePCA(...)
>>> X_transformed = transformer.transform(X)
>>> X_transformed.shape
(200, 5)
>>> # most values in the components_ are zero (sparsity)
>>> np.mean(transformer.components_ == 0)
0.94
"""
def __init__(
self,
n_components=None,
*,
alpha=1,
ridge_alpha=0.01,
n_iter=100,
callback=None,
batch_size=3,
verbose=False,
shuffle=True,
n_jobs=None,
method="lars",
random_state=None,
):
super().__init__(
n_components=n_components,
alpha=alpha,
verbose=verbose,
ridge_alpha=ridge_alpha,
n_jobs=n_jobs,
method=method,
random_state=random_state,
)
self.n_iter = n_iter
self.callback = callback
self.batch_size = batch_size
self.shuffle = shuffle
def fit(self, X, y=None):
"""Fit the model from data in X.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Training vector, where `n_samples` is the number of samples
and `n_features` is the number of features.
y : Ignored
Not used, present for API consistency by convention.
Returns
-------
self : object
Returns the instance itself.
"""
random_state = check_random_state(self.random_state)
X = self._validate_data(X)
self.mean_ = X.mean(axis=0)
X = X - self.mean_
if self.n_components is None:
n_components = X.shape[1]
else:
n_components = self.n_components
with warnings.catch_warnings():
# return_n_iter and n_iter are deprecated. TODO Remove in 1.3
warnings.filterwarnings(
"ignore",
message=(
"'return_n_iter' is deprecated in version 1.1 and will be "
"removed in version 1.3. From 1.3 'n_iter' will never be "
"returned. Refer to the 'n_iter_' and 'n_steps_' attributes "
"of the MiniBatchDictionaryLearning object instead."
),
category=FutureWarning,
)
warnings.filterwarnings(
"ignore",
message=(
"'n_iter' is deprecated in version 1.1 and will be removed in "
"version 1.3. Use 'max_iter' instead."
),
category=FutureWarning,
)
Vt, _, self.n_iter_ = dict_learning_online(
X.T,
n_components,
alpha=self.alpha,
n_iter=self.n_iter,
return_code=True,
dict_init=None,
verbose=self.verbose,
callback=self.callback,
batch_size=self.batch_size,
shuffle=self.shuffle,
n_jobs=self.n_jobs,
method=self.method,
random_state=random_state,
return_n_iter=True,
)
self.components_ = Vt.T
components_norm = np.linalg.norm(self.components_, axis=1)[:, np.newaxis]
components_norm[components_norm == 0] = 1
self.components_ /= components_norm
self.n_components_ = len(self.components_)
return self

View File

@@ -0,0 +1,314 @@
"""Truncated SVD for sparse matrices, aka latent semantic analysis (LSA).
"""
# Author: Lars Buitinck
# Olivier Grisel <olivier.grisel@ensta.org>
# Michael Becker <mike@beckerfuffle.com>
# License: 3-clause BSD.
from numbers import Integral
import numpy as np
import scipy.sparse as sp
from scipy.sparse.linalg import svds
from ..base import BaseEstimator, TransformerMixin, _ClassNamePrefixFeaturesOutMixin
from ..utils import check_array, check_random_state
from ..utils._arpack import _init_arpack_v0
from ..utils.extmath import randomized_svd, safe_sparse_dot, svd_flip
from ..utils.sparsefuncs import mean_variance_axis
from ..utils.validation import check_is_fitted, check_scalar
__all__ = ["TruncatedSVD"]
class TruncatedSVD(_ClassNamePrefixFeaturesOutMixin, TransformerMixin, BaseEstimator):
"""Dimensionality reduction using truncated SVD (aka LSA).
This transformer performs linear dimensionality reduction by means of
truncated singular value decomposition (SVD). Contrary to PCA, this
estimator does not center the data before computing the singular value
decomposition. This means it can work with sparse matrices
efficiently.
In particular, truncated SVD works on term count/tf-idf matrices as
returned by the vectorizers in :mod:`sklearn.feature_extraction.text`. In
that context, it is known as latent semantic analysis (LSA).
This estimator supports two algorithms: a fast randomized SVD solver, and
a "naive" algorithm that uses ARPACK as an eigensolver on `X * X.T` or
`X.T * X`, whichever is more efficient.
Read more in the :ref:`User Guide <LSA>`.
Parameters
----------
n_components : int, default=2
Desired dimensionality of output data.
If algorithm='arpack', must be strictly less than the number of features.
If algorithm='randomized', must be less than or equal to the number of features.
The default value is useful for visualisation. For LSA, a value of
100 is recommended.
algorithm : {'arpack', 'randomized'}, default='randomized'
SVD solver to use. Either "arpack" for the ARPACK wrapper in SciPy
(scipy.sparse.linalg.svds), or "randomized" for the randomized
algorithm due to Halko (2009).
n_iter : int, default=5
Number of iterations for randomized SVD solver. Not used by ARPACK. The
default is larger than the default in
:func:`~sklearn.utils.extmath.randomized_svd` to handle sparse
matrices that may have large slowly decaying spectrum.
n_oversamples : int, default=10
Number of oversamples for randomized SVD solver. Not used by ARPACK.
See :func:`~sklearn.utils.extmath.randomized_svd` for a complete
description.
.. versionadded:: 1.1
power_iteration_normalizer : {auto, QR, LU, none}, default=auto
Power iteration normalizer for randomized SVD solver.
Not used by ARPACK. See :func:`~sklearn.utils.extmath.randomized_svd`
for more details.
.. versionadded:: 1.1
random_state : int, RandomState instance or None, default=None
Used during randomized svd. Pass an int for reproducible results across
multiple function calls.
See :term:`Glossary <random_state>`.
tol : float, default=0.0
Tolerance for ARPACK. 0 means machine precision. Ignored by randomized
SVD solver.
Attributes
----------
components_ : ndarray of shape (n_components, n_features)
The right singular vectors of the input data.
explained_variance_ : ndarray of shape (n_components,)
The variance of the training samples transformed by a projection to
each component.
explained_variance_ratio_ : ndarray of shape (n_components,)
Percentage of variance explained by each of the selected components.
singular_values_ : ndarray of shape (n_components,)
The singular values corresponding to each of the selected components.
The singular values are equal to the 2-norms of the ``n_components``
variables in the lower-dimensional space.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
DictionaryLearning : Find a dictionary that sparsely encodes data.
FactorAnalysis : A simple linear generative model with
Gaussian latent variables.
IncrementalPCA : Incremental principal components analysis.
KernelPCA : Kernel Principal component analysis.
NMF : Non-Negative Matrix Factorization.
PCA : Principal component analysis.
Notes
-----
SVD suffers from a problem called "sign indeterminacy", which means the
sign of the ``components_`` and the output from transform depend on the
algorithm and random state. To work around this, fit instances of this
class to data once, then keep the instance around to do transformations.
References
----------
:arxiv:`Halko, et al. (2009). "Finding structure with randomness:
Stochastic algorithms for constructing approximate matrix decompositions"
<0909.4061>`
Examples
--------
>>> from sklearn.decomposition import TruncatedSVD
>>> from scipy.sparse import csr_matrix
>>> import numpy as np
>>> np.random.seed(0)
>>> X_dense = np.random.rand(100, 100)
>>> X_dense[:, 2 * np.arange(50)] = 0
>>> X = csr_matrix(X_dense)
>>> svd = TruncatedSVD(n_components=5, n_iter=7, random_state=42)
>>> svd.fit(X)
TruncatedSVD(n_components=5, n_iter=7, random_state=42)
>>> print(svd.explained_variance_ratio_)
[0.0157... 0.0512... 0.0499... 0.0479... 0.0453...]
>>> print(svd.explained_variance_ratio_.sum())
0.2102...
>>> print(svd.singular_values_)
[35.2410... 4.5981... 4.5420... 4.4486... 4.3288...]
"""
def __init__(
self,
n_components=2,
*,
algorithm="randomized",
n_iter=5,
n_oversamples=10,
power_iteration_normalizer="auto",
random_state=None,
tol=0.0,
):
self.algorithm = algorithm
self.n_components = n_components
self.n_iter = n_iter
self.n_oversamples = n_oversamples
self.power_iteration_normalizer = power_iteration_normalizer
self.random_state = random_state
self.tol = tol
def fit(self, X, y=None):
"""Fit model on training data X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training data.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
self : object
Returns the transformer object.
"""
self.fit_transform(X)
return self
def fit_transform(self, X, y=None):
"""Fit model to X and perform dimensionality reduction on X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training data.
y : Ignored
Not used, present here for API consistency by convention.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Reduced version of X. This will always be a dense array.
"""
check_scalar(
self.n_oversamples,
"n_oversamples",
min_val=1,
target_type=Integral,
)
X = self._validate_data(X, accept_sparse=["csr", "csc"], ensure_min_features=2)
random_state = check_random_state(self.random_state)
if self.algorithm == "arpack":
v0 = _init_arpack_v0(min(X.shape), random_state)
U, Sigma, VT = svds(X, k=self.n_components, tol=self.tol, v0=v0)
# svds doesn't abide by scipy.linalg.svd/randomized_svd
# conventions, so reverse its outputs.
Sigma = Sigma[::-1]
U, VT = svd_flip(U[:, ::-1], VT[::-1])
elif self.algorithm == "randomized":
k = self.n_components
n_features = X.shape[1]
check_scalar(
k,
"n_components",
target_type=Integral,
min_val=1,
max_val=n_features,
)
U, Sigma, VT = randomized_svd(
X,
self.n_components,
n_iter=self.n_iter,
n_oversamples=self.n_oversamples,
power_iteration_normalizer=self.power_iteration_normalizer,
random_state=random_state,
)
else:
raise ValueError("unknown algorithm %r" % self.algorithm)
self.components_ = VT
# As a result of the SVD approximation error on X ~ U @ Sigma @ V.T,
# X @ V is not the same as U @ Sigma
if self.algorithm == "randomized" or (
self.algorithm == "arpack" and self.tol > 0
):
X_transformed = safe_sparse_dot(X, self.components_.T)
else:
X_transformed = U * Sigma
# Calculate explained variance & explained variance ratio
self.explained_variance_ = exp_var = np.var(X_transformed, axis=0)
if sp.issparse(X):
_, full_var = mean_variance_axis(X, axis=0)
full_var = full_var.sum()
else:
full_var = np.var(X, axis=0).sum()
self.explained_variance_ratio_ = exp_var / full_var
self.singular_values_ = Sigma # Store the singular values.
return X_transformed
def transform(self, X):
"""Perform dimensionality reduction on X.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
New data.
Returns
-------
X_new : ndarray of shape (n_samples, n_components)
Reduced version of X. This will always be a dense array.
"""
check_is_fitted(self)
X = self._validate_data(X, accept_sparse=["csr", "csc"], reset=False)
return safe_sparse_dot(X, self.components_.T)
def inverse_transform(self, X):
"""Transform X back to its original space.
Returns an array X_original whose transform would be X.
Parameters
----------
X : array-like of shape (n_samples, n_components)
New data.
Returns
-------
X_original : ndarray of shape (n_samples, n_features)
Note that this is always a dense array.
"""
X = check_array(X)
return np.dot(X, self.components_)
def _more_tags(self):
return {"preserves_dtype": [np.float64, np.float32]}
@property
def _n_features_out(self):
"""Number of transformed output features."""
return self.components_.shape[0]

View File

@@ -0,0 +1,35 @@
import os
import numpy
from numpy.distutils.misc_util import Configuration
def configuration(parent_package="", top_path=None):
config = Configuration("decomposition", parent_package, top_path)
libraries = []
if os.name == "posix":
libraries.append("m")
config.add_extension(
"_online_lda_fast",
sources=["_online_lda_fast.pyx"],
include_dirs=[numpy.get_include()],
libraries=libraries,
)
config.add_extension(
"_cdnmf_fast",
sources=["_cdnmf_fast.pyx"],
include_dirs=[numpy.get_include()],
libraries=libraries,
)
config.add_subpackage("tests")
return config
if __name__ == "__main__":
from numpy.distutils.core import setup
setup(**configuration().todict())

View File

@@ -0,0 +1,121 @@
# Author: Christian Osendorfer <osendorf@gmail.com>
# Alexandre Gramfort <alexandre.gramfort@inria.fr>
# License: BSD3
from itertools import combinations
import numpy as np
import pytest
from sklearn.utils._testing import assert_almost_equal
from sklearn.utils._testing import assert_array_almost_equal
from sklearn.exceptions import ConvergenceWarning
from sklearn.decomposition import FactorAnalysis
from sklearn.utils._testing import ignore_warnings
from sklearn.decomposition._factor_analysis import _ortho_rotation
# Ignore warnings from switching to more power iterations in randomized_svd
@ignore_warnings
def test_factor_analysis():
# Test FactorAnalysis ability to recover the data covariance structure
rng = np.random.RandomState(0)
n_samples, n_features, n_components = 20, 5, 3
# Some random settings for the generative model
W = rng.randn(n_components, n_features)
# latent variable of dim 3, 20 of it
h = rng.randn(n_samples, n_components)
# using gamma to model different noise variance
# per component
noise = rng.gamma(1, size=n_features) * rng.randn(n_samples, n_features)
# generate observations
# wlog, mean is 0
X = np.dot(h, W) + noise
fa_fail = FactorAnalysis(svd_method="foo")
msg = "SVD method 'foo' is not supported"
with pytest.raises(ValueError, match=msg):
fa_fail.fit(X)
fas = []
for method in ["randomized", "lapack"]:
fa = FactorAnalysis(n_components=n_components, svd_method=method)
fa.fit(X)
fas.append(fa)
X_t = fa.transform(X)
assert X_t.shape == (n_samples, n_components)
assert_almost_equal(fa.loglike_[-1], fa.score_samples(X).sum())
assert_almost_equal(fa.score_samples(X).mean(), fa.score(X))
diff = np.all(np.diff(fa.loglike_))
assert diff > 0.0, "Log likelihood dif not increase"
# Sample Covariance
scov = np.cov(X, rowvar=0.0, bias=1.0)
# Model Covariance
mcov = fa.get_covariance()
diff = np.sum(np.abs(scov - mcov)) / W.size
assert diff < 0.1, "Mean absolute difference is %f" % diff
fa = FactorAnalysis(
n_components=n_components, noise_variance_init=np.ones(n_features)
)
with pytest.raises(ValueError):
fa.fit(X[:, :2])
def f(x, y):
return np.abs(getattr(x, y)) # sign will not be equal
fa1, fa2 = fas
for attr in ["loglike_", "components_", "noise_variance_"]:
assert_almost_equal(f(fa1, attr), f(fa2, attr))
fa1.max_iter = 1
fa1.verbose = True
with pytest.warns(ConvergenceWarning):
fa1.fit(X)
# Test get_covariance and get_precision with n_components == n_features
# with n_components < n_features and with n_components == 0
for n_components in [0, 2, X.shape[1]]:
fa.n_components = n_components
fa.fit(X)
cov = fa.get_covariance()
precision = fa.get_precision()
assert_array_almost_equal(np.dot(cov, precision), np.eye(X.shape[1]), 12)
# test rotation
n_components = 2
results, projections = {}, {}
for method in (None, "varimax", "quartimax"):
fa_var = FactorAnalysis(n_components=n_components, rotation=method)
results[method] = fa_var.fit_transform(X)
projections[method] = fa_var.get_covariance()
for rot1, rot2 in combinations([None, "varimax", "quartimax"], 2):
assert not np.allclose(results[rot1], results[rot2])
assert np.allclose(projections[rot1], projections[rot2], atol=3)
with pytest.raises(ValueError):
FactorAnalysis(rotation="not_implemented").fit_transform(X)
# test against R's psych::principal with rotate="varimax"
# (i.e., the values below stem from rotating the components in R)
# R's factor analysis returns quite different values; therefore, we only
# test the rotation itself
factors = np.array(
[
[0.89421016, -0.35854928, -0.27770122, 0.03773647],
[-0.45081822, -0.89132754, 0.0932195, -0.01787973],
[0.99500666, -0.02031465, 0.05426497, -0.11539407],
[0.96822861, -0.06299656, 0.24411001, 0.07540887],
]
)
r_solution = np.array(
[[0.962, 0.052], [-0.141, 0.989], [0.949, -0.300], [0.937, -0.251]]
)
rotated = _ortho_rotation(factors[:, :n_components], method="varimax").T
assert_array_almost_equal(np.abs(rotated), np.abs(r_solution), decimal=3)

View File

@@ -0,0 +1,459 @@
"""
Test the fastica algorithm.
"""
import itertools
import pytest
import warnings
import numpy as np
from scipy import stats
from sklearn.utils._testing import assert_array_equal
from sklearn.utils._testing import assert_allclose
from sklearn.decomposition import FastICA, fastica, PCA
from sklearn.decomposition._fastica import _gs_decorrelation
from sklearn.exceptions import ConvergenceWarning
def center_and_norm(x, axis=-1):
"""Centers and norms x **in place**
Parameters
-----------
x: ndarray
Array with an axis of observations (statistical units) measured on
random variables.
axis: int, optional
Axis along which the mean and variance are calculated.
"""
x = np.rollaxis(x, axis)
x -= x.mean(axis=0)
x /= x.std(axis=0)
def test_gs():
# Test gram schmidt orthonormalization
# generate a random orthogonal matrix
rng = np.random.RandomState(0)
W, _, _ = np.linalg.svd(rng.randn(10, 10))
w = rng.randn(10)
_gs_decorrelation(w, W, 10)
assert (w**2).sum() < 1.0e-10
w = rng.randn(10)
u = _gs_decorrelation(w, W, 5)
tmp = np.dot(u, W.T)
assert (tmp[:5] ** 2).sum() < 1.0e-10
def test_fastica_attributes_dtypes(global_dtype):
rng = np.random.RandomState(0)
X = rng.random_sample((100, 10)).astype(global_dtype, copy=False)
fica = FastICA(
n_components=5, max_iter=1000, whiten="unit-variance", random_state=0
).fit(X)
assert fica.components_.dtype == global_dtype
assert fica.mixing_.dtype == global_dtype
assert fica.mean_.dtype == global_dtype
assert fica.whitening_.dtype == global_dtype
def test_fastica_return_dtypes(global_dtype):
rng = np.random.RandomState(0)
X = rng.random_sample((100, 10)).astype(global_dtype, copy=False)
k_, mixing_, s_ = fastica(
X, max_iter=1000, whiten="unit-variance", random_state=rng
)
assert k_.dtype == global_dtype
assert mixing_.dtype == global_dtype
assert s_.dtype == global_dtype
# FIXME remove filter in 1.3
@pytest.mark.filterwarnings(
"ignore:From version 1.3 whiten='unit-variance' will be used by default."
)
@pytest.mark.parametrize("add_noise", [True, False])
def test_fastica_simple(add_noise, global_random_seed, global_dtype):
# Test the FastICA algorithm on very simple data.
rng = np.random.RandomState(global_random_seed)
n_samples = 1000
# Generate two sources:
s1 = (2 * np.sin(np.linspace(0, 100, n_samples)) > 0) - 1
s2 = stats.t.rvs(1, size=n_samples, random_state=global_random_seed)
s = np.c_[s1, s2].T
center_and_norm(s)
s = s.astype(global_dtype)
s1, s2 = s
# Mixing angle
phi = 0.6
mixing = np.array([[np.cos(phi), np.sin(phi)], [np.sin(phi), -np.cos(phi)]])
mixing = mixing.astype(global_dtype)
m = np.dot(mixing, s)
if add_noise:
m += 0.1 * rng.randn(2, 1000)
center_and_norm(m)
# function as fun arg
def g_test(x):
return x**3, (3 * x**2).mean(axis=-1)
algos = ["parallel", "deflation"]
nls = ["logcosh", "exp", "cube", g_test]
whitening = ["arbitrary-variance", "unit-variance", False]
for algo, nl, whiten in itertools.product(algos, nls, whitening):
if whiten:
k_, mixing_, s_ = fastica(
m.T, fun=nl, whiten=whiten, algorithm=algo, random_state=rng
)
with pytest.raises(ValueError):
fastica(m.T, fun=np.tanh, whiten=whiten, algorithm=algo)
else:
pca = PCA(n_components=2, whiten=True, random_state=rng)
X = pca.fit_transform(m.T)
k_, mixing_, s_ = fastica(
X, fun=nl, algorithm=algo, whiten=False, random_state=rng
)
with pytest.raises(ValueError):
fastica(X, fun=np.tanh, algorithm=algo)
s_ = s_.T
# Check that the mixing model described in the docstring holds:
if whiten:
# XXX: exact reconstruction to standard relative tolerance is not
# possible. This is probably expected when add_noise is True but we
# also need a non-trivial atol in float32 when add_noise is False.
#
# Note that the 2 sources are non-Gaussian in this test.
atol = 1e-5 if global_dtype == np.float32 else 0
assert_allclose(np.dot(np.dot(mixing_, k_), m), s_, atol=atol)
center_and_norm(s_)
s1_, s2_ = s_
# Check to see if the sources have been estimated
# in the wrong order
if abs(np.dot(s1_, s2)) > abs(np.dot(s1_, s1)):
s2_, s1_ = s_
s1_ *= np.sign(np.dot(s1_, s1))
s2_ *= np.sign(np.dot(s2_, s2))
# Check that we have estimated the original sources
if not add_noise:
assert_allclose(np.dot(s1_, s1) / n_samples, 1, atol=1e-2)
assert_allclose(np.dot(s2_, s2) / n_samples, 1, atol=1e-2)
else:
assert_allclose(np.dot(s1_, s1) / n_samples, 1, atol=1e-1)
assert_allclose(np.dot(s2_, s2) / n_samples, 1, atol=1e-1)
# Test FastICA class
_, _, sources_fun = fastica(
m.T, fun=nl, algorithm=algo, random_state=global_random_seed
)
ica = FastICA(fun=nl, algorithm=algo, random_state=global_random_seed)
sources = ica.fit_transform(m.T)
assert ica.components_.shape == (2, 2)
assert sources.shape == (1000, 2)
assert_allclose(sources_fun, sources)
assert_allclose(sources, ica.transform(m.T))
assert ica.mixing_.shape == (2, 2)
for fn in [np.tanh, "exp(-.5(x^2))"]:
ica = FastICA(fun=fn, algorithm=algo)
with pytest.raises(ValueError):
ica.fit(m.T)
with pytest.raises(TypeError):
FastICA(fun=range(10)).fit(m.T)
def test_fastica_nowhiten():
m = [[0, 1], [1, 0]]
# test for issue #697
ica = FastICA(n_components=1, whiten=False, random_state=0)
warn_msg = "Ignoring n_components with whiten=False."
with pytest.warns(UserWarning, match=warn_msg):
ica.fit(m)
assert hasattr(ica, "mixing_")
def test_fastica_convergence_fail():
# Test the FastICA algorithm on very simple data
# (see test_non_square_fastica).
# Ensure a ConvergenceWarning raised if the tolerance is sufficiently low.
rng = np.random.RandomState(0)
n_samples = 1000
# Generate two sources:
t = np.linspace(0, 100, n_samples)
s1 = np.sin(t)
s2 = np.ceil(np.sin(np.pi * t))
s = np.c_[s1, s2].T
center_and_norm(s)
# Mixing matrix
mixing = rng.randn(6, 2)
m = np.dot(mixing, s)
# Do fastICA with tolerance 0. to ensure failing convergence
warn_msg = (
"FastICA did not converge. Consider increasing tolerance "
"or the maximum number of iterations."
)
with pytest.warns(ConvergenceWarning, match=warn_msg):
ica = FastICA(
algorithm="parallel", n_components=2, random_state=rng, max_iter=2, tol=0.0
)
ica.fit(m.T)
@pytest.mark.parametrize("add_noise", [True, False])
def test_non_square_fastica(add_noise):
# Test the FastICA algorithm on very simple data.
rng = np.random.RandomState(0)
n_samples = 1000
# Generate two sources:
t = np.linspace(0, 100, n_samples)
s1 = np.sin(t)
s2 = np.ceil(np.sin(np.pi * t))
s = np.c_[s1, s2].T
center_and_norm(s)
s1, s2 = s
# Mixing matrix
mixing = rng.randn(6, 2)
m = np.dot(mixing, s)
if add_noise:
m += 0.1 * rng.randn(6, n_samples)
center_and_norm(m)
k_, mixing_, s_ = fastica(
m.T, n_components=2, whiten="unit-variance", random_state=rng
)
s_ = s_.T
# Check that the mixing model described in the docstring holds:
assert_allclose(s_, np.dot(np.dot(mixing_, k_), m))
center_and_norm(s_)
s1_, s2_ = s_
# Check to see if the sources have been estimated
# in the wrong order
if abs(np.dot(s1_, s2)) > abs(np.dot(s1_, s1)):
s2_, s1_ = s_
s1_ *= np.sign(np.dot(s1_, s1))
s2_ *= np.sign(np.dot(s2_, s2))
# Check that we have estimated the original sources
if not add_noise:
assert_allclose(np.dot(s1_, s1) / n_samples, 1, atol=1e-3)
assert_allclose(np.dot(s2_, s2) / n_samples, 1, atol=1e-3)
def test_fit_transform(global_random_seed, global_dtype):
"""Test unit variance of transformed data using FastICA algorithm.
Check that `fit_transform` gives the same result as applying
`fit` and then `transform`.
Bug #13056
"""
# multivariate uniform data in [0, 1]
rng = np.random.RandomState(global_random_seed)
X = rng.random_sample((100, 10)).astype(global_dtype)
max_iter = 300
for whiten, n_components in [["unit-variance", 5], [False, None]]:
n_components_ = n_components if n_components is not None else X.shape[1]
ica = FastICA(
n_components=n_components, max_iter=max_iter, whiten=whiten, random_state=0
)
with warnings.catch_warnings():
# make sure that numerical errors do not cause sqrt of negative
# values
warnings.simplefilter("error", RuntimeWarning)
# XXX: for some seeds, the model does not converge.
# However this is not what we test here.
warnings.simplefilter("ignore", ConvergenceWarning)
Xt = ica.fit_transform(X)
assert ica.components_.shape == (n_components_, 10)
assert Xt.shape == (X.shape[0], n_components_)
ica2 = FastICA(
n_components=n_components, max_iter=max_iter, whiten=whiten, random_state=0
)
with warnings.catch_warnings():
# make sure that numerical errors do not cause sqrt of negative
# values
warnings.simplefilter("error", RuntimeWarning)
warnings.simplefilter("ignore", ConvergenceWarning)
ica2.fit(X)
assert ica2.components_.shape == (n_components_, 10)
Xt2 = ica2.transform(X)
# XXX: we have to set atol for this test to pass for all seeds when
# fitting with float32 data. Is this revealing a bug?
if global_dtype:
atol = np.abs(Xt2).mean() / 1e6
else:
atol = 0.0 # the default rtol is enough for float64 data
assert_allclose(Xt, Xt2, atol=atol)
@pytest.mark.filterwarnings("ignore:Ignoring n_components with whiten=False.")
@pytest.mark.parametrize(
"whiten, n_components, expected_mixing_shape",
[
("arbitrary-variance", 5, (10, 5)),
("arbitrary-variance", 10, (10, 10)),
("unit-variance", 5, (10, 5)),
("unit-variance", 10, (10, 10)),
(False, 5, (10, 10)),
(False, 10, (10, 10)),
],
)
def test_inverse_transform(
whiten, n_components, expected_mixing_shape, global_random_seed, global_dtype
):
# Test FastICA.inverse_transform
n_samples = 100
rng = np.random.RandomState(global_random_seed)
X = rng.random_sample((n_samples, 10)).astype(global_dtype)
ica = FastICA(n_components=n_components, random_state=rng, whiten=whiten)
with warnings.catch_warnings():
# For some dataset (depending on the value of global_dtype) the model
# can fail to converge but this should not impact the definition of
# a valid inverse transform.
warnings.simplefilter("ignore", ConvergenceWarning)
Xt = ica.fit_transform(X)
assert ica.mixing_.shape == expected_mixing_shape
X2 = ica.inverse_transform(Xt)
assert X.shape == X2.shape
# reversibility test in non-reduction case
if n_components == X.shape[1]:
# XXX: we have to set atol for this test to pass for all seeds when
# fitting with float32 data. Is this revealing a bug?
if global_dtype:
# XXX: dividing by a smaller number makes
# tests fail for some seeds.
atol = np.abs(X2).mean() / 1e5
else:
atol = 0.0 # the default rtol is enough for float64 data
assert_allclose(X, X2, atol=atol)
# FIXME remove filter in 1.3
@pytest.mark.filterwarnings(
"ignore:From version 1.3 whiten='unit-variance' will be used by default."
)
def test_fastica_errors():
n_features = 3
n_samples = 10
rng = np.random.RandomState(0)
X = rng.random_sample((n_samples, n_features))
w_init = rng.randn(n_features + 1, n_features + 1)
fastica_estimator = FastICA(max_iter=0)
with pytest.raises(ValueError, match="max_iter should be greater than 1"):
fastica_estimator.fit(X)
with pytest.raises(ValueError, match=r"alpha must be in \[1,2\]"):
fastica(X, fun_args={"alpha": 0})
with pytest.raises(
ValueError, match="w_init has invalid shape.+" r"should be \(3L?, 3L?\)"
):
fastica(X, w_init=w_init)
with pytest.raises(
ValueError, match="Invalid algorithm.+must be.+parallel.+or.+deflation"
):
fastica(X, algorithm="pizza")
def test_fastica_whiten_unit_variance():
"""Test unit variance of transformed data using FastICA algorithm.
Bug #13056
"""
rng = np.random.RandomState(0)
X = rng.random_sample((100, 10))
n_components = X.shape[1]
ica = FastICA(n_components=n_components, whiten="unit-variance", random_state=0)
Xt = ica.fit_transform(X)
assert np.var(Xt) == pytest.approx(1.0)
@pytest.mark.parametrize("ica", [FastICA(), FastICA(whiten=True)])
def test_fastica_whiten_default_value_deprecation(ica):
"""Test FastICA whiten default value deprecation.
Regression test for #19490
"""
rng = np.random.RandomState(0)
X = rng.random_sample((100, 10))
with pytest.warns(FutureWarning, match=r"From version 1.3 whiten="):
ica.fit(X)
assert ica._whiten == "arbitrary-variance"
def test_fastica_whiten_backwards_compatibility():
"""Test previous behavior for FastICA whitening (whiten=True)
Regression test for #19490
"""
rng = np.random.RandomState(0)
X = rng.random_sample((100, 10))
n_components = X.shape[1]
default_ica = FastICA(n_components=n_components, random_state=0)
with pytest.warns(FutureWarning):
Xt_on_default = default_ica.fit_transform(X)
ica = FastICA(n_components=n_components, whiten=True, random_state=0)
with pytest.warns(FutureWarning):
Xt = ica.fit_transform(X)
# No warning must be raised in this case.
av_ica = FastICA(
n_components=n_components, whiten="arbitrary-variance", random_state=0
)
with warnings.catch_warnings():
warnings.simplefilter("error", FutureWarning)
Xt_av = av_ica.fit_transform(X)
# The whitening strategy must be "arbitrary-variance" in all the cases.
assert default_ica._whiten == "arbitrary-variance"
assert ica._whiten == "arbitrary-variance"
assert av_ica._whiten == "arbitrary-variance"
assert_array_equal(Xt, Xt_on_default)
assert_array_equal(Xt, Xt_av)
assert np.var(Xt) == pytest.approx(1.0 / 100)
@pytest.mark.parametrize("whiten", ["arbitrary-variance", "unit-variance", False])
@pytest.mark.parametrize("return_X_mean", [True, False])
@pytest.mark.parametrize("return_n_iter", [True, False])
def test_fastica_output_shape(whiten, return_X_mean, return_n_iter):
n_features = 3
n_samples = 10
rng = np.random.RandomState(0)
X = rng.random_sample((n_samples, n_features))
expected_len = 3 + return_X_mean + return_n_iter
out = fastica(
X, whiten=whiten, return_n_iter=return_n_iter, return_X_mean=return_X_mean
)
assert len(out) == expected_len
if not whiten:
assert out[0] is None

View File

@@ -0,0 +1,451 @@
"""Tests for Incremental PCA."""
import numpy as np
import pytest
import warnings
from sklearn.utils._testing import assert_almost_equal
from sklearn.utils._testing import assert_array_almost_equal
from sklearn.utils._testing import assert_allclose_dense_sparse
from numpy.testing import assert_array_equal
from sklearn import datasets
from sklearn.decomposition import PCA, IncrementalPCA
from scipy import sparse
iris = datasets.load_iris()
def test_incremental_pca():
# Incremental PCA on dense arrays.
X = iris.data
batch_size = X.shape[0] // 3
ipca = IncrementalPCA(n_components=2, batch_size=batch_size)
pca = PCA(n_components=2)
pca.fit_transform(X)
X_transformed = ipca.fit_transform(X)
assert X_transformed.shape == (X.shape[0], 2)
np.testing.assert_allclose(
ipca.explained_variance_ratio_.sum(),
pca.explained_variance_ratio_.sum(),
rtol=1e-3,
)
for n_components in [1, 2, X.shape[1]]:
ipca = IncrementalPCA(n_components, batch_size=batch_size)
ipca.fit(X)
cov = ipca.get_covariance()
precision = ipca.get_precision()
np.testing.assert_allclose(
np.dot(cov, precision), np.eye(X.shape[1]), atol=1e-13
)
@pytest.mark.parametrize(
"matrix_class", [sparse.csc_matrix, sparse.csr_matrix, sparse.lil_matrix]
)
def test_incremental_pca_sparse(matrix_class):
# Incremental PCA on sparse arrays.
X = iris.data
pca = PCA(n_components=2)
pca.fit_transform(X)
X_sparse = matrix_class(X)
batch_size = X_sparse.shape[0] // 3
ipca = IncrementalPCA(n_components=2, batch_size=batch_size)
X_transformed = ipca.fit_transform(X_sparse)
assert X_transformed.shape == (X_sparse.shape[0], 2)
np.testing.assert_allclose(
ipca.explained_variance_ratio_.sum(),
pca.explained_variance_ratio_.sum(),
rtol=1e-3,
)
for n_components in [1, 2, X.shape[1]]:
ipca = IncrementalPCA(n_components, batch_size=batch_size)
ipca.fit(X_sparse)
cov = ipca.get_covariance()
precision = ipca.get_precision()
np.testing.assert_allclose(
np.dot(cov, precision), np.eye(X_sparse.shape[1]), atol=1e-13
)
with pytest.raises(
TypeError,
match=(
"IncrementalPCA.partial_fit does not support "
"sparse input. Either convert data to dense "
"or use IncrementalPCA.fit to do so in batches."
),
):
ipca.partial_fit(X_sparse)
def test_incremental_pca_check_projection():
# Test that the projection of data is correct.
rng = np.random.RandomState(1999)
n, p = 100, 3
X = rng.randn(n, p) * 0.1
X[:10] += np.array([3, 4, 5])
Xt = 0.1 * rng.randn(1, p) + np.array([3, 4, 5])
# Get the reconstruction of the generated data X
# Note that Xt has the same "components" as X, just separated
# This is what we want to ensure is recreated correctly
Yt = IncrementalPCA(n_components=2).fit(X).transform(Xt)
# Normalize
Yt /= np.sqrt((Yt**2).sum())
# Make sure that the first element of Yt is ~1, this means
# the reconstruction worked as expected
assert_almost_equal(np.abs(Yt[0][0]), 1.0, 1)
def test_incremental_pca_inverse():
# Test that the projection of data can be inverted.
rng = np.random.RandomState(1999)
n, p = 50, 3
X = rng.randn(n, p) # spherical data
X[:, 1] *= 0.00001 # make middle component relatively small
X += [5, 4, 3] # make a large mean
# same check that we can find the original data from the transformed
# signal (since the data is almost of rank n_components)
ipca = IncrementalPCA(n_components=2, batch_size=10).fit(X)
Y = ipca.transform(X)
Y_inverse = ipca.inverse_transform(Y)
assert_almost_equal(X, Y_inverse, decimal=3)
def test_incremental_pca_validation():
# Test that n_components is >=1 and <= n_features.
X = np.array([[0, 1, 0], [1, 0, 0]])
n_samples, n_features = X.shape
for n_components in [-1, 0, 0.99, 4]:
with pytest.raises(
ValueError,
match=(
"n_components={} invalid"
" for n_features={}, need more rows than"
" columns for IncrementalPCA"
" processing".format(n_components, n_features)
),
):
IncrementalPCA(n_components, batch_size=10).fit(X)
# Tests that n_components is also <= n_samples.
n_components = 3
with pytest.raises(
ValueError,
match=(
"n_components={} must be"
" less or equal to the batch number of"
" samples {}".format(n_components, n_samples)
),
):
IncrementalPCA(n_components=n_components).partial_fit(X)
def test_n_samples_equal_n_components():
# Ensures no warning is raised when n_samples==n_components
# Non-regression test for gh-19050
ipca = IncrementalPCA(n_components=5)
with warnings.catch_warnings():
warnings.simplefilter("error", RuntimeWarning)
ipca.partial_fit(np.random.randn(5, 7))
with warnings.catch_warnings():
warnings.simplefilter("error", RuntimeWarning)
ipca.fit(np.random.randn(5, 7))
def test_n_components_none():
# Ensures that n_components == None is handled correctly
rng = np.random.RandomState(1999)
for n_samples, n_features in [(50, 10), (10, 50)]:
X = rng.rand(n_samples, n_features)
ipca = IncrementalPCA(n_components=None)
# First partial_fit call, ipca.n_components_ is inferred from
# min(X.shape)
ipca.partial_fit(X)
assert ipca.n_components_ == min(X.shape)
# Second partial_fit call, ipca.n_components_ is inferred from
# ipca.components_ computed from the first partial_fit call
ipca.partial_fit(X)
assert ipca.n_components_ == ipca.components_.shape[0]
def test_incremental_pca_set_params():
# Test that components_ sign is stable over batch sizes.
rng = np.random.RandomState(1999)
n_samples = 100
n_features = 20
X = rng.randn(n_samples, n_features)
X2 = rng.randn(n_samples, n_features)
X3 = rng.randn(n_samples, n_features)
ipca = IncrementalPCA(n_components=20)
ipca.fit(X)
# Decreasing number of components
ipca.set_params(n_components=10)
with pytest.raises(ValueError):
ipca.partial_fit(X2)
# Increasing number of components
ipca.set_params(n_components=15)
with pytest.raises(ValueError):
ipca.partial_fit(X3)
# Returning to original setting
ipca.set_params(n_components=20)
ipca.partial_fit(X)
def test_incremental_pca_num_features_change():
# Test that changing n_components will raise an error.
rng = np.random.RandomState(1999)
n_samples = 100
X = rng.randn(n_samples, 20)
X2 = rng.randn(n_samples, 50)
ipca = IncrementalPCA(n_components=None)
ipca.fit(X)
with pytest.raises(ValueError):
ipca.partial_fit(X2)
def test_incremental_pca_batch_signs():
# Test that components_ sign is stable over batch sizes.
rng = np.random.RandomState(1999)
n_samples = 100
n_features = 3
X = rng.randn(n_samples, n_features)
all_components = []
batch_sizes = np.arange(10, 20)
for batch_size in batch_sizes:
ipca = IncrementalPCA(n_components=None, batch_size=batch_size).fit(X)
all_components.append(ipca.components_)
for i, j in zip(all_components[:-1], all_components[1:]):
assert_almost_equal(np.sign(i), np.sign(j), decimal=6)
def test_incremental_pca_batch_values():
# Test that components_ values are stable over batch sizes.
rng = np.random.RandomState(1999)
n_samples = 100
n_features = 3
X = rng.randn(n_samples, n_features)
all_components = []
batch_sizes = np.arange(20, 40, 3)
for batch_size in batch_sizes:
ipca = IncrementalPCA(n_components=None, batch_size=batch_size).fit(X)
all_components.append(ipca.components_)
for i, j in zip(all_components[:-1], all_components[1:]):
assert_almost_equal(i, j, decimal=1)
def test_incremental_pca_batch_rank():
# Test sample size in each batch is always larger or equal to n_components
rng = np.random.RandomState(1999)
n_samples = 100
n_features = 20
X = rng.randn(n_samples, n_features)
all_components = []
batch_sizes = np.arange(20, 90, 3)
for batch_size in batch_sizes:
ipca = IncrementalPCA(n_components=20, batch_size=batch_size).fit(X)
all_components.append(ipca.components_)
for components_i, components_j in zip(all_components[:-1], all_components[1:]):
assert_allclose_dense_sparse(components_i, components_j)
def test_incremental_pca_partial_fit():
# Test that fit and partial_fit get equivalent results.
rng = np.random.RandomState(1999)
n, p = 50, 3
X = rng.randn(n, p) # spherical data
X[:, 1] *= 0.00001 # make middle component relatively small
X += [5, 4, 3] # make a large mean
# same check that we can find the original data from the transformed
# signal (since the data is almost of rank n_components)
batch_size = 10
ipca = IncrementalPCA(n_components=2, batch_size=batch_size).fit(X)
pipca = IncrementalPCA(n_components=2, batch_size=batch_size)
# Add one to make sure endpoint is included
batch_itr = np.arange(0, n + 1, batch_size)
for i, j in zip(batch_itr[:-1], batch_itr[1:]):
pipca.partial_fit(X[i:j, :])
assert_almost_equal(ipca.components_, pipca.components_, decimal=3)
def test_incremental_pca_against_pca_iris():
# Test that IncrementalPCA and PCA are approximate (to a sign flip).
X = iris.data
Y_pca = PCA(n_components=2).fit_transform(X)
Y_ipca = IncrementalPCA(n_components=2, batch_size=25).fit_transform(X)
assert_almost_equal(np.abs(Y_pca), np.abs(Y_ipca), 1)
def test_incremental_pca_against_pca_random_data():
# Test that IncrementalPCA and PCA are approximate (to a sign flip).
rng = np.random.RandomState(1999)
n_samples = 100
n_features = 3
X = rng.randn(n_samples, n_features) + 5 * rng.rand(1, n_features)
Y_pca = PCA(n_components=3).fit_transform(X)
Y_ipca = IncrementalPCA(n_components=3, batch_size=25).fit_transform(X)
assert_almost_equal(np.abs(Y_pca), np.abs(Y_ipca), 1)
def test_explained_variances():
# Test that PCA and IncrementalPCA calculations match
X = datasets.make_low_rank_matrix(
1000, 100, tail_strength=0.0, effective_rank=10, random_state=1999
)
prec = 3
n_samples, n_features = X.shape
for nc in [None, 99]:
pca = PCA(n_components=nc).fit(X)
ipca = IncrementalPCA(n_components=nc, batch_size=100).fit(X)
assert_almost_equal(
pca.explained_variance_, ipca.explained_variance_, decimal=prec
)
assert_almost_equal(
pca.explained_variance_ratio_, ipca.explained_variance_ratio_, decimal=prec
)
assert_almost_equal(pca.noise_variance_, ipca.noise_variance_, decimal=prec)
def test_singular_values():
# Check that the IncrementalPCA output has the correct singular values
rng = np.random.RandomState(0)
n_samples = 1000
n_features = 100
X = datasets.make_low_rank_matrix(
n_samples, n_features, tail_strength=0.0, effective_rank=10, random_state=rng
)
pca = PCA(n_components=10, svd_solver="full", random_state=rng).fit(X)
ipca = IncrementalPCA(n_components=10, batch_size=100).fit(X)
assert_array_almost_equal(pca.singular_values_, ipca.singular_values_, 2)
# Compare to the Frobenius norm
X_pca = pca.transform(X)
X_ipca = ipca.transform(X)
assert_array_almost_equal(
np.sum(pca.singular_values_**2.0), np.linalg.norm(X_pca, "fro") ** 2.0, 12
)
assert_array_almost_equal(
np.sum(ipca.singular_values_**2.0), np.linalg.norm(X_ipca, "fro") ** 2.0, 2
)
# Compare to the 2-norms of the score vectors
assert_array_almost_equal(
pca.singular_values_, np.sqrt(np.sum(X_pca**2.0, axis=0)), 12
)
assert_array_almost_equal(
ipca.singular_values_, np.sqrt(np.sum(X_ipca**2.0, axis=0)), 2
)
# Set the singular values and see what we get back
rng = np.random.RandomState(0)
n_samples = 100
n_features = 110
X = datasets.make_low_rank_matrix(
n_samples, n_features, tail_strength=0.0, effective_rank=3, random_state=rng
)
pca = PCA(n_components=3, svd_solver="full", random_state=rng)
ipca = IncrementalPCA(n_components=3, batch_size=100)
X_pca = pca.fit_transform(X)
X_pca /= np.sqrt(np.sum(X_pca**2.0, axis=0))
X_pca[:, 0] *= 3.142
X_pca[:, 1] *= 2.718
X_hat = np.dot(X_pca, pca.components_)
pca.fit(X_hat)
ipca.fit(X_hat)
assert_array_almost_equal(pca.singular_values_, [3.142, 2.718, 1.0], 14)
assert_array_almost_equal(ipca.singular_values_, [3.142, 2.718, 1.0], 14)
def test_whitening():
# Test that PCA and IncrementalPCA transforms match to sign flip.
X = datasets.make_low_rank_matrix(
1000, 10, tail_strength=0.0, effective_rank=2, random_state=1999
)
prec = 3
n_samples, n_features = X.shape
for nc in [None, 9]:
pca = PCA(whiten=True, n_components=nc).fit(X)
ipca = IncrementalPCA(whiten=True, n_components=nc, batch_size=250).fit(X)
Xt_pca = pca.transform(X)
Xt_ipca = ipca.transform(X)
assert_almost_equal(np.abs(Xt_pca), np.abs(Xt_ipca), decimal=prec)
Xinv_ipca = ipca.inverse_transform(Xt_ipca)
Xinv_pca = pca.inverse_transform(Xt_pca)
assert_almost_equal(X, Xinv_ipca, decimal=prec)
assert_almost_equal(X, Xinv_pca, decimal=prec)
assert_almost_equal(Xinv_pca, Xinv_ipca, decimal=prec)
def test_incremental_pca_partial_fit_float_division():
# Test to ensure float division is used in all versions of Python
# (non-regression test for issue #9489)
rng = np.random.RandomState(0)
A = rng.randn(5, 3) + 2
B = rng.randn(7, 3) + 5
pca = IncrementalPCA(n_components=2)
pca.partial_fit(A)
# Set n_samples_seen_ to be a floating point number instead of an int
pca.n_samples_seen_ = float(pca.n_samples_seen_)
pca.partial_fit(B)
singular_vals_float_samples_seen = pca.singular_values_
pca2 = IncrementalPCA(n_components=2)
pca2.partial_fit(A)
pca2.partial_fit(B)
singular_vals_int_samples_seen = pca2.singular_values_
np.testing.assert_allclose(
singular_vals_float_samples_seen, singular_vals_int_samples_seen
)
def test_incremental_pca_fit_overflow_error():
# Test for overflow error on Windows OS
# (non-regression test for issue #17693)
rng = np.random.RandomState(0)
A = rng.rand(500000, 2)
ipca = IncrementalPCA(n_components=2, batch_size=10000)
ipca.fit(A)
pca = PCA(n_components=2)
pca.fit(A)
np.testing.assert_allclose(ipca.singular_values_, pca.singular_values_)
def test_incremental_pca_feature_names_out():
"""Check feature names out for IncrementalPCA."""
ipca = IncrementalPCA(n_components=2).fit(iris.data)
names = ipca.get_feature_names_out()
assert_array_equal([f"incrementalpca{i}" for i in range(2)], names)

View File

@@ -0,0 +1,571 @@
import numpy as np
import scipy.sparse as sp
import pytest
import warnings
from sklearn.utils._testing import (
assert_array_almost_equal,
assert_array_equal,
assert_allclose,
)
from sklearn.decomposition import PCA, KernelPCA
from sklearn.datasets import make_circles
from sklearn.datasets import make_blobs
from sklearn.exceptions import NotFittedError
from sklearn.linear_model import Perceptron
from sklearn.pipeline import Pipeline
from sklearn.preprocessing import StandardScaler
from sklearn.model_selection import GridSearchCV
from sklearn.metrics.pairwise import rbf_kernel
from sklearn.utils.validation import _check_psd_eigenvalues
def test_kernel_pca():
"""Nominal test for all solvers and all known kernels + a custom one
It tests
- that fit_transform is equivalent to fit+transform
- that the shapes of transforms and inverse transforms are correct
"""
rng = np.random.RandomState(0)
X_fit = rng.random_sample((5, 4))
X_pred = rng.random_sample((2, 4))
def histogram(x, y, **kwargs):
# Histogram kernel implemented as a callable.
assert kwargs == {} # no kernel_params that we didn't ask for
return np.minimum(x, y).sum()
for eigen_solver in ("auto", "dense", "arpack", "randomized"):
for kernel in ("linear", "rbf", "poly", histogram):
# histogram kernel produces singular matrix inside linalg.solve
# XXX use a least-squares approximation?
inv = not callable(kernel)
# transform fit data
kpca = KernelPCA(
4, kernel=kernel, eigen_solver=eigen_solver, fit_inverse_transform=inv
)
X_fit_transformed = kpca.fit_transform(X_fit)
X_fit_transformed2 = kpca.fit(X_fit).transform(X_fit)
assert_array_almost_equal(
np.abs(X_fit_transformed), np.abs(X_fit_transformed2)
)
# non-regression test: previously, gamma would be 0 by default,
# forcing all eigenvalues to 0 under the poly kernel
assert X_fit_transformed.size != 0
# transform new data
X_pred_transformed = kpca.transform(X_pred)
assert X_pred_transformed.shape[1] == X_fit_transformed.shape[1]
# inverse transform
if inv:
X_pred2 = kpca.inverse_transform(X_pred_transformed)
assert X_pred2.shape == X_pred.shape
def test_kernel_pca_invalid_solver():
"""Check that kPCA raises an error if the solver parameter is invalid"""
with pytest.raises(ValueError):
KernelPCA(eigen_solver="unknown").fit(np.random.randn(10, 10))
def test_kernel_pca_invalid_parameters():
"""Check that kPCA raises an error if the parameters are invalid
Tests fitting inverse transform with a precomputed kernel raises a
ValueError.
"""
estimator = KernelPCA(
n_components=10, fit_inverse_transform=True, kernel="precomputed"
)
err_ms = "Cannot fit_inverse_transform with a precomputed kernel"
with pytest.raises(ValueError, match=err_ms):
estimator.fit(np.random.randn(10, 10))
def test_kernel_pca_consistent_transform():
"""Check robustness to mutations in the original training array
Test that after fitting a kPCA model, it stays independent of any
mutation of the values of the original data object by relying on an
internal copy.
"""
# X_fit_ needs to retain the old, unmodified copy of X
state = np.random.RandomState(0)
X = state.rand(10, 10)
kpca = KernelPCA(random_state=state).fit(X)
transformed1 = kpca.transform(X)
X_copy = X.copy()
X[:, 0] = 666
transformed2 = kpca.transform(X_copy)
assert_array_almost_equal(transformed1, transformed2)
def test_kernel_pca_deterministic_output():
"""Test that Kernel PCA produces deterministic output
Tests that the same inputs and random state produce the same output.
"""
rng = np.random.RandomState(0)
X = rng.rand(10, 10)
eigen_solver = ("arpack", "dense")
for solver in eigen_solver:
transformed_X = np.zeros((20, 2))
for i in range(20):
kpca = KernelPCA(n_components=2, eigen_solver=solver, random_state=rng)
transformed_X[i, :] = kpca.fit_transform(X)[0]
assert_allclose(transformed_X, np.tile(transformed_X[0, :], 20).reshape(20, 2))
def test_kernel_pca_sparse():
"""Test that kPCA works on a sparse data input.
Same test as ``test_kernel_pca except inverse_transform`` since it's not
implemented for sparse matrices.
"""
rng = np.random.RandomState(0)
X_fit = sp.csr_matrix(rng.random_sample((5, 4)))
X_pred = sp.csr_matrix(rng.random_sample((2, 4)))
for eigen_solver in ("auto", "arpack", "randomized"):
for kernel in ("linear", "rbf", "poly"):
# transform fit data
kpca = KernelPCA(
4,
kernel=kernel,
eigen_solver=eigen_solver,
fit_inverse_transform=False,
random_state=0,
)
X_fit_transformed = kpca.fit_transform(X_fit)
X_fit_transformed2 = kpca.fit(X_fit).transform(X_fit)
assert_array_almost_equal(
np.abs(X_fit_transformed), np.abs(X_fit_transformed2)
)
# transform new data
X_pred_transformed = kpca.transform(X_pred)
assert X_pred_transformed.shape[1] == X_fit_transformed.shape[1]
# inverse transform: not available for sparse matrices
# XXX: should we raise another exception type here? For instance:
# NotImplementedError.
with pytest.raises(NotFittedError):
kpca.inverse_transform(X_pred_transformed)
@pytest.mark.parametrize("solver", ["auto", "dense", "arpack", "randomized"])
@pytest.mark.parametrize("n_features", [4, 10])
def test_kernel_pca_linear_kernel(solver, n_features):
"""Test that kPCA with linear kernel is equivalent to PCA for all solvers.
KernelPCA with linear kernel should produce the same output as PCA.
"""
rng = np.random.RandomState(0)
X_fit = rng.random_sample((5, n_features))
X_pred = rng.random_sample((2, n_features))
# for a linear kernel, kernel PCA should find the same projection as PCA
# modulo the sign (direction)
# fit only the first four components: fifth is near zero eigenvalue, so
# can be trimmed due to roundoff error
n_comps = 3 if solver == "arpack" else 4
assert_array_almost_equal(
np.abs(KernelPCA(n_comps, eigen_solver=solver).fit(X_fit).transform(X_pred)),
np.abs(
PCA(n_comps, svd_solver=solver if solver != "dense" else "full")
.fit(X_fit)
.transform(X_pred)
),
)
def test_kernel_pca_n_components():
"""Test that `n_components` is correctly taken into account for projections
For all solvers this tests that the output has the correct shape depending
on the selected number of components.
"""
rng = np.random.RandomState(0)
X_fit = rng.random_sample((5, 4))
X_pred = rng.random_sample((2, 4))
for eigen_solver in ("dense", "arpack", "randomized"):
for c in [1, 2, 4]:
kpca = KernelPCA(n_components=c, eigen_solver=eigen_solver)
shape = kpca.fit(X_fit).transform(X_pred).shape
assert shape == (2, c)
@pytest.mark.parametrize("n_components", [-1, 0])
def test_kernal_pca_too_few_components(n_components):
rng = np.random.RandomState(0)
X_fit = rng.random_sample((5, 4))
kpca = KernelPCA(n_components=n_components)
msg = "n_components.* must be >= 1"
with pytest.raises(ValueError, match=msg):
kpca.fit(X_fit)
def test_remove_zero_eig():
"""Check that the ``remove_zero_eig`` parameter works correctly.
Tests that the null-space (Zero) eigenvalues are removed when
remove_zero_eig=True, whereas they are not by default.
"""
X = np.array([[1 - 1e-30, 1], [1, 1], [1, 1 - 1e-20]])
# n_components=None (default) => remove_zero_eig is True
kpca = KernelPCA()
Xt = kpca.fit_transform(X)
assert Xt.shape == (3, 0)
kpca = KernelPCA(n_components=2)
Xt = kpca.fit_transform(X)
assert Xt.shape == (3, 2)
kpca = KernelPCA(n_components=2, remove_zero_eig=True)
Xt = kpca.fit_transform(X)
assert Xt.shape == (3, 0)
def test_leave_zero_eig():
"""Non-regression test for issue #12141 (PR #12143)
This test checks that fit().transform() returns the same result as
fit_transform() in case of non-removed zero eigenvalue.
"""
X_fit = np.array([[1, 1], [0, 0]])
# Assert that even with all np warnings on, there is no div by zero warning
with warnings.catch_warnings():
# There might be warnings about the kernel being badly conditioned,
# but there should not be warnings about division by zero.
# (Numpy division by zero warning can have many message variants, but
# at least we know that it is a RuntimeWarning so lets check only this)
warnings.simplefilter("error", RuntimeWarning)
with np.errstate(all="warn"):
k = KernelPCA(n_components=2, remove_zero_eig=False, eigen_solver="dense")
# Fit, then transform
A = k.fit(X_fit).transform(X_fit)
# Do both at once
B = k.fit_transform(X_fit)
# Compare
assert_array_almost_equal(np.abs(A), np.abs(B))
def test_kernel_pca_precomputed():
"""Test that kPCA works with a precomputed kernel, for all solvers"""
rng = np.random.RandomState(0)
X_fit = rng.random_sample((5, 4))
X_pred = rng.random_sample((2, 4))
for eigen_solver in ("dense", "arpack", "randomized"):
X_kpca = (
KernelPCA(4, eigen_solver=eigen_solver, random_state=0)
.fit(X_fit)
.transform(X_pred)
)
X_kpca2 = (
KernelPCA(
4, eigen_solver=eigen_solver, kernel="precomputed", random_state=0
)
.fit(np.dot(X_fit, X_fit.T))
.transform(np.dot(X_pred, X_fit.T))
)
X_kpca_train = KernelPCA(
4, eigen_solver=eigen_solver, kernel="precomputed", random_state=0
).fit_transform(np.dot(X_fit, X_fit.T))
X_kpca_train2 = (
KernelPCA(
4, eigen_solver=eigen_solver, kernel="precomputed", random_state=0
)
.fit(np.dot(X_fit, X_fit.T))
.transform(np.dot(X_fit, X_fit.T))
)
assert_array_almost_equal(np.abs(X_kpca), np.abs(X_kpca2))
assert_array_almost_equal(np.abs(X_kpca_train), np.abs(X_kpca_train2))
@pytest.mark.parametrize("solver", ["auto", "dense", "arpack", "randomized"])
def test_kernel_pca_precomputed_non_symmetric(solver):
"""Check that the kernel centerer works.
Tests that a non symmetric precomputed kernel is actually accepted
because the kernel centerer does its job correctly.
"""
# a non symmetric gram matrix
K = [[1, 2], [3, 40]]
kpca = KernelPCA(
kernel="precomputed", eigen_solver=solver, n_components=1, random_state=0
)
kpca.fit(K) # no error
# same test with centered kernel
Kc = [[9, -9], [-9, 9]]
kpca_c = KernelPCA(
kernel="precomputed", eigen_solver=solver, n_components=1, random_state=0
)
kpca_c.fit(Kc)
# comparison between the non-centered and centered versions
assert_array_equal(kpca.eigenvectors_, kpca_c.eigenvectors_)
assert_array_equal(kpca.eigenvalues_, kpca_c.eigenvalues_)
def test_kernel_pca_invalid_kernel():
"""Tests that using an invalid kernel name raises a ValueError
An invalid kernel name should raise a ValueError at fit time.
"""
rng = np.random.RandomState(0)
X_fit = rng.random_sample((2, 4))
kpca = KernelPCA(kernel="tototiti")
with pytest.raises(ValueError):
kpca.fit(X_fit)
def test_gridsearch_pipeline():
"""Check that kPCA works as expected in a grid search pipeline
Test if we can do a grid-search to find parameters to separate
circles with a perceptron model.
"""
X, y = make_circles(n_samples=400, factor=0.3, noise=0.05, random_state=0)
kpca = KernelPCA(kernel="rbf", n_components=2)
pipeline = Pipeline([("kernel_pca", kpca), ("Perceptron", Perceptron(max_iter=5))])
param_grid = dict(kernel_pca__gamma=2.0 ** np.arange(-2, 2))
grid_search = GridSearchCV(pipeline, cv=3, param_grid=param_grid)
grid_search.fit(X, y)
assert grid_search.best_score_ == 1
def test_gridsearch_pipeline_precomputed():
"""Check that kPCA works as expected in a grid search pipeline (2)
Test if we can do a grid-search to find parameters to separate
circles with a perceptron model. This test uses a precomputed kernel.
"""
X, y = make_circles(n_samples=400, factor=0.3, noise=0.05, random_state=0)
kpca = KernelPCA(kernel="precomputed", n_components=2)
pipeline = Pipeline([("kernel_pca", kpca), ("Perceptron", Perceptron(max_iter=5))])
param_grid = dict(Perceptron__max_iter=np.arange(1, 5))
grid_search = GridSearchCV(pipeline, cv=3, param_grid=param_grid)
X_kernel = rbf_kernel(X, gamma=2.0)
grid_search.fit(X_kernel, y)
assert grid_search.best_score_ == 1
def test_nested_circles():
"""Check that kPCA projects in a space where nested circles are separable
Tests that 2D nested circles become separable with a perceptron when
projected in the first 2 kPCA using an RBF kernel, while raw samples
are not directly separable in the original space.
"""
X, y = make_circles(n_samples=400, factor=0.3, noise=0.05, random_state=0)
# 2D nested circles are not linearly separable
train_score = Perceptron(max_iter=5).fit(X, y).score(X, y)
assert train_score < 0.8
# Project the circles data into the first 2 components of a RBF Kernel
# PCA model.
# Note that the gamma value is data dependent. If this test breaks
# and the gamma value has to be updated, the Kernel PCA example will
# have to be updated too.
kpca = KernelPCA(
kernel="rbf", n_components=2, fit_inverse_transform=True, gamma=2.0
)
X_kpca = kpca.fit_transform(X)
# The data is perfectly linearly separable in that space
train_score = Perceptron(max_iter=5).fit(X_kpca, y).score(X_kpca, y)
assert train_score == 1.0
def test_kernel_conditioning():
"""Check that ``_check_psd_eigenvalues`` is correctly called in kPCA
Non-regression test for issue #12140 (PR #12145).
"""
# create a pathological X leading to small non-zero eigenvalue
X = [[5, 1], [5 + 1e-8, 1e-8], [5 + 1e-8, 0]]
kpca = KernelPCA(kernel="linear", n_components=2, fit_inverse_transform=True)
kpca.fit(X)
# check that the small non-zero eigenvalue was correctly set to zero
assert kpca.eigenvalues_.min() == 0
assert np.all(kpca.eigenvalues_ == _check_psd_eigenvalues(kpca.eigenvalues_))
@pytest.mark.parametrize("solver", ["auto", "dense", "arpack", "randomized"])
def test_precomputed_kernel_not_psd(solver):
"""Check how KernelPCA works with non-PSD kernels depending on n_components
Tests for all methods what happens with a non PSD gram matrix (this
can happen in an isomap scenario, or with custom kernel functions, or
maybe with ill-posed datasets).
When ``n_component`` is large enough to capture a negative eigenvalue, an
error should be raised. Otherwise, KernelPCA should run without error
since the negative eigenvalues are not selected.
"""
# a non PSD kernel with large eigenvalues, already centered
# it was captured from an isomap call and multiplied by 100 for compacity
K = [
[4.48, -1.0, 8.07, 2.33, 2.33, 2.33, -5.76, -12.78],
[-1.0, -6.48, 4.5, -1.24, -1.24, -1.24, -0.81, 7.49],
[8.07, 4.5, 15.48, 2.09, 2.09, 2.09, -11.1, -23.23],
[2.33, -1.24, 2.09, 4.0, -3.65, -3.65, 1.02, -0.9],
[2.33, -1.24, 2.09, -3.65, 4.0, -3.65, 1.02, -0.9],
[2.33, -1.24, 2.09, -3.65, -3.65, 4.0, 1.02, -0.9],
[-5.76, -0.81, -11.1, 1.02, 1.02, 1.02, 4.86, 9.75],
[-12.78, 7.49, -23.23, -0.9, -0.9, -0.9, 9.75, 21.46],
]
# this gram matrix has 5 positive eigenvalues and 3 negative ones
# [ 52.72, 7.65, 7.65, 5.02, 0. , -0. , -6.13, -15.11]
# 1. ask for enough components to get a significant negative one
kpca = KernelPCA(kernel="precomputed", eigen_solver=solver, n_components=7)
# make sure that the appropriate error is raised
with pytest.raises(ValueError, match="There are significant negative eigenvalues"):
kpca.fit(K)
# 2. ask for a small enough n_components to get only positive ones
kpca = KernelPCA(kernel="precomputed", eigen_solver=solver, n_components=2)
if solver == "randomized":
# the randomized method is still inconsistent with the others on this
# since it selects the eigenvalues based on the largest 2 modules, not
# on the largest 2 values.
#
# At least we can ensure that we return an error instead of returning
# the wrong eigenvalues
with pytest.raises(
ValueError, match="There are significant negative eigenvalues"
):
kpca.fit(K)
else:
# general case: make sure that it works
kpca.fit(K)
@pytest.mark.parametrize("n_components", [4, 10, 20])
def test_kernel_pca_solvers_equivalence(n_components):
"""Check that 'dense' 'arpack' & 'randomized' solvers give similar results"""
# Generate random data
n_train, n_test = 1_000, 100
X, _ = make_circles(
n_samples=(n_train + n_test), factor=0.3, noise=0.05, random_state=0
)
X_fit, X_pred = X[:n_train, :], X[n_train:, :]
# reference (full)
ref_pred = (
KernelPCA(n_components, eigen_solver="dense", random_state=0)
.fit(X_fit)
.transform(X_pred)
)
# arpack
a_pred = (
KernelPCA(n_components, eigen_solver="arpack", random_state=0)
.fit(X_fit)
.transform(X_pred)
)
# check that the result is still correct despite the approx
assert_array_almost_equal(np.abs(a_pred), np.abs(ref_pred))
# randomized
r_pred = (
KernelPCA(n_components, eigen_solver="randomized", random_state=0)
.fit(X_fit)
.transform(X_pred)
)
# check that the result is still correct despite the approximation
assert_array_almost_equal(np.abs(r_pred), np.abs(ref_pred))
def test_kernel_pca_inverse_transform_reconstruction():
"""Test if the reconstruction is a good approximation.
Note that in general it is not possible to get an arbitrarily good
reconstruction because of kernel centering that does not
preserve all the information of the original data.
"""
X, *_ = make_blobs(n_samples=100, n_features=4, random_state=0)
kpca = KernelPCA(
n_components=20, kernel="rbf", fit_inverse_transform=True, alpha=1e-3
)
X_trans = kpca.fit_transform(X)
X_reconst = kpca.inverse_transform(X_trans)
assert np.linalg.norm(X - X_reconst) / np.linalg.norm(X) < 1e-1
def test_kernel_pca_raise_not_fitted_error():
X = np.random.randn(15).reshape(5, 3)
kpca = KernelPCA()
kpca.fit(X)
with pytest.raises(NotFittedError):
kpca.inverse_transform(X)
def test_32_64_decomposition_shape():
"""Test that the decomposition is similar for 32 and 64 bits data
Non regression test for
https://github.com/scikit-learn/scikit-learn/issues/18146
"""
X, y = make_blobs(
n_samples=30, centers=[[0, 0, 0], [1, 1, 1]], random_state=0, cluster_std=0.1
)
X = StandardScaler().fit_transform(X)
X -= X.min()
# Compare the shapes (corresponds to the number of non-zero eigenvalues)
kpca = KernelPCA()
assert kpca.fit_transform(X).shape == kpca.fit_transform(X.astype(np.float32)).shape
# TODO: Remove in 1.2
def test_kernel_pca_lambdas_deprecated():
kp = KernelPCA()
kp.eigenvalues_ = None
msg = r"Attribute `lambdas_` was deprecated in version 1\.0"
with pytest.warns(FutureWarning, match=msg):
kp.lambdas_
# TODO: Remove in 1.2
def test_kernel_pca_alphas_deprecated():
kp = KernelPCA(kernel="precomputed")
kp.eigenvectors_ = None
msg = r"Attribute `alphas_` was deprecated in version 1\.0"
with pytest.warns(FutureWarning, match=msg):
kp.alphas_
def test_kernel_pca_feature_names_out():
"""Check feature names out for KernelPCA."""
X, *_ = make_blobs(n_samples=100, n_features=4, random_state=0)
kpca = KernelPCA(n_components=2).fit(X)
names = kpca.get_feature_names_out()
assert_array_equal([f"kernelpca{i}" for i in range(2)], names)

View File

@@ -0,0 +1,970 @@
import re
import sys
from io import StringIO
import numpy as np
import scipy.sparse as sp
from scipy import linalg
from sklearn.decomposition import NMF, MiniBatchNMF
from sklearn.decomposition import non_negative_factorization
from sklearn.decomposition import _nmf as nmf # For testing internals
from scipy.sparse import csc_matrix
import pytest
from sklearn.utils._testing import assert_array_equal
from sklearn.utils._testing import assert_array_almost_equal
from sklearn.utils._testing import assert_almost_equal
from sklearn.utils._testing import assert_allclose
from sklearn.utils._testing import ignore_warnings
from sklearn.utils.extmath import squared_norm
from sklearn.base import clone
from sklearn.exceptions import ConvergenceWarning
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_convergence_warning(Estimator, solver):
convergence_warning = (
"Maximum number of iterations 1 reached. Increase it to improve convergence."
)
A = np.ones((2, 2))
with pytest.warns(ConvergenceWarning, match=convergence_warning):
Estimator(max_iter=1, **solver).fit(A)
def test_initialize_nn_output():
# Test that initialization does not return negative values
rng = np.random.mtrand.RandomState(42)
data = np.abs(rng.randn(10, 10))
for init in ("random", "nndsvd", "nndsvda", "nndsvdar"):
W, H = nmf._initialize_nmf(data, 10, init=init, random_state=0)
assert not ((W < 0).any() or (H < 0).any())
@pytest.mark.filterwarnings(
r"ignore:The multiplicative update \('mu'\) solver cannot update zeros present in"
r" the initialization"
)
def test_parameter_checking():
A = np.ones((2, 2))
name = "spam"
with ignore_warnings(category=FutureWarning):
# TODO remove in 1.2
msg = "Invalid regularization parameter: got 'spam' instead of one of"
with pytest.raises(ValueError, match=msg):
NMF(regularization=name).fit(A)
msg = "Invalid beta_loss parameter: solver 'cd' does not handle beta_loss = 1.0"
with pytest.raises(ValueError, match=msg):
NMF(solver="cd", beta_loss=1.0).fit(A)
msg = "Negative values in data passed to"
with pytest.raises(ValueError, match=msg):
NMF().fit(-A)
clf = NMF(2, tol=0.1).fit(A)
with pytest.raises(ValueError, match=msg):
clf.transform(-A)
with pytest.raises(ValueError, match=msg):
nmf._initialize_nmf(-A, 2, "nndsvd")
for init in ["nndsvd", "nndsvda", "nndsvdar"]:
msg = re.escape(
"init = '{}' can only be used when "
"n_components <= min(n_samples, n_features)".format(init)
)
with pytest.raises(ValueError, match=msg):
NMF(3, init=init).fit(A)
with pytest.raises(ValueError, match=msg):
MiniBatchNMF(3, init=init).fit(A)
with pytest.raises(ValueError, match=msg):
nmf._initialize_nmf(A, 3, init)
@pytest.mark.parametrize(
"param, match",
[
({"n_components": 0}, "Number of components must be a positive integer"),
({"max_iter": -1}, "Maximum number of iterations must be a positive integer"),
({"tol": -1}, "Tolerance for stopping criteria must be positive"),
({"init": "wrong"}, "Invalid init parameter"),
({"beta_loss": "wrong"}, "Invalid beta_loss parameter"),
],
)
@pytest.mark.parametrize("Estimator", [NMF, MiniBatchNMF])
def test_nmf_common_wrong_params(Estimator, param, match):
# Check that appropriate errors are raised for invalid values of parameters common
# to NMF and MiniBatchNMF.
A = np.ones((2, 2))
with pytest.raises(ValueError, match=match):
Estimator(**param).fit(A)
@pytest.mark.parametrize(
"param, match",
[
({"solver": "wrong"}, "Invalid solver parameter"),
],
)
def test_nmf_wrong_params(param, match):
# Check that appropriate errors are raised for invalid values specific to NMF
# parameters
A = np.ones((2, 2))
with pytest.raises(ValueError, match=match):
NMF(**param).fit(A)
@pytest.mark.parametrize(
"param, match",
[
({"batch_size": 0}, "batch_size must be a positive integer"),
],
)
def test_minibatch_nmf_wrong_params(param, match):
# Check that appropriate errors are raised for invalid values specific to
# MiniBatchNMF parameters
A = np.ones((2, 2))
with pytest.raises(ValueError, match=match):
MiniBatchNMF(**param).fit(A)
def test_initialize_close():
# Test NNDSVD error
# Test that _initialize_nmf error is less than the standard deviation of
# the entries in the matrix.
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(10, 10))
W, H = nmf._initialize_nmf(A, 10, init="nndsvd")
error = linalg.norm(np.dot(W, H) - A)
sdev = linalg.norm(A - A.mean())
assert error <= sdev
def test_initialize_variants():
# Test NNDSVD variants correctness
# Test that the variants 'nndsvda' and 'nndsvdar' differ from basic
# 'nndsvd' only where the basic version has zeros.
rng = np.random.mtrand.RandomState(42)
data = np.abs(rng.randn(10, 10))
W0, H0 = nmf._initialize_nmf(data, 10, init="nndsvd")
Wa, Ha = nmf._initialize_nmf(data, 10, init="nndsvda")
War, Har = nmf._initialize_nmf(data, 10, init="nndsvdar", random_state=0)
for ref, evl in ((W0, Wa), (W0, War), (H0, Ha), (H0, Har)):
assert_almost_equal(evl[ref != 0], ref[ref != 0])
# ignore UserWarning raised when both solver='mu' and init='nndsvd'
@ignore_warnings(category=UserWarning)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
@pytest.mark.parametrize("init", (None, "nndsvd", "nndsvda", "nndsvdar", "random"))
@pytest.mark.parametrize("alpha_W", (0.0, 1.0))
@pytest.mark.parametrize("alpha_H", (0.0, 1.0, "same"))
def test_nmf_fit_nn_output(Estimator, solver, init, alpha_W, alpha_H):
# Test that the decomposition does not contain negative values
A = np.c_[5.0 - np.arange(1, 6), 5.0 + np.arange(1, 6)]
model = Estimator(
n_components=2,
init=init,
alpha_W=alpha_W,
alpha_H=alpha_H,
random_state=0,
**solver,
)
transf = model.fit_transform(A)
assert not ((model.components_ < 0).any() or (transf < 0).any())
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_fit_close(Estimator, solver):
rng = np.random.mtrand.RandomState(42)
# Test that the fit is not too far away
pnmf = Estimator(
5,
init="nndsvdar",
random_state=0,
max_iter=600,
**solver,
)
X = np.abs(rng.randn(6, 5))
assert pnmf.fit(X).reconstruction_err_ < 0.1
def test_nmf_true_reconstruction():
# Test that the fit is not too far away from an exact solution
# (by construction)
n_samples = 15
n_features = 10
n_components = 5
beta_loss = 1
batch_size = 3
max_iter = 1000
rng = np.random.mtrand.RandomState(42)
W_true = np.zeros([n_samples, n_components])
W_array = np.abs(rng.randn(n_samples))
for j in range(n_components):
W_true[j % n_samples, j] = W_array[j % n_samples]
H_true = np.zeros([n_components, n_features])
H_array = np.abs(rng.randn(n_components))
for j in range(n_features):
H_true[j % n_components, j] = H_array[j % n_components]
X = np.dot(W_true, H_true)
model = NMF(
n_components=n_components,
solver="mu",
beta_loss=beta_loss,
max_iter=max_iter,
random_state=0,
)
transf = model.fit_transform(X)
X_calc = np.dot(transf, model.components_)
assert model.reconstruction_err_ < 0.1
assert_allclose(X, X_calc)
mbmodel = MiniBatchNMF(
n_components=n_components,
beta_loss=beta_loss,
batch_size=batch_size,
random_state=0,
max_iter=max_iter,
)
transf = mbmodel.fit_transform(X)
X_calc = np.dot(transf, mbmodel.components_)
assert mbmodel.reconstruction_err_ < 0.1
assert_allclose(X, X_calc, atol=1)
@pytest.mark.parametrize("solver", ["cd", "mu"])
def test_nmf_transform(solver):
# Test that fit_transform is equivalent to fit.transform for NMF
# Test that NMF.transform returns close values
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(6, 5))
m = NMF(
solver=solver,
n_components=3,
init="random",
random_state=0,
tol=1e-6,
)
ft = m.fit_transform(A)
t = m.transform(A)
assert_allclose(ft, t, atol=1e-1)
def test_minibatch_nmf_transform():
# Test that fit_transform is equivalent to fit.transform for MiniBatchNMF
# Only guaranteed with fresh restarts
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(6, 5))
m = MiniBatchNMF(
n_components=3,
random_state=0,
tol=1e-3,
fresh_restarts=True,
)
ft = m.fit_transform(A)
t = m.transform(A)
assert_allclose(ft, t)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_transform_custom_init(Estimator, solver):
# Smoke test that checks if NMF.transform works with custom initialization
random_state = np.random.RandomState(0)
A = np.abs(random_state.randn(6, 5))
n_components = 4
avg = np.sqrt(A.mean() / n_components)
H_init = np.abs(avg * random_state.randn(n_components, 5))
W_init = np.abs(avg * random_state.randn(6, n_components))
m = Estimator(
n_components=n_components, init="custom", random_state=0, tol=1e-3, **solver
)
m.fit_transform(A, W=W_init, H=H_init)
m.transform(A)
@pytest.mark.parametrize("solver", ("cd", "mu"))
def test_nmf_inverse_transform(solver):
# Test that NMF.inverse_transform returns close values
random_state = np.random.RandomState(0)
A = np.abs(random_state.randn(6, 4))
m = NMF(
solver=solver,
n_components=4,
init="random",
random_state=0,
max_iter=1000,
)
ft = m.fit_transform(A)
A_new = m.inverse_transform(ft)
assert_array_almost_equal(A, A_new, decimal=2)
def test_mbnmf_inverse_transform():
# Test that MiniBatchNMF.transform followed by MiniBatchNMF.inverse_transform
# is close to the identity
rng = np.random.RandomState(0)
A = np.abs(rng.randn(6, 4))
nmf = MiniBatchNMF(
random_state=rng,
max_iter=500,
init="nndsvdar",
fresh_restarts=True,
)
ft = nmf.fit_transform(A)
A_new = nmf.inverse_transform(ft)
assert_allclose(A, A_new, rtol=1e-3, atol=1e-2)
@pytest.mark.parametrize("Estimator", [NMF, MiniBatchNMF])
def test_n_components_greater_n_features(Estimator):
# Smoke test for the case of more components than features.
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(30, 10))
Estimator(n_components=15, random_state=0, tol=1e-2).fit(A)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
@pytest.mark.parametrize("alpha_W", (0.0, 1.0))
@pytest.mark.parametrize("alpha_H", (0.0, 1.0, "same"))
def test_nmf_sparse_input(Estimator, solver, alpha_W, alpha_H):
# Test that sparse matrices are accepted as input
from scipy.sparse import csc_matrix
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(10, 10))
A[:, 2 * np.arange(5)] = 0
A_sparse = csc_matrix(A)
est1 = Estimator(
n_components=5,
init="random",
alpha_W=alpha_W,
alpha_H=alpha_H,
random_state=0,
tol=0,
max_iter=100,
**solver,
)
est2 = clone(est1)
W1 = est1.fit_transform(A)
W2 = est2.fit_transform(A_sparse)
H1 = est1.components_
H2 = est2.components_
assert_allclose(W1, W2)
assert_allclose(H1, H2)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_sparse_transform(Estimator, solver):
# Test that transform works on sparse data. Issue #2124
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(3, 2))
A[1, 1] = 0
A = csc_matrix(A)
model = Estimator(random_state=0, n_components=2, max_iter=400, **solver)
A_fit_tr = model.fit_transform(A)
A_tr = model.transform(A)
assert_allclose(A_fit_tr, A_tr, atol=1e-1)
@pytest.mark.parametrize("init", ["random", "nndsvd"])
@pytest.mark.parametrize("solver", ("cd", "mu"))
@pytest.mark.parametrize("alpha_W", (0.0, 1.0))
@pytest.mark.parametrize("alpha_H", (0.0, 1.0, "same"))
def test_non_negative_factorization_consistency(init, solver, alpha_W, alpha_H):
# Test that the function is called in the same way, either directly
# or through the NMF class
max_iter = 500
rng = np.random.mtrand.RandomState(42)
A = np.abs(rng.randn(10, 10))
A[:, 2 * np.arange(5)] = 0
W_nmf, H, _ = non_negative_factorization(
A,
init=init,
solver=solver,
max_iter=max_iter,
alpha_W=alpha_W,
alpha_H=alpha_H,
random_state=1,
tol=1e-2,
)
W_nmf_2, H, _ = non_negative_factorization(
A,
H=H,
update_H=False,
init=init,
solver=solver,
max_iter=max_iter,
alpha_W=alpha_W,
alpha_H=alpha_H,
random_state=1,
tol=1e-2,
)
model_class = NMF(
init=init,
solver=solver,
max_iter=max_iter,
alpha_W=alpha_W,
alpha_H=alpha_H,
random_state=1,
tol=1e-2,
)
W_cls = model_class.fit_transform(A)
W_cls_2 = model_class.transform(A)
assert_allclose(W_nmf, W_cls)
assert_allclose(W_nmf_2, W_cls_2)
def test_non_negative_factorization_checking():
A = np.ones((2, 2))
# Test parameters checking is public function
nnmf = non_negative_factorization
msg = re.escape(
"Number of components must be a positive integer; got (n_components=1.5)"
)
with pytest.raises(ValueError, match=msg):
nnmf(A, A, A, 1.5, init="random")
msg = re.escape(
"Number of components must be a positive integer; got (n_components='2')"
)
with pytest.raises(ValueError, match=msg):
nnmf(A, A, A, "2", init="random")
msg = re.escape("Negative values in data passed to NMF (input H)")
with pytest.raises(ValueError, match=msg):
nnmf(A, A, -A, 2, init="custom")
msg = re.escape("Negative values in data passed to NMF (input W)")
with pytest.raises(ValueError, match=msg):
nnmf(A, -A, A, 2, init="custom")
msg = re.escape("Array passed to NMF (input H) is full of zeros")
with pytest.raises(ValueError, match=msg):
nnmf(A, A, 0 * A, 2, init="custom")
with ignore_warnings(category=FutureWarning):
# TODO remove in 1.2
msg = "Invalid regularization parameter: got 'spam' instead of one of"
with pytest.raises(ValueError, match=msg):
nnmf(A, A, 0 * A, 2, init="custom", regularization="spam")
def _beta_divergence_dense(X, W, H, beta):
"""Compute the beta-divergence of X and W.H for dense array only.
Used as a reference for testing nmf._beta_divergence.
"""
WH = np.dot(W, H)
if beta == 2:
return squared_norm(X - WH) / 2
WH_Xnonzero = WH[X != 0]
X_nonzero = X[X != 0]
np.maximum(WH_Xnonzero, 1e-9, out=WH_Xnonzero)
if beta == 1:
res = np.sum(X_nonzero * np.log(X_nonzero / WH_Xnonzero))
res += WH.sum() - X.sum()
elif beta == 0:
div = X_nonzero / WH_Xnonzero
res = np.sum(div) - X.size - np.sum(np.log(div))
else:
res = (X_nonzero**beta).sum()
res += (beta - 1) * (WH**beta).sum()
res -= beta * (X_nonzero * (WH_Xnonzero ** (beta - 1))).sum()
res /= beta * (beta - 1)
return res
def test_beta_divergence():
# Compare _beta_divergence with the reference _beta_divergence_dense
n_samples = 20
n_features = 10
n_components = 5
beta_losses = [0.0, 0.5, 1.0, 1.5, 2.0, 3.0]
# initialization
rng = np.random.mtrand.RandomState(42)
X = rng.randn(n_samples, n_features)
np.clip(X, 0, None, out=X)
X_csr = sp.csr_matrix(X)
W, H = nmf._initialize_nmf(X, n_components, init="random", random_state=42)
for beta in beta_losses:
ref = _beta_divergence_dense(X, W, H, beta)
loss = nmf._beta_divergence(X, W, H, beta)
loss_csr = nmf._beta_divergence(X_csr, W, H, beta)
assert_almost_equal(ref, loss, decimal=7)
assert_almost_equal(ref, loss_csr, decimal=7)
def test_special_sparse_dot():
# Test the function that computes np.dot(W, H), only where X is non zero.
n_samples = 10
n_features = 5
n_components = 3
rng = np.random.mtrand.RandomState(42)
X = rng.randn(n_samples, n_features)
np.clip(X, 0, None, out=X)
X_csr = sp.csr_matrix(X)
W = np.abs(rng.randn(n_samples, n_components))
H = np.abs(rng.randn(n_components, n_features))
WH_safe = nmf._special_sparse_dot(W, H, X_csr)
WH = nmf._special_sparse_dot(W, H, X)
# test that both results have same values, in X_csr nonzero elements
ii, jj = X_csr.nonzero()
WH_safe_data = np.asarray(WH_safe[ii, jj]).ravel()
assert_array_almost_equal(WH_safe_data, WH[ii, jj], decimal=10)
# test that WH_safe and X_csr have the same sparse structure
assert_array_equal(WH_safe.indices, X_csr.indices)
assert_array_equal(WH_safe.indptr, X_csr.indptr)
assert_array_equal(WH_safe.shape, X_csr.shape)
@ignore_warnings(category=ConvergenceWarning)
def test_nmf_multiplicative_update_sparse():
# Compare sparse and dense input in multiplicative update NMF
# Also test continuity of the results with respect to beta_loss parameter
n_samples = 20
n_features = 10
n_components = 5
alpha = 0.1
l1_ratio = 0.5
n_iter = 20
# initialization
rng = np.random.mtrand.RandomState(1337)
X = rng.randn(n_samples, n_features)
X = np.abs(X)
X_csr = sp.csr_matrix(X)
W0, H0 = nmf._initialize_nmf(X, n_components, init="random", random_state=42)
for beta_loss in (-1.2, 0, 0.2, 1.0, 2.0, 2.5):
# Reference with dense array X
W, H = W0.copy(), H0.copy()
W1, H1, _ = non_negative_factorization(
X,
W,
H,
n_components,
init="custom",
update_H=True,
solver="mu",
beta_loss=beta_loss,
max_iter=n_iter,
alpha_W=alpha,
l1_ratio=l1_ratio,
random_state=42,
)
# Compare with sparse X
W, H = W0.copy(), H0.copy()
W2, H2, _ = non_negative_factorization(
X_csr,
W,
H,
n_components,
init="custom",
update_H=True,
solver="mu",
beta_loss=beta_loss,
max_iter=n_iter,
alpha_W=alpha,
l1_ratio=l1_ratio,
random_state=42,
)
assert_allclose(W1, W2, atol=1e-7)
assert_allclose(H1, H2, atol=1e-7)
# Compare with almost same beta_loss, since some values have a specific
# behavior, but the results should be continuous w.r.t beta_loss
beta_loss -= 1.0e-5
W, H = W0.copy(), H0.copy()
W3, H3, _ = non_negative_factorization(
X_csr,
W,
H,
n_components,
init="custom",
update_H=True,
solver="mu",
beta_loss=beta_loss,
max_iter=n_iter,
alpha_W=alpha,
l1_ratio=l1_ratio,
random_state=42,
)
assert_allclose(W1, W3, atol=1e-4)
assert_allclose(H1, H3, atol=1e-4)
def test_nmf_negative_beta_loss():
# Test that an error is raised if beta_loss < 0 and X contains zeros.
# Test that the output has not NaN values when the input contains zeros.
n_samples = 6
n_features = 5
n_components = 3
rng = np.random.mtrand.RandomState(42)
X = rng.randn(n_samples, n_features)
np.clip(X, 0, None, out=X)
X_csr = sp.csr_matrix(X)
def _assert_nmf_no_nan(X, beta_loss):
W, H, _ = non_negative_factorization(
X,
init="random",
n_components=n_components,
solver="mu",
beta_loss=beta_loss,
random_state=0,
max_iter=1000,
)
assert not np.any(np.isnan(W))
assert not np.any(np.isnan(H))
msg = "When beta_loss <= 0 and X contains zeros, the solver may diverge."
for beta_loss in (-0.6, 0.0):
with pytest.raises(ValueError, match=msg):
_assert_nmf_no_nan(X, beta_loss)
_assert_nmf_no_nan(X + 1e-9, beta_loss)
for beta_loss in (0.2, 1.0, 1.2, 2.0, 2.5):
_assert_nmf_no_nan(X, beta_loss)
_assert_nmf_no_nan(X_csr, beta_loss)
@pytest.mark.parametrize("beta_loss", [-0.5, 0.0])
def test_minibatch_nmf_negative_beta_loss(beta_loss):
"""Check that an error is raised if beta_loss < 0 and X contains zeros."""
rng = np.random.RandomState(0)
X = rng.normal(size=(6, 5))
X[X < 0] = 0
nmf = MiniBatchNMF(beta_loss=beta_loss, random_state=0)
msg = "When beta_loss <= 0 and X contains zeros, the solver may diverge."
with pytest.raises(ValueError, match=msg):
nmf.fit(X)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_regularization(Estimator, solver):
# Test the effect of L1 and L2 regularizations
n_samples = 6
n_features = 5
n_components = 3
rng = np.random.mtrand.RandomState(42)
X = np.abs(rng.randn(n_samples, n_features))
# L1 regularization should increase the number of zeros
l1_ratio = 1.0
regul = Estimator(
n_components=n_components,
alpha_W=0.5,
l1_ratio=l1_ratio,
random_state=42,
**solver,
)
model = Estimator(
n_components=n_components,
alpha_W=0.0,
l1_ratio=l1_ratio,
random_state=42,
**solver,
)
W_regul = regul.fit_transform(X)
W_model = model.fit_transform(X)
H_regul = regul.components_
H_model = model.components_
eps = np.finfo(np.float64).eps
W_regul_n_zeros = W_regul[W_regul <= eps].size
W_model_n_zeros = W_model[W_model <= eps].size
H_regul_n_zeros = H_regul[H_regul <= eps].size
H_model_n_zeros = H_model[H_model <= eps].size
assert W_regul_n_zeros > W_model_n_zeros
assert H_regul_n_zeros > H_model_n_zeros
# L2 regularization should decrease the sum of the squared norm
# of the matrices W and H
l1_ratio = 0.0
regul = Estimator(
n_components=n_components,
alpha_W=0.5,
l1_ratio=l1_ratio,
random_state=42,
**solver,
)
model = Estimator(
n_components=n_components,
alpha_W=0.0,
l1_ratio=l1_ratio,
random_state=42,
**solver,
)
W_regul = regul.fit_transform(X)
W_model = model.fit_transform(X)
H_regul = regul.components_
H_model = model.components_
assert (linalg.norm(W_model)) ** 2.0 + (linalg.norm(H_model)) ** 2.0 > (
linalg.norm(W_regul)
) ** 2.0 + (linalg.norm(H_regul)) ** 2.0
@ignore_warnings(category=ConvergenceWarning)
@pytest.mark.parametrize("solver", ("cd", "mu"))
def test_nmf_decreasing(solver):
# test that the objective function is decreasing at each iteration
n_samples = 20
n_features = 15
n_components = 10
alpha = 0.1
l1_ratio = 0.5
tol = 0.0
# initialization
rng = np.random.mtrand.RandomState(42)
X = rng.randn(n_samples, n_features)
np.abs(X, X)
W0, H0 = nmf._initialize_nmf(X, n_components, init="random", random_state=42)
for beta_loss in (-1.2, 0, 0.2, 1.0, 2.0, 2.5):
if solver != "mu" and beta_loss != 2:
# not implemented
continue
W, H = W0.copy(), H0.copy()
previous_loss = None
for _ in range(30):
# one more iteration starting from the previous results
W, H, _ = non_negative_factorization(
X,
W,
H,
beta_loss=beta_loss,
init="custom",
n_components=n_components,
max_iter=1,
alpha_W=alpha,
solver=solver,
tol=tol,
l1_ratio=l1_ratio,
verbose=0,
random_state=0,
update_H=True,
)
loss = (
nmf._beta_divergence(X, W, H, beta_loss)
+ alpha * l1_ratio * n_features * W.sum()
+ alpha * l1_ratio * n_samples * H.sum()
+ alpha * (1 - l1_ratio) * n_features * (W**2).sum()
+ alpha * (1 - l1_ratio) * n_samples * (H**2).sum()
)
if previous_loss is not None:
assert previous_loss > loss
previous_loss = loss
def test_nmf_underflow():
# Regression test for an underflow issue in _beta_divergence
rng = np.random.RandomState(0)
n_samples, n_features, n_components = 10, 2, 2
X = np.abs(rng.randn(n_samples, n_features)) * 10
W = np.abs(rng.randn(n_samples, n_components)) * 10
H = np.abs(rng.randn(n_components, n_features))
X[0, 0] = 0
ref = nmf._beta_divergence(X, W, H, beta=1.0)
X[0, 0] = 1e-323
res = nmf._beta_divergence(X, W, H, beta=1.0)
assert_almost_equal(res, ref)
@pytest.mark.parametrize(
"dtype_in, dtype_out",
[
(np.float32, np.float32),
(np.float64, np.float64),
(np.int32, np.float64),
(np.int64, np.float64),
],
)
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_dtype_match(Estimator, solver, dtype_in, dtype_out):
# Check that NMF preserves dtype (float32 and float64)
X = np.random.RandomState(0).randn(20, 15).astype(dtype_in, copy=False)
np.abs(X, out=X)
nmf = Estimator(alpha_W=1.0, alpha_H=1.0, tol=1e-2, random_state=0, **solver)
assert nmf.fit(X).transform(X).dtype == dtype_out
assert nmf.fit_transform(X).dtype == dtype_out
assert nmf.components_.dtype == dtype_out
@pytest.mark.parametrize(
["Estimator", "solver"],
[[NMF, {"solver": "cd"}], [NMF, {"solver": "mu"}], [MiniBatchNMF, {}]],
)
def test_nmf_float32_float64_consistency(Estimator, solver):
# Check that the result of NMF is the same between float32 and float64
X = np.random.RandomState(0).randn(50, 7)
np.abs(X, out=X)
nmf32 = Estimator(random_state=0, tol=1e-3, **solver)
W32 = nmf32.fit_transform(X.astype(np.float32))
nmf64 = Estimator(random_state=0, tol=1e-3, **solver)
W64 = nmf64.fit_transform(X)
assert_allclose(W32, W64, atol=1e-5)
@pytest.mark.parametrize("Estimator", [NMF, MiniBatchNMF])
def test_nmf_custom_init_dtype_error(Estimator):
# Check that an error is raise if custom H and/or W don't have the same
# dtype as X.
rng = np.random.RandomState(0)
X = rng.random_sample((20, 15))
H = rng.random_sample((15, 15)).astype(np.float32)
W = rng.random_sample((20, 15))
with pytest.raises(TypeError, match="should have the same dtype as X"):
Estimator(init="custom").fit(X, H=H, W=W)
with pytest.raises(TypeError, match="should have the same dtype as X"):
non_negative_factorization(X, H=H, update_H=False)
@pytest.mark.parametrize("beta_loss", [-0.5, 0, 0.5, 1, 1.5, 2, 2.5])
def test_nmf_minibatchnmf_equivalence(beta_loss):
# Test that MiniBatchNMF is equivalent to NMF when batch_size = n_samples and
# forget_factor 0.0 (stopping criterion put aside)
rng = np.random.mtrand.RandomState(42)
X = np.abs(rng.randn(48, 5))
nmf = NMF(
n_components=5,
beta_loss=beta_loss,
solver="mu",
random_state=0,
tol=0,
)
mbnmf = MiniBatchNMF(
n_components=5,
beta_loss=beta_loss,
random_state=0,
tol=0,
max_no_improvement=None,
batch_size=X.shape[0],
forget_factor=0.0,
)
W = nmf.fit_transform(X)
mbW = mbnmf.fit_transform(X)
assert_allclose(W, mbW)
def test_minibatch_nmf_partial_fit():
# Check fit / partial_fit equivalence. Applicable only with fresh restarts.
rng = np.random.mtrand.RandomState(42)
X = np.abs(rng.randn(100, 5))
n_components = 5
batch_size = 10
max_iter = 2
mbnmf1 = MiniBatchNMF(
n_components=n_components,
init="custom",
random_state=0,
max_iter=max_iter,
batch_size=batch_size,
tol=0,
max_no_improvement=None,
fresh_restarts=False,
)
mbnmf2 = MiniBatchNMF(n_components=n_components, init="custom", random_state=0)
# Force the same init of H (W is recomputed anyway) to be able to compare results.
W, H = nmf._initialize_nmf(
X, n_components=n_components, init="random", random_state=0
)
mbnmf1.fit(X, W=W, H=H)
for i in range(max_iter):
for j in range(batch_size):
mbnmf2.partial_fit(X[j : j + batch_size], W=W[:batch_size], H=H)
assert mbnmf1.n_steps_ == mbnmf2.n_steps_
assert_allclose(mbnmf1.components_, mbnmf2.components_)
def test_feature_names_out():
"""Check feature names out for NMF."""
random_state = np.random.RandomState(0)
X = np.abs(random_state.randn(10, 4))
nmf = NMF(n_components=3).fit(X)
names = nmf.get_feature_names_out()
assert_array_equal([f"nmf{i}" for i in range(3)], names)
def test_minibatch_nmf_verbose():
# Check verbose mode of MiniBatchNMF for better coverage.
A = np.random.RandomState(0).random_sample((100, 10))
nmf = MiniBatchNMF(tol=1e-2, random_state=0, verbose=1)
old_stdout = sys.stdout
sys.stdout = StringIO()
try:
nmf.fit(A)
finally:
sys.stdout = old_stdout

View File

@@ -0,0 +1,441 @@
import sys
import numpy as np
from scipy.linalg import block_diag
from scipy.sparse import csr_matrix
from scipy.special import psi
from numpy.testing import assert_array_equal
import pytest
from sklearn.decomposition import LatentDirichletAllocation
from sklearn.decomposition._lda import (
_dirichlet_expectation_1d,
_dirichlet_expectation_2d,
)
from sklearn.utils._testing import assert_allclose
from sklearn.utils._testing import assert_array_almost_equal
from sklearn.utils._testing import assert_almost_equal
from sklearn.utils._testing import if_safe_multiprocessing_with_blas
from sklearn.exceptions import NotFittedError
from io import StringIO
def _build_sparse_mtx():
# Create 3 topics and each topic has 3 distinct words.
# (Each word only belongs to a single topic.)
n_components = 3
block = np.full((3, 3), n_components, dtype=int)
blocks = [block] * n_components
X = block_diag(*blocks)
X = csr_matrix(X)
return (n_components, X)
def test_lda_default_prior_params():
# default prior parameter should be `1 / topics`
# and verbose params should not affect result
n_components, X = _build_sparse_mtx()
prior = 1.0 / n_components
lda_1 = LatentDirichletAllocation(
n_components=n_components,
doc_topic_prior=prior,
topic_word_prior=prior,
random_state=0,
)
lda_2 = LatentDirichletAllocation(n_components=n_components, random_state=0)
topic_distr_1 = lda_1.fit_transform(X)
topic_distr_2 = lda_2.fit_transform(X)
assert_almost_equal(topic_distr_1, topic_distr_2)
def test_lda_fit_batch():
# Test LDA batch learning_offset (`fit` method with 'batch' learning)
rng = np.random.RandomState(0)
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
evaluate_every=1,
learning_method="batch",
random_state=rng,
)
lda.fit(X)
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for component in lda.components_:
# Find top 3 words in each LDA component
top_idx = set(component.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
def test_lda_fit_online():
# Test LDA online learning (`fit` method with 'online' learning)
rng = np.random.RandomState(0)
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
learning_offset=10.0,
evaluate_every=1,
learning_method="online",
random_state=rng,
)
lda.fit(X)
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for component in lda.components_:
# Find top 3 words in each LDA component
top_idx = set(component.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
def test_lda_partial_fit():
# Test LDA online learning (`partial_fit` method)
# (same as test_lda_batch)
rng = np.random.RandomState(0)
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
learning_offset=10.0,
total_samples=100,
random_state=rng,
)
for i in range(3):
lda.partial_fit(X)
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for c in lda.components_:
top_idx = set(c.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
def test_lda_dense_input():
# Test LDA with dense input.
rng = np.random.RandomState(0)
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components, learning_method="batch", random_state=rng
)
lda.fit(X.toarray())
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for component in lda.components_:
# Find top 3 words in each LDA component
top_idx = set(component.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
def test_lda_transform():
# Test LDA transform.
# Transform result cannot be negative and should be normalized
rng = np.random.RandomState(0)
X = rng.randint(5, size=(20, 10))
n_components = 3
lda = LatentDirichletAllocation(n_components=n_components, random_state=rng)
X_trans = lda.fit_transform(X)
assert (X_trans > 0.0).any()
assert_array_almost_equal(np.sum(X_trans, axis=1), np.ones(X_trans.shape[0]))
@pytest.mark.parametrize("method", ("online", "batch"))
def test_lda_fit_transform(method):
# Test LDA fit_transform & transform
# fit_transform and transform result should be the same
rng = np.random.RandomState(0)
X = rng.randint(10, size=(50, 20))
lda = LatentDirichletAllocation(
n_components=5, learning_method=method, random_state=rng
)
X_fit = lda.fit_transform(X)
X_trans = lda.transform(X)
assert_array_almost_equal(X_fit, X_trans, 4)
def test_invalid_params():
# test `_check_params` method
X = np.ones((5, 10))
invalid_models = (
("n_components", LatentDirichletAllocation(n_components=0)),
("learning_method", LatentDirichletAllocation(learning_method="unknown")),
("total_samples", LatentDirichletAllocation(total_samples=0)),
("learning_offset", LatentDirichletAllocation(learning_offset=-1)),
)
for param, model in invalid_models:
regex = r"^Invalid %r parameter" % param
with pytest.raises(ValueError, match=regex):
model.fit(X)
def test_lda_negative_input():
# test pass dense matrix with sparse negative input.
X = np.full((5, 10), -1.0)
lda = LatentDirichletAllocation()
regex = r"^Negative values in data passed"
with pytest.raises(ValueError, match=regex):
lda.fit(X)
def test_lda_no_component_error():
# test `perplexity` before `fit`
rng = np.random.RandomState(0)
X = rng.randint(4, size=(20, 10))
lda = LatentDirichletAllocation()
regex = (
"This LatentDirichletAllocation instance is not fitted yet. "
"Call 'fit' with appropriate arguments before using this "
"estimator."
)
with pytest.raises(NotFittedError, match=regex):
lda.perplexity(X)
@if_safe_multiprocessing_with_blas
@pytest.mark.parametrize("method", ("online", "batch"))
def test_lda_multi_jobs(method):
n_components, X = _build_sparse_mtx()
# Test LDA batch training with multi CPU
rng = np.random.RandomState(0)
lda = LatentDirichletAllocation(
n_components=n_components,
n_jobs=2,
learning_method=method,
evaluate_every=1,
random_state=rng,
)
lda.fit(X)
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for c in lda.components_:
top_idx = set(c.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
@if_safe_multiprocessing_with_blas
def test_lda_partial_fit_multi_jobs():
# Test LDA online training with multi CPU
rng = np.random.RandomState(0)
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
n_jobs=2,
learning_offset=5.0,
total_samples=30,
random_state=rng,
)
for i in range(2):
lda.partial_fit(X)
correct_idx_grps = [(0, 1, 2), (3, 4, 5), (6, 7, 8)]
for c in lda.components_:
top_idx = set(c.argsort()[-3:][::-1])
assert tuple(sorted(top_idx)) in correct_idx_grps
def test_lda_preplexity_mismatch():
# test dimension mismatch in `perplexity` method
rng = np.random.RandomState(0)
n_components = rng.randint(3, 6)
n_samples = rng.randint(6, 10)
X = np.random.randint(4, size=(n_samples, 10))
lda = LatentDirichletAllocation(
n_components=n_components,
learning_offset=5.0,
total_samples=20,
random_state=rng,
)
lda.fit(X)
# invalid samples
invalid_n_samples = rng.randint(4, size=(n_samples + 1, n_components))
with pytest.raises(ValueError, match=r"Number of samples"):
lda._perplexity_precomp_distr(X, invalid_n_samples)
# invalid topic number
invalid_n_components = rng.randint(4, size=(n_samples, n_components + 1))
with pytest.raises(ValueError, match=r"Number of topics"):
lda._perplexity_precomp_distr(X, invalid_n_components)
@pytest.mark.parametrize("method", ("online", "batch"))
def test_lda_perplexity(method):
# Test LDA perplexity for batch training
# perplexity should be lower after each iteration
n_components, X = _build_sparse_mtx()
lda_1 = LatentDirichletAllocation(
n_components=n_components,
max_iter=1,
learning_method=method,
total_samples=100,
random_state=0,
)
lda_2 = LatentDirichletAllocation(
n_components=n_components,
max_iter=10,
learning_method=method,
total_samples=100,
random_state=0,
)
lda_1.fit(X)
perp_1 = lda_1.perplexity(X, sub_sampling=False)
lda_2.fit(X)
perp_2 = lda_2.perplexity(X, sub_sampling=False)
assert perp_1 >= perp_2
perp_1_subsampling = lda_1.perplexity(X, sub_sampling=True)
perp_2_subsampling = lda_2.perplexity(X, sub_sampling=True)
assert perp_1_subsampling >= perp_2_subsampling
@pytest.mark.parametrize("method", ("online", "batch"))
def test_lda_score(method):
# Test LDA score for batch training
# score should be higher after each iteration
n_components, X = _build_sparse_mtx()
lda_1 = LatentDirichletAllocation(
n_components=n_components,
max_iter=1,
learning_method=method,
total_samples=100,
random_state=0,
)
lda_2 = LatentDirichletAllocation(
n_components=n_components,
max_iter=10,
learning_method=method,
total_samples=100,
random_state=0,
)
lda_1.fit_transform(X)
score_1 = lda_1.score(X)
lda_2.fit_transform(X)
score_2 = lda_2.score(X)
assert score_2 >= score_1
def test_perplexity_input_format():
# Test LDA perplexity for sparse and dense input
# score should be the same for both dense and sparse input
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
max_iter=1,
learning_method="batch",
total_samples=100,
random_state=0,
)
lda.fit(X)
perp_1 = lda.perplexity(X)
perp_2 = lda.perplexity(X.toarray())
assert_almost_equal(perp_1, perp_2)
def test_lda_score_perplexity():
# Test the relationship between LDA score and perplexity
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components, max_iter=10, random_state=0
)
lda.fit(X)
perplexity_1 = lda.perplexity(X, sub_sampling=False)
score = lda.score(X)
perplexity_2 = np.exp(-1.0 * (score / np.sum(X.data)))
assert_almost_equal(perplexity_1, perplexity_2)
def test_lda_fit_perplexity():
# Test that the perplexity computed during fit is consistent with what is
# returned by the perplexity method
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
max_iter=1,
learning_method="batch",
random_state=0,
evaluate_every=1,
)
lda.fit(X)
# Perplexity computed at end of fit method
perplexity1 = lda.bound_
# Result of perplexity method on the train set
perplexity2 = lda.perplexity(X)
assert_almost_equal(perplexity1, perplexity2)
def test_lda_empty_docs():
"""Test LDA on empty document (all-zero rows)."""
Z = np.zeros((5, 4))
for X in [Z, csr_matrix(Z)]:
lda = LatentDirichletAllocation(max_iter=750).fit(X)
assert_almost_equal(
lda.components_.sum(axis=0), np.ones(lda.components_.shape[1])
)
def test_dirichlet_expectation():
"""Test Cython version of Dirichlet expectation calculation."""
x = np.logspace(-100, 10, 10000)
expectation = np.empty_like(x)
_dirichlet_expectation_1d(x, 0, expectation)
assert_allclose(expectation, np.exp(psi(x) - psi(np.sum(x))), atol=1e-19)
x = x.reshape(100, 100)
assert_allclose(
_dirichlet_expectation_2d(x),
psi(x) - psi(np.sum(x, axis=1)[:, np.newaxis]),
rtol=1e-11,
atol=3e-9,
)
def check_verbosity(verbose, evaluate_every, expected_lines, expected_perplexities):
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(
n_components=n_components,
max_iter=3,
learning_method="batch",
verbose=verbose,
evaluate_every=evaluate_every,
random_state=0,
)
out = StringIO()
old_out, sys.stdout = sys.stdout, out
try:
lda.fit(X)
finally:
sys.stdout = old_out
n_lines = out.getvalue().count("\n")
n_perplexity = out.getvalue().count("perplexity")
assert expected_lines == n_lines
assert expected_perplexities == n_perplexity
@pytest.mark.parametrize(
"verbose,evaluate_every,expected_lines,expected_perplexities",
[
(False, 1, 0, 0),
(False, 0, 0, 0),
(True, 0, 3, 0),
(True, 1, 3, 3),
(True, 2, 3, 1),
],
)
def test_verbosity(verbose, evaluate_every, expected_lines, expected_perplexities):
check_verbosity(verbose, evaluate_every, expected_lines, expected_perplexities)
def test_lda_feature_names_out():
"""Check feature names out for LatentDirichletAllocation."""
n_components, X = _build_sparse_mtx()
lda = LatentDirichletAllocation(n_components=n_components).fit(X)
names = lda.get_feature_names_out()
assert_array_equal(
[f"latentdirichletallocation{i}" for i in range(n_components)], names
)

View File

@@ -0,0 +1,734 @@
import numpy as np
import scipy as sp
from numpy.testing import assert_array_equal
import pytest
import warnings
from sklearn.utils._testing import assert_allclose
from sklearn import datasets
from sklearn.decomposition import PCA
from sklearn.datasets import load_iris
from sklearn.decomposition._pca import _assess_dimension
from sklearn.decomposition._pca import _infer_dimension
iris = datasets.load_iris()
PCA_SOLVERS = ["full", "arpack", "randomized", "auto"]
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
@pytest.mark.parametrize("n_components", range(1, iris.data.shape[1]))
def test_pca(svd_solver, n_components):
X = iris.data
pca = PCA(n_components=n_components, svd_solver=svd_solver)
# check the shape of fit.transform
X_r = pca.fit(X).transform(X)
assert X_r.shape[1] == n_components
# check the equivalence of fit.transform and fit_transform
X_r2 = pca.fit_transform(X)
assert_allclose(X_r, X_r2)
X_r = pca.transform(X)
assert_allclose(X_r, X_r2)
# Test get_covariance and get_precision
cov = pca.get_covariance()
precision = pca.get_precision()
assert_allclose(np.dot(cov, precision), np.eye(X.shape[1]), atol=1e-12)
def test_no_empty_slice_warning():
# test if we avoid numpy warnings for computing over empty arrays
n_components = 10
n_features = n_components + 2 # anything > n_comps triggered it in 0.16
X = np.random.uniform(-1, 1, size=(n_components, n_features))
pca = PCA(n_components=n_components)
with warnings.catch_warnings():
warnings.simplefilter("error", RuntimeWarning)
pca.fit(X)
@pytest.mark.parametrize("copy", [True, False])
@pytest.mark.parametrize("solver", PCA_SOLVERS)
def test_whitening(solver, copy):
# Check that PCA output has unit-variance
rng = np.random.RandomState(0)
n_samples = 100
n_features = 80
n_components = 30
rank = 50
# some low rank data with correlated features
X = np.dot(
rng.randn(n_samples, rank),
np.dot(np.diag(np.linspace(10.0, 1.0, rank)), rng.randn(rank, n_features)),
)
# the component-wise variance of the first 50 features is 3 times the
# mean component-wise variance of the remaining 30 features
X[:, :50] *= 3
assert X.shape == (n_samples, n_features)
# the component-wise variance is thus highly varying:
assert X.std(axis=0).std() > 43.8
# whiten the data while projecting to the lower dim subspace
X_ = X.copy() # make sure we keep an original across iterations.
pca = PCA(
n_components=n_components,
whiten=True,
copy=copy,
svd_solver=solver,
random_state=0,
iterated_power=7,
)
# test fit_transform
X_whitened = pca.fit_transform(X_.copy())
assert X_whitened.shape == (n_samples, n_components)
X_whitened2 = pca.transform(X_)
assert_allclose(X_whitened, X_whitened2, rtol=5e-4)
assert_allclose(X_whitened.std(ddof=1, axis=0), np.ones(n_components))
assert_allclose(X_whitened.mean(axis=0), np.zeros(n_components), atol=1e-12)
X_ = X.copy()
pca = PCA(
n_components=n_components, whiten=False, copy=copy, svd_solver=solver
).fit(X_.copy())
X_unwhitened = pca.transform(X_)
assert X_unwhitened.shape == (n_samples, n_components)
# in that case the output components still have varying variances
assert X_unwhitened.std(axis=0).std() == pytest.approx(74.1, rel=1e-1)
# we always center, so no test for non-centering.
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_pca_explained_variance_equivalence_solver(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca_full = PCA(n_components=2, svd_solver="full")
pca_other = PCA(n_components=2, svd_solver=svd_solver, random_state=0)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(
pca_full.explained_variance_, pca_other.explained_variance_, rtol=5e-2
)
assert_allclose(
pca_full.explained_variance_ratio_,
pca_other.explained_variance_ratio_,
rtol=5e-2,
)
@pytest.mark.parametrize(
"X",
[
np.random.RandomState(0).randn(100, 80),
datasets.make_classification(100, 80, n_informative=78, random_state=0)[0],
],
ids=["random-data", "correlated-data"],
)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_explained_variance_empirical(X, svd_solver):
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=0)
X_pca = pca.fit_transform(X)
assert_allclose(pca.explained_variance_, np.var(X_pca, ddof=1, axis=0))
expected_result = np.linalg.eig(np.cov(X, rowvar=False))[0]
expected_result = sorted(expected_result, reverse=True)[:2]
assert_allclose(pca.explained_variance_, expected_result, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_pca_singular_values_consistency(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca_full = PCA(n_components=2, svd_solver="full", random_state=rng)
pca_other = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(pca_full.singular_values_, pca_other.singular_values_, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_singular_values(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
X_trans = pca.fit_transform(X)
# compare to the Frobenius norm
assert_allclose(
np.sum(pca.singular_values_**2), np.linalg.norm(X_trans, "fro") ** 2
)
# Compare to the 2-norms of the score vectors
assert_allclose(pca.singular_values_, np.sqrt(np.sum(X_trans**2, axis=0)))
# set the singular values and see what er get back
n_samples, n_features = 100, 110
X = rng.randn(n_samples, n_features)
pca = PCA(n_components=3, svd_solver=svd_solver, random_state=rng)
X_trans = pca.fit_transform(X)
X_trans /= np.sqrt(np.sum(X_trans**2, axis=0))
X_trans[:, 0] *= 3.142
X_trans[:, 1] *= 2.718
X_hat = np.dot(X_trans, pca.components_)
pca.fit(X_hat)
assert_allclose(pca.singular_values_, [3.142, 2.718, 1.0])
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_check_projection(svd_solver):
# Test that the projection of data is correct
rng = np.random.RandomState(0)
n, p = 100, 3
X = rng.randn(n, p) * 0.1
X[:10] += np.array([3, 4, 5])
Xt = 0.1 * rng.randn(1, p) + np.array([3, 4, 5])
Yt = PCA(n_components=2, svd_solver=svd_solver).fit(X).transform(Xt)
Yt /= np.sqrt((Yt**2).sum())
assert_allclose(np.abs(Yt[0][0]), 1.0, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_check_projection_list(svd_solver):
# Test that the projection of data is correct
X = [[1.0, 0.0], [0.0, 1.0]]
pca = PCA(n_components=1, svd_solver=svd_solver, random_state=0)
X_trans = pca.fit_transform(X)
assert X_trans.shape, (2, 1)
assert_allclose(X_trans.mean(), 0.00, atol=1e-12)
assert_allclose(X_trans.std(), 0.71, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", ["full", "arpack", "randomized"])
@pytest.mark.parametrize("whiten", [False, True])
def test_pca_inverse(svd_solver, whiten):
# Test that the projection of data can be inverted
rng = np.random.RandomState(0)
n, p = 50, 3
X = rng.randn(n, p) # spherical data
X[:, 1] *= 0.00001 # make middle component relatively small
X += [5, 4, 3] # make a large mean
# same check that we can find the original data from the transformed
# signal (since the data is almost of rank n_components)
pca = PCA(n_components=2, svd_solver=svd_solver, whiten=whiten).fit(X)
Y = pca.transform(X)
Y_inverse = pca.inverse_transform(Y)
assert_allclose(X, Y_inverse, rtol=5e-6)
@pytest.mark.parametrize(
"data", [np.array([[0, 1, 0], [1, 0, 0]]), np.array([[0, 1, 0], [1, 0, 0]]).T]
)
@pytest.mark.parametrize(
"svd_solver, n_components, err_msg",
[
("arpack", 0, r"must be between 1 and min\(n_samples, n_features\)"),
("randomized", 0, r"must be between 1 and min\(n_samples, n_features\)"),
("arpack", 2, r"must be strictly less than min"),
(
"auto",
-1,
(
r"n_components={}L? must be between {}L? and "
r"min\(n_samples, n_features\)={}L? with "
r"svd_solver=\'{}\'"
),
),
(
"auto",
3,
(
r"n_components={}L? must be between {}L? and "
r"min\(n_samples, n_features\)={}L? with "
r"svd_solver=\'{}\'"
),
),
("auto", 1.0, "must be of type int"),
],
)
def test_pca_validation(svd_solver, data, n_components, err_msg):
# Ensures that solver-specific extreme inputs for the n_components
# parameter raise errors
smallest_d = 2 # The smallest dimension
lower_limit = {"randomized": 1, "arpack": 1, "full": 0, "auto": 0}
pca_fitted = PCA(n_components, svd_solver=svd_solver)
solver_reported = "full" if svd_solver == "auto" else svd_solver
err_msg = err_msg.format(
n_components, lower_limit[svd_solver], smallest_d, solver_reported
)
with pytest.raises(ValueError, match=err_msg):
pca_fitted.fit(data)
# Additional case for arpack
if svd_solver == "arpack":
n_components = smallest_d
err_msg = (
"n_components={}L? must be strictly less than "
r"min\(n_samples, n_features\)={}L? with "
"svd_solver='arpack'".format(n_components, smallest_d)
)
with pytest.raises(ValueError, match=err_msg):
PCA(n_components, svd_solver=svd_solver).fit(data)
@pytest.mark.parametrize(
"solver, n_components_",
[
("full", min(iris.data.shape)),
("arpack", min(iris.data.shape) - 1),
("randomized", min(iris.data.shape)),
],
)
@pytest.mark.parametrize("data", [iris.data, iris.data.T])
def test_n_components_none(data, solver, n_components_):
pca = PCA(svd_solver=solver)
pca.fit(data)
assert pca.n_components_ == n_components_
@pytest.mark.parametrize("svd_solver", ["auto", "full"])
def test_n_components_mle(svd_solver):
# Ensure that n_components == 'mle' doesn't raise error for auto/full
rng = np.random.RandomState(0)
n_samples, n_features = 600, 10
X = rng.randn(n_samples, n_features)
pca = PCA(n_components="mle", svd_solver=svd_solver)
pca.fit(X)
assert pca.n_components_ == 1
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_n_components_mle_error(svd_solver):
# Ensure that n_components == 'mle' will raise an error for unsupported
# solvers
rng = np.random.RandomState(0)
n_samples, n_features = 600, 10
X = rng.randn(n_samples, n_features)
pca = PCA(n_components="mle", svd_solver=svd_solver)
err_msg = "n_components='mle' cannot be a string with svd_solver='{}'".format(
svd_solver
)
with pytest.raises(ValueError, match=err_msg):
pca.fit(X)
def test_pca_dim():
# Check automated dimensionality setting
rng = np.random.RandomState(0)
n, p = 100, 5
X = rng.randn(n, p) * 0.1
X[:10] += np.array([3, 4, 5, 1, 2])
pca = PCA(n_components="mle", svd_solver="full").fit(X)
assert pca.n_components == "mle"
assert pca.n_components_ == 1
def test_infer_dim_1():
# TODO: explain what this is testing
# Or at least use explicit variable names...
n, p = 1000, 5
rng = np.random.RandomState(0)
X = (
rng.randn(n, p) * 0.1
+ rng.randn(n, 1) * np.array([3, 4, 5, 1, 2])
+ np.array([1, 0, 7, 4, 6])
)
pca = PCA(n_components=p, svd_solver="full")
pca.fit(X)
spect = pca.explained_variance_
ll = np.array([_assess_dimension(spect, k, n) for k in range(1, p)])
assert ll[1] > ll.max() - 0.01 * n
def test_infer_dim_2():
# TODO: explain what this is testing
# Or at least use explicit variable names...
n, p = 1000, 5
rng = np.random.RandomState(0)
X = rng.randn(n, p) * 0.1
X[:10] += np.array([3, 4, 5, 1, 2])
X[10:20] += np.array([6, 0, 7, 2, -1])
pca = PCA(n_components=p, svd_solver="full")
pca.fit(X)
spect = pca.explained_variance_
assert _infer_dimension(spect, n) > 1
def test_infer_dim_3():
n, p = 100, 5
rng = np.random.RandomState(0)
X = rng.randn(n, p) * 0.1
X[:10] += np.array([3, 4, 5, 1, 2])
X[10:20] += np.array([6, 0, 7, 2, -1])
X[30:40] += 2 * np.array([-1, 1, -1, 1, -1])
pca = PCA(n_components=p, svd_solver="full")
pca.fit(X)
spect = pca.explained_variance_
assert _infer_dimension(spect, n) > 2
@pytest.mark.parametrize(
"X, n_components, n_components_validated",
[
(iris.data, 0.95, 2), # row > col
(iris.data, 0.01, 1), # row > col
(np.random.RandomState(0).rand(5, 20), 0.5, 2),
], # row < col
)
def test_infer_dim_by_explained_variance(X, n_components, n_components_validated):
pca = PCA(n_components=n_components, svd_solver="full")
pca.fit(X)
assert pca.n_components == pytest.approx(n_components)
assert pca.n_components_ == n_components_validated
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_score(svd_solver):
# Test that probabilistic PCA scoring yields a reasonable score
n, p = 1000, 3
rng = np.random.RandomState(0)
X = rng.randn(n, p) * 0.1 + np.array([3, 4, 5])
pca = PCA(n_components=2, svd_solver=svd_solver)
pca.fit(X)
ll1 = pca.score(X)
h = -0.5 * np.log(2 * np.pi * np.exp(1) * 0.1**2) * p
assert_allclose(ll1 / h, 1, rtol=5e-2)
ll2 = pca.score(rng.randn(n, p) * 0.2 + np.array([3, 4, 5]))
assert ll1 > ll2
pca = PCA(n_components=2, whiten=True, svd_solver=svd_solver)
pca.fit(X)
ll2 = pca.score(X)
assert ll1 > ll2
def test_pca_score3():
# Check that probabilistic PCA selects the right model
n, p = 200, 3
rng = np.random.RandomState(0)
Xl = rng.randn(n, p) + rng.randn(n, 1) * np.array([3, 4, 5]) + np.array([1, 0, 7])
Xt = rng.randn(n, p) + rng.randn(n, 1) * np.array([3, 4, 5]) + np.array([1, 0, 7])
ll = np.zeros(p)
for k in range(p):
pca = PCA(n_components=k, svd_solver="full")
pca.fit(Xl)
ll[k] = pca.score(Xt)
assert ll.argmax() == 1
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_sanity_noise_variance(svd_solver):
# Sanity check for the noise_variance_. For more details see
# https://github.com/scikit-learn/scikit-learn/issues/7568
# https://github.com/scikit-learn/scikit-learn/issues/8541
# https://github.com/scikit-learn/scikit-learn/issues/8544
X, _ = datasets.load_digits(return_X_y=True)
pca = PCA(n_components=30, svd_solver=svd_solver, random_state=0)
pca.fit(X)
assert np.all((pca.explained_variance_ - pca.noise_variance_) >= 0)
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_pca_score_consistency_solvers(svd_solver):
# Check the consistency of score between solvers
X, _ = datasets.load_digits(return_X_y=True)
pca_full = PCA(n_components=30, svd_solver="full", random_state=0)
pca_other = PCA(n_components=30, svd_solver=svd_solver, random_state=0)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(pca_full.score(X), pca_other.score(X), rtol=5e-6)
# arpack raises ValueError for n_components == min(n_samples, n_features)
@pytest.mark.parametrize("svd_solver", ["full", "randomized"])
def test_pca_zero_noise_variance_edge_cases(svd_solver):
# ensure that noise_variance_ is 0 in edge cases
# when n_components == min(n_samples, n_features)
n, p = 100, 3
rng = np.random.RandomState(0)
X = rng.randn(n, p) * 0.1 + np.array([3, 4, 5])
pca = PCA(n_components=p, svd_solver=svd_solver)
pca.fit(X)
assert pca.noise_variance_ == 0
# Non-regression test for gh-12489
# ensure no divide-by-zero error for n_components == n_features < n_samples
pca.score(X)
pca.fit(X.T)
assert pca.noise_variance_ == 0
# Non-regression test for gh-12489
# ensure no divide-by-zero error for n_components == n_samples < n_features
pca.score(X.T)
@pytest.mark.parametrize(
"data, n_components, expected_solver",
[ # case: n_components in (0,1) => 'full'
(np.random.RandomState(0).uniform(size=(1000, 50)), 0.5, "full"),
# case: max(X.shape) <= 500 => 'full'
(np.random.RandomState(0).uniform(size=(10, 50)), 5, "full"),
# case: n_components >= .8 * min(X.shape) => 'full'
(np.random.RandomState(0).uniform(size=(1000, 50)), 50, "full"),
# n_components >= 1 and n_components < .8*min(X.shape) => 'randomized'
(np.random.RandomState(0).uniform(size=(1000, 50)), 10, "randomized"),
],
)
def test_pca_svd_solver_auto(data, n_components, expected_solver):
pca_auto = PCA(n_components=n_components, random_state=0)
pca_test = PCA(
n_components=n_components, svd_solver=expected_solver, random_state=0
)
pca_auto.fit(data)
pca_test.fit(data)
assert_allclose(pca_auto.components_, pca_test.components_)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_sparse_input(svd_solver):
X = np.random.RandomState(0).rand(5, 4)
X = sp.sparse.csr_matrix(X)
assert sp.sparse.issparse(X)
pca = PCA(n_components=3, svd_solver=svd_solver)
with pytest.raises(TypeError):
pca.fit(X)
def test_pca_bad_solver():
X = np.random.RandomState(0).rand(5, 4)
pca = PCA(n_components=3, svd_solver="bad_argument")
with pytest.raises(ValueError):
pca.fit(X)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_deterministic_output(svd_solver):
rng = np.random.RandomState(0)
X = rng.rand(10, 10)
transformed_X = np.zeros((20, 2))
for i in range(20):
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
transformed_X[i, :] = pca.fit_transform(X)[0]
assert_allclose(transformed_X, np.tile(transformed_X[0, :], 20).reshape(20, 2))
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_dtype_preservation(svd_solver):
check_pca_float_dtype_preservation(svd_solver)
check_pca_int_dtype_upcast_to_double(svd_solver)
def check_pca_float_dtype_preservation(svd_solver):
# Ensure that PCA does not upscale the dtype when input is float32
X_64 = np.random.RandomState(0).rand(1000, 4).astype(np.float64, copy=False)
X_32 = X_64.astype(np.float32)
pca_64 = PCA(n_components=3, svd_solver=svd_solver, random_state=0).fit(X_64)
pca_32 = PCA(n_components=3, svd_solver=svd_solver, random_state=0).fit(X_32)
assert pca_64.components_.dtype == np.float64
assert pca_32.components_.dtype == np.float32
assert pca_64.transform(X_64).dtype == np.float64
assert pca_32.transform(X_32).dtype == np.float32
# the rtol is set such that the test passes on all platforms tested on
# conda-forge: PR#15775
# see: https://github.com/conda-forge/scikit-learn-feedstock/pull/113
assert_allclose(pca_64.components_, pca_32.components_, rtol=2e-4)
def check_pca_int_dtype_upcast_to_double(svd_solver):
# Ensure that all int types will be upcast to float64
X_i64 = np.random.RandomState(0).randint(0, 1000, (1000, 4))
X_i64 = X_i64.astype(np.int64, copy=False)
X_i32 = X_i64.astype(np.int32, copy=False)
pca_64 = PCA(n_components=3, svd_solver=svd_solver, random_state=0).fit(X_i64)
pca_32 = PCA(n_components=3, svd_solver=svd_solver, random_state=0).fit(X_i32)
assert pca_64.components_.dtype == np.float64
assert pca_32.components_.dtype == np.float64
assert pca_64.transform(X_i64).dtype == np.float64
assert pca_32.transform(X_i32).dtype == np.float64
assert_allclose(pca_64.components_, pca_32.components_, rtol=1e-4)
def test_pca_n_components_mostly_explained_variance_ratio():
# when n_components is the second highest cumulative sum of the
# explained_variance_ratio_, then n_components_ should equal the
# number of features in the dataset #15669
X, y = load_iris(return_X_y=True)
pca1 = PCA().fit(X, y)
n_components = pca1.explained_variance_ratio_.cumsum()[-2]
pca2 = PCA(n_components=n_components).fit(X, y)
assert pca2.n_components_ == X.shape[1]
def test_assess_dimension_bad_rank():
# Test error when tested rank not in [1, n_features - 1]
spectrum = np.array([1, 1e-30, 1e-30, 1e-30])
n_samples = 10
for rank in (0, 5):
with pytest.raises(ValueError, match=r"should be in \[1, n_features - 1\]"):
_assess_dimension(spectrum, rank, n_samples)
def test_small_eigenvalues_mle():
# Test rank associated with tiny eigenvalues are given a log-likelihood of
# -inf. The inferred rank will be 1
spectrum = np.array([1, 1e-30, 1e-30, 1e-30])
assert _assess_dimension(spectrum, rank=1, n_samples=10) > -np.inf
for rank in (2, 3):
assert _assess_dimension(spectrum, rank, 10) == -np.inf
assert _infer_dimension(spectrum, 10) == 1
def test_mle_redundant_data():
# Test 'mle' with pathological X: only one relevant feature should give a
# rank of 1
X, _ = datasets.make_classification(
n_features=20,
n_informative=1,
n_repeated=18,
n_redundant=1,
n_clusters_per_class=1,
random_state=42,
)
pca = PCA(n_components="mle").fit(X)
assert pca.n_components_ == 1
def test_fit_mle_too_few_samples():
# Tests that an error is raised when the number of samples is smaller
# than the number of features during an mle fit
X, _ = datasets.make_classification(n_samples=20, n_features=21, random_state=42)
pca = PCA(n_components="mle", svd_solver="full")
with pytest.raises(
ValueError,
match="n_components='mle' is only supported if n_samples >= n_features",
):
pca.fit(X)
def test_mle_simple_case():
# non-regression test for issue
# https://github.com/scikit-learn/scikit-learn/issues/16730
n_samples, n_dim = 1000, 10
X = np.random.RandomState(0).randn(n_samples, n_dim)
X[:, -1] = np.mean(X[:, :-1], axis=-1) # true X dim is ndim - 1
pca_skl = PCA("mle", svd_solver="full")
pca_skl.fit(X)
assert pca_skl.n_components_ == n_dim - 1
def test_assess_dimesion_rank_one():
# Make sure assess_dimension works properly on a matrix of rank 1
n_samples, n_features = 9, 6
X = np.ones((n_samples, n_features)) # rank 1 matrix
_, s, _ = np.linalg.svd(X, full_matrices=True)
# except for rank 1, all eigenvalues are 0 resp. close to 0 (FP)
assert_allclose(s[1:], np.zeros(n_features - 1), atol=1e-12)
assert np.isfinite(_assess_dimension(s, rank=1, n_samples=n_samples))
for rank in range(2, n_features):
assert _assess_dimension(s, rank, n_samples) == -np.inf
def test_pca_randomized_svd_n_oversamples():
"""Check that exposing and setting `n_oversamples` will provide accurate results
even when `X` as a large number of features.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/20589
"""
rng = np.random.RandomState(0)
n_features = 100
X = rng.randn(1_000, n_features)
# The default value of `n_oversamples` will lead to inaccurate results
# We force it to the number of features.
pca_randomized = PCA(
n_components=1,
svd_solver="randomized",
n_oversamples=n_features,
random_state=0,
).fit(X)
pca_full = PCA(n_components=1, svd_solver="full").fit(X)
pca_arpack = PCA(n_components=1, svd_solver="arpack", random_state=0).fit(X)
assert_allclose(np.abs(pca_full.components_), np.abs(pca_arpack.components_))
assert_allclose(np.abs(pca_randomized.components_), np.abs(pca_arpack.components_))
@pytest.mark.parametrize(
"params, err_type, err_msg",
[
(
{"n_oversamples": 0},
ValueError,
"n_oversamples == 0, must be >= 1.",
),
(
{"n_oversamples": 1.5},
TypeError,
"n_oversamples must be an instance of int",
),
],
)
def test_pca_params_validation(params, err_type, err_msg):
"""Check the parameters validation in `PCA`."""
rng = np.random.RandomState(0)
X = rng.randn(100, 20)
with pytest.raises(err_type, match=err_msg):
PCA(**params).fit(X)
def test_feature_names_out():
"""Check feature names out for PCA."""
pca = PCA(n_components=2).fit(iris.data)
names = pca.get_feature_names_out()
assert_array_equal([f"pca{i}" for i in range(2)], names)
@pytest.mark.parametrize("copy", [True, False])
def test_variance_correctness(copy):
"""Check the accuracy of PCA's internal variance calculation"""
rng = np.random.RandomState(0)
X = rng.randn(1000, 200)
pca = PCA().fit(X)
pca_var = pca.explained_variance_ / pca.explained_variance_ratio_
true_var = np.var(X, ddof=1, axis=0).sum()
np.testing.assert_allclose(pca_var, true_var)

View File

@@ -0,0 +1,267 @@
# Author: Vlad Niculae
# License: BSD 3 clause
import sys
import pytest
import numpy as np
from numpy.testing import assert_array_equal
from sklearn.utils._testing import assert_array_almost_equal
from sklearn.utils._testing import assert_allclose
from sklearn.utils._testing import if_safe_multiprocessing_with_blas
from sklearn.decomposition import SparsePCA, MiniBatchSparsePCA, PCA
from sklearn.utils import check_random_state
def generate_toy_data(n_components, n_samples, image_size, random_state=None):
n_features = image_size[0] * image_size[1]
rng = check_random_state(random_state)
U = rng.randn(n_samples, n_components)
V = rng.randn(n_components, n_features)
centers = [(3, 3), (6, 7), (8, 1)]
sz = [1, 2, 1]
for k in range(n_components):
img = np.zeros(image_size)
xmin, xmax = centers[k][0] - sz[k], centers[k][0] + sz[k]
ymin, ymax = centers[k][1] - sz[k], centers[k][1] + sz[k]
img[xmin:xmax][:, ymin:ymax] = 1.0
V[k, :] = img.ravel()
# Y is defined by : Y = UV + noise
Y = np.dot(U, V)
Y += 0.1 * rng.randn(Y.shape[0], Y.shape[1]) # Add noise
return Y, U, V
# SparsePCA can be a bit slow. To avoid having test times go up, we
# test different aspects of the code in the same test
def test_correct_shapes():
rng = np.random.RandomState(0)
X = rng.randn(12, 10)
spca = SparsePCA(n_components=8, random_state=rng)
U = spca.fit_transform(X)
assert spca.components_.shape == (8, 10)
assert U.shape == (12, 8)
# test overcomplete decomposition
spca = SparsePCA(n_components=13, random_state=rng)
U = spca.fit_transform(X)
assert spca.components_.shape == (13, 10)
assert U.shape == (12, 13)
def test_fit_transform():
alpha = 1
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 10, (8, 8), random_state=rng) # wide array
spca_lars = SparsePCA(n_components=3, method="lars", alpha=alpha, random_state=0)
spca_lars.fit(Y)
# Test that CD gives similar results
spca_lasso = SparsePCA(n_components=3, method="cd", random_state=0, alpha=alpha)
spca_lasso.fit(Y)
assert_array_almost_equal(spca_lasso.components_, spca_lars.components_)
@if_safe_multiprocessing_with_blas
def test_fit_transform_parallel():
alpha = 1
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 10, (8, 8), random_state=rng) # wide array
spca_lars = SparsePCA(n_components=3, method="lars", alpha=alpha, random_state=0)
spca_lars.fit(Y)
U1 = spca_lars.transform(Y)
# Test multiple CPUs
spca = SparsePCA(
n_components=3, n_jobs=2, method="lars", alpha=alpha, random_state=0
).fit(Y)
U2 = spca.transform(Y)
assert not np.all(spca_lars.components_ == 0)
assert_array_almost_equal(U1, U2)
def test_transform_nan():
# Test that SparsePCA won't return NaN when there is 0 feature in all
# samples.
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 10, (8, 8), random_state=rng) # wide array
Y[:, 0] = 0
estimator = SparsePCA(n_components=8)
assert not np.any(np.isnan(estimator.fit_transform(Y)))
def test_fit_transform_tall():
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 65, (8, 8), random_state=rng) # tall array
spca_lars = SparsePCA(n_components=3, method="lars", random_state=rng)
U1 = spca_lars.fit_transform(Y)
spca_lasso = SparsePCA(n_components=3, method="cd", random_state=rng)
U2 = spca_lasso.fit(Y).transform(Y)
assert_array_almost_equal(U1, U2)
def test_initialization():
rng = np.random.RandomState(0)
U_init = rng.randn(5, 3)
V_init = rng.randn(3, 4)
model = SparsePCA(
n_components=3, U_init=U_init, V_init=V_init, max_iter=0, random_state=rng
)
model.fit(rng.randn(5, 4))
assert_allclose(model.components_, V_init / np.linalg.norm(V_init, axis=1)[:, None])
def test_mini_batch_correct_shapes():
rng = np.random.RandomState(0)
X = rng.randn(12, 10)
pca = MiniBatchSparsePCA(n_components=8, random_state=rng)
U = pca.fit_transform(X)
assert pca.components_.shape == (8, 10)
assert U.shape == (12, 8)
# test overcomplete decomposition
pca = MiniBatchSparsePCA(n_components=13, random_state=rng)
U = pca.fit_transform(X)
assert pca.components_.shape == (13, 10)
assert U.shape == (12, 13)
# XXX: test always skipped
@pytest.mark.skipif(True, reason="skipping mini_batch_fit_transform.")
def test_mini_batch_fit_transform():
alpha = 1
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 10, (8, 8), random_state=rng) # wide array
spca_lars = MiniBatchSparsePCA(n_components=3, random_state=0, alpha=alpha).fit(Y)
U1 = spca_lars.transform(Y)
# Test multiple CPUs
if sys.platform == "win32": # fake parallelism for win32
import joblib
_mp = joblib.parallel.multiprocessing
joblib.parallel.multiprocessing = None
try:
spca = MiniBatchSparsePCA(
n_components=3, n_jobs=2, alpha=alpha, random_state=0
)
U2 = spca.fit(Y).transform(Y)
finally:
joblib.parallel.multiprocessing = _mp
else: # we can efficiently use parallelism
spca = MiniBatchSparsePCA(n_components=3, n_jobs=2, alpha=alpha, random_state=0)
U2 = spca.fit(Y).transform(Y)
assert not np.all(spca_lars.components_ == 0)
assert_array_almost_equal(U1, U2)
# Test that CD gives similar results
spca_lasso = MiniBatchSparsePCA(
n_components=3, method="cd", alpha=alpha, random_state=0
).fit(Y)
assert_array_almost_equal(spca_lasso.components_, spca_lars.components_)
def test_scaling_fit_transform():
alpha = 1
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 1000, (8, 8), random_state=rng)
spca_lars = SparsePCA(n_components=3, method="lars", alpha=alpha, random_state=rng)
results_train = spca_lars.fit_transform(Y)
results_test = spca_lars.transform(Y[:10])
assert_allclose(results_train[0], results_test[0])
def test_pca_vs_spca():
rng = np.random.RandomState(0)
Y, _, _ = generate_toy_data(3, 1000, (8, 8), random_state=rng)
Z, _, _ = generate_toy_data(3, 10, (8, 8), random_state=rng)
spca = SparsePCA(alpha=0, ridge_alpha=0, n_components=2)
pca = PCA(n_components=2)
pca.fit(Y)
spca.fit(Y)
results_test_pca = pca.transform(Z)
results_test_spca = spca.transform(Z)
assert_allclose(
np.abs(spca.components_.dot(pca.components_.T)), np.eye(2), atol=1e-5
)
results_test_pca *= np.sign(results_test_pca[0, :])
results_test_spca *= np.sign(results_test_spca[0, :])
assert_allclose(results_test_pca, results_test_spca)
@pytest.mark.parametrize("SPCA", [SparsePCA, MiniBatchSparsePCA])
@pytest.mark.parametrize("n_components", [None, 3])
def test_spca_n_components_(SPCA, n_components):
rng = np.random.RandomState(0)
n_samples, n_features = 12, 10
X = rng.randn(n_samples, n_features)
model = SPCA(n_components=n_components).fit(X)
if n_components is not None:
assert model.n_components_ == n_components
else:
assert model.n_components_ == n_features
@pytest.mark.parametrize("SPCA", (SparsePCA, MiniBatchSparsePCA))
@pytest.mark.parametrize("method", ("lars", "cd"))
@pytest.mark.parametrize(
"data_type, expected_type",
(
(np.float32, np.float32),
(np.float64, np.float64),
(np.int32, np.float64),
(np.int64, np.float64),
),
)
def test_sparse_pca_dtype_match(SPCA, method, data_type, expected_type):
# Verify output matrix dtype
n_samples, n_features, n_components = 12, 10, 3
rng = np.random.RandomState(0)
input_array = rng.randn(n_samples, n_features).astype(data_type)
model = SPCA(n_components=n_components, method=method)
transformed = model.fit_transform(input_array)
assert transformed.dtype == expected_type
assert model.components_.dtype == expected_type
@pytest.mark.parametrize("SPCA", (SparsePCA, MiniBatchSparsePCA))
@pytest.mark.parametrize("method", ("lars", "cd"))
def test_sparse_pca_numerical_consistency(SPCA, method):
# Verify numericall consistentency among np.float32 and np.float64
rtol = 1e-3
alpha = 2
n_samples, n_features, n_components = 12, 10, 3
rng = np.random.RandomState(0)
input_array = rng.randn(n_samples, n_features)
model_32 = SPCA(
n_components=n_components, alpha=alpha, method=method, random_state=0
)
transformed_32 = model_32.fit_transform(input_array.astype(np.float32))
model_64 = SPCA(
n_components=n_components, alpha=alpha, method=method, random_state=0
)
transformed_64 = model_64.fit_transform(input_array.astype(np.float64))
assert_allclose(transformed_64, transformed_32, rtol=rtol)
assert_allclose(model_64.components_, model_32.components_, rtol=rtol)
@pytest.mark.parametrize("SPCA", [SparsePCA, MiniBatchSparsePCA])
def test_spca_feature_names_out(SPCA):
"""Check feature names out for *SparsePCA."""
rng = np.random.RandomState(0)
n_samples, n_features = 12, 10
X = rng.randn(n_samples, n_features)
model = SPCA(n_components=4).fit(X)
names = model.get_feature_names_out()
estimator_name = SPCA.__name__.lower()
assert_array_equal([f"{estimator_name}{i}" for i in range(4)], names)

View File

@@ -0,0 +1,213 @@
"""Test truncated SVD transformer."""
import numpy as np
import scipy.sparse as sp
import pytest
from sklearn.decomposition import TruncatedSVD, PCA
from sklearn.utils import check_random_state
from sklearn.utils._testing import assert_array_less, assert_allclose
SVD_SOLVERS = ["arpack", "randomized"]
@pytest.fixture(scope="module")
def X_sparse():
# Make an X that looks somewhat like a small tf-idf matrix.
rng = check_random_state(42)
X = sp.random(60, 55, density=0.2, format="csr", random_state=rng)
X.data[:] = 1 + np.log(X.data)
return X
@pytest.mark.parametrize("solver", ["randomized"])
@pytest.mark.parametrize("kind", ("dense", "sparse"))
def test_solvers(X_sparse, solver, kind):
X = X_sparse if kind == "sparse" else X_sparse.toarray()
svd_a = TruncatedSVD(30, algorithm="arpack")
svd = TruncatedSVD(30, algorithm=solver, random_state=42, n_oversamples=100)
Xa = svd_a.fit_transform(X)[:, :6]
Xr = svd.fit_transform(X)[:, :6]
assert_allclose(Xa, Xr, rtol=2e-3)
comp_a = np.abs(svd_a.components_)
comp = np.abs(svd.components_)
# All elements are equal, but some elements are more equal than others.
assert_allclose(comp_a[:9], comp[:9], rtol=1e-3)
assert_allclose(comp_a[9:], comp[9:], atol=1e-2)
@pytest.mark.parametrize("n_components", (10, 25, 41, 55))
def test_attributes(n_components, X_sparse):
n_features = X_sparse.shape[1]
tsvd = TruncatedSVD(n_components).fit(X_sparse)
assert tsvd.n_components == n_components
assert tsvd.components_.shape == (n_components, n_features)
@pytest.mark.parametrize(
"algorithm, n_components",
[
("arpack", 55),
("arpack", 56),
("randomized", 56),
],
)
def test_too_many_components(X_sparse, algorithm, n_components):
tsvd = TruncatedSVD(n_components=n_components, algorithm=algorithm)
with pytest.raises(ValueError):
tsvd.fit(X_sparse)
@pytest.mark.parametrize("fmt", ("array", "csr", "csc", "coo", "lil"))
def test_sparse_formats(fmt, X_sparse):
n_samples = X_sparse.shape[0]
Xfmt = X_sparse.toarray() if fmt == "dense" else getattr(X_sparse, "to" + fmt)()
tsvd = TruncatedSVD(n_components=11)
Xtrans = tsvd.fit_transform(Xfmt)
assert Xtrans.shape == (n_samples, 11)
Xtrans = tsvd.transform(Xfmt)
assert Xtrans.shape == (n_samples, 11)
@pytest.mark.parametrize("algo", SVD_SOLVERS)
def test_inverse_transform(algo, X_sparse):
# We need a lot of components for the reconstruction to be "almost
# equal" in all positions. XXX Test means or sums instead?
tsvd = TruncatedSVD(n_components=52, random_state=42, algorithm=algo)
Xt = tsvd.fit_transform(X_sparse)
Xinv = tsvd.inverse_transform(Xt)
assert_allclose(Xinv, X_sparse.toarray(), rtol=1e-1, atol=2e-1)
def test_integers(X_sparse):
n_samples = X_sparse.shape[0]
Xint = X_sparse.astype(np.int64)
tsvd = TruncatedSVD(n_components=6)
Xtrans = tsvd.fit_transform(Xint)
assert Xtrans.shape == (n_samples, tsvd.n_components)
@pytest.mark.parametrize("kind", ("dense", "sparse"))
@pytest.mark.parametrize("n_components", [10, 20])
@pytest.mark.parametrize("solver", SVD_SOLVERS)
def test_explained_variance(X_sparse, kind, n_components, solver):
X = X_sparse if kind == "sparse" else X_sparse.toarray()
svd = TruncatedSVD(n_components, algorithm=solver)
X_tr = svd.fit_transform(X)
# Assert that all the values are greater than 0
assert_array_less(0.0, svd.explained_variance_ratio_)
# Assert that total explained variance is less than 1
assert_array_less(svd.explained_variance_ratio_.sum(), 1.0)
# Test that explained_variance is correct
total_variance = np.var(X_sparse.toarray(), axis=0).sum()
variances = np.var(X_tr, axis=0)
true_explained_variance_ratio = variances / total_variance
assert_allclose(
svd.explained_variance_ratio_,
true_explained_variance_ratio,
)
@pytest.mark.parametrize("kind", ("dense", "sparse"))
@pytest.mark.parametrize("solver", SVD_SOLVERS)
def test_explained_variance_components_10_20(X_sparse, kind, solver):
X = X_sparse if kind == "sparse" else X_sparse.toarray()
svd_10 = TruncatedSVD(10, algorithm=solver, n_iter=10).fit(X)
svd_20 = TruncatedSVD(20, algorithm=solver, n_iter=10).fit(X)
# Assert the 1st component is equal
assert_allclose(
svd_10.explained_variance_ratio_,
svd_20.explained_variance_ratio_[:10],
rtol=5e-3,
)
# Assert that 20 components has higher explained variance than 10
assert (
svd_20.explained_variance_ratio_.sum() > svd_10.explained_variance_ratio_.sum()
)
@pytest.mark.parametrize("solver", SVD_SOLVERS)
def test_singular_values_consistency(solver):
# Check that the TruncatedSVD output has the correct singular values
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca = TruncatedSVD(n_components=2, algorithm=solver, random_state=rng).fit(X)
# Compare to the Frobenius norm
X_pca = pca.transform(X)
assert_allclose(
np.sum(pca.singular_values_**2.0),
np.linalg.norm(X_pca, "fro") ** 2.0,
rtol=1e-2,
)
# Compare to the 2-norms of the score vectors
assert_allclose(
pca.singular_values_, np.sqrt(np.sum(X_pca**2.0, axis=0)), rtol=1e-2
)
@pytest.mark.parametrize("solver", SVD_SOLVERS)
def test_singular_values_expected(solver):
# Set the singular values and see what we get back
rng = np.random.RandomState(0)
n_samples = 100
n_features = 110
X = rng.randn(n_samples, n_features)
pca = TruncatedSVD(n_components=3, algorithm=solver, random_state=rng)
X_pca = pca.fit_transform(X)
X_pca /= np.sqrt(np.sum(X_pca**2.0, axis=0))
X_pca[:, 0] *= 3.142
X_pca[:, 1] *= 2.718
X_hat_pca = np.dot(X_pca, pca.components_)
pca.fit(X_hat_pca)
assert_allclose(pca.singular_values_, [3.142, 2.718, 1.0], rtol=1e-14)
def test_truncated_svd_eq_pca(X_sparse):
# TruncatedSVD should be equal to PCA on centered data
X_dense = X_sparse.toarray()
X_c = X_dense - X_dense.mean(axis=0)
params = dict(n_components=10, random_state=42)
svd = TruncatedSVD(algorithm="arpack", **params)
pca = PCA(svd_solver="arpack", **params)
Xt_svd = svd.fit_transform(X_c)
Xt_pca = pca.fit_transform(X_c)
assert_allclose(Xt_svd, Xt_pca, rtol=1e-9)
assert_allclose(pca.mean_, 0, atol=1e-9)
assert_allclose(svd.components_, pca.components_)
@pytest.mark.parametrize(
"algorithm, tol", [("randomized", 0.0), ("arpack", 1e-6), ("arpack", 0.0)]
)
@pytest.mark.parametrize("kind", ("dense", "sparse"))
def test_fit_transform(X_sparse, algorithm, tol, kind):
# fit_transform(X) should equal fit(X).transform(X)
X = X_sparse if kind == "sparse" else X_sparse.toarray()
svd = TruncatedSVD(
n_components=5, n_iter=7, random_state=42, algorithm=algorithm, tol=tol
)
X_transformed_1 = svd.fit_transform(X)
X_transformed_2 = svd.fit(X).transform(X)
assert_allclose(X_transformed_1, X_transformed_2)