laydi/fluents/lib/cx_stats.py

from scipy import zeros,zeros_like,sqrt,dot,trace,sign,round_,argmax,\
     sort,ravel,newaxis,asarray,diag,sum,outer,argsort,arange,ones_like,\
     all,apply_along_axis,eye
from scipy.linalg import svd,inv,norm,det,sqrtm
from scipy.stats import mean,median
from cx_utils import mat_center
from validation import pls_jkW
from select_generators import shuffle_1d
from engines import *
import time


def hotelling(Pcv, P, p_center='med', cov_center='med',
              alpha=0.3, crot=True, strict=False, metric=None):
    """Returns regularized hotelling T^2.
    
    alpha -- regularisation towards pooled cov estimates
    beta -- regularisation for unstable eigenvalues
    p_center -- location method for submodels
    cov_center -- location method for sub coviariances
    alpha -- regularisation
    crot -- rotate submodels toward full?
    strict -- only rotate 90 degree ?
    metric -- inverse metric matrix (if Pcv and P from metric pca/pls)
    
    """
    m, n = P.shape
    if metric==None:
        metric = eye(m, dtype='<f8')
    P = dot(metric.T, asarray(P))
    n_sets, n, amax = Pcv.shape
    # allocate
    T_sq = empty((n, ),dtype='f')
    Cov_i = zeros((n, amax, amax),dtype='f')
    
    # rotate sub_models to full model
    if crot:
        for i, Pi in enumerate(Pcv):
            Pi = dot(metric.T, Pi)
            Pcv[i] = procrustes(P, Pi, strict=strict)

    # center of pnull
    if p_center=='med':
        P_ctr = median(Pcv, 0)
    elif p_center=='mean':
        # fixme: mean is unstable
        P_ctr = mean(Pcv, 0)
    else: #use full
        P_ctr = P

    for i in xrange(n):
        Pi = Pcv[:,i,:] # (n_sets x amax) 
        Pi_ctr = P_ctr[i,:] # (1 x amax)
        Pim = (Pi - Pi_ctr[newaxis])*sqrt(n_sets-1)
        Cov_i[i] = (1./n_sets)*dot(Pim.T, Pim)
        
    if cov_center == 'med':
        Cov = median(Cov_i, 0)
    else:
        Cov = mean(Cov_i, 0)
    
    reg_cov = (1. - alpha)*Cov_i + alpha*Cov
    for i in xrange(n):
        Pc = P_ctr[i,:][:,newaxis]
        sigma = reg_cov[i]
        #T_sq[i] = sqrt(dot(dot(Pc.T, inv(sigma)), Pc).ravel())
        T_sq[i] = dot(dot(Pc.T, inv(sigma)), Pc).ravel()  
    return T_sq

def procrustes(A, B, strict=True, center=False, verbose=False):
    """Rotation of B to A.

    strict -- Only do flipping and shuffling
    center -- Center before rotation, translate back after
    verbose -- Print ssq
    
    No scaling calculated.
    Output B_rot = Rotated B
    """
    if center:
        A,mn_A = mat_center(A, ret_mn=True)
        B,mn_B = mat_center(B, ret_mn=True)
    u,s,vh = svd(dot(B.T, A))
    v = vh.T
    Cm = dot(u, v.T) #orthogonal rotation matrix
    if strict: # just inverting and flipping
       Cm = ensure_strict(Cm)
    b_rot = dot(B, Cm)

    if verbose:
        print Cm.round()
        fit = sum(ravel(B - b_rot)**2)
        print "Sum of squares: %s" %fit
    if center:
        return mn_B + b_rot
    else:
        return b_rot

def expl_var_x(Xc, T):
    """Returns explained variance of X.
    T should carry variance in length, Xc has zero col-mean.
    """
    exp_var_x = diag(dot(T.T, T))*100/(sum(Xc**2))
    return exp_var_x

def expl_var_y(Y, T, Q):
    """Returns explained variance of Y.
    """
    # centered Y
    exp_var_y = zeros((Q.shape[1], ))
    for a in range(Q.shape[1]):
        Ya = outer(T[:,a], Q[:,a])
        exp_var_y[a] = 100*sum(Ya**2)/sum(Y**2)
    return exp_var_y
        
def pls_qvals(a, b, aopt=None, alpha=.3,
              n_iter=20, algo='pls',
              sim_method='shuffle',
              p_center='med', cov_center='med',
              crot=True, strict=False, metric=None):

    """Returns qvals for pls model.

    input:
    a -- centered data matrix
    b -- centered data matrix
    aopt -- scalar, opt. number of components
    alpha -- [0,1] regularisation parameter for T2-test
    n_iter -- number of permutations
    sim_method -- permutation method ['shuffle']
    p_center -- location estimator for sub models ['med']
    cov_center -- location estimator for covariance of submodels ['med']
    crot -- bool, use rotations of sub models?
    strict -- bool, use stict (rot/flips only) rotations?
    metric -- bool, use row metric?
    """
    
    m, n = a.shape
    TSQ = zeros((n, n_iter), dtype='<f8') # (nvars x n_subsets)
    n_false = zeros((n, n_iter), dtype='<f8')

    #full model
    if metric!=None:
        a = dot(a, metric)
    if algo=='bridge':
        dat = bridge(a, b, aopt, 'loads', 'fast')
    else:
        dat = pls(a, b, aopt, 'loads', 'fast')
    Wcv = pls_jkW(a, b, aopt, n_blocks=None, algo=algo, metric=metric)
    tsq_full = hotelling(Wcv, dat['W'], p_center=p_center,
                         alpha=alpha, crot=crot, strict=strict,
                         cov_center=cov_center)
    t0 = time.time()
    Vs = shuffle_1d(b, n_iter)
    for i, b_shuff in enumerate(Vs):
        t1 = time.time()
        if algo=='bridge':
            dat = bridge(a, b_shuff, aopt, 'loads','fast')
        else:
            dat = pls(a, b, aopt, 'loads', 'fast')
        Wcv = pls_jkW(a, b_shuff, aopt, n_blocks=None, algo=algo, metric=metric)
        TSQ[:,i] = hotelling(Wcv, dat['W'], p_center=p_center,
                             alpha=alpha, crot=crot, strict=strict,
                             cov_center=cov_center)
        print time.time() - t1
    sort_index = argsort(tsq_full)[::-1]
    back_sort_index = sort_index.argsort()
    print time.time() - t0

    # count false positives
    tsq_full_sorted = tsq_full.take(sort_index)
    for i in xrange(n_iter):
        for j in xrange(n):
            n_false[j,i] = sum(TSQ[:,i]>=tsq_full[j])
    false_pos = median(n_false, 1)
    ll = arange(1, len(false_pos)+1, 1)
    sort_qval = false_pos.take(sort_index)/ll
    qval = false_pos/ll.take(back_sort_index)
    print time.time() - t0
    return qval, false_pos, TSQ, tsq_full

def ensure_strict(C, only_flips=True):
    """Ensure that a rotation matrix does only 90 degree rotations.
    In multiplication with pcs this allows flips and reordering.

    if only_flips is True there will onlt be flips allowed
    """
    Cm = C
    S = sign(C) # signs
    if only_flips==True:
        C = eye(Cm.shape[0])*S
        return C
    Cm = zeros_like(C)
    Cm.putmask(1.,abs(C)>.6)
    if det(Cm)>1:
        raise ValueError,"Implement this!"
    return Cm*S

def leverage(aopt=1,*args):
    """Returns leverages
    input : aopt, number of components to base leverage calculations on
            *args, matrices of normed blm-paramters
    output: leverages
    
    For PCA typical inputs are normalised T or normalised P
    For PLSR typical inputs are normalised T or normalised W
    """
    if aopt<1:
        raise ValueError,"Leverages only make sense for aopt>0"
    lev  = []
    for u in args:
        lev_u = 1./u.shape[0] + dot(u[:,:aopt], u[:,:aopt].T).diagonal()
        lev.append(lev_u)
    return lev

def variances(a, t, p):
    """Returns explained variance and ind. var from blm-params.
    input:
          a -- full centered matrix
          t,p -- parameters from a bilinear approx of the above matrix.
    output:
          var -- variance of each component
          var_exp -- cumulative explained variance in percentage

    Typical inputs are:  X(centered),T,P for PCA or
                         X(centered),T,P / Y(centered),T,Q for PLSR.
    """
    
    tot_var = sum(a**2)
    var = 100*(sum(p**2, 0)*sum(t**2, 0))/tot_var
    var_exp = cumsum(var)
    return var, var_exp

def residual_diagnostics(Y, Yhat, aopt=1):
    """Root mean errors and press values. 
    R2 vals
    """
    pass
    

def ssq(E, axis=0, weights=None):
    """Sum of squares, supports weights."""
    n = E.shape[axis]
    if weights==None:
        weights = eye(n)
    else:
        weigths = diag(weigths)
    if axis==0:
        Ew = dot(weights, E)
    elif axis==1:
        Ew = dot(E, weights)
    else:
        raise NotImplementedError, "Higher order modes not supported"
    return pow(Ew,2).sum(axis)