202 lines
6.4 KiB
Python
202 lines
6.4 KiB
Python
"""This module implements some common validation schemes from pca and pls.
|
|
"""
|
|
from scipy import ones,mean,sqrt,dot,newaxis,zeros,sum,empty,\
|
|
apply_along_axis,eye,kron,array,sort
|
|
from scipy.stats import median
|
|
from scipy.linalg import triu,inv,svd,norm
|
|
|
|
from select_generators import w_pls_gen,w_pls_gen_jk,pls_gen,pca_gen,diag_pert
|
|
from engines import w_simpls,pls,bridge,pca
|
|
from cx_utils import m_shape
|
|
|
|
def w_pls_cv_val(X, Y, amax, n_blocks=None, algo='simpls'):
|
|
"""Returns and RMSEP for pls tailored for wide X.
|
|
"""
|
|
k, l = m_shape(Y)
|
|
PRESS = zeros((l, amax+1), dtype='f')
|
|
# X,Y are centered0
|
|
if n_blocks==None:
|
|
n_blocks = Y.shape[0]
|
|
XXt = dot(X, X.T)
|
|
V = w_pls_gen(XXt, Y, n_blocks=n_blocks, center=True)
|
|
for Din, Doi, Yin, Yout in V:
|
|
ym = -sum(Yout, 0)[newaxis]/(1.0*Yin.shape[0])
|
|
Yin = Yin - ym
|
|
PRESS[:,0] = PRESS[:,0] + ((Yout - ym)**2).sum(0)
|
|
if algo=='simpls':
|
|
dat = w_simpls(Din, Yin, amax)
|
|
Q, U, H = dat['Q'], dat['U'], dat['H']
|
|
That = dot(Doi, dot(U, inv(triu(dot(H.T,U))) ))
|
|
else:
|
|
raise NotImplementedError
|
|
#Yhat = empty((amax, k, l),dtype='<f8')
|
|
Yhat = []
|
|
for j in range(l):
|
|
TQ = dot(That, triu(dot(Q[j,:][:,newaxis], ones((1,amax)))) )
|
|
E = Yout[:,j][:,newaxis] - TQ
|
|
E = E + sum(E, 0)/Din.shape[0]
|
|
PRESS[j,1:] = PRESS[j,1:] + sum(E**2, 0)
|
|
#Yhat = Y - dot(That,Q.T)
|
|
rmsep = sqrt(PRESS/Y.shape[0])
|
|
aopt = find_aopt_from_sep(rmsep)
|
|
return rmsep, aopt
|
|
|
|
def pls_val(X, Y, amax=2, n_blocks=10,algo='pls'):
|
|
""" Validation results of pls model.
|
|
"""
|
|
k, l = m_shape(Y)
|
|
PRESS = zeros((l, amax+1), dtype='<f8')
|
|
EE = zeros((amax, k, l), dtype='<f8')
|
|
Yhat = zeros((amax, k, l), dtype='<f8')
|
|
# X,Y are centered
|
|
V = pls_gen(X, Y, n_blocks=n_blocks, center=True, index_out=True)
|
|
for Xin, Xout, Yin, Yout, out in V:
|
|
ym = -sum(Yout,0)[newaxis]/Yin.shape[0]
|
|
Yin = (Yin - ym)
|
|
PRESS[:,0] = PRESS[:,0] + ((Yout - ym)**2).sum(0)
|
|
|
|
if algo=='pls':
|
|
dat = pls(Xin, Yin, amax, mode='normal')
|
|
elif algo=='bridge':
|
|
dat = simpls(Xin, Yin, amax, mode='normal')
|
|
|
|
for a in range(amax):
|
|
Ba = dat['B'][a,:,:]
|
|
Yhat[a,out[:],:] = dot(Xout, Ba)
|
|
E = Yout - dot(Xout, Ba)
|
|
EE[a,out,:] = E
|
|
PRESS[:,a+1] = PRESS[:,a+1] + sum(E**2,0)
|
|
|
|
rmsep = sqrt(PRESS/(k-1.))
|
|
aopt = find_aopt_from_sep(rmsep)
|
|
return rmsep, aopt
|
|
|
|
def pca_alter_val(a, amax, n_sets=10, method='diag'):
|
|
"""Pca validation by altering elements in X.
|
|
"""
|
|
# todo: it is just as easy to do jk-estimates her as well
|
|
V = diag_pert(a, n_sets, center=True, index_out=True)
|
|
sep = empty((n_sets, amax), dtype='f')
|
|
for i, (xi, ind) in enumerate(V):
|
|
dat_i = pca(xi, amax, mode='detailed')
|
|
Ti,Pi = dat_i['T'],dat_i['P']
|
|
for j in xrange(amax):
|
|
Xhat = dot(Ti[:,:j+1], Pi[:,:j+1].T)
|
|
a_sub = a.ravel().take(ind)
|
|
EE = a_sub - Xhat.ravel().take(ind)
|
|
tot = (a_sub**2).sum()
|
|
sep[i,j] = (EE**2).sum()/tot
|
|
sep = sqrt(sep)
|
|
aopt = find_aopt_from_sep(sep)
|
|
return sep, aopt
|
|
|
|
def pca_cv_val(a, amax, n_sets):
|
|
""" Returns PRESS from cross-validated pca using random segments.
|
|
|
|
input:
|
|
-- a, data matrix (m x n)
|
|
-- amax, maximum nuber of components used
|
|
-- n_sets, number of segments to calculate
|
|
output:
|
|
-- sep, (amax x m x n), squared error of prediction (press)
|
|
-- aopt, guestimated optimal number of components
|
|
"""
|
|
m, n = a.shape
|
|
E = empty((amax, m, n), dtype='f')
|
|
xtot = (a**2).sum() # this needs centering
|
|
V = pca_gen(a, n_sets=7, center=True, index_out=True)
|
|
for xi, xout, ind in V:
|
|
dat_i = pca(xi, amax, mode='fast')
|
|
Pi = dat_i['P']
|
|
for a in xrange(amax):
|
|
Pia = Pi[:,:a+1]
|
|
E[a][ind,:] = (X[ind,:] - dot(xout, dot(Pia,Pia.T) ))**2
|
|
|
|
sep = []
|
|
for a in xrange(amax):
|
|
sep.append(E[a].sum()/xtot)
|
|
sep = array(sep)
|
|
aopt = find_aopt_from_sep(sep)
|
|
return sep, aopt
|
|
|
|
def pls_jkW(a, b, amax, n_blocks=None, algo='pls', use_pack=False, center=True):
|
|
""" Returns CV-segments of paramter W for wide X.
|
|
|
|
todo: add support for T,Q and B
|
|
"""
|
|
if n_blocks == None:
|
|
n_blocks = b.shape[0]
|
|
|
|
Wcv = empty((n_blocks, a.shape[1], amax), dtype='f')
|
|
|
|
if use_pack:
|
|
u, s, inflater = svd(a, full_matrices=0)
|
|
a = u*s
|
|
|
|
V = pls_gen(a, b, n_blocks=n_blocks, center=center)
|
|
for nn,(a_in, a_out, b_in, b_out) in enumerate(V):
|
|
if algo=='pls':
|
|
dat = pls(a_in, b_in, amax, 'loads', 'fast')
|
|
elif algo=='bridge':
|
|
dat = bridge(a_in, b_in, amax, 'loads', 'fast')
|
|
W = dat['W']
|
|
|
|
if use_pack:
|
|
W = dot(inflater.T, W)
|
|
|
|
Wcv[nn,:,:] = W
|
|
|
|
return Wcv
|
|
|
|
def pca_jkP(a, aopt, n_blocks=None):
|
|
"""Returns loading from PCA on CV-segments.
|
|
|
|
input:
|
|
-- a, data matrix (n x m)
|
|
-- aopt, number of components in model.
|
|
-- nblocks, number of segments
|
|
output:
|
|
-- PP, loadings collected in a three way matrix
|
|
(n_segments, m, aopt)
|
|
|
|
comments:
|
|
* The loadings are scaled with the (1/samples)*eigenvalues.
|
|
* Crossvalidation method is currently set to random blocks of samples.
|
|
|
|
todo: add support for T
|
|
fixme: more efficient to add this in validation loop
|
|
"""
|
|
if n_blocks == None:
|
|
n_blocks = a.shape[0]
|
|
|
|
PP = empty((n_blocks, a.shape[1], aopt), dtype='f')
|
|
V = pca_gen(a, n_sets=n_blocks, center=True)
|
|
for nn,(a_in, a_out) in enumerate(V):
|
|
dat = pca(a_in, aopt, mode='fast', scale='loads')
|
|
P = dat['P']
|
|
PP[nn,:,:] = P
|
|
|
|
return PP
|
|
|
|
def find_aopt_from_sep(sep, method='75perc'):
|
|
"""Returns an estimate of optimal number of components from rmsecv.
|
|
"""
|
|
if method=='vanilla':
|
|
# min rmsep
|
|
rmsecv = sqrt(sep.mean(0))
|
|
return rmsecv.argmin() + 1
|
|
|
|
elif method=='75perc':
|
|
prct = .75 #percentile
|
|
ind = 1.*sep.shape[0]*prct
|
|
med = median(sep)
|
|
prc_75 = []
|
|
for col in sep.T:
|
|
col.sort()
|
|
prc_75.append(col[int(ind)])
|
|
prc_75 = array(prc_75)
|
|
for i in range(1, sep.shape[1], 1):
|
|
if med[i-1]<prc_75[i]:
|
|
return i
|
|
return len(med)
|