Mostly clean ups
This commit is contained in:
parent
2951ca4088
commit
4c809674bb
@ -12,7 +12,7 @@ from numpy.random import shuffle
|
||||
from engines import nipals_lpls as lpls
|
||||
|
||||
|
||||
def lpls_val(X, Y, Z, a_max=2, nsets=None,alpha=.5, mean_ctr=[2,0,2], zorth=False, verbose=True):
|
||||
def lpls_val(X, Y, Z, a_max=2, nsets=None,alpha=.5, mean_ctr=[2,0,2], zorth=False, verbose=False):
|
||||
"""Performs crossvalidation for generalisation error in lpls.
|
||||
|
||||
The L-PLS crossvalidation is estimated just like an ordinary pls
|
||||
@ -61,8 +61,8 @@ def lpls_val(X, Y, Z, a_max=2, nsets=None,alpha=.5, mean_ctr=[2,0,2], zorth=Fals
|
||||
m, n = X.shape
|
||||
k, l = Y.shape
|
||||
o, p = Z.shape
|
||||
assert m==k, "X (%d,%d) - Y (%d,%d) dim mismatch" %(m,n,k,l)
|
||||
assert n==p, "X (%d,%d) - Z (%d,%d) dim mismatch" %(m,n,o,p)
|
||||
assert m == k, "X (%d,%d) - Y (%d,%d) dim mismatch" %(m, n, k, l)
|
||||
assert n == p, "X (%d,%d) - Z (%d,%d) dim mismatch" %(m, n, o, p)
|
||||
if nsets == None:
|
||||
nsets = m
|
||||
if nsets > X.shape[0]:
|
||||
@ -80,11 +80,11 @@ def lpls_val(X, Y, Z, a_max=2, nsets=None,alpha=.5, mean_ctr=[2,0,2], zorth=Fals
|
||||
if mean_ctr[0] != 1:
|
||||
xi = X[val,:] - dat['mnx']
|
||||
else:
|
||||
xi = X[val] - X[val].mean(1)[:,newaxis]
|
||||
xi = X[val] - X[cal].mean(1)[:,newaxis]
|
||||
if mean_ctr[2] != 1:
|
||||
ym = dat['mny']
|
||||
else:
|
||||
ym = Y[val].mean(1)[:,newaxis] #???: check this
|
||||
ym = Y[cal].mean(1)[:,newaxis]
|
||||
# predictions
|
||||
for a in range(a_max):
|
||||
Yhat[a,val,:] = atleast_2d(ym + dot(xi, dat['B'][a]))
|
||||
@ -113,7 +113,7 @@ def lpls_val(X, Y, Z, a_max=2, nsets=None,alpha=.5, mean_ctr=[2,0,2], zorth=Fals
|
||||
def pca_jk(a, aopt, n_blocks=None):
|
||||
"""Returns jack-knife segements from PCA.
|
||||
|
||||
Parameters:
|
||||
*Parameters*:
|
||||
|
||||
a : {array}
|
||||
data matrix (n x m)
|
||||
@ -122,20 +122,14 @@ def pca_jk(a, aopt, n_blocks=None):
|
||||
nsets : {integer}
|
||||
number of segments
|
||||
|
||||
Returns:
|
||||
*Returns*:
|
||||
|
||||
Pcv : {array}
|
||||
Loadings collected in a three way matrix (n_segments, m, aopt)
|
||||
|
||||
Notes:
|
||||
|
||||
- The loadings are scaled with the (1/samples)*eigenvalues.
|
||||
*Notes*:
|
||||
|
||||
- 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 nsets == None:
|
||||
@ -183,7 +177,7 @@ def pls_jk(X, Y, a_opt, nsets=None, center=True, verbose=False):
|
||||
"""
|
||||
m, n = X.shape
|
||||
k, l = Y.shape
|
||||
assert(m==k)
|
||||
assert(m == k)
|
||||
if nsets == None:
|
||||
nsets = X.shape[0]
|
||||
Wcv = empty((nsets, X.shape[1], a_opt), dtype=X.dtype)
|
||||
@ -242,9 +236,9 @@ def lpls_jk(X, Y, Z, a_opt, nsets=None, xz_alpha=.5, mean_ctr=[2,0,2], verbose=F
|
||||
m, n = X.shape
|
||||
k, l = Y.shape
|
||||
o, p = Z.shape
|
||||
assert(m==k)
|
||||
assert(n==p)
|
||||
if nsets==None:
|
||||
assert(m == k)
|
||||
assert(n == p)
|
||||
if nsets == None:
|
||||
nsets = m
|
||||
WWx = empty((nsets, n, a_opt), 'd')
|
||||
WWz = empty((nsets, o, a_opt), 'd')
|
||||
@ -279,12 +273,12 @@ def find_aopt_from_sep(sep, method='vanilla'):
|
||||
A guess on the optimal number of components
|
||||
"""
|
||||
|
||||
if method=='vanilla':
|
||||
if method == 'vanilla':
|
||||
# min rmsep
|
||||
rmsecv = sqrt(sep.mean(0))
|
||||
return rmsecv.argmin() + 1
|
||||
|
||||
elif method=='75perc':
|
||||
elif method == '75perc':
|
||||
prct = .75 #percentile
|
||||
ind = 1.*sep.shape[0]*prct
|
||||
med = median(sep)
|
||||
@ -305,6 +299,7 @@ def cv(N, K, randomise=True, sequential=False):
|
||||
of length ~N/K, *without* replacement.
|
||||
|
||||
*Parameters*:
|
||||
|
||||
N : {integer}
|
||||
Total number of samples
|
||||
K : {integer}
|
||||
@ -333,7 +328,7 @@ def cv(N, K, randomise=True, sequential=False):
|
||||
otherwise interleaved ordering is used.
|
||||
|
||||
"""
|
||||
if N>K:
|
||||
if N > K:
|
||||
raise ValueError, "You cannot divide a list of %d samples into more than %d segments. Yout tried: %s" %(K, K, N)
|
||||
index = xrange(N)
|
||||
if randomise:
|
||||
|
||||
145
pyblm/engines.py
145
pyblm/engines.py
@ -9,16 +9,17 @@ from math import sqrt as msqrt
|
||||
|
||||
from numpy import dot,empty,zeros,apply_along_axis,newaxis,finfo,sqrt,r_,expand_dims,\
|
||||
minimum
|
||||
from numpy.linalg import inv, svd
|
||||
from numpy.linalg import inv,svd
|
||||
from scipy.sandbox import arpack
|
||||
|
||||
|
||||
def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
""" Principal Component Analysis.
|
||||
|
||||
PCA is a low rank bilinear aprroximation to a data matrix that sequentially
|
||||
extracts orthogonal components of maximum variance.
|
||||
|
||||
Parameters:
|
||||
*Parameters*:
|
||||
|
||||
X : {array}
|
||||
Data measurement matrix, (samples x variables)
|
||||
@ -27,7 +28,7 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
center_axis : {integer}
|
||||
Center along given axis. If neg.: no centering (-inf,..., matrix modes)
|
||||
|
||||
Returns:
|
||||
*Returns*:
|
||||
|
||||
T : {array}
|
||||
Scores, (samples, components)
|
||||
@ -47,7 +48,7 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
leverage : {array}
|
||||
Leverages, (samples,)
|
||||
|
||||
OtherParameters:
|
||||
*OtherParameters*:
|
||||
|
||||
scale : {string}, optional
|
||||
Where to put the weights [['scores'], 'loadings']
|
||||
@ -55,7 +56,7 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
Amount of info retained, [['normal'], 'fast', 'detailed']
|
||||
|
||||
|
||||
:SeeAlso:
|
||||
*SeeAlso*:
|
||||
|
||||
`center` : Data centering
|
||||
|
||||
@ -78,10 +79,12 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
"""
|
||||
|
||||
m, n = X.shape
|
||||
assert(aopt<=min(m,n))
|
||||
if center_axis>=0:
|
||||
min_aopt = min(m, n)
|
||||
if center_axis >= 0:
|
||||
X = X - expand_dims(X.mean(center_axis), center_axis)
|
||||
if m>(n+100) or n>(m+100):
|
||||
min_aopt = min_aopt - 1
|
||||
assert(aopt <= min_aopt)
|
||||
if m > (n+100) or n > (m+100):
|
||||
u, s, v = esvd(X, aopt)
|
||||
else:
|
||||
u, s, vt = svd(X, 0)
|
||||
@ -92,7 +95,7 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
|
||||
# ranktest
|
||||
tol = 1e-10
|
||||
eff_rank = sum(s>s[0]*tol)
|
||||
eff_rank = sum(s > s[0]*tol)
|
||||
aopt = minimum(aopt, eff_rank)
|
||||
T = u*s
|
||||
s = s[:aopt]
|
||||
@ -124,7 +127,7 @@ def pca(X, aopt, scale='scores', mode='normal', center_axis=0):
|
||||
sep = E**2
|
||||
ssq = [sep.sum(0), sep.sum(1)]
|
||||
# leverages
|
||||
if scale=='loads':
|
||||
if scale == 'loads':
|
||||
lev = [(1./m)+(T**2).sum(1), (1./n)+((P/s)**2).sum(1)]
|
||||
else:
|
||||
lev = [(1./m)+((T/s)**2).sum(1), (1./n)+(P**2).sum(1)]
|
||||
@ -139,7 +142,7 @@ def pcr(a, b, aopt, scale='scores',mode='normal',center_axis=0):
|
||||
|
||||
Performs PCR on given matrix and returns results in a dictionary.
|
||||
|
||||
Parameters:
|
||||
*Parameters*:
|
||||
|
||||
a : array
|
||||
Data measurement matrix, (samples x variables)
|
||||
@ -148,19 +151,19 @@ def pcr(a, b, aopt, scale='scores',mode='normal',center_axis=0):
|
||||
aopt : int
|
||||
Number of components to use, aopt<=min(samples, variables)
|
||||
|
||||
Returns:
|
||||
*Returns*:
|
||||
|
||||
results : dict
|
||||
keys -- values, T -- scores, P -- loadings, E -- residuals,
|
||||
levx -- leverages, ssqx -- sum of squares, expvarx -- cumulative
|
||||
explained variance, aopt -- number of components used
|
||||
|
||||
OtherParameters:
|
||||
*OtherParameters*:
|
||||
|
||||
mode : str
|
||||
Amount of info retained, ('fast', 'normal', 'detailed')
|
||||
center_axis : int
|
||||
Center along given axis. If neg.: no centering (-inf,..., matrix modes)
|
||||
mode : {string}
|
||||
Amount of info retained, ('fast', 'normal', 'detailed')
|
||||
center_axis : {integer}
|
||||
Center along given axis. If neg.: no centering (-inf,..., matrix modes)
|
||||
|
||||
SeeAlso:
|
||||
|
||||
@ -194,21 +197,21 @@ def pcr(a, b, aopt, scale='scores',mode='normal',center_axis=0):
|
||||
except:
|
||||
b = atleast_2d(b).T
|
||||
k, l = b.shape
|
||||
if center_axis>=0:
|
||||
if center_axis >= 0:
|
||||
b = b - expand_dims(b.mean(center_axis), center_axis)
|
||||
dat = pca(a, aopt=aopt, scale=scale, mode=mode, center_axis=center_axis)
|
||||
T = dat['T']
|
||||
weights = apply_along_axis(vnorm, 0, T)**2
|
||||
if scale=='loads':
|
||||
if scale == 'loads':
|
||||
Q = dot(b.T, T*weights)
|
||||
else:
|
||||
Q = dot(b.T, T/weights)
|
||||
|
||||
if mode=='fast':
|
||||
if mode == 'fast':
|
||||
dat.update({'Q':Q})
|
||||
return dat
|
||||
|
||||
if mode=='detailed':
|
||||
if mode == 'detailed':
|
||||
F = empty((aopt, k, l))
|
||||
ssqy = []
|
||||
for i in range(aopt):
|
||||
@ -284,7 +287,7 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
|
||||
*SeeAlso*:
|
||||
|
||||
`center` : data centering
|
||||
`center` - data centering
|
||||
|
||||
*Notes*
|
||||
|
||||
@ -310,14 +313,16 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
except:
|
||||
Y = atleast_2d(Y).T
|
||||
k, l = Y.shape
|
||||
assert(m==k)
|
||||
assert(aopt<min(m, n))
|
||||
mnx, mny = 0,0
|
||||
if center_axis>=0:
|
||||
assert(m == k)
|
||||
mnx, mny = 0, 0
|
||||
min_aopt = min(m, n)
|
||||
if center_axis >= 0:
|
||||
mnx = expand_dims(X.mean(center_axis), center_axis)
|
||||
X = X - mnx
|
||||
min_aopt = min_aopt - 1
|
||||
mny = expand_dims(Y.mean(center_axis), center_axis)
|
||||
Y = Y - mny
|
||||
assert(aopt > 0 and aopt < min_aopt)
|
||||
|
||||
W = empty((n, aopt))
|
||||
P = empty((n, aopt))
|
||||
@ -329,10 +334,10 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
|
||||
XY = dot(X.T, Y)
|
||||
for i in range(aopt):
|
||||
if XY.shape[1]==1: #pls 1
|
||||
if XY.shape[1] == 1: #pls 1
|
||||
w = XY.reshape(n, l)
|
||||
w = w/vnorm(w)
|
||||
elif n<l: # more yvars than xvars
|
||||
elif n < l: # more yvars than xvars
|
||||
s, w = arpack.eigen_symmetric(dot(XY, XY.T),k=1, tol=1e-10, maxiter=100)
|
||||
#w, s, vh = svd(dot(XY, XY.T))
|
||||
#w = w[:,:1]
|
||||
@ -344,7 +349,7 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
w = dot(XY, q)
|
||||
w = w/vnorm(w)
|
||||
r = w.copy()
|
||||
if i>0:
|
||||
if i > 0:
|
||||
for j in range(0, i, 1):
|
||||
r = r - dot(P[:,j].T, w)*R[:,j][:,newaxis]
|
||||
|
||||
@ -356,8 +361,8 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
T[:,i] = t.ravel()
|
||||
W[:,i] = w.ravel()
|
||||
|
||||
if mode=='fast' and i==aopt-1:
|
||||
if scale=='loads':
|
||||
if mode == 'fast' and i == (aopt - 1):
|
||||
if scale == 'loads':
|
||||
tnorm = sqrt(tt)
|
||||
T = T/tnorm
|
||||
W = W*tnorm
|
||||
@ -371,7 +376,7 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
qnorm = apply_along_axis(vnorm, 0, Q)
|
||||
tnorm = sqrt(tt)
|
||||
pp = (P**2).sum(0)
|
||||
if mode=='detailed':
|
||||
if mode == 'detailed':
|
||||
E = empty((aopt, m, n))
|
||||
F = empty((aopt, k, l))
|
||||
ssqx, ssqy = [], []
|
||||
@ -401,7 +406,7 @@ def pls(X, Y, aopt=2, scale='scores', mode='normal', center_axis=-1):
|
||||
expvarx = r_[0, 100*tp/(X*X).sum()]
|
||||
expvary = r_[0, 100*tq/(Y*Y).sum()]
|
||||
|
||||
if scale=='loads':
|
||||
if scale == 'loads':
|
||||
T = T/tnorm
|
||||
W = W*tnorm
|
||||
Q = Q*tnorm
|
||||
@ -495,11 +500,11 @@ def nipals_lpls(X, Y, Z, a_max, alpha=.7, mean_ctr=[2, 0, 2], scale='scores', zo
|
||||
m, n = X.shape
|
||||
k, l = Y.shape
|
||||
u, o = Z.shape
|
||||
max_rank = min(m, n)
|
||||
assert (a_max>0 and a_max<max_rank), "Number of comp error:\
|
||||
tried:%d, max_rank:%d" %(a_max,max_rank)
|
||||
max_rank = min(m, n) + 1
|
||||
assert (a_max > 0 and a_max < max_rank), "Number of comp error:\
|
||||
tried: %d, max_rank: %d" %(a_max, max_rank)
|
||||
|
||||
if mean_ctr!=None:
|
||||
if mean_ctr != None:
|
||||
xctr, yctr, zctr = mean_ctr
|
||||
X, mnX = center(X, xctr)
|
||||
Y, mnY = center(Y, yctr)
|
||||
@ -537,7 +542,7 @@ def nipals_lpls(X, Y, Z, a_max, alpha=.7, mean_ctr=[2, 0, 2], scale='scores', zo
|
||||
l = G[:,:1]
|
||||
diff = 1
|
||||
niter = 0
|
||||
while (diff>LIM and niter<MAX_ITER):
|
||||
while (diff > LIM and niter < MAX_ITER):
|
||||
niter += 1
|
||||
u1 = u.copy()
|
||||
w1 = w.copy()
|
||||
@ -562,7 +567,7 @@ def nipals_lpls(X, Y, Z, a_max, alpha=.7, mean_ctr=[2, 0, 2], scale='scores', zo
|
||||
u = dot(F, c)
|
||||
diff = dot((u - u1).T, (u - u1))
|
||||
if verbose:
|
||||
if niter==MAX_ITER:
|
||||
if niter == MAX_ITER:
|
||||
print "Maximum nunber of iterations reached!"
|
||||
print "Iterations: %d " %niter
|
||||
print "Error: %.2E" %diff
|
||||
@ -606,7 +611,7 @@ def nipals_lpls(X, Y, Z, a_max, alpha=.7, mean_ctr=[2, 0, 2], scale='scores', zo
|
||||
evy = 100.*(1 - var_y/varY)
|
||||
evz = 100.*(1 - var_z/varZ)
|
||||
|
||||
if scale=='loads':
|
||||
if scale == 'loads':
|
||||
tnorm = apply_along_axis(vnorm, 0, T)
|
||||
T = T/tnorm
|
||||
W = W*tnorm
|
||||
@ -617,6 +622,20 @@ def nipals_lpls(X, Y, Z, a_max, alpha=.7, mean_ctr=[2, 0, 2], scale='scores', zo
|
||||
|
||||
return {'T':T, 'W':W, 'P':P, 'Q':Q, 'U':U, 'L':L, 'K':K, 'B':B, 'E': E, 'F': F, 'G': G, 'evx':evx, 'evy':evy, 'evz':evz,'mnx': mnX, 'mny': mnY, 'mnz': mnZ}
|
||||
|
||||
def lpls_predict(model_dict, x, aopt):
|
||||
"""Predict lpls reponses from existing model on new data.
|
||||
"""
|
||||
try:
|
||||
m, n = x.shape
|
||||
except:
|
||||
x = atleast_2d(x.shape)
|
||||
m, n = x.shape
|
||||
|
||||
if 'B0' in model_dict.keys():
|
||||
y = model_dict['B0'] + dot()
|
||||
|
||||
|
||||
|
||||
def vnorm(a):
|
||||
"""Returns the norm of a vector.
|
||||
|
||||
@ -654,28 +673,28 @@ def center(a, axis):
|
||||
"""
|
||||
|
||||
# check if we have a vector
|
||||
is_vec = len(a.shape)==1
|
||||
is_vec = len(a.shape) == 1
|
||||
if not is_vec:
|
||||
is_vec = a.shape[0]==1 or a.shape[1]==1
|
||||
is_vec = a.shape[0] == 1 or a.shape[1] == 1
|
||||
if is_vec:
|
||||
if axis==2:
|
||||
if axis == 2:
|
||||
warnings.warn("Double centering of vecor ignored, using ordinary centering")
|
||||
if axis==-1:
|
||||
if axis == -1:
|
||||
mn = 0
|
||||
else:
|
||||
mn = a.mean()
|
||||
return a - mn, mn
|
||||
# !!!fixme: use broadcasting
|
||||
if axis==-1:
|
||||
if axis == -1:
|
||||
mn = zeros((1,a.shape[1],))
|
||||
#mn = tile(mn, (a.shape[0], 1))
|
||||
elif axis==0:
|
||||
elif axis == 0:
|
||||
mn = a.mean(0)[newaxis]
|
||||
#mn = tile(mn, (a.shape[0], 1))
|
||||
elif axis==1:
|
||||
elif axis == 1:
|
||||
mn = a.mean(1)[:,newaxis]
|
||||
#mn = tile(mn, (1, a.shape[1]))
|
||||
elif axis==2:
|
||||
elif axis == 2:
|
||||
mn = a.mean(0)[newaxis] + a.mean(1)[:,newaxis] - a.mean()
|
||||
return a - mn , a.mean(0)[newaxis]
|
||||
else:
|
||||
@ -702,11 +721,11 @@ def _scale(a, axis):
|
||||
Scaling vector/matrix
|
||||
"""
|
||||
|
||||
if axis==-1:
|
||||
if axis == -1:
|
||||
sc = zeros((a.shape[1],))
|
||||
elif axis==0:
|
||||
elif axis == 0:
|
||||
sc = a.std(0)
|
||||
elif axis==1:
|
||||
elif axis == 1:
|
||||
sc = a.std(1)[:,newaxis]
|
||||
else:
|
||||
raise IOError("input error: axis must be in [-1,0,1]")
|
||||
@ -714,19 +733,19 @@ def _scale(a, axis):
|
||||
return a - sc, sc
|
||||
|
||||
def esvd(data, a_max=None):
|
||||
""" SVD with kernel calculation
|
||||
"""SVD with kernel calculation.
|
||||
|
||||
Calculate subspaces of X'X or XX' depending on the shape
|
||||
of the matrix.
|
||||
|
||||
Parameters:
|
||||
*Parameters*:
|
||||
|
||||
data : {array}
|
||||
Data matrix
|
||||
a_max : {integer}
|
||||
Number of components to extract
|
||||
|
||||
Returns:
|
||||
*Returns*:
|
||||
|
||||
u : {array}
|
||||
Right hand eigenvectors
|
||||
@ -735,20 +754,20 @@ def esvd(data, a_max=None):
|
||||
v : {array}
|
||||
Left hand eigenvectors
|
||||
|
||||
notes:
|
||||
*Notes*:
|
||||
|
||||
Uses Anoldi iterations (ARPACK)
|
||||
Uses Anoldi iterations for the symmetric eigendecomp (ARPACK)
|
||||
|
||||
"""
|
||||
|
||||
m, n = data.shape
|
||||
if m>=n:
|
||||
if m >= n:
|
||||
kernel = dot(data.T, data)
|
||||
|
||||
if a_max==None:
|
||||
if a_max == None:
|
||||
a_max = n - 1
|
||||
s, v = arpack.eigen_symmetric(kernel,k=a_max, which='LM',
|
||||
maxiter=200,tol=1e-5)
|
||||
s, v = arpack.eigen_symmetric(kernel, k=a_max, which='LM',
|
||||
maxiter=200, tol=1e-5)
|
||||
s = s[::-1]
|
||||
v = v[:,::-1]
|
||||
#u, s, vt = svd(kernel)
|
||||
@ -757,10 +776,10 @@ def esvd(data, a_max=None):
|
||||
u = dot(data, v)/s
|
||||
else:
|
||||
kernel = dot(data, data.T)
|
||||
if a_max==None:
|
||||
if a_max == None:
|
||||
a_max = m -1
|
||||
s, u = arpack.eigen_symmetric(kernel,k=a_max, which='LM',
|
||||
maxiter=200,tol=1e-5)
|
||||
s, u = arpack.eigen_symmetric(kernel, k=a_max, which='LM',
|
||||
maxiter=200, tol=1e-5)
|
||||
s = s[::-1]
|
||||
u = u[:,::-1]
|
||||
#u, s, vt = svd(kernel)
|
||||
|
||||
Reference in New Issue
Block a user