def score(self, X, coef=None):
if coef is None:
coef = self.coef_
from info_measures.continuous import kraskov_stoegbauer_grassberger as ksg
X_lag = form_lag_matrix(X.dot(coef), 2 * self.T)
mi = ksg.MutualInformation(X_lag[:, :self.T], X_lag[:, self.T:])
pi = mi.mutual_information()
return pi
def f(v_flat):
v = v_flat.reshape(N, d)
X_lag = form_lag_matrix(X.dot(v), 2 * self.T)
mi = ksg.MutualInformation(X_lag[:, :self.T], X_lag[:, self.T:])
pi = mi.mutual_information()
reg_val = ortho_reg_fn(v, self.ortho_lambda)
loss = -pi + reg_val
return loss
def callback(v_flat):
v = v_flat.reshape(N, d)
X_lag = form_lag_matrix(X.dot(v), 2 * self.T)
mi = ksg.MutualInformation(X_lag[:, :self.T * d],
X_lag[:, self.T * d:])
pi = mi.mutual_information()
reg_val = ortho_reg_fn(v, self.ortho_lambda)
print("PI: {} bits, reg: {}".format(str(np.round(pi, 4)),
str(np.round(reg_val, 4))))
def calc_pi_fn_knn(V):
X_proj = np.dot(X, V)
X_proj_lags = form_lag_matrix(X_proj, 2 * T_pi)
mi = ksg.MutualInformation(X_proj_lags[:, :T_pi], X_proj_lags[:, T_pi:], add_noise=True)
pi = mi.mutual_information(n_jobs=n_jobs)
return pi