def plot_PCA(data, features):
X = data[features]
y = data["categoria"]
X_std = StandardScaler().fit_transform(X)
acp = sk_pca(n_components=2)
Y = acp.fit_transform(X_std)
results = []
for name in (2, 3, 13):
result = go.Scatter(x=Y[y == name, 0],
y=Y[y == name, 1],
mode="markers",
name=name,
marker=go.Marker(size=8,
line=go.Line(
color="rgba(225,225,225,0.2)",
width=0.5),
opacity=0.75))
results.append(result)
data = go.Data(results)
layout = go.Layout(xaxis=go.XAxis(title="CP1", showline=False),
yaxis=go.YAxis(title="CP2", showline=False))
fig = go.Figure(data=data, layout=layout)
py.iplot(fig)
return fig
def pca_initial_gui(data): # Initial PCA function (no standardscaler)
feat = (data.values[:, 3:]).astype('float64')
ncom = 30
# Initialise
skpca1 = sk_pca(n_components=ncom)
# Scale the features to have zero mean and standard devisation of 1
# This is important when correlating data with very different variances
# nfeat1 = StandardScaler().fit_transform(feat)
# Fit the spectral data and extract the explained variance ratio
X1 = skpca1.fit(feat)
expl_var_1 = X1.explained_variance_ratio_
# create scree plot
fig = plt.figure(dpi=100, figsize=(10, 5))
plt.bar(range(30),
expl_var_1 * 100,
label="Explained Variance %",
color='blue',
figure=fig)
plt.xticks(np.arange(len(expl_var_1)), np.arange(1, len(expl_var_1) + 1))
plt.plot(np.cumsum(expl_var_1) * 100,
'-o',
label='Cumulative variance %',
color='green',
figure=fig)
plt.xlabel('PC Number')
plt.ylabel('Explained Variance (%)')
plt.legend()
return fig
def get_xi_prob_from_sk(x_all, xp_index, xn_index):
log("\n\n\n")
log("SK")
log("-----")
skpca = sk_pca(n_components=2)
pcs = skpca.fit_transform(x_all)
log_debug("\tSK PCA: ", pcs.shape)
pos_pcs = [pcs[idx] for idx in range(len(labels)) if labels[idx] == POSITIVE_CLASS]
neg_pcs = [pcs[idx] for idx in range(len(labels)) if labels[idx] == NEGATIVE_CLASS]
assert(len(pos_pcs) == len(pos_class_pcs))
assert(len(neg_pcs) == len(neg_class_pcs))
draw_scatter_plot(pcs[:, 0], P[:, 1], pcs[xp_index], pcs[xn_index], labels)
get_xi_prob_by_bayes(pos_pcs, neg_pcs, pcs[xp_index], pcs[xn_index])
def pca_final(data, ncomp): # PCA fitting with scores as result
# Read the features
feat = (data.values[:, 3:]).astype('float32')
# Scale the features to have zero mean and standard devisation of 1
# This is important when correlating data with very different variances
nfeat1 = StandardScaler().fit_transform(feat)
skpca1 = sk_pca(n_components=ncomp)
# Transform on the scaled features
Xt1 = skpca1.fit_transform(nfeat1)
scores = pd.DataFrame(Xt1)
return scores
def generate_pca(self, require_dim, test_file=None, output_dir='./fs_result/'):
logging.info(' -----Calculating PCA---- ')
out_file_train = open('{0}pca_{1}_{2}_train'.format(output_dir, self.data_name, require_dim), mode='w')
pca = sk_pca(n_components=require_dim).fit(self.data_feature)
new_feature_train = pca.transform(self.data_feature)
print pca.explained_variance_ratio_
for each_sample in range(len(new_feature_train)):
combine_str = '{0}'.format(self.data_label[each_sample])
for each_feature in range(require_dim):
combine_str += '\t' + str(each_feature+1) + ':' + str(new_feature_train[each_sample][each_feature])
out_file_train.write(combine_str + '\n')
out_file_train.close()
if test_file is not None:
test_label, test_feature = SupervisedFs.modify_input_data(test_file)
out_file_test = open('{0}pca_{1}_{2}_test'.format(output_dir, test_file.split('/')[-1], require_dim), mode='w')
new_feature_test = pca.transform(test_feature)
for each_sample in range(len(new_feature_test)):
combine_str = '{0}'.format(test_label[each_sample])
for each_feature in range(require_dim):
combine_str += '\t' + str(each_feature+1) + ':' + str(new_feature_test[each_sample][each_feature])
out_file_test.write(combine_str + '\n')
out_file_test.close()
logging.info(' -----Calculating PCA----- ==> Output directory:{0} ==> Done'.format(output_dir))
plt.show()
weight_list = []
results = np.zeros((2, n_portfolios))
# Calculate portfolio volatility
for i in range(n_portfolios):
randarr = np.random.rand(n_assets)
weights = randarr/randarr.sum() # Five weights summing to 1
weight_list.append(weights)
# calculate annualised portfolio return
pf_ret = round(np.sum(mu * weights) * 252, 2)
pf_volatility = np.sqrt(np.dot(weights.T,np.dot(cov_matrix, weights))) * np.sqrt(252)
results[0,i] = pf_ret
results[1,i] = pf_volatility
pca = sk_pca(n_components=n_assets)
pc = pca.fit_transform(prices)
# plot the variance explained by pcs
# plt.bar(range(n_assets), pca.explained_variance_ratio_)
# plt.title('variance explained by pc')
# plt.show()
# Select a portfolio out of the 100
selected_pf = 1
# get First `n_components` Principal components
pcs_1_2 = pca.components_[0:n_components,:].T
pc_weights = weight_list[selected_pf].dot(pcs_1_2)
# pf_volatility = round(np.sqrt(np.dot(weights.T,np.dot(cov_matrix, weights))) * np.sqrt(n_days),2)
# Portfolio volatility with PCs
# -*- coding: utf-8 -*-
"""
Principal componen analysis
@author: David André Rodríguez Méndez (AndreRdz7)
"""
# Import libraries
import pandas as pd
import numpy as np
from sklearn.preprocessing import StandardScaler
from sklearn.decomposition import PCA as sk_pca
# Get dataset
df = pd.read_csv("./iris.csv")
X = df.iloc[:, 0:4].values
Y = df.iloc[:, 4].values
# Make it standard
X_std = StandardScaler().fit_transform(X)
# PCA
acp = sk_pca(n_components=2)
Y = acp.fit_transform(X_std)
import pandas as pd
# import plotly.plotly as py
import plotly.tools as tls
import plotly.graph_objs as g_objs
from sklearn.preprocessing import StandardScaler
from sklearn.decomposition import PCA as sk_pca
df = pd.read_csv('./datasets/iris/iris.csv')
X = df.iloc[:, 0:4].values # getting the predictor variables
y = df.iloc[:, 4].values # getting the result
X_std = StandardScaler().fit_transform(X)
# print(f'X_std =>\n{X_std}')
acp = sk_pca(n_components=2) # the '2' was calculated in the last python file
Y = acp.fit_transform(X_std)
# print(f'Y =>\n{Y}')
results = []
for name in ('setosa', 'versicolor', 'virginica'):
result = g_objs.Scatter(x=Y[y == name, 0],
y=Y[y == name, 1],
mode='markers',
name=name,
marker=g_objs.scatter.Marker(
size=8,
line=g_objs.Line(color='rgba(255,255,255,0.2)',
width=0.5),
opacity=0.75))
