def transform(self, X, y=None):
"""Project X on the principal components.
Parameters
----------
X : array-like, shape=[..., n_features]
Data, where n_samples is the number of samples
and n_features is the number of features.
y : Ignored (Compliance with scikit-learn interface)
Returns
-------
X_new : array-like, shape=[..., n_components]
Projected data.
"""
tangent_vecs = self.metric.log(X, base_point=self.base_point_fit)
if self.point_type == 'matrix':
if Matrices.is_symmetric(tangent_vecs).all():
X = SymmetricMatrices.to_vector(tangent_vecs)
else:
X = gs.reshape(tangent_vecs, (len(X), -1))
else:
X = tangent_vecs
X = X - self.mean_
X_transformed = gs.matmul(X, gs.transpose(self.components_))
return X_transformed
def transform(self, X, base_point=None):
"""Lift data to a tangent space.
Compute the logs of all data point and reshapes them to
1d vectors if necessary. By default the logs are taken at the mean
but any other base point can be passed. Any machine learning
algorithm can then be used with the output array.
Parameters
----------
X : array-like, shape=[..., {dim, [n, n]}]
Data to transform.
y : Ignored (Compliance with scikit-learn interface)
base_point : array-like, shape={dim, [n,n]}, optional (mean)
Point on the manifold, the returned samples will be tangent
vectors at the base point.
Returns
-------
X_new : array-like, shape=[..., dim]
Lifted data.
"""
if base_point is None:
base_point = self.estimator.estimate_
if self.estimator.estimate_ is None:
raise RuntimeError(
"fit needs to be called first or a " "base_point passed."
)
tangent_vecs = self._used_geometry.log(X, base_point=base_point)
if self.point_type == "vector":
return tangent_vecs
if gs.all(Matrices.is_symmetric(tangent_vecs)):
X = SymmetricMatrices.to_vector(tangent_vecs)
elif gs.all(Matrices.is_skew_symmetric(tangent_vecs)):
X = SkewSymmetricMatrices(tangent_vecs.shape[-1]).basis_representation(
tangent_vecs
)
else:
X = gs.reshape(tangent_vecs, (len(X), -1))
return X
def transform(self):
"""Transform the time series into batched covariance matrices.
We also compute the corresponding vectors, variance vector,
labels, and experiments.
"""
if "y" not in self.data.keys():
self._format_labels()
self._create_batches()
covs = []
for i in self.batches:
x = self.data["raw_data"][i:i + self.n_steps]
covs.append(np.cov(x.transpose()))
self.labels = gs.array(self.data["y"][self.batches])
self.covs = gs.array(covs)
self.covecs = gs.array(
[SymmetricMatrices.to_vector(cov) for cov in self.covs])
self.diags = self.covs.diagonal(0, 1, 2)
def _fit(self, X, base_point=None):
"""Fit the model by computing full SVD on X.
Parameters
----------
X : array-like, shape=[..., n_features]
Training data, where n_samples is the number of samples
and n_features is the number of features.
y : Ignored (Compliance with scikit-learn interface)
base_point : array-like, shape=[..., n_features]
Point at which to perform the tangent PCA.
Optional, default to Frechet mean if None.
Returns
-------
U, S, V : array-like
Matrices of the SVD decomposition
"""
if base_point is None:
mean = FrechetMean(metric=self.metric, point_type=self.point_type)
mean.fit(X)
base_point = mean.estimate_
tangent_vecs = self.metric.log(X, base_point=base_point)
if self.point_type == 'matrix':
if Matrices.is_symmetric(tangent_vecs).all():
X = SymmetricMatrices.to_vector(tangent_vecs)
else:
X = gs.reshape(tangent_vecs, (len(X), -1))
else:
X = tangent_vecs
if self.n_components is None:
n_components = min(X.shape)
else:
n_components = self.n_components
n_samples, n_features = X.shape
if n_components == 'mle':
if n_samples < n_features:
raise ValueError("n_components='mle' is only supported "
"if n_samples >= n_features")
elif not 0 <= n_components <= min(n_samples, n_features):
raise ValueError("n_components=%r must be between 0 and "
"min(n_samples, n_features)=%r with "
"svd_solver='full'" %
(n_components, min(n_samples, n_features)))
elif n_components >= 1:
if not isinstance(n_components, numbers.Integral):
raise ValueError("n_components=%r must be of type int "
"when greater than or equal to 1, "
"was of type=%r" %
(n_components, type(n_components)))
# Center data - the mean should be 0 if base_point is the Frechet mean
self.mean_ = gs.mean(X, axis=0)
X -= self.mean_
U, S, V = gs.linalg.svd(X, full_matrices=False)
# flip eigenvectors' sign to enforce deterministic output
U, V = svd_flip(U, V)
components_ = V
# Get variance explained by singular values
explained_variance_ = (S**2) / (n_samples - 1)
total_var = explained_variance_.sum()
explained_variance_ratio_ = explained_variance_ / total_var
singular_values_ = gs.copy(S) # Store the singular values.
# Postprocess the number of components required
if n_components == 'mle':
n_components = \
_infer_dimension_(explained_variance_, n_samples, n_features)
elif 0 < n_components < 1.0:
# number of components for which the cumulated explained
# variance percentage is superior to the desired threshold
ratio_cumsum = stable_cumsum(explained_variance_ratio_)
n_components = gs.searchsorted(ratio_cumsum, n_components) + 1
# Compute noise covariance using Probabilistic PCA model
# The sigma2 maximum likelihood (cf. eq. 12.46)
if n_components < min(n_features, n_samples):
self.noise_variance_ = explained_variance_[n_components:].mean()
else:
self.noise_variance_ = 0.
self.base_point_fit = base_point
self.n_samples_, self.n_features_ = n_samples, n_features
self.components_ = components_[:n_components]
self.n_components_ = int(n_components)
self.explained_variance_ = explained_variance_[:n_components]
self.explained_variance_ratio_ = \
explained_variance_ratio_[:n_components]
self.singular_values_ = singular_values_[:n_components]
return U, S, V
class TestSymmetricMatrices(geomstats.tests.TestCase):
"""Test of SymmetricMatrices methods."""
def setUp(self):
"""Set up the test."""
warnings.simplefilter("ignore", category=ImportWarning)
gs.random.seed(1234)
self.n = 3
self.space = SymmetricMatrices(self.n)
def test_belongs(self):
"""Test of belongs method."""
sym_n = self.space
mat_sym = gs.array([[1.0, 2.0, 3.0], [2.0, 4.0, 5.0], [3.0, 5.0, 6.0]])
mat_not_sym = gs.array([[1.0, 0.0, 3.0], [2.0, 4.0, 5.0], [3.0, 5.0, 6.0]])
result = sym_n.belongs(mat_sym)
expected = True
self.assertAllClose(result, expected)
result = sym_n.belongs(mat_not_sym)
expected = False
self.assertAllClose(result, expected)
def test_basis(self):
"""Test of belongs method."""
sym_n = SymmetricMatrices(2)
mat_sym_1 = gs.array([[1.0, 0.0], [0, 0]])
mat_sym_2 = gs.array([[0, 1.0], [1.0, 0]])
mat_sym_3 = gs.array([[0, 0.0], [0, 1.0]])
expected = gs.stack([mat_sym_1, mat_sym_2, mat_sym_3])
result = sym_n.basis
self.assertAllClose(result, expected)
def test_expm(self):
"""Test of expm method."""
sym_n = SymmetricMatrices(self.n)
v = gs.array([[0.0, 1.0, 0.0], [1.0, 0.0, 0.0], [0.0, 0.0, 1.0]])
result = sym_n.expm(v)
c = math.cosh(1)
s = math.sinh(1)
e = math.exp(1)
expected = gs.array([[c, s, 0.0], [s, c, 0.0], [0.0, 0.0, e]])
four_dim_v = gs.broadcast_to(v, (2, 2) + v.shape)
four_dim_expected = gs.broadcast_to(expected, (2, 2) + expected.shape)
four_dim_result = sym_n.expm(four_dim_v)
self.assertAllClose(result, expected)
self.assertAllClose(four_dim_result, four_dim_expected)
def test_powerm(self):
"""Test of powerm method."""
sym_n = SymmetricMatrices(self.n)
expected = gs.array(
[[[1, 1.0 / 4.0, 0.0], [1.0 / 4, 2.0, 0.0], [0.0, 0.0, 1.0]]]
)
power = gs.array(1.0 / 2.0)
result = sym_n.powerm(expected, power)
result = gs.matmul(result, gs.transpose(result, (0, 2, 1)))
self.assertAllClose(result, expected)
def test_vector_from_symmetric_matrix_and_symmetric_matrix_from_vector(self):
"""Test for matrix to vector and vector to matrix conversions."""
sym_mat_1 = gs.array([[1.0, 0.6, -3.0], [0.6, 7.0, 0.0], [-3.0, 0.0, 8.0]])
vector_1 = self.space.to_vector(sym_mat_1)
result_1 = self.space.from_vector(vector_1)
expected_1 = sym_mat_1
self.assertTrue(gs.allclose(result_1, expected_1))
vector_2 = gs.array([1, 2, 3, 4, 5, 6])
sym_mat_2 = self.space.from_vector(vector_2)
result_2 = self.space.to_vector(sym_mat_2)
expected_2 = vector_2
self.assertTrue(gs.allclose(result_2, expected_2))
def test_vector_and_symmetric_matrix_vectorization(self):
"""Test of vectorization."""
n_samples = 5
vector = gs.random.rand(n_samples, 6)
sym_mat = self.space.from_vector(vector)
result = self.space.to_vector(sym_mat)
expected = vector
self.assertTrue(gs.allclose(result, expected))
vector = self.space.to_vector(sym_mat)
result = self.space.from_vector(vector)
expected = sym_mat
self.assertTrue(gs.allclose(result, expected))
def test_symmetric_matrix_from_vector(self):
vector_2 = gs.array([1, 2, 3, 4, 5, 6])
result = self.space.from_vector(vector_2)
expected = gs.array([[1.0, 2.0, 3.0], [2.0, 4.0, 5.0], [3.0, 5.0, 6.0]])
self.assertAllClose(result, expected)
def test_projection_and_belongs(self):
shape = (2, self.n, self.n)
result = helper.test_projection_and_belongs(self.space, shape)
for res in result:
self.assertTrue(res)
def test_random_and_belongs(self):
mat = self.space.random_point()
result = self.space.belongs(mat)
self.assertTrue(result)
def test_dim(self):
result = self.space.dim
n = self.space.n
expected = int(n * (n + 1) / 2)
self.assertAllClose(result, expected)
class TestSymmetricMatrices(geomstats.tests.TestCase):
"""Test of SymmetricMatrices methods."""
def setUp(self):
"""Set up the test."""
warnings.simplefilter('ignore', category=ImportWarning)
gs.random.seed(1234)
self.n = 3
self.space = SymmetricMatrices(self.n)
def test_belongs(self):
"""Test of belongs method."""
sym_n = self.space
mat_sym = gs.array([[1., 2., 3.], [2., 4., 5.], [3., 5., 6.]])
mat_not_sym = gs.array([[1., 0., 3.], [2., 4., 5.], [3., 5., 6.]])
result = sym_n.belongs(mat_sym)
expected = True
self.assertAllClose(result, expected)
result = sym_n.belongs(mat_not_sym)
expected = False
self.assertAllClose(result, expected)
@geomstats.tests.np_and_pytorch_only
def test_basis(self):
"""Test of belongs method."""
sym_n = SymmetricMatrices(2)
mat_sym_1 = gs.array([[1., 0.], [0, 0]])
mat_sym_2 = gs.array([[0, 1.], [1., 0]])
mat_sym_3 = gs.array([[0, 0.], [0, 1.]])
expected = gs.stack([mat_sym_1, mat_sym_2, mat_sym_3])
result = sym_n.basis
self.assertAllClose(result, expected)
def test_expm(self):
"""Test of expm method."""
sym_n = SymmetricMatrices(self.n)
v = gs.array([[0., 1., 0.], [1., 0., 0.], [0., 0., 1.]])
result = sym_n.expm(v)
c = math.cosh(1)
s = math.sinh(1)
e = math.exp(1)
expected = gs.array([[c, s, 0.], [s, c, 0.], [0., 0., e]])
self.assertAllClose(result, expected)
def test_powerm(self):
"""Test of powerm method."""
sym_n = SymmetricMatrices(self.n)
expected = gs.array([[[1, 1. / 4., 0.], [1. / 4, 2., 0.], [0., 0.,
1.]]])
expected = gs.cast(expected, gs.float64)
power = gs.array(1. / 2)
power = gs.cast(power, gs.float64)
result = sym_n.powerm(expected, power)
result = gs.matmul(result, gs.transpose(result, (0, 2, 1)))
self.assertAllClose(result, expected)
@geomstats.tests.np_and_pytorch_only
def test_vector_from_symmetric_matrix_and_symmetric_matrix_from_vector(
self):
"""Test for matrix to vector and vector to matrix conversions."""
sym_mat_1 = gs.array([[1., 0.6, -3.], [0.6, 7., 0.], [-3., 0., 8.]])
vector_1 = self.space.to_vector(sym_mat_1)
result_1 = self.space.from_vector(vector_1)
expected_1 = sym_mat_1
self.assertTrue(gs.allclose(result_1, expected_1))
vector_2 = gs.array([1, 2, 3, 4, 5, 6])
sym_mat_2 = self.space.from_vector(vector_2)
result_2 = self.space.to_vector(sym_mat_2)
expected_2 = vector_2
self.assertTrue(gs.allclose(result_2, expected_2))
@geomstats.tests.np_and_pytorch_only
def test_vector_and_symmetric_matrix_vectorization(self):
"""Test of vectorization."""
n_samples = 5
vector = gs.random.rand(n_samples, 6)
sym_mat = self.space.from_vector(vector)
result = self.space.to_vector(sym_mat)
expected = vector
self.assertTrue(gs.allclose(result, expected))
vector = self.space.to_vector(sym_mat)
result = self.space.from_vector(vector)
expected = sym_mat
self.assertTrue(gs.allclose(result, expected))
def test_symmetric_matrix_from_vector(self):
vector_2 = gs.array([1, 2, 3, 4, 5, 6])
result = self.space.from_vector(vector_2)
expected = gs.array([[1., 2., 3.], [2., 4., 5.], [3., 5., 6.]])
self.assertAllClose(result, expected)
