def compare_eps(vectors):
data_matrix = column_stack(vectors)
O = (data_matrix!=0)*1 # Observation matrix - 1 where we have data, 0 where we do not
gamma = .5
tol_perc = .002
tol_perc = .00000001
for e in [2,5,10,20,50,100]:
L,C,term,n_iter = opursuit(data_matrix, O, gamma, tol_perc=tol_perc, eps_ratio=e)
obj = obj_func(L,C,gamma)
c_vals = [(sum(square(C[:,i]))!=0)*1 for i in xrange(C.shape[1])]
c_perc = float(sum(c_vals)) / len(c_vals)
centered_L = scale_and_center(L, scale=False)
pcs, robust_lowdim_data = pca(centered_L, 100000)
num_pca_dimensions = pcs.shape[1]
print "eps=%d term=%f n_iter=%d obj=%f rank=%d c_perc=%f" % (e,term, n_iter, obj, num_pca_dimensions, c_perc)
def compare_eps(vectors):
data_matrix = column_stack(vectors)
O = (data_matrix !=
0) * 1 # Observation matrix - 1 where we have data, 0 where we do not
gamma = .5
tol_perc = .002
tol_perc = .00000001
for e in [2, 5, 10, 20, 50, 100]:
L, C, term, n_iter = opursuit(data_matrix,
O,
gamma,
tol_perc=tol_perc,
eps_ratio=e)
obj = obj_func(L, C, gamma)
c_vals = [(sum(square(C[:, i])) != 0) * 1 for i in xrange(C.shape[1])]
c_perc = float(sum(c_vals)) / len(c_vals)
centered_L = scale_and_center(L, scale=False)
pcs, robust_lowdim_data = pca(centered_L, 100000)
num_pca_dimensions = pcs.shape[1]
print "eps=%d term=%f n_iter=%d obj=%f rank=%d c_perc=%f" % (
e, term, n_iter, obj, num_pca_dimensions, c_perc)
def tune_gamma_and_tol(vectors, gamma_guess=.5, tol_guess=1e-2,
lo_target_c_perc=.04, hi_target_c_perc = .10,
lo_target_num_pcs=10, hi_target_num_pcs = 15):
BACKTRACK_PROB=.0000001
MAX_NUM_RESETS = 5
num_resets = 0
data_matrix = column_stack(vectors)
O = (data_matrix!=0)*1 # Observation matrix - 1 where we have data, 0 where we do not
#Initially, we don't have any bounds on our search
lo_gamma = None
hi_gamma = None
gamma = gamma_guess
lo_tol = None
hi_tol = None
tol_perc = tol_guess
num_guesses = 0
while(True):
num_guesses += 1
logMsg("BS (%d , %d): Trying gamma=%f, tol=%f" % (num_guesses, hi_target_num_pcs, gamma, tol_perc))
stdout.flush()
try:
#L,C,term,n_iter = opursuit(data_matrix, O, gamma, tol_perc=tol_perc, eps_ratio=30)
L,C,term,n_iter = multiple_op(data_matrix, O, gamma, tol_perc=tol_perc)
#centered_L = scale_and_center(L, scale=False)
#pcs, robust_lowdim_data = pca(centered_L, 100000)
num_pca_dimensions = fast_rank(L)
#otherrank = fast_rank(L)
#print ("RANK %d , %d" % (num_pca_dimensions, otherrank))
c_vals = [(sum(square(C[:,i]))!=0)*1 for i in xrange(C.shape[1])]
c_perc = float(sum(c_vals)) / len(c_vals)
logMsg(">>>>>> pcs=%d, outliers=%f" % (num_pca_dimensions, c_perc))
# If we have found acceptable values, stop
if(c_perc >= lo_target_c_perc and c_perc <= hi_target_c_perc
and num_pca_dimensions >= lo_target_num_pcs
and num_pca_dimensions <= hi_target_num_pcs):
break
# Otherwise, use our target values to figure out if we need to increase/decrease
# gamma or tol
if(num_pca_dimensions >= lo_target_num_pcs and c_perc >= lo_target_c_perc):
logMsg("#rank too high and too many outliers - increase tolerance")
lo_tol = tol_perc
elif(num_pca_dimensions >= lo_target_num_pcs and c_perc <= lo_target_c_perc):
logMsg("#rank too high and too few outliers - decrease gamma")
hi_gamma = gamma
elif(num_pca_dimensions <= lo_target_num_pcs and c_perc >= lo_target_c_perc):
logMsg("#rank too low and too many outliers - increase gamma")
lo_gamma = gamma
elif(num_pca_dimensions <= lo_target_num_pcs and c_perc <= lo_target_c_perc):
logMsg("#rank too low and too few outliers - decrease tolerance")
hi_tol = tol_perc
(gamma, lo_gamma, hi_gamma) = guess_param(gamma, lo_gamma, hi_gamma,
SEARCH_RATE=2, BACKTRACK_PROB=BACKTRACK_PROB)
(tol_perc, lo_tol, hi_tol) = guess_param(tol_perc, lo_tol, hi_tol,
SEARCH_RATE=5, BACKTRACK_PROB=BACKTRACK_PROB,
hard_upper_bound = 1.0)
logMsg("%s < gamma < %s , %s < tol < %s" % tuple(map(str, [lo_gamma, hi_gamma, lo_tol,hi_tol])))
stdout.flush()
except Exception as e:
logMsg(e.message)
lo_tol = .01
hi_tol = .01
if( (lo_tol !=None and hi_tol != None and hi_tol/lo_tol > .99 and hi_tol/lo_tol < 1.01)
or (lo_gamma !=None and hi_gamma != None and hi_gamma/lo_gamma > .99 and hi_gamma/lo_gamma < 1.01)):
print("----------------Got stuck")
stdout.flush()
BACKTRACK_PROB = .3
num_resets += 1
if(num_resets > MAX_NUM_RESETS):
raise ConvergenceException(num_guesses)
else:
hi_gamma = None
lo_gamma = None
hi_tol = None
lo_tol = None
gamma *= (2**uniform(-1,1))
tol_perc *= (10**uniform(-1,1))
print obj_func(L,C,gamma)
return gamma, tol_perc, num_guesses, L, C
def tune_gamma_and_tol(vectors,
gamma_guess=.5,
tol_guess=1e-2,
lo_target_c_perc=.04,
hi_target_c_perc=.10,
lo_target_num_pcs=10,
hi_target_num_pcs=15):
BACKTRACK_PROB = .0000001
MAX_NUM_RESETS = 5
num_resets = 0
data_matrix = column_stack(vectors)
O = (data_matrix !=
0) * 1 # Observation matrix - 1 where we have data, 0 where we do not
#Initially, we don't have any bounds on our search
lo_gamma = None
hi_gamma = None
gamma = gamma_guess
lo_tol = None
hi_tol = None
tol_perc = tol_guess
num_guesses = 0
while (True):
num_guesses += 1
logMsg("BS (%d , %d): Trying gamma=%f, tol=%f" %
(num_guesses, hi_target_num_pcs, gamma, tol_perc))
stdout.flush()
try:
#L,C,term,n_iter = opursuit(data_matrix, O, gamma, tol_perc=tol_perc, eps_ratio=30)
L, C, term, n_iter = multiple_op(data_matrix,
O,
gamma,
tol_perc=tol_perc)
#centered_L = scale_and_center(L, scale=False)
#pcs, robust_lowdim_data = pca(centered_L, 100000)
num_pca_dimensions = fast_rank(L)
#otherrank = fast_rank(L)
#print ("RANK %d , %d" % (num_pca_dimensions, otherrank))
c_vals = [(sum(square(C[:, i])) != 0) * 1
for i in xrange(C.shape[1])]
c_perc = float(sum(c_vals)) / len(c_vals)
logMsg(">>>>>> pcs=%d, outliers=%f" % (num_pca_dimensions, c_perc))
# If we have found acceptable values, stop
if (c_perc >= lo_target_c_perc and c_perc <= hi_target_c_perc
and num_pca_dimensions >= lo_target_num_pcs
and num_pca_dimensions <= hi_target_num_pcs):
break
# Otherwise, use our target values to figure out if we need to increase/decrease
# gamma or tol
if (num_pca_dimensions >= lo_target_num_pcs
and c_perc >= lo_target_c_perc):
logMsg(
"#rank too high and too many outliers - increase tolerance"
)
lo_tol = tol_perc
elif (num_pca_dimensions >= lo_target_num_pcs
and c_perc <= lo_target_c_perc):
logMsg("#rank too high and too few outliers - decrease gamma")
hi_gamma = gamma
elif (num_pca_dimensions <= lo_target_num_pcs
and c_perc >= lo_target_c_perc):
logMsg("#rank too low and too many outliers - increase gamma")
lo_gamma = gamma
elif (num_pca_dimensions <= lo_target_num_pcs
and c_perc <= lo_target_c_perc):
logMsg(
"#rank too low and too few outliers - decrease tolerance")
hi_tol = tol_perc
(gamma, lo_gamma,
hi_gamma) = guess_param(gamma,
lo_gamma,
hi_gamma,
SEARCH_RATE=2,
BACKTRACK_PROB=BACKTRACK_PROB)
(tol_perc, lo_tol,
hi_tol) = guess_param(tol_perc,
lo_tol,
hi_tol,
SEARCH_RATE=5,
BACKTRACK_PROB=BACKTRACK_PROB,
hard_upper_bound=1.0)
logMsg("%s < gamma < %s , %s < tol < %s" %
tuple(map(str, [lo_gamma, hi_gamma, lo_tol, hi_tol])))
stdout.flush()
except Exception as e:
logMsg(e.message)
lo_tol = .01
hi_tol = .01
if ((lo_tol != None and hi_tol != None and hi_tol / lo_tol > .99
and hi_tol / lo_tol < 1.01) or
(lo_gamma != None and hi_gamma != None
and hi_gamma / lo_gamma > .99 and hi_gamma / lo_gamma < 1.01)):
print("----------------Got stuck")
stdout.flush()
BACKTRACK_PROB = .3
num_resets += 1
if (num_resets > MAX_NUM_RESETS):
raise ConvergenceException(num_guesses)
else:
hi_gamma = None
lo_gamma = None
hi_tol = None
lo_tol = None
gamma *= (2**uniform(-1, 1))
tol_perc *= (10**uniform(-1, 1))
print obj_func(L, C, gamma)
return gamma, tol_perc, num_guesses, L, C