def test_svd_direct(self):
data_local = [
array([1.0, 2.0, 6.0]),
array([1.0, 3.0, 0.0]),
array([1.0, 4.0, 6.0]),
array([5.0, 1.0, 4.0])
]
data = self.sc.parallelize(zip(range(1, 5), data_local))
svd = SVD(k=1, method="direct")
svd.calc(data)
u_true, s_true, v_true = LinAlg.svd(array(data_local))
u_test = transpose(array(svd.u.map(lambda (_, v): v).collect()))[0]
v_test = svd.v[0]
assert(allclose(svd.s[0], s_true[0]))
assert(allclose(v_test, v_true[0, :]) | allclose(-v_test, v_true[0, :]))
assert(allclose(u_test, u_true[:, 0]) | allclose(-u_test, u_true[:, 0]))
def test_svd_em(self):
data_local = [
array([1.0, 2.0, 6.0]),
array([1.0, 3.0, 0.0]),
array([1.0, 4.0, 6.0]),
array([5.0, 1.0, 4.0])
]
data = self.sc.parallelize(zip(range(1, 5), data_local))
svd = SVD(k=1, method="em")
svd.calc(data)
u_true, s_true, v_true = LinAlg.svd(array(data_local))
u_test = transpose(array(svd.u.map(lambda (_, v): v).collect()))[0]
v_test = svd.v[0]
tol = 10e-04 # allow small error for iterative method
assert(allclose(svd.s[0], s_true[0], atol=tol))
assert(allclose(v_test, v_true[0, :], atol=tol) | allclose(-v_test, v_true[0, :], atol=tol))
assert(allclose(u_test, u_true[:, 0], atol=tol) | allclose(-u_test, u_true[:, 0], atol=tol))
def fit(self, data):
"""Estimate principal components
Parameters
----------
data : RDD of (tuple, array) pairs, or RowMatrix
"""
if type(data) is not RowMatrix:
data = RowMatrix(data)
data.center(0)
svd = SVD(k=self.k, method=self.svdmethod)
svd.calc(data)
self.scores = svd.u
self.latent = svd.s
self.comps = svd.v
return self
def fit(self, data):
"""Estimate principal components
Parameters
----------
data : RDD of (tuple, array) pairs, or RowMatrix
"""
if type(data) is not RowMatrix:
data = RowMatrix(data)
data.center(0)
svd = SVD(k=self.k, method=self.svdmethod)
svd.calc(data)
self.scores = svd.u
self.latent = svd.s
self.comps = svd.v
return self
def fit(self, data):
"""
Fit independent components using an iterative fixed-point algorithm
Parameters
----------
data: RDD of (tuple, array) pairs, or RowMatrix
Data to estimate independent components from
Returns
----------
self : returns an instance of self.
"""
d = len(data.first()[1])
if self.k is None:
self.k = d
if self.c > self.k:
raise Exception("number of independent comps " + str(self.c) +
" must be less than the number of principal comps " + str(self.k))
if self.k > d:
raise Exception("number of principal comps " + str(self.k) +
" must be less than the data dimensionality " + str(d))
if type(data) is not RowMatrix:
data = RowMatrix(data)
# reduce dimensionality
svd = SVD(k=self.k, method=self.svdmethod).calc(data)
# whiten data
whtmat = real(dot(inv(diag(svd.s/sqrt(data.nrows))), svd.v))
unwhtmat = real(dot(transpose(svd.v), diag(svd.s/sqrt(data.nrows))))
wht = data.times(whtmat.T)
# do multiple independent component extraction
if self.seed != 0:
random.seed(self.seed)
b = orth(random.randn(self.k, self.c))
b_old = zeros((self.k, self.c))
iter = 0
minabscos = 0
errvec = zeros(self.maxiter)
while (iter < self.maxiter) & ((1 - minabscos) > self.tol):
iter += 1
# update rule for pow3 non-linearity (TODO: add others)
b = wht.rows().map(lambda x: outer(x, dot(x, b) ** 3)).sum() / wht.nrows - 3 * b
# make orthogonal
b = dot(b, real(sqrtm(inv(dot(transpose(b), b)))))
# evaluate error
minabscos = min(abs(diag(dot(transpose(b), b_old))))
# store results
b_old = b
errvec[iter-1] = (1 - minabscos)
# get un-mixing matrix
w = dot(b.T, whtmat)
# get mixing matrix
a = dot(unwhtmat, b)
# get components
sigs = data.times(w.T).rdd
self.w = w
self.a = a
self.sigs = sigs
return self
def runtest(self):
svd = SVD(3, method="direct").calc(self.rdd)
