def random_gaussian_rotation_orbit_noisy(self, mean_spd=None,
eigensummary=None,
var_rotations=1.,
var_eigenvalues=None,
n_samples=1):
r"""
Define a Gaussian-like random sample of SPD matrices.
Formally speaking, sample an orbit for given rotations in the SPD
manifold. For all means and purposes, it looks rather Gaussian.
Parameters
----------
mean_spd : array-like, shape = [n, n]
Mean SPD matrix.
var_rotations : float
Variance in rotation.
var_eigenvalues : array-like, shape = [n,]
Additional variance in eigenvalues.
eigensummary : EigenSummary
Represents the mean SPD matrix decomposed in eigenspace and
eigenvalues.
Notes
-----
:math:'mean_spd' is the mean SPD matrix; :math:'var_rotations' is the
scalar variance by which the mean is rotated:
:math:'\Sigma_{mid} \sim \mathcal{N}(\Sigma_{in}, \sigma_{eig}';
:math:'X_{out} = R \Sigma_{in} R^T'.
mean_spd and eigensummary are mutually exclusive; an error is thrown
if both are not None, or if both are None.
"""
n = self.n
if var_eigenvalues is None:
var_eigenvalues = gs.ones(n)
if mean_spd is not None and eigensummary is not None:
raise NotImplementedError
if mean_spd is None and eigensummary is None:
raise NotImplementedError
if eigensummary is None:
eigenvalues, eigenspace = gs.linalg.eigh(mean_spd)
eigenvalues = gs.diag(eigenvalues)
if mean_spd is None:
eigenvalues, eigenspace\
= eigensummary.eigenvalues, eigensummary.eigenspace
rotations = SpecialOrthogonal(n).random_gaussian(
eigenspace, var_rotations, n_samples=n_samples)
eigenvalues =\
gs.abs(gs.diag(gs.random.multivariate_normal(
gs.diag(eigenvalues), gs.diag(var_eigenvalues))))
spd_mat = Matrices.mul(rotations, eigenvalues, Matrices.transpose(
rotations))
return spd_mat
def retraction(self, tangent_vec, base_point):
"""
Retraction map, based on QR-decomposion:
P_x(V) = qf(X + V)
"""
tangent_vec = gs.to_ndarray(tangent_vec, to_ndim=3)
n_tangent_vecs, _, _ = tangent_vec.shape
base_point = gs.to_ndarray(base_point, to_ndim=3)
n_base_points, n, p = base_point.shape
assert (n_tangent_vecs == n_base_points
or n_tangent_vecs == 1
or n_base_points == 1)
if n_base_points == 1:
base_point = gs.tile(base_point, (n_tangent_vecs, 1, 1))
if n_tangent_vecs == 1:
tangent_vec = gs.tile(tangent_vec, (n_base_points, 1, 1))
matrix_q, matrix_r = gs.linalg.qr(base_point+tangent_vec)
diagonal = gs.diagonal(matrix_r, axis1=1, axis2=2)
sign = gs.sign(gs.sign(diagonal) + 0.5)
diag = gs.diag(sign)
result = gs.einsum('nij,njk->nik', matrix_q, diag)
return result
def closest_rotation_matrix(mat):
"""
Compute the closest rotation matrix of a given matrix mat,
in terms of the Frobenius norm.
"""
mat = gs.to_ndarray(mat, to_ndim=3)
n_mats, mat_dim_1, mat_dim_2 = mat.shape
assert mat_dim_1 == mat_dim_2
if mat_dim_1 == 3:
mat_unitary_u, diag_s, mat_unitary_v = gs.linalg.svd(mat)
rot_mat = gs.matmul(mat_unitary_u, mat_unitary_v)
mask = gs.where(gs.linalg.det(rot_mat) < 0)
new_mat_diag_s = gs.tile(gs.diag([1, 1, -1]), len(mask))
rot_mat[mask] = gs.matmul(
gs.matmul(mat_unitary_u[mask], new_mat_diag_s),
mat_unitary_v[mask])
else:
aux_mat = gs.matmul(gs.transpose(mat, axes=(0, 2, 1)), mat)
inv_sqrt_mat = gs.zeros_like(mat)
for i in range(n_mats):
sym_mat = aux_mat[i]
assert spd_matrices_space.is_symmetric(sym_mat)
inv_sqrt_mat[i] = gs.linalg.inv(spd_matrices_space.sqrtm(sym_mat))
rot_mat = gs.matmul(mat, inv_sqrt_mat)
assert rot_mat.ndim == 3
return rot_mat
def setup_data(self):
"""Generate the un-shuffled dataset.
Returns
-------
X : array-like,
shape = [n_samples * n_classes, n_features, n_features]
Data.
y : array-like, shape = [n_samples * n_classes, n_classes]
Labels.
"""
mean_covariance_eigenvalues = gs.random.uniform(
0.1, 5., (self.n_classes, self.n_features))
var = 1.
base_rotations = SpecialOrthogonal(n=self.n_features).random_gaussian(
gs.eye(self.n_features), var, n_samples=self.n_classes)
var_rotations = gs.random.uniform(.5, .75, (self.n_classes))
y = gs.zeros((self.n_classes * self.n_samples, self.n_classes))
X = []
for i in range(self.n_classes):
value_x = self.make_data(base_rotations[i],
gs.diag(mean_covariance_eigenvalues[i]),
var_rotations[i])
value_y = 1
idx_y = [
(j, i)
for j in range(i * self.n_samples, (i + 1) * self.n_samples)
]
y = gs.assignment(y, value_y, idx_y)
X.append(value_x)
return gs.concatenate(X, axis=0), y
def projection(self, mat):
"""
Project a matrix on SO(n), using the Frobenius norm.
"""
# TODO(nina): projection when the point_type is not 'matrix'?
mat = gs.to_ndarray(mat, to_ndim=3)
n_mats, mat_dim_1, mat_dim_2 = mat.shape
assert mat_dim_1 == mat_dim_2 == self.n
if self.n == 3:
mat_unitary_u, diag_s, mat_unitary_v = gs.linalg.svd(mat)
rot_mat = gs.matmul(mat_unitary_u, mat_unitary_v)
mask = gs.nonzero(gs.linalg.det(rot_mat) < 0)
diag = gs.array([1, 1, -1])
new_mat_diag_s = gs.tile(gs.diag(diag), len(mask))
rot_mat[mask] = gs.matmul(
gs.matmul(mat_unitary_u[mask], new_mat_diag_s),
mat_unitary_v[mask])
else:
aux_mat = gs.matmul(gs.transpose(mat, axes=(0, 2, 1)), mat)
inv_sqrt_mat = gs.zeros_like(mat)
for i in range(n_mats):
sym_mat = aux_mat[i]
assert spd_matrices_space.is_symmetric(sym_mat)
inv_sqrt_mat[i] = gs.linalg.inv(
spd_matrices_space.sqrtm(sym_mat))
rot_mat = gs.matmul(mat, inv_sqrt_mat)
assert gs.ndim(rot_mat) == 3
return rot_mat
def retraction(self, tangent_vec, base_point):
"""Compute the retraction of a tangent vector.
This computation is based on the QR-decomposition.
e.g. :math:`P_x(V) = qf(X + V)`.
Parameters
----------
tangent_vec : array-like, shape=[n_samples, n, p]
Tangent vector at a base point.
base_point : array-like, shape=[n_samples, n, p]
Point in the Stiefel manifold.
Returns
-------
exp : array-like, shape=[n_samples, n, p]
Point in the Stiefel manifold equal to the retraction
of tangent_vec at the base point.
"""
tangent_vec = gs.to_ndarray(tangent_vec, to_ndim=3)
n_tangent_vecs, _, _ = tangent_vec.shape
base_point = gs.to_ndarray(base_point, to_ndim=3)
n_base_points, n, p = base_point.shape
assert (n_tangent_vecs == n_base_points or n_tangent_vecs == 1
or n_base_points == 1)
if n_base_points == 1:
base_point = gs.tile(base_point, (n_tangent_vecs, 1, 1))
if n_tangent_vecs == 1:
tangent_vec = gs.tile(tangent_vec, (n_base_points, 1, 1))
matrix_q, matrix_r = gs.linalg.qr(base_point + tangent_vec)
diagonal = gs.diagonal(matrix_r, axis1=1, axis2=2)
sign = gs.sign(gs.sign(diagonal) + 0.5)
diag = gs.diag(sign)
result = gs.einsum('nij,njk->nik', matrix_q, diag)
return result
def origin(self):
return gs.diag(gs.repeat([1, 0], [self.k, self.n - self.k]))[0]
def closest(rot):
d_coefs = gs.diagonal(rot)
d_sign = gs.where(d_coefs >= 0, 1., -1.)
return mul(rot, gs.diag(d_sign)[0])
