test_pca.py
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import numpy as np
import scipy as sp
import pytest
from sklearn.utils._testing import assert_allclose
from sklearn import datasets
from sklearn.decomposition import PCA
from sklearn.datasets import load_iris
from sklearn.decomposition._pca import _assess_dimension
from sklearn.decomposition._pca import _infer_dimension
iris = datasets.load_iris()
PCA_SOLVERS = ['full', 'arpack', 'randomized', 'auto']
@pytest.mark.parametrize('svd_solver', PCA_SOLVERS)
@pytest.mark.parametrize('n_components', range(1, iris.data.shape[1]))
def test_pca(svd_solver, n_components):
X = iris.data
pca = PCA(n_components=n_components, svd_solver=svd_solver)
# check the shape of fit.transform
X_r = pca.fit(X).transform(X)
assert X_r.shape[1] == n_components
# check the equivalence of fit.transform and fit_transform
X_r2 = pca.fit_transform(X)
assert_allclose(X_r, X_r2)
X_r = pca.transform(X)
assert_allclose(X_r, X_r2)
# Test get_covariance and get_precision
cov = pca.get_covariance()
precision = pca.get_precision()
assert_allclose(np.dot(cov, precision), np.eye(X.shape[1]), atol=1e-12)
def test_no_empty_slice_warning():
# test if we avoid numpy warnings for computing over empty arrays
n_components = 10
n_features = n_components + 2 # anything > n_comps triggered it in 0.16
X = np.random.uniform(-1, 1, size=(n_components, n_features))
pca = PCA(n_components=n_components)
with pytest.warns(None) as record:
pca.fit(X)
assert not record.list
@pytest.mark.parametrize('copy', [True, False])
@pytest.mark.parametrize('solver', PCA_SOLVERS)
def test_whitening(solver, copy):
# Check that PCA output has unit-variance
rng = np.random.RandomState(0)
n_samples = 100
n_features = 80
n_components = 30
rank = 50
# some low rank data with correlated features
X = np.dot(rng.randn(n_samples, rank),
np.dot(np.diag(np.linspace(10.0, 1.0, rank)),
rng.randn(rank, n_features)))
# the component-wise variance of the first 50 features is 3 times the
# mean component-wise variance of the remaining 30 features
X[:, :50] *= 3
assert X.shape == (n_samples, n_features)
# the component-wise variance is thus highly varying:
assert X.std(axis=0).std() > 43.8
# whiten the data while projecting to the lower dim subspace
X_ = X.copy() # make sure we keep an original across iterations.
pca = PCA(n_components=n_components, whiten=True, copy=copy,
svd_solver=solver, random_state=0, iterated_power=7)
# test fit_transform
X_whitened = pca.fit_transform(X_.copy())
assert X_whitened.shape == (n_samples, n_components)
X_whitened2 = pca.transform(X_)
assert_allclose(X_whitened, X_whitened2, rtol=5e-4)
assert_allclose(X_whitened.std(ddof=1, axis=0), np.ones(n_components))
assert_allclose(
X_whitened.mean(axis=0), np.zeros(n_components), atol=1e-12
)
X_ = X.copy()
pca = PCA(n_components=n_components, whiten=False, copy=copy,
svd_solver=solver).fit(X_)
X_unwhitened = pca.transform(X_)
assert X_unwhitened.shape == (n_samples, n_components)
# in that case the output components still have varying variances
assert X_unwhitened.std(axis=0).std() == pytest.approx(74.1, rel=1e-1)
# we always center, so no test for non-centering.
@pytest.mark.parametrize('svd_solver', ['arpack', 'randomized'])
def test_pca_explained_variance_equivalence_solver(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca_full = PCA(n_components=2, svd_solver='full')
pca_other = PCA(n_components=2, svd_solver=svd_solver, random_state=0)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(
pca_full.explained_variance_,
pca_other.explained_variance_,
rtol=5e-2
)
assert_allclose(
pca_full.explained_variance_ratio_,
pca_other.explained_variance_ratio_,
rtol=5e-2
)
@pytest.mark.parametrize(
'X',
[np.random.RandomState(0).randn(100, 80),
datasets.make_classification(100, 80, n_informative=78,
random_state=0)[0]],
ids=['random-data', 'correlated-data']
)
@pytest.mark.parametrize('svd_solver', PCA_SOLVERS)
def test_pca_explained_variance_empirical(X, svd_solver):
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=0)
X_pca = pca.fit_transform(X)
assert_allclose(pca.explained_variance_, np.var(X_pca, ddof=1, axis=0))
expected_result = np.linalg.eig(np.cov(X, rowvar=False))[0]
expected_result = sorted(expected_result, reverse=True)[:2]
assert_allclose(pca.explained_variance_, expected_result, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", ['arpack', 'randomized'])
def test_pca_singular_values_consistency(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca_full = PCA(n_components=2, svd_solver='full', random_state=rng)
pca_other = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(
pca_full.singular_values_, pca_other.singular_values_, rtol=5e-3
)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_singular_values(svd_solver):
rng = np.random.RandomState(0)
n_samples, n_features = 100, 80
X = rng.randn(n_samples, n_features)
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
X_trans = pca.fit_transform(X)
# compare to the Frobenius norm
assert_allclose(
np.sum(pca.singular_values_ ** 2), np.linalg.norm(X_trans, "fro") ** 2
)
# Compare to the 2-norms of the score vectors
assert_allclose(
pca.singular_values_, np.sqrt(np.sum(X_trans ** 2, axis=0))
)
# set the singular values and see what er get back
n_samples, n_features = 100, 110
X = rng.randn(n_samples, n_features)
pca = PCA(n_components=3, svd_solver=svd_solver, random_state=rng)
X_trans = pca.fit_transform(X)
X_trans /= np.sqrt(np.sum(X_trans ** 2, axis=0))
X_trans[:, 0] *= 3.142
X_trans[:, 1] *= 2.718
X_hat = np.dot(X_trans, pca.components_)
pca.fit(X_hat)
assert_allclose(pca.singular_values_, [3.142, 2.718, 1.0])
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_check_projection(svd_solver):
# Test that the projection of data is correct
rng = np.random.RandomState(0)
n, p = 100, 3
X = rng.randn(n, p) * .1
X[:10] += np.array([3, 4, 5])
Xt = 0.1 * rng.randn(1, p) + np.array([3, 4, 5])
Yt = PCA(n_components=2, svd_solver=svd_solver).fit(X).transform(Xt)
Yt /= np.sqrt((Yt ** 2).sum())
assert_allclose(np.abs(Yt[0][0]), 1., rtol=5e-3)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_check_projection_list(svd_solver):
# Test that the projection of data is correct
X = [[1.0, 0.0], [0.0, 1.0]]
pca = PCA(n_components=1, svd_solver=svd_solver, random_state=0)
X_trans = pca.fit_transform(X)
assert X_trans.shape, (2, 1)
assert_allclose(X_trans.mean(), 0.00, atol=1e-12)
assert_allclose(X_trans.std(), 0.71, rtol=5e-3)
@pytest.mark.parametrize("svd_solver", ['full', 'arpack', 'randomized'])
@pytest.mark.parametrize("whiten", [False, True])
def test_pca_inverse(svd_solver, whiten):
# Test that the projection of data can be inverted
rng = np.random.RandomState(0)
n, p = 50, 3
X = rng.randn(n, p) # spherical data
X[:, 1] *= .00001 # make middle component relatively small
X += [5, 4, 3] # make a large mean
# same check that we can find the original data from the transformed
# signal (since the data is almost of rank n_components)
pca = PCA(n_components=2, svd_solver=svd_solver, whiten=whiten).fit(X)
Y = pca.transform(X)
Y_inverse = pca.inverse_transform(Y)
assert_allclose(X, Y_inverse, rtol=5e-6)
@pytest.mark.parametrize(
'data',
[np.array([[0, 1, 0], [1, 0, 0]]), np.array([[0, 1, 0], [1, 0, 0]]).T]
)
@pytest.mark.parametrize(
"svd_solver, n_components, err_msg",
[('arpack', 0, r'must be between 1 and min\(n_samples, n_features\)'),
('randomized', 0, r'must be between 1 and min\(n_samples, n_features\)'),
('arpack', 2, r'must be strictly less than min'),
('auto', -1, (r"n_components={}L? must be between {}L? and "
r"min\(n_samples, n_features\)={}L? with "
r"svd_solver=\'{}\'")),
('auto', 3, (r"n_components={}L? must be between {}L? and "
r"min\(n_samples, n_features\)={}L? with "
r"svd_solver=\'{}\'")),
('auto', 1.0, "must be of type int")]
)
def test_pca_validation(svd_solver, data, n_components, err_msg):
# Ensures that solver-specific extreme inputs for the n_components
# parameter raise errors
smallest_d = 2 # The smallest dimension
lower_limit = {'randomized': 1, 'arpack': 1, 'full': 0, 'auto': 0}
pca_fitted = PCA(n_components, svd_solver=svd_solver)
solver_reported = 'full' if svd_solver == 'auto' else svd_solver
err_msg = err_msg.format(
n_components, lower_limit[svd_solver], smallest_d, solver_reported
)
with pytest.raises(ValueError, match=err_msg):
pca_fitted.fit(data)
# Additional case for arpack
if svd_solver == 'arpack':
n_components = smallest_d
err_msg = ("n_components={}L? must be strictly less than "
r"min\(n_samples, n_features\)={}L? with "
"svd_solver=\'arpack\'".format(n_components, smallest_d))
with pytest.raises(ValueError, match=err_msg):
PCA(n_components, svd_solver=svd_solver).fit(data)
@pytest.mark.parametrize(
'solver, n_components_',
[('full', min(iris.data.shape)),
('arpack', min(iris.data.shape) - 1),
('randomized', min(iris.data.shape))]
)
@pytest.mark.parametrize("data", [iris.data, iris.data.T])
def test_n_components_none(data, solver, n_components_):
pca = PCA(svd_solver=solver)
pca.fit(data)
assert pca.n_components_ == n_components_
@pytest.mark.parametrize("svd_solver", ['auto', 'full'])
def test_n_components_mle(svd_solver):
# Ensure that n_components == 'mle' doesn't raise error for auto/full
rng = np.random.RandomState(0)
n_samples, n_features = 600, 10
X = rng.randn(n_samples, n_features)
pca = PCA(n_components='mle', svd_solver=svd_solver)
pca.fit(X)
assert pca.n_components_ == 1
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_n_components_mle_error(svd_solver):
# Ensure that n_components == 'mle' will raise an error for unsupported
# solvers
rng = np.random.RandomState(0)
n_samples, n_features = 600, 10
X = rng.randn(n_samples, n_features)
pca = PCA(n_components='mle', svd_solver=svd_solver)
err_msg = ("n_components='mle' cannot be a string with svd_solver='{}'"
.format(svd_solver))
with pytest.raises(ValueError, match=err_msg):
pca.fit(X)
def test_pca_dim():
# Check automated dimensionality setting
rng = np.random.RandomState(0)
n, p = 100, 5
X = rng.randn(n, p) * .1
X[:10] += np.array([3, 4, 5, 1, 2])
pca = PCA(n_components='mle', svd_solver='full').fit(X)
assert pca.n_components == 'mle'
assert pca.n_components_ == 1
def test_infer_dim_1():
# TODO: explain what this is testing
# Or at least use explicit variable names...
n, p = 1000, 5
rng = np.random.RandomState(0)
X = (rng.randn(n, p) * .1 + rng.randn(n, 1) * np.array([3, 4, 5, 1, 2]) +
np.array([1, 0, 7, 4, 6]))
pca = PCA(n_components=p, svd_solver='full')
pca.fit(X)
spect = pca.explained_variance_
ll = np.array([_assess_dimension(spect, k, n) for k in range(1, p)])
assert ll[1] > ll.max() - .01 * n
def test_infer_dim_2():
# TODO: explain what this is testing
# Or at least use explicit variable names...
n, p = 1000, 5
rng = np.random.RandomState(0)
X = rng.randn(n, p) * .1
X[:10] += np.array([3, 4, 5, 1, 2])
X[10:20] += np.array([6, 0, 7, 2, -1])
pca = PCA(n_components=p, svd_solver='full')
pca.fit(X)
spect = pca.explained_variance_
assert _infer_dimension(spect, n) > 1
def test_infer_dim_3():
n, p = 100, 5
rng = np.random.RandomState(0)
X = rng.randn(n, p) * .1
X[:10] += np.array([3, 4, 5, 1, 2])
X[10:20] += np.array([6, 0, 7, 2, -1])
X[30:40] += 2 * np.array([-1, 1, -1, 1, -1])
pca = PCA(n_components=p, svd_solver='full')
pca.fit(X)
spect = pca.explained_variance_
assert _infer_dimension(spect, n) > 2
@pytest.mark.parametrize(
"X, n_components, n_components_validated",
[(iris.data, 0.95, 2), # row > col
(iris.data, 0.01, 1), # row > col
(np.random.RandomState(0).rand(5, 20), 0.5, 2)] # row < col
)
def test_infer_dim_by_explained_variance(X, n_components,
n_components_validated):
pca = PCA(n_components=n_components, svd_solver='full')
pca.fit(X)
assert pca.n_components == pytest.approx(n_components)
assert pca.n_components_ == n_components_validated
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_score(svd_solver):
# Test that probabilistic PCA scoring yields a reasonable score
n, p = 1000, 3
rng = np.random.RandomState(0)
X = rng.randn(n, p) * .1 + np.array([3, 4, 5])
pca = PCA(n_components=2, svd_solver=svd_solver)
pca.fit(X)
ll1 = pca.score(X)
h = -0.5 * np.log(2 * np.pi * np.exp(1) * 0.1 ** 2) * p
assert_allclose(ll1 / h, 1, rtol=5e-2)
ll2 = pca.score(rng.randn(n, p) * .2 + np.array([3, 4, 5]))
assert ll1 > ll2
pca = PCA(n_components=2, whiten=True, svd_solver=svd_solver)
pca.fit(X)
ll2 = pca.score(X)
assert ll1 > ll2
def test_pca_score3():
# Check that probabilistic PCA selects the right model
n, p = 200, 3
rng = np.random.RandomState(0)
Xl = (rng.randn(n, p) + rng.randn(n, 1) * np.array([3, 4, 5]) +
np.array([1, 0, 7]))
Xt = (rng.randn(n, p) + rng.randn(n, 1) * np.array([3, 4, 5]) +
np.array([1, 0, 7]))
ll = np.zeros(p)
for k in range(p):
pca = PCA(n_components=k, svd_solver='full')
pca.fit(Xl)
ll[k] = pca.score(Xt)
assert ll.argmax() == 1
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_sanity_noise_variance(svd_solver):
# Sanity check for the noise_variance_. For more details see
# https://github.com/scikit-learn/scikit-learn/issues/7568
# https://github.com/scikit-learn/scikit-learn/issues/8541
# https://github.com/scikit-learn/scikit-learn/issues/8544
X, _ = datasets.load_digits(return_X_y=True)
pca = PCA(n_components=30, svd_solver=svd_solver, random_state=0)
pca.fit(X)
assert np.all((pca.explained_variance_ - pca.noise_variance_) >= 0)
@pytest.mark.parametrize("svd_solver", ["arpack", "randomized"])
def test_pca_score_consistency_solvers(svd_solver):
# Check the consistency of score between solvers
X, _ = datasets.load_digits(return_X_y=True)
pca_full = PCA(n_components=30, svd_solver='full', random_state=0)
pca_other = PCA(n_components=30, svd_solver=svd_solver, random_state=0)
pca_full.fit(X)
pca_other.fit(X)
assert_allclose(pca_full.score(X), pca_other.score(X), rtol=5e-6)
# arpack raises ValueError for n_components == min(n_samples, n_features)
@pytest.mark.parametrize("svd_solver", ["full", "randomized"])
def test_pca_zero_noise_variance_edge_cases(svd_solver):
# ensure that noise_variance_ is 0 in edge cases
# when n_components == min(n_samples, n_features)
n, p = 100, 3
rng = np.random.RandomState(0)
X = rng.randn(n, p) * .1 + np.array([3, 4, 5])
pca = PCA(n_components=p, svd_solver=svd_solver)
pca.fit(X)
assert pca.noise_variance_ == 0
pca.fit(X.T)
assert pca.noise_variance_ == 0
@pytest.mark.parametrize(
'data, n_components, expected_solver',
[ # case: n_components in (0,1) => 'full'
(np.random.RandomState(0).uniform(size=(1000, 50)), 0.5, 'full'),
# case: max(X.shape) <= 500 => 'full'
(np.random.RandomState(0).uniform(size=(10, 50)), 5, 'full'),
# case: n_components >= .8 * min(X.shape) => 'full'
(np.random.RandomState(0).uniform(size=(1000, 50)), 50, 'full'),
# n_components >= 1 and n_components < .8*min(X.shape) => 'randomized'
(np.random.RandomState(0).uniform(size=(1000, 50)), 10, 'randomized')
]
)
def test_pca_svd_solver_auto(data, n_components, expected_solver):
pca_auto = PCA(n_components=n_components, random_state=0)
pca_test = PCA(
n_components=n_components, svd_solver=expected_solver, random_state=0
)
pca_auto.fit(data)
pca_test.fit(data)
assert_allclose(pca_auto.components_, pca_test.components_)
@pytest.mark.parametrize('svd_solver', PCA_SOLVERS)
def test_pca_sparse_input(svd_solver):
X = np.random.RandomState(0).rand(5, 4)
X = sp.sparse.csr_matrix(X)
assert sp.sparse.issparse(X)
pca = PCA(n_components=3, svd_solver=svd_solver)
with pytest.raises(TypeError):
pca.fit(X)
def test_pca_bad_solver():
X = np.random.RandomState(0).rand(5, 4)
pca = PCA(n_components=3, svd_solver='bad_argument')
with pytest.raises(ValueError):
pca.fit(X)
@pytest.mark.parametrize("svd_solver", PCA_SOLVERS)
def test_pca_deterministic_output(svd_solver):
rng = np.random.RandomState(0)
X = rng.rand(10, 10)
transformed_X = np.zeros((20, 2))
for i in range(20):
pca = PCA(n_components=2, svd_solver=svd_solver, random_state=rng)
transformed_X[i, :] = pca.fit_transform(X)[0]
assert_allclose(
transformed_X, np.tile(transformed_X[0, :], 20).reshape(20, 2)
)
@pytest.mark.parametrize('svd_solver', PCA_SOLVERS)
def test_pca_dtype_preservation(svd_solver):
check_pca_float_dtype_preservation(svd_solver)
check_pca_int_dtype_upcast_to_double(svd_solver)
def check_pca_float_dtype_preservation(svd_solver):
# Ensure that PCA does not upscale the dtype when input is float32
X_64 = np.random.RandomState(0).rand(1000, 4).astype(np.float64,
copy=False)
X_32 = X_64.astype(np.float32)
pca_64 = PCA(n_components=3, svd_solver=svd_solver,
random_state=0).fit(X_64)
pca_32 = PCA(n_components=3, svd_solver=svd_solver,
random_state=0).fit(X_32)
assert pca_64.components_.dtype == np.float64
assert pca_32.components_.dtype == np.float32
assert pca_64.transform(X_64).dtype == np.float64
assert pca_32.transform(X_32).dtype == np.float32
# the rtol is set such that the test passes on all platforms tested on
# conda-forge: PR#15775
# see: https://github.com/conda-forge/scikit-learn-feedstock/pull/113
assert_allclose(pca_64.components_, pca_32.components_, rtol=2e-4)
def check_pca_int_dtype_upcast_to_double(svd_solver):
# Ensure that all int types will be upcast to float64
X_i64 = np.random.RandomState(0).randint(0, 1000, (1000, 4))
X_i64 = X_i64.astype(np.int64, copy=False)
X_i32 = X_i64.astype(np.int32, copy=False)
pca_64 = PCA(n_components=3, svd_solver=svd_solver,
random_state=0).fit(X_i64)
pca_32 = PCA(n_components=3, svd_solver=svd_solver,
random_state=0).fit(X_i32)
assert pca_64.components_.dtype == np.float64
assert pca_32.components_.dtype == np.float64
assert pca_64.transform(X_i64).dtype == np.float64
assert pca_32.transform(X_i32).dtype == np.float64
assert_allclose(pca_64.components_, pca_32.components_, rtol=1e-4)
def test_pca_n_components_mostly_explained_variance_ratio():
# when n_components is the second highest cumulative sum of the
# explained_variance_ratio_, then n_components_ should equal the
# number of features in the dataset #15669
X, y = load_iris(return_X_y=True)
pca1 = PCA().fit(X, y)
n_components = pca1.explained_variance_ratio_.cumsum()[-2]
pca2 = PCA(n_components=n_components).fit(X, y)
assert pca2.n_components_ == X.shape[1]
def test_assess_dimension_bad_rank():
# Test error when tested rank not in [1, n_features - 1]
spectrum = np.array([1, 1e-30, 1e-30, 1e-30])
n_samples = 10
for rank in (0, 5):
with pytest.raises(ValueError,
match=r"should be in \[1, n_features - 1\]"):
_assess_dimension(spectrum, rank, n_samples)
def test_small_eigenvalues_mle():
# Test rank associated with tiny eigenvalues are given a log-likelihood of
# -inf. The inferred rank will be 1
spectrum = np.array([1, 1e-30, 1e-30, 1e-30])
assert _assess_dimension(spectrum, rank=1, n_samples=10) > -np.inf
for rank in (2, 3):
assert _assess_dimension(spectrum, rank, 10) == -np.inf
assert _infer_dimension(spectrum, 10) == 1
def test_mle_redundant_data():
# Test 'mle' with pathological X: only one relevant feature should give a
# rank of 1
X, _ = datasets.make_classification(n_features=20,
n_informative=1, n_repeated=18,
n_redundant=1, n_clusters_per_class=1,
random_state=42)
pca = PCA(n_components='mle').fit(X)
assert pca.n_components_ == 1
def test_fit_mle_too_few_samples():
# Tests that an error is raised when the number of samples is smaller
# than the number of features during an mle fit
X, _ = datasets.make_classification(n_samples=20, n_features=21,
random_state=42)
pca = PCA(n_components='mle', svd_solver='full')
with pytest.raises(ValueError, match="n_components='mle' is only "
"supported if "
"n_samples >= n_features"):
pca.fit(X)
def test_mle_simple_case():
# non-regression test for issue
# https://github.com/scikit-learn/scikit-learn/issues/16730
n_samples, n_dim = 1000, 10
X = np.random.RandomState(0).randn(n_samples, n_dim)
X[:, -1] = np.mean(X[:, :-1], axis=-1) # true X dim is ndim - 1
pca_skl = PCA('mle', svd_solver='full')
pca_skl.fit(X)
assert pca_skl.n_components_ == n_dim - 1
def test_assess_dimesion_rank_one():
# Make sure assess_dimension works properly on a matrix of rank 1
n_samples, n_features = 9, 6
X = np.ones((n_samples, n_features)) # rank 1 matrix
_, s, _ = np.linalg.svd(X, full_matrices=True)
assert sum(s[1:]) == 0 # except for rank 1, all eigenvalues are 0
assert np.isfinite(_assess_dimension(s, rank=1, n_samples=n_samples))
for rank in range(2, n_features):
assert _assess_dimension(s, rank, n_samples) == -np.inf