_sparse_pca.py
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"""Matrix factorization with Sparse PCA"""
# Author: Vlad Niculae, Gael Varoquaux, Alexandre Gramfort
# License: BSD 3 clause
import warnings
import numpy as np
from ..utils import check_random_state, check_array
from ..utils.validation import check_is_fitted
from ..utils.validation import _deprecate_positional_args
from ..linear_model import ridge_regression
from ..base import BaseEstimator, TransformerMixin
from ._dict_learning import dict_learning, dict_learning_online
# FIXME: remove in 0.24
def _check_normalize_components(normalize_components, estimator_name):
if normalize_components != 'deprecated':
if normalize_components:
warnings.warn(
"'normalize_components' has been deprecated in 0.22 and "
"will be removed in 0.24. Remove the parameter from the "
" constructor.", FutureWarning
)
else:
raise NotImplementedError(
"normalize_components=False is not supported starting from "
"0.22. Remove this parameter from the constructor."
)
class SparsePCA(TransformerMixin, BaseEstimator):
"""Sparse Principal Components Analysis (SparsePCA)
Finds the set of sparse components that can optimally reconstruct
the data. The amount of sparseness is controllable by the coefficient
of the L1 penalty, given by the parameter alpha.
Read more in the :ref:`User Guide <SparsePCA>`.
Parameters
----------
n_components : int,
Number of sparse atoms to extract.
alpha : float,
Sparsity controlling parameter. Higher values lead to sparser
components.
ridge_alpha : float,
Amount of ridge shrinkage to apply in order to improve
conditioning when calling the transform method.
max_iter : int,
Maximum number of iterations to perform.
tol : float,
Tolerance for the stopping condition.
method : {'lars', 'cd'}
lars: uses the least angle regression method to solve the lasso problem
(linear_model.lars_path)
cd: uses the coordinate descent method to compute the
Lasso solution (linear_model.Lasso). Lars will be faster if
the estimated components are sparse.
n_jobs : int or None, optional (default=None)
Number of parallel jobs to run.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
U_init : array of shape (n_samples, n_components),
Initial values for the loadings for warm restart scenarios.
V_init : array of shape (n_components, n_features),
Initial values for the components for warm restart scenarios.
verbose : int
Controls the verbosity; the higher, the more messages. Defaults to 0.
random_state : int, RandomState instance, default=None
Used during dictionary learning. Pass an int for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
normalize_components : 'deprecated'
This parameter does not have any effect. The components are always
normalized.
.. versionadded:: 0.20
.. deprecated:: 0.22
``normalize_components`` is deprecated in 0.22 and will be removed
in 0.24.
Attributes
----------
components_ : array, [n_components, n_features]
Sparse components extracted from the data.
error_ : array
Vector of errors at each iteration.
n_components_ : int
Estimated number of components.
.. versionadded:: 0.23
n_iter_ : int
Number of iterations run.
mean_ : array, shape (n_features,)
Per-feature empirical mean, estimated from the training set.
Equal to ``X.mean(axis=0)``.
Examples
--------
>>> import numpy as np
>>> from sklearn.datasets import make_friedman1
>>> from sklearn.decomposition import SparsePCA
>>> X, _ = make_friedman1(n_samples=200, n_features=30, random_state=0)
>>> transformer = SparsePCA(n_components=5, random_state=0)
>>> transformer.fit(X)
SparsePCA(...)
>>> X_transformed = transformer.transform(X)
>>> X_transformed.shape
(200, 5)
>>> # most values in the components_ are zero (sparsity)
>>> np.mean(transformer.components_ == 0)
0.9666...
See also
--------
PCA
MiniBatchSparsePCA
DictionaryLearning
"""
@_deprecate_positional_args
def __init__(self, n_components=None, *, alpha=1, ridge_alpha=0.01,
max_iter=1000, tol=1e-8, method='lars', n_jobs=None,
U_init=None, V_init=None, verbose=False, random_state=None,
normalize_components='deprecated'):
self.n_components = n_components
self.alpha = alpha
self.ridge_alpha = ridge_alpha
self.max_iter = max_iter
self.tol = tol
self.method = method
self.n_jobs = n_jobs
self.U_init = U_init
self.V_init = V_init
self.verbose = verbose
self.random_state = random_state
self.normalize_components = normalize_components
def fit(self, X, y=None):
"""Fit the model from data in X.
Parameters
----------
X : array-like, shape (n_samples, n_features)
Training vector, where n_samples in the number of samples
and n_features is the number of features.
y : Ignored
Returns
-------
self : object
Returns the instance itself.
"""
random_state = check_random_state(self.random_state)
X = self._validate_data(X)
_check_normalize_components(
self.normalize_components, self.__class__.__name__
)
self.mean_ = X.mean(axis=0)
X = X - self.mean_
if self.n_components is None:
n_components = X.shape[1]
else:
n_components = self.n_components
code_init = self.V_init.T if self.V_init is not None else None
dict_init = self.U_init.T if self.U_init is not None else None
Vt, _, E, self.n_iter_ = dict_learning(X.T, n_components,
alpha=self.alpha,
tol=self.tol,
max_iter=self.max_iter,
method=self.method,
n_jobs=self.n_jobs,
verbose=self.verbose,
random_state=random_state,
code_init=code_init,
dict_init=dict_init,
return_n_iter=True)
self.components_ = Vt.T
components_norm = np.linalg.norm(
self.components_, axis=1)[:, np.newaxis]
components_norm[components_norm == 0] = 1
self.components_ /= components_norm
self.n_components_ = len(self.components_)
self.error_ = E
return self
def transform(self, X):
"""Least Squares projection of the data onto the sparse components.
To avoid instability issues in case the system is under-determined,
regularization can be applied (Ridge regression) via the
`ridge_alpha` parameter.
Note that Sparse PCA components orthogonality is not enforced as in PCA
hence one cannot use a simple linear projection.
Parameters
----------
X : array of shape (n_samples, n_features)
Test data to be transformed, must have the same number of
features as the data used to train the model.
Returns
-------
X_new array, shape (n_samples, n_components)
Transformed data.
"""
check_is_fitted(self)
X = check_array(X)
X = X - self.mean_
U = ridge_regression(self.components_.T, X.T, self.ridge_alpha,
solver='cholesky')
return U
def _more_tags(self):
return {
'_xfail_checks': {
"check_methods_subset_invariance":
"fails for the transform method"
}
}
class MiniBatchSparsePCA(SparsePCA):
"""Mini-batch Sparse Principal Components Analysis
Finds the set of sparse components that can optimally reconstruct
the data. The amount of sparseness is controllable by the coefficient
of the L1 penalty, given by the parameter alpha.
Read more in the :ref:`User Guide <SparsePCA>`.
Parameters
----------
n_components : int,
number of sparse atoms to extract
alpha : int,
Sparsity controlling parameter. Higher values lead to sparser
components.
ridge_alpha : float,
Amount of ridge shrinkage to apply in order to improve
conditioning when calling the transform method.
n_iter : int,
number of iterations to perform for each mini batch
callback : callable or None, optional (default: None)
callable that gets invoked every five iterations
batch_size : int,
the number of features to take in each mini batch
verbose : int
Controls the verbosity; the higher, the more messages. Defaults to 0.
shuffle : boolean,
whether to shuffle the data before splitting it in batches
n_jobs : int or None, optional (default=None)
Number of parallel jobs to run.
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
method : {'lars', 'cd'}
lars: uses the least angle regression method to solve the lasso problem
(linear_model.lars_path)
cd: uses the coordinate descent method to compute the
Lasso solution (linear_model.Lasso). Lars will be faster if
the estimated components are sparse.
random_state : int, RandomState instance, default=None
Used for random shuffling when ``shuffle`` is set to ``True``,
during online dictionary learning. Pass an int for reproducible results
across multiple function calls.
See :term:`Glossary <random_state>`.
normalize_components : 'deprecated'
This parameter does not have any effect. The components are always
normalized.
.. versionadded:: 0.20
.. deprecated:: 0.22
``normalize_components`` is deprecated in 0.22 and will be removed
in 0.24.
Attributes
----------
components_ : array, [n_components, n_features]
Sparse components extracted from the data.
n_components_ : int
Estimated number of components.
.. versionadded:: 0.23
n_iter_ : int
Number of iterations run.
mean_ : array, shape (n_features,)
Per-feature empirical mean, estimated from the training set.
Equal to ``X.mean(axis=0)``.
Examples
--------
>>> import numpy as np
>>> from sklearn.datasets import make_friedman1
>>> from sklearn.decomposition import MiniBatchSparsePCA
>>> X, _ = make_friedman1(n_samples=200, n_features=30, random_state=0)
>>> transformer = MiniBatchSparsePCA(n_components=5, batch_size=50,
... random_state=0)
>>> transformer.fit(X)
MiniBatchSparsePCA(...)
>>> X_transformed = transformer.transform(X)
>>> X_transformed.shape
(200, 5)
>>> # most values in the components_ are zero (sparsity)
>>> np.mean(transformer.components_ == 0)
0.94
See also
--------
PCA
SparsePCA
DictionaryLearning
"""
@_deprecate_positional_args
def __init__(self, n_components=None, *, alpha=1, ridge_alpha=0.01,
n_iter=100, callback=None, batch_size=3, verbose=False,
shuffle=True, n_jobs=None, method='lars', random_state=None,
normalize_components='deprecated'):
super().__init__(
n_components=n_components, alpha=alpha, verbose=verbose,
ridge_alpha=ridge_alpha, n_jobs=n_jobs, method=method,
random_state=random_state,
normalize_components=normalize_components)
self.n_iter = n_iter
self.callback = callback
self.batch_size = batch_size
self.shuffle = shuffle
def fit(self, X, y=None):
"""Fit the model from data in X.
Parameters
----------
X : array-like, shape (n_samples, n_features)
Training vector, where n_samples in the number of samples
and n_features is the number of features.
y : Ignored
Returns
-------
self : object
Returns the instance itself.
"""
random_state = check_random_state(self.random_state)
X = self._validate_data(X)
_check_normalize_components(
self.normalize_components, self.__class__.__name__
)
self.mean_ = X.mean(axis=0)
X = X - self.mean_
if self.n_components is None:
n_components = X.shape[1]
else:
n_components = self.n_components
Vt, _, self.n_iter_ = dict_learning_online(
X.T, n_components, alpha=self.alpha,
n_iter=self.n_iter, return_code=True,
dict_init=None, verbose=self.verbose,
callback=self.callback,
batch_size=self.batch_size,
shuffle=self.shuffle,
n_jobs=self.n_jobs, method=self.method,
random_state=random_state,
return_n_iter=True)
self.components_ = Vt.T
components_norm = np.linalg.norm(
self.components_, axis=1)[:, np.newaxis]
components_norm[components_norm == 0] = 1
self.components_ /= components_norm
self.n_components_ = len(self.components_)
return self