sniper/tools/pca.py

#!/usr/bin/env python
""" a small class for Principal Component Analysis
Usage:
    p = PCA( A, fraction=0.90 )
In:
    A: an array of e.g. 1000 observations x 20 variables, 1000 rows x 20 columns
    fraction: use principal components that account for e.g.
        90 % of the total variance

Out:
    p.U, p.d, p.Vt: from numpy.linalg.svd, A = U . d . Vt
    p.dinv: 1/d or 0, see NR
    p.eigen: the eigenvalues of A*A, in decreasing order (p.d**2).
        eigen[j] / eigen.sum() is variable j's fraction of the total variance;
        look at the first few eigen[] to see how many PCs get to 90 %, 95 % ...
    p.npc: number of principal components,
        e.g. 2 if the top 2 eigenvalues are >= `fraction` of the total.
        It's ok to change this; methods use the current value.

Methods:
    The methods of class PCA transform vectors or arrays of e.g.
    20 variables, 2 principal components and 1000 observations,
    using partial matrices U' d' Vt', parts of the full U d Vt:
    A ~ U' . d' . Vt' where e.g.
        U' is 1000 x 2
        d' is diag([ d0, d1 ]), the 2 largest singular values
        Vt' is 2 x 20.  Dropping the primes,

    d . Vt      2 principal vars = p.vars_pc( 20 vars )
    U           1000 obs = p.pc_obs( 2 principal vars )
    U . d . Vt  1000 obs, p.obs( 20 vars ) = pc_obs( vars_pc( vars ))
        fast approximate A . vars, using the `npc` principal components

    Ut              2 pcs = p.obs_pc( 1000 obs )
    V . dinv        20 vars = p.pc_vars( 2 principal vars )
    V . dinv . Ut   20 vars, p.vars( 1000 obs ) = pc_vars( obs_pc( obs )),
        fast approximate Ainverse . obs: vars that give ~ those obs.


Notes:
    PCA does not center or scale A; you usually want to first
        A -= A.mean(A, axis=0)
        A /= A.std(A, axis=0)
    with the little class Center or the like, below.

See also:
    http://en.wikipedia.org/wiki/Principal_component_analysis
    http://en.wikipedia.org/wiki/Singular_value_decomposition
    Press et al., Numerical Recipes (2 or 3 ed), SVD
    PCA micro-tutorial
    iris-pca .py .png

"""

from __future__ import division
import numpy
dot = numpy.dot
    # import bz.numpyutil as nu
    # dot = nu.pdot

__version__ = "2010-04-14 apr"
__author_email__ = "denis-bz-py at t-online dot de"

# From http://stackoverflow.com/questions/1730600/principal-component-analysis-in-python
# Accessed 19-June-2011

#...............................................................................
class PCA:
    def __init__( self, A, fraction=0.90 ):
        assert 0 <= fraction <= 1
            # A = U . diag(d) . Vt, O( m n^2 ), lapack_lite --
        self.U, self.d, self.Vt = numpy.linalg.svd( A, full_matrices=False )
        assert numpy.all( self.d[:-1] >= self.d[1:] )  # sorted
        self.eigen = self.d**2
        self.sumvariance = numpy.cumsum(self.eigen)
        self.sumvariance /= self.sumvariance[-1]
        self.npc = numpy.searchsorted( self.sumvariance, fraction ) + 1
        self.dinv = numpy.array([ 1/d if d > self.d[0] * 1e-6  else 0
                                for d in self.d ])

    def pc( self ):
        """ e.g. 1000 x 2 U[:, :npc] * d[:npc], to plot etc. """
        n = self.npc
        return self.U[:, :n] * self.d[:n]

    # These 1-line methods may not be worth the bother;
    # then use U d Vt directly --

    def vars_pc( self, x ):
        n = self.npc
        return self.d[:n] * dot( self.Vt[:n], x.T ).T  # 20 vars -> 2 principal

    def pc_vars( self, p ):
        n = self.npc
        return dot( self.Vt[:n].T, (self.dinv[:n] * p).T ) .T  # 2 PC -> 20 vars

    def pc_obs( self, p ):
        n = self.npc
        return dot( self.U[:, :n], p.T )  # 2 principal -> 1000 obs

    def obs_pc( self, obs ):
        n = self.npc
        return dot( self.U[:, :n].T, obs ) .T  # 1000 obs -> 2 principal

    def obs( self, x ):
        return self.pc_obs( self.vars_pc(x) )  # 20 vars -> 2 principal -> 1000 obs

    def vars( self, obs ):
        return self.pc_vars( self.obs_pc(obs) )  # 1000 obs -> 2 principal -> 20 vars


class Center:
    """ A -= A.mean() /= A.std(), inplace -- use A.copy() if need be
        uncenter(x) == original A . x
    """
        # mttiw
    def __init__( self, A, axis=0, scale=True, verbose=1 ):
        self.mean = A.mean(axis=axis)
        if verbose:
            print "Center -= A.mean:", self.mean
        A -= self.mean
        if scale:
            std = A.std(axis=axis)
            self.std = numpy.where( std, std, 1. )
            if verbose:
                print "Center /= A.std:", self.std
            A /= self.std
        else:
            self.std = numpy.ones( A.shape[-1] )
        self.A = A

    def uncenter( self, x ):
        return numpy.dot( self.A, x * self.std ) + numpy.dot( x, self.mean )


def pca(A, fraction = .9, center = True):
    if type(A) is not numpy.ndarray:
        A = numpy.array(A, numpy.float)
    if center:
        Center(A)
    p = PCA(A, fraction=fraction)
    return p


#...............................................................................
if __name__ == "__main__":
    import sys

    if len(sys.argv) < 2:
      print 'Usage: %s filename' % sys.argv[0]
      sys.exit(-1)

    csv = sys.argv[1]
    fraction = .90
    numpy.set_printoptions( 1, threshold=100, suppress=True )  # .1f

    A = numpy.genfromtxt( csv, delimiter="," )
    # Remove headers, both the names and the titles
    A = A[1:,1:]

    N, K = A.shape
    print "csv: %s  N: %d  K: %d  fraction: %.2g" % (csv, N, K, fraction)

    print "PCA ..." ,
    p = pca(A, fraction)

    print "npc:", p.npc
    print "% variance:", p.sumvariance * 100

    # Convery to a numpy array to allow for more elaborate array slicing
    pc = numpy.ma.array(p.pc())

    print "Vt[0], weights that give PC 0:", p.Vt[0]
    print "A . Vt[0]:", dot( A, p.Vt[0] )
    print "pc:", p.pc()

    import numpy
    from matplotlib.figure import Figure
    from matplotlib.backends.backend_agg import FigureCanvasAgg
    # Plot the first two PCA components
    fig = Figure(figsize=(8,6))
    ax = fig.add_subplot(111)
    ax.scatter(pc[:, 0], pc[:, 1])
    canvas = FigureCanvasAgg(fig)
    canvas.print_figure('pca.png')

    print "\nobs <-> pc <-> x: with fraction=1, diffs should be ~ 0"
    x = numpy.ones(K)
    # x = numpy.ones(( 3, K ))
    print "x:", x
    pc = p.vars_pc(x)  # d' Vt' x
    print "vars_pc(x):", pc
    print "back to ~ x:", p.pc_vars(pc)

    Ax = dot( A, x.T )
    pcx = p.obs(x)  # U' d' Vt' x
    print "Ax:", Ax
    print "A'x:", pcx
    print "max |Ax - A'x|: %.2g" % numpy.linalg.norm( Ax - pcx, numpy.inf )

    b = Ax  # ~ back to original x, Ainv A x
    back = p.vars(b)
    print "~ back again:", back
    print "max |back - x|: %.2g" % numpy.linalg.norm( back - x, numpy.inf )

# end pca.py