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"""
Python implementation of the fast ICA algorithms.
Reference: Tables 8.3 and 8.4 page 196 in the book:
Independent Component Analysis, by Hyvarinen et al.
"""
# Author: Pierre Lafaye de Micheaux, Stefan van der Walt, Gael Varoquaux,
# Bertrand Thirion, Alexandre Gramfort
# License: BSD 3 clause
import warnings
import numpy as np
from scipy import linalg
from ..base import BaseEstimator
from ..utils import array2d, as_float_array, check_random_state
__all__ = ['fastica', 'FastICA']
def _gs_decorrelation(w, W, j):
"""
Orthonormalize w wrt the first j rows of W
Parameters
----------
w: array of shape(n), to be orthogonalized
W: array of shape(p, n), null space definition
j: int < p
caveats
-------
assumes that W is orthogonal
w changed in place
"""
w -= np.dot(np.dot(w, W[:j].T), W[:j])
return w
def _sym_decorrelation(W):
""" Symmetric decorrelation
i.e. W <- (W * W.T) ^{-1/2} * W
"""
K = np.dot(W, W.T)
s, u = linalg.eigh(K)
# u (resp. s) contains the eigenvectors (resp. square roots of
# the eigenvalues) of W * W.T
W = np.dot(np.dot(np.dot(u, np.diag(1.0 / np.sqrt(s))), u.T), W)
return W
def _ica_def(X, tol, g, gprime, fun_args, max_iter, w_init):
"""Deflationary FastICA using fun approx to neg-entropy function
Used internally by FastICA.
"""
n_components = w_init.shape[0]
W = np.zeros((n_components, n_components), dtype=float)
# j is the index of the extracted component
for j in range(n_components):
w = w_init[j, :].copy()
w /= np.sqrt((w ** 2).sum())
n_iterations = 0
# we set lim to tol+1 to be sure to enter at least once in next while
lim = tol + 1
while ((lim > tol) & (n_iterations < (max_iter - 1))):
wtx = np.dot(w.T, X)
gwtx = g(wtx, fun_args)
g_wtx = gprime(wtx, fun_args)
w1 = (X * gwtx).mean(axis=1) - g_wtx.mean() * w
_gs_decorrelation(w1, W, j)
w1 /= np.sqrt((w1 ** 2).sum())
lim = np.abs(np.abs((w1 * w).sum()) - 1)
w = w1
n_iterations = n_iterations + 1
W[j, :] = w
return W
def _ica_par(X, tol, g, gprime, fun_args, max_iter, w_init):
"""Parallel FastICA.
Used internally by FastICA --main loop
"""
n, p = X.shape
W = _sym_decorrelation(w_init)
# we set lim to tol+1 to be sure to enter at least once in next while
lim = tol + 1
it = 0
while ((lim > tol) and (it < (max_iter - 1))):
wtx = np.dot(W, X)
gwtx = g(wtx, fun_args)
g_wtx = gprime(wtx, fun_args)
W1 = np.dot(gwtx, X.T) / float(p) \
- np.dot(np.diag(g_wtx.mean(axis=1)), W)
W1 = _sym_decorrelation(W1)
lim = max(abs(abs(np.diag(np.dot(W1, W.T))) - 1))
W = W1
it += 1
return W
def fastica(X, n_components=None, algorithm="parallel", whiten=True,
fun="logcosh", fun_prime='', fun_args={}, max_iter=200,
tol=1e-04, w_init=None, random_state=None):
"""Perform Fast Independent Component Analysis.
Parameters
----------
X : array-like, shape = [n_samples, n_features]
Training vector, where n_samples is the number of samples and
n_features is the number of features.
n_components : int, optional
Number of components to extract. If None no dimension reduction
is performed.
algorithm : {'parallel', 'deflation'}, optional
Apply a parallel or deflational FASTICA algorithm.
whiten: boolean, optional
If True perform an initial whitening of the data.
If False, the data is assumed to have already been
preprocessed: it should be centered, normed and white.
Otherwise you will get incorrect results.
In this case the parameter n_components will be ignored.
fun : string or function, optional
The functional form of the G function used in the
approximation to neg-entropy. Could be either 'logcosh', 'exp',
or 'cube'.
You can also provide your own function but in this case, its
derivative should be provided via argument fun_prime
fun_prime : empty string ('') or function, optional
See fun.
fun_args: dictionary, optional
If empty and if fun='logcosh', fun_args will take value
{'alpha' : 1.0}
max_iter: int, optional
Maximum number of iterations to perform
tol: float, optional
A positive scalar giving the tolerance at which the
un-mixing matrix is considered to have converged
w_init: (n_components, n_components) array, optional
Initial un-mixing array of dimension (n.comp,n.comp).
If None (default) then an array of normal r.v.'s is used
source_only: boolean, optional
if True, only the sources matrix is returned
random_state: int or RandomState
Pseudo number generator state used for random sampling.
Returns
-------
K: (n_components, p) array or None.
If whiten is 'True', K is the pre-whitening matrix that projects data
onto the first n.comp principal components. If whiten is 'False', K is
'None'.
W: (n_components, n_components) array
estimated un-mixing matrix
The mixing matrix can be obtained by::
w = np.dot(W, K.T)
A = w.T * (w * w.T).I
S: (n_components, n) array
estimated source matrix
Notes
-----
The data matrix X is considered to be a linear combination of
non-Gaussian (independent) components i.e. X = AS where columns of S
contain the independent components and A is a linear mixing
matrix. In short ICA attempts to `un-mix' the data by estimating an
un-mixing matrix W where ``S = W K X.``
This implementation was originally made for data of shape
[n_features, n_samples]. Now the input is transposed
before the algorithm is applied. This makes it slightly
faster for Fortran-ordered input.
Implemented using FastICA:
`A. Hyvarinen and E. Oja, Independent Component Analysis:
Algorithms and Applications, Neural Networks, 13(4-5), 2000,
pp. 411-430`
"""
random_state = check_random_state(random_state)
# make interface compatible with other decompositions
X = array2d(X).T
algorithm_funcs = {'parallel': _ica_par,
'deflation': _ica_def}
alpha = fun_args.get('alpha', 1.0)
if (alpha < 1) or (alpha > 2):
raise ValueError("alpha must be in [1,2]")
if isinstance(fun, str):
# Some standard nonlinear functions
# XXX: these should be optimized, as they can be a bottleneck.
if fun == 'logcosh':
def g(x, fun_args):
alpha = fun_args.get('alpha', 1.0)
return np.tanh(alpha * x)
def gprime(x, fun_args):
alpha = fun_args.get('alpha', 1.0)
return alpha * (1 - (np.tanh(alpha * x)) ** 2)
elif fun == 'exp':
def g(x, fun_args):
return x * np.exp(-(x ** 2) / 2)
def gprime(x, fun_args):
return (1 - x ** 2) * np.exp(-(x ** 2) / 2)
elif fun == 'cube':
def g(x, fun_args):
return x ** 3
def gprime(x, fun_args):
return 3 * x ** 2
else:
raise ValueError(
'fun argument should be one of logcosh, exp or cube')
elif callable(fun):
def g(x, fun_args):
return fun(x, **fun_args)
def gprime(x, fun_args):
return fun_prime(x, **fun_args)
else:
raise ValueError('fun argument should be either a string '
'(one of logcosh, exp or cube) or a function')
n, p = X.shape
if whiten == False and n_components is not None:
n_components = None
warnings.warn('Ignoring n_components with whiten=False.')
if n_components is None:
n_components = min(n, p)
if (n_components > min(n, p)):
n_components = min(n, p)
print("n_components is too large: it will be set to %s" % n_components)
if whiten:
# Centering the columns (ie the variables)
X = X - X.mean(axis=-1)[:, np.newaxis]
# Whitening and preprocessing by PCA
u, d, _ = linalg.svd(X, full_matrices=False)
del _
K = (u / d).T[:n_components] # see (6.33) p.140
del u, d
X1 = np.dot(K, X)
# see (13.6) p.267 Here X1 is white and data
# in X has been projected onto a subspace by PCA
X1 *= np.sqrt(p)
else:
# X must be casted to floats to avoid typing issues with numpy
# 2.0 and the line below
X1 = as_float_array(X, copy=True)
if w_init is None:
w_init = random_state.normal(size=(n_components, n_components))
else:
w_init = np.asarray(w_init)
if w_init.shape != (n_components, n_components):
raise ValueError("w_init has invalid shape -- should be %(shape)s"
% {'shape': (n_components, n_components)})
kwargs = {'tol': tol,
'g': g,
'gprime': gprime,
'fun_args': fun_args,
'max_iter': max_iter,
'w_init': w_init}
func = algorithm_funcs.get(algorithm, 'parallel')
W = func(X1, **kwargs)
del X1
if whiten:
S = np.dot(np.dot(W, K), X)
return K, W, S.T
else:
S = np.dot(W, X)
return None, W, S.T
class FastICA(BaseEstimator):
"""FastICA; a fast algorithm for Independent Component Analysis
Parameters
----------
n_components : int, optional
Number of components to use. If none is passed, all are used.
algorithm : {'parallel', 'deflation'}
Apply parallel or deflational algorithm for FastICA
whiten : boolean, optional
If whiten is false, the data is already considered to be
whitened, and no whitening is performed.
fun : {'logcosh', 'exp', or 'cube'}, or a callable
The non-linear function used in the FastICA loop to approximate
negentropy. If a function is passed, it derivative should be
passed as the 'fun_prime' argument.
fun_prime : None or a callable
The derivative of the non-linearity used.
max_iter : int, optional
Maximum number of iterations during fit
tol : float, optional
Tolerance on update at each iteration
w_init : None of an (n_components, n_components) ndarray
The mixing matrix to be used to initialize the algorithm.
random_state: int or RandomState
Pseudo number generator state used for random sampling.
Attributes
----------
`unmixing_matrix_` : 2D array, [n_components, n_samples]
The unmixing matrix
Notes
-----
Implementation based on
`A. Hyvarinen and E. Oja, Independent Component Analysis:
Algorithms and Applications, Neural Networks, 13(4-5), 2000,
pp. 411-430`
"""
def __init__(self, n_components=None, algorithm='parallel', whiten=True,
fun='logcosh', fun_prime='', fun_args=None, max_iter=200,
tol=1e-4, w_init=None, random_state=None):
super(FastICA, self).__init__()
self.n_components = n_components
self.algorithm = algorithm
self.whiten = whiten
self.fun = fun
self.fun_prime = fun_prime
self.fun_args = {} if fun_args is None else fun_args
self.max_iter = max_iter
self.tol = tol
self.w_init = w_init
self.random_state = random_state
def fit(self, X):
whitening_, unmixing_, sources_ = fastica(X, self.n_components,
self.algorithm, self.whiten,
self.fun, self.fun_prime, self.fun_args, self.max_iter,
self.tol, self.w_init,
random_state=self.random_state)
if self.whiten == True:
self.unmixing_matrix_ = np.dot(unmixing_, whitening_)
else:
self.unmixing_matrix_ = unmixing_
self.components_ = sources_
return self
def transform(self, X):
"""Apply un-mixing matrix "W" to X to recover the sources
S = X * W.T
"""
return np.dot(X, self.unmixing_matrix_.T)
def get_mixing_matrix(self):
"""Compute the mixing matrix
"""
return linalg.pinv(self.unmixing_matrix_)
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