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# Author: Alexandre Gramfort <alexandre.gramfort@inria.fr>
# Gael Varoquaux <gael.varoquaux@normalesup.org>
# Virgile Fritsch <virgile.fritsch@inria.fr>
#
# License: BSD 3 clause
import itertools
import numpy as np
from sklearn.utils.testing import assert_array_almost_equal
from sklearn.utils.testing import assert_raise_message
from sklearn.utils.testing import assert_warns_message
from sklearn import datasets
from sklearn.covariance import empirical_covariance, MinCovDet
from sklearn.covariance import fast_mcd
X = datasets.load_iris().data
X_1d = X[:, 0]
n_samples, n_features = X.shape
def test_mcd():
# Tests the FastMCD algorithm implementation
# Small data set
# test without outliers (random independent normal data)
launch_mcd_on_dataset(100, 5, 0, 0.01, 0.1, 80)
# test with a contaminated data set (medium contamination)
launch_mcd_on_dataset(100, 5, 20, 0.01, 0.01, 70)
# test with a contaminated data set (strong contamination)
launch_mcd_on_dataset(100, 5, 40, 0.1, 0.1, 50)
# Medium data set
launch_mcd_on_dataset(1000, 5, 450, 0.1, 0.1, 540)
# Large data set
launch_mcd_on_dataset(1700, 5, 800, 0.1, 0.1, 870)
# 1D data set
launch_mcd_on_dataset(500, 1, 100, 0.001, 0.001, 350)
def test_fast_mcd_on_invalid_input():
X = np.arange(100)
assert_raise_message(ValueError, 'Expected 2D array, got 1D array instead',
fast_mcd, X)
def test_mcd_class_on_invalid_input():
X = np.arange(100)
mcd = MinCovDet()
assert_raise_message(ValueError, 'Expected 2D array, got 1D array instead',
mcd.fit, X)
def launch_mcd_on_dataset(n_samples, n_features, n_outliers, tol_loc, tol_cov,
tol_support):
rand_gen = np.random.RandomState(0)
data = rand_gen.randn(n_samples, n_features)
# add some outliers
outliers_index = rand_gen.permutation(n_samples)[:n_outliers]
outliers_offset = 10. * \
(rand_gen.randint(2, size=(n_outliers, n_features)) - 0.5)
data[outliers_index] += outliers_offset
inliers_mask = np.ones(n_samples).astype(bool)
inliers_mask[outliers_index] = False
pure_data = data[inliers_mask]
# compute MCD by fitting an object
mcd_fit = MinCovDet(random_state=rand_gen).fit(data)
T = mcd_fit.location_
S = mcd_fit.covariance_
H = mcd_fit.support_
# compare with the estimates learnt from the inliers
error_location = np.mean((pure_data.mean(0) - T) ** 2)
assert(error_location < tol_loc)
error_cov = np.mean((empirical_covariance(pure_data) - S) ** 2)
assert(error_cov < tol_cov)
assert(np.sum(H) >= tol_support)
assert_array_almost_equal(mcd_fit.mahalanobis(data), mcd_fit.dist_)
def test_mcd_issue1127():
# Check that the code does not break with X.shape = (3, 1)
# (i.e. n_support = n_samples)
rnd = np.random.RandomState(0)
X = rnd.normal(size=(3, 1))
mcd = MinCovDet()
mcd.fit(X)
def test_mcd_issue3367():
# Check that MCD completes when the covariance matrix is singular
# i.e. one of the rows and columns are all zeros
rand_gen = np.random.RandomState(0)
# Think of these as the values for X and Y -> 10 values between -5 and 5
data_values = np.linspace(-5, 5, 10).tolist()
# Get the cartesian product of all possible coordinate pairs from above set
data = np.array(list(itertools.product(data_values, data_values)))
# Add a third column that's all zeros to make our data a set of point
# within a plane, which means that the covariance matrix will be singular
data = np.hstack((data, np.zeros((data.shape[0], 1))))
# The below line of code should raise an exception if the covariance matrix
# is singular. As a further test, since we have points in XYZ, the
# principle components (Eigenvectors) of these directly relate to the
# geometry of the points. Since it's a plane, we should be able to test
# that the Eigenvector that corresponds to the smallest Eigenvalue is the
# plane normal, specifically [0, 0, 1], since everything is in the XY plane
# (as I've set it up above). To do this one would start by:
#
# evals, evecs = np.linalg.eigh(mcd_fit.covariance_)
# normal = evecs[:, np.argmin(evals)]
#
# After which we need to assert that our `normal` is equal to [0, 0, 1].
# Do note that there is floating point error associated with this, so it's
# best to subtract the two and then compare some small tolerance (e.g.
# 1e-12).
MinCovDet(random_state=rand_gen).fit(data)
def test_mcd_support_covariance_is_zero():
# Check that MCD returns a ValueError with informative message when the
# covariance of the support data is equal to 0.
X_1 = np.array([0.5, 0.1, 0.1, 0.1, 0.957, 0.1, 0.1, 0.1, 0.4285, 0.1])
X_1 = X_1.reshape(-1, 1)
X_2 = np.array([0.5, 0.3, 0.3, 0.3, 0.957, 0.3, 0.3, 0.3, 0.4285, 0.3])
X_2 = X_2.reshape(-1, 1)
msg = ('The covariance matrix of the support data is equal to 0, try to '
'increase support_fraction')
for X in [X_1, X_2]:
assert_raise_message(ValueError, msg, MinCovDet().fit, X)
def test_mcd_increasing_det_warning():
# Check that a warning is raised if we observe increasing determinants
# during the c_step. In theory the sequence of determinants should be
# decreasing. Increasing determinants are likely due to ill-conditioned
# covariance matrices that result in poor precision matrices.
X = [[5.1, 3.5, 1.4, 0.2],
[4.9, 3.0, 1.4, 0.2],
[4.7, 3.2, 1.3, 0.2],
[4.6, 3.1, 1.5, 0.2],
[5.0, 3.6, 1.4, 0.2],
[4.6, 3.4, 1.4, 0.3],
[5.0, 3.4, 1.5, 0.2],
[4.4, 2.9, 1.4, 0.2],
[4.9, 3.1, 1.5, 0.1],
[5.4, 3.7, 1.5, 0.2],
[4.8, 3.4, 1.6, 0.2],
[4.8, 3.0, 1.4, 0.1],
[4.3, 3.0, 1.1, 0.1],
[5.1, 3.5, 1.4, 0.3],
[5.7, 3.8, 1.7, 0.3],
[5.4, 3.4, 1.7, 0.2],
[4.6, 3.6, 1.0, 0.2],
[5.0, 3.0, 1.6, 0.2],
[5.2, 3.5, 1.5, 0.2]]
mcd = MinCovDet(random_state=1)
assert_warns_message(RuntimeWarning,
"Determinant has increased",
mcd.fit, X)
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