PCA.h

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Written (W) 1999-2008 Gunnar Raetsch
 * Written (W) 1999-2008,2011 Soeren Sonnenburg
 * Written (W) 2014 Parijat Mazumdar
 * Copyright (C) 1999-2009 Fraunhofer Institute FIRST and Max-Planck-Society
 * Copyright (C) 2011 Berlin Institute of Technology
 */

#ifndef PCA_H_
#define PCA_H_

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3
#include <shogun/preprocessor/DimensionReductionPreprocessor.h>
#include <shogun/features/Features.h>
#include <shogun/lib/common.h>

namespace shogun
{
enum EPCAMethod
{
    AUTO = 10,
    SVD = 20,
    EVD = 30
};

enum EPCAMode
{
    THRESHOLD,
    VARIANCE_EXPLAINED,
    FIXED_NUMBER
};

enum EPCAMemoryMode
{
    MEM_REALLOCATE,
    MEM_IN_PLACE
};

class CPCA: public CDimensionReductionPreprocessor
{
    public:

        CPCA(bool do_whitening=false, EPCAMode mode=FIXED_NUMBER, float64_t thresh=1e-6,
                    EPCAMethod method=AUTO, EPCAMemoryMode mem_mode=MEM_REALLOCATE);

        CPCA(EPCAMethod method, bool do_whitening=false, EPCAMemoryMode mem=MEM_REALLOCATE);

        virtual ~CPCA();

        virtual bool init(CFeatures* features);

        virtual void cleanup();

        virtual SGMatrix<float64_t> apply_to_feature_matrix(CFeatures* features);

        virtual SGVector<float64_t> apply_to_feature_vector(SGVector<float64_t> vector);

        SGMatrix<float64_t> get_transformation_matrix();

        SGVector<float64_t> get_eigenvalues();

        SGVector<float64_t> get_mean();

        virtual const char* get_name() const { return "PCA"; }

        virtual EPreprocessorType get_type() const { return P_PCA; }

        EPCAMemoryMode get_memory_mode() const;

        void set_memory_mode(EPCAMemoryMode e);

        void set_eigenvalue_zero_tolerance(float64_t eigenvalue_zero_tolerance=1e-15);

        float64_t get_eigenvalue_zero_tolerance() const;

    protected:

        void init();

    protected:

        SGMatrix<float64_t> m_transformation_matrix;
        int32_t num_dim;
        int32_t num_old_dim;
        SGVector<float64_t> m_mean_vector;
        SGVector<float64_t> m_eigenvalues_vector;
        bool m_initialized;
        bool m_whitening;
        EPCAMode m_mode;
        float64_t m_thresh;
        EPCAMemoryMode m_mem_mode;
        EPCAMethod m_method;
        float64_t m_eigenvalue_zero_tolerance;
};
}
#endif // HAVE_EIGEN3
#endif // PCA_H_