FastICA.cpp

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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) 2013 Kevin Hughes
 * ported from scikit-learn
 */

#include <shogun/converter/ica/FastICA.h>

#include <shogun/features/DenseFeatures.h>

#ifdef HAVE_EIGEN3

#include <shogun/mathematics/Math.h>
#include <shogun/mathematics/eigen3.h>

using namespace shogun;
using namespace Eigen;

namespace {

    MatrixXd sym_decorrelation(MatrixXd W)
    {
        MatrixXd K = W * W.transpose();

        SelfAdjointEigenSolver<MatrixXd> eig;
        eig.compute(K);

        return ((eig.eigenvectors() * eig.eigenvalues().cwiseSqrt().asDiagonal().inverse()) * eig.eigenvectors().transpose()) * W;
    }

    float64_t alpha = 1.0; // alpha must be in range [1.0 - 2.0]

    float64_t gx(float64_t x)
    {
        return CMath::tanh(x*alpha);
    }

    float64_t g_x(float64_t x)
    {
        return alpha * (1.0 - pow(gx(x),2));
    }

};

CFastICA::CFastICA() : CICAConverter()
{
    init();
}

void CFastICA::init()
{
    whiten = true;
    SG_ADD(&whiten, "whiten", "flag indicating whether to whiten the data", MS_NOT_AVAILABLE);
}

CFastICA::~CFastICA()
{
}

void CFastICA::set_whiten(bool _whiten)
{
    whiten = _whiten;
}

bool CFastICA::get_whiten() const
{
    return whiten;
}

CFeatures* CFastICA::apply(CFeatures* features)
{
    ASSERT(features);
    SG_REF(features);

    SGMatrix<float64_t> X = ((CDenseFeatures<float64_t>*)features)->get_feature_matrix();

    int n = X.num_rows;
    int p = X.num_cols;
    int m = n;

    Map<MatrixXd> EX(X.matrix,n,p);

    // Whiten
    MatrixXd K;
    MatrixXd WX;
    if (whiten)
    {
        VectorXd mean = (EX.rowwise().sum() / (float64_t)p);
        MatrixXd SPX = EX.colwise() - mean;

        Eigen::JacobiSVD<MatrixXd> svd;
        svd.compute(SPX, Eigen::ComputeThinU);

        MatrixXd u = svd.matrixU();
        MatrixXd d = svd.singularValues();

        // for matching numpy/scikit-learn
        //u.rightCols(u.cols() - 1) *= -1;

        // see Hyvarinen (6.33) p.140
        K = u.transpose();
        for (int r = 0; r < K.rows(); r++)
            K.row(r) /= d(r);

        // see Hyvarinen (13.6) p.267 Here WX is white and data
        // in X has been projected onto a subspace by PCA
        WX = K * SPX;
        WX *= CMath::sqrt((float64_t)p);
    }
    else
    {
        WX = EX;
    }

    // Initial mixing matrix estimate
    if (m_mixing_matrix.num_rows != m || m_mixing_matrix.num_cols != m)
    {
        m_mixing_matrix = SGMatrix<float64_t>(m,m);

        for (int i = 0; i < m; i++)
        {
            for (int j = 0; j < m; j++)
                m_mixing_matrix(i,j) = CMath::randn_double();
        }
    }

    Map<MatrixXd> W(m_mixing_matrix.matrix, m, m);

    W = sym_decorrelation(W);

    int iter = 0;
    float64_t lim = tol+1;
    while (lim > tol && iter < max_iter)
    {
        MatrixXd wtx = W * WX;

        MatrixXd gwtx = wtx.unaryExpr(std::ptr_fun(&gx));
        MatrixXd g_wtx = wtx.unaryExpr(std::ptr_fun(&g_x));

        MatrixXd W1 = (gwtx * WX.transpose()) / (float64_t)p - (g_wtx.rowwise().sum()/(float64_t)p).asDiagonal() * W;

        W1 = sym_decorrelation(W1);

        lim = ((W1 * W.transpose()).diagonal().cwiseAbs().array() - 1).abs().maxCoeff();

        W = W1;

        iter++;
    }

    // Unmix
    if (whiten)
        W = (W*K);

    EX = W * EX;

    // set m_mixing_matrix
    W = W.inverse();

    return features;
}

#endif // HAVE_EIGEN3