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use std::f32;
use linxal::prelude::*;
use ndarray::prelude::*;
use ndarray::{Data, Ix2};
use model::{Matrix, Vector};
#[derive(Debug)]
pub enum PCAError {
BadSVD(SVDError),
BadTarget
}
pub enum PCATarget {
Dimension(usize),
ExplainedVariance(f32)
}
fn validate_target(target: &PCATarget, data_dim: usize) -> bool {
match *target {
PCATarget::Dimension(n) => n <= data_dim ,
PCATarget::ExplainedVariance(p) => (0.0 < p) && (p <= 1.0)
}
}
fn num_eigenvectors(target: &PCATarget, eig: &[f32]) -> usize {
match target {
&PCATarget::Dimension(n) => n,
&PCATarget::ExplainedVariance(p) => {
let total_var = eig.iter().map(|v: &f32| *v * *v).sum::<f32>();
let mut explained_var = 0.0;
let n = eig.len();
for i in 0..n {
explained_var += eig[i] * eig[i];
if explained_var / total_var >= p {
return i+1
}
}
n
}
}
}
fn mean_adjusted<D1, D2>(m: &ArrayBase<D1, Ix2>, mean: &ArrayBase<D2, Ix>) -> Matrix<f32>
where D1: Data<Elem=f32>, D2: Data<Elem=f32> {
let copy = m.to_owned();
copy - mean
}
pub struct PCA {
eigenvectors: Matrix<f32>,
mean: Vector<f32>,
}
enum PCAMethod {
SVD,
CovarSVD
}
impl PCA {
pub fn new(data: &Matrix<f32>, target: PCATarget) -> Result<PCA, PCAError> {
if !validate_target(&target, data.cols()) {
return Err(PCAError::BadTarget);
}
let method = if data.rows() <= 200000 {
PCAMethod::SVD
} else {
PCAMethod::CovarSVD
};
let mean: Vector<f32> = data.mean(Axis(0));
let mean_adjusted_data = mean_adjusted(data, &mean);
let a = match method {
PCAMethod::CovarSVD => {
let d = data.cols();
let mut covar: Matrix<f32> = Matrix::zeros((d, d));
for row in mean_adjusted_data.outer_iter() {
for i in 0..d {
for j in 0.. d {
covar[[i, j]] += row[i] * row[j];
}
}
}
println!("Covar: {:?}", covar);
let val2 = SymEigen::compute_mut(&mut covar, Symmetric::Upper, true).ok().unwrap();
let eigenvalues = val2.iter().map(|v| { v.sqrt() }).collect::<Vec<f32>>();
(eigenvalues, covar)
},
PCAMethod::SVD => {
println!("Taking svd of matrix, size {:?}", mean_adjusted_data.dim());
match SVD::compute_into(mean_adjusted_data, false, true) {
Ok(solution) => (solution.values.iter().cloned().collect(), solution.right_vectors.unwrap()),
Err(e) => return Err(PCAError::BadSVD(e))
}
}
};
let (eigenvalues, mut vec) = a;
let k = num_eigenvectors(&target, &eigenvalues);
let ev_subset = vec.view_mut().reversed_axes().split_at(Axis(1), k).0.to_owned();
Ok( PCA { eigenvectors: ev_subset, mean: mean })
}
pub fn transform_data<D>(&self, data: &ArrayBase<D, Ix2>) -> Matrix<f32> where D: Data<Elem=f32> {
mean_adjusted(data, &self.mean).dot(&self.eigenvectors)
}
pub fn transform_datum<D>(&self, datum: &ArrayBase<D, Ix>) -> Vector<f32> where D: Data<Elem=f32> {
let v: Vector<f32> = datum - &self.mean;
self.eigenvectors.t().dot(&v)
}
pub fn reconstruct_datum(&self, datum: &Vector<f32>) -> Vector<f32> {
self.eigenvectors.dot(datum) + &self.mean
}
pub fn reconstruct_datum_partial(&self, datum: &Vector<f32>, dim: usize) -> Vector<f32> {
assert!(dim <= self.dim());
println!("EV; {:?}", self.eigenvectors.dim());
let m = self.eigenvectors.view().split_at(Axis(1), dim).0;
println!("EV sub: {:?}", m.dim());
let v = datum.view().split_at(Axis(0), dim).0;
println!("V sub: {:?}", v.dim());
m.dot(&v) + &self.mean
}
pub fn eigenvectors(&self) -> &Matrix<f32> {
&self.eigenvectors
}
pub fn dim(&self) -> usize {
self.eigenvectors.cols()
}
}
#[test]
fn variance_eig_test()
{
let e: Vec<f32> = [0.4, 0.3, 0.2, 0.1].iter().map(|x| (*x as f32).sqrt()).collect();
let eig: Vector<f32> = Vector::new(e);
assert_eq!(num_eigenvectors(&PCATarget::ExplainedVariance(0.5), &eig.data()), 2);
assert_eq!(num_eigenvectors(&PCATarget::ExplainedVariance(0.8), &eig.data()), 3);
assert_eq!(num_eigenvectors(&PCATarget::ExplainedVariance(0.85), &eig.data()), 3);
assert_eq!(num_eigenvectors(&PCATarget::ExplainedVariance(0.91), &eig.data()), 4);
}