457 lines
13 KiB
Python
457 lines
13 KiB
Python
"""
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Extended math utilities.
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"""
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# Authors: G. Varoquaux, A. Gramfort, A. Passos, O. Grisel
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# License: BSD
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import warnings
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import numpy as np
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from scipy import linalg
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from . import check_random_state
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from .fixes import qr_economic
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def norm(v):
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v = np.asarray(v)
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__nrm2, = linalg.get_blas_funcs(['nrm2'], [v])
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return __nrm2(v)
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def _fast_logdet(A):
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"""Compute log(det(A)) for A symmetric
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Equivalent to : np.log(np.linalg.det(A)) but more robust.
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It returns -Inf if det(A) is non positive or is not defined.
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"""
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# XXX: Should be implemented as in numpy, using ATLAS
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# http://projects.scipy.org/numpy/browser/ \
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# trunk/numpy/linalg/linalg.py#L1559
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ld = np.sum(np.log(np.diag(A)))
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a = np.exp(ld / A.shape[0])
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d = np.linalg.det(A / a)
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ld += np.log(d)
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if not np.isfinite(ld):
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return -np.inf
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return ld
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def _fast_logdet_numpy(A):
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"""Compute log(det(A)) for A symmetric
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Equivalent to : np.log(nl.det(A)) but more robust.
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It returns -Inf if det(A) is non positive or is not defined.
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"""
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sign, ld = np.linalg.slogdet(A)
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if not sign > 0:
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return -np.inf
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return ld
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# Numpy >= 1.5 provides a fast logdet
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if hasattr(np.linalg, 'slogdet'):
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fast_logdet = _fast_logdet_numpy
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else:
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fast_logdet = _fast_logdet
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def density(w, **kwargs):
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"""Compute density of a sparse vector
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Return a value between 0 and 1
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"""
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if hasattr(w, "toarray"):
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d = float(w.nnz) / (w.shape[0] * w.shape[1])
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else:
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d = 0 if w is None else float((w != 0).sum()) / w.size
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return d
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def safe_sparse_dot(a, b, dense_output=False):
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"""Dot product that handle the sparse matrix case correctly"""
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from scipy import sparse
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if sparse.issparse(a) or sparse.issparse(b):
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ret = a * b
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if dense_output and hasattr(ret, "toarray"):
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ret = ret.toarray()
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return ret
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else:
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return np.dot(a, b)
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def randomized_range_finder(A, size, n_iter, random_state=None,
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n_iterations=None):
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"""Computes an orthonormal matrix whose range approximates the range of A.
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Parameters
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----------
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A: 2D array
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The input data matrix
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size: integer
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Size of the return array
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n_iter: integer
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Number of power iterations used to stabilize the result
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random_state: RandomState or an int seed (0 by default)
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A random number generator instance
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Returns
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-------
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Q: 2D array
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A (size x size) projection matrix, the range of which
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approximates well the range of the input matrix A.
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Notes
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-----
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Follows Algorithm 4.3 of
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Finding structure with randomness: Stochastic algorithms for constructing
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approximate matrix decompositions
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Halko, et al., 2009 (arXiv:909) http://arxiv.org/pdf/0909.4061
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"""
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if n_iterations is not None:
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warnings.warn("n_iterations was renamed to n_iter for consistency "
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"and will be removed in 0.16.", DeprecationWarning)
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n_iter = n_iterations
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random_state = check_random_state(random_state)
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# generating random gaussian vectors r with shape: (A.shape[1], size)
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R = random_state.normal(size=(A.shape[1], size))
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# sampling the range of A using by linear projection of r
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Y = safe_sparse_dot(A, R)
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del R
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# perform power iterations with Y to further 'imprint' the top
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# singular vectors of A in Y
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for i in xrange(n_iter):
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Y = safe_sparse_dot(A, safe_sparse_dot(A.T, Y))
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# extracting an orthonormal basis of the A range samples
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Q, R = qr_economic(Y)
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return Q
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def randomized_svd(M, n_components, n_oversamples=10, n_iter=0,
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transpose='auto', flip_sign=True, random_state=0,
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n_iterations=None):
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"""Computes a truncated randomized SVD
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Parameters
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----------
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M: ndarray or sparse matrix
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Matrix to decompose
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n_components: int
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Number of singular values and vectors to extract.
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n_oversamples: int (default is 10)
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Additional number of random vectors to sample the range of M so as
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to ensure proper conditioning. The total number of random vectors
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used to find the range of M is n_components + n_oversamples.
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n_iter: int (default is 0)
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Number of power iterations (can be used to deal with very noisy
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problems).
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transpose: True, False or 'auto' (default)
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Whether the algorithm should be applied to M.T instead of M. The
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result should approximately be the same. The 'auto' mode will
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trigger the transposition if M.shape[1] > M.shape[0] since this
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implementation of randomized SVD tend to be a little faster in that
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case).
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flip_sign: boolean, (True by default)
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The output of a singular value decomposition is only unique up to a
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permutation of the signs of the singular vectors. If `flip_sign` is
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set to `True`, the sign ambiguity is resolved by making the largest
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loadings for each component in the left singular vectors positive.
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random_state: RandomState or an int seed (0 by default)
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A random number generator instance to make behavior
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Notes
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-----
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This algorithm finds a (usually very good) approximate truncated
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singular value decomposition using randomization to speed up the
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computations. It is particularly fast on large matrices on which
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you wish to extract only a small number of components.
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References
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----------
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* Finding structure with randomness: Stochastic algorithms for constructing
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approximate matrix decompositions
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Halko, et al., 2009 http://arxiv.org/abs/arXiv:0909.4061
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* A randomized algorithm for the decomposition of matrices
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Per-Gunnar Martinsson, Vladimir Rokhlin and Mark Tygert
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"""
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if n_iterations is not None:
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warnings.warn("n_iterations was renamed to n_iter for consistency "
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"and will be removed in 0.16.", DeprecationWarning)
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n_iter = n_iterations
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random_state = check_random_state(random_state)
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n_random = n_components + n_oversamples
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n_samples, n_features = M.shape
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if transpose == 'auto' and n_samples > n_features:
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transpose = True
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if transpose:
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# this implementation is a bit faster with smaller shape[1]
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M = M.T
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Q = randomized_range_finder(M, n_random, n_iter, random_state)
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# project M to the (k + p) dimensional space using the basis vectors
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B = safe_sparse_dot(Q.T, M)
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# compute the SVD on the thin matrix: (k + p) wide
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Uhat, s, V = linalg.svd(B, full_matrices=False)
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del B
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U = np.dot(Q, Uhat)
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if flip_sign:
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U, s, V = svd_flip(U, s, V)
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if transpose:
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# transpose back the results according to the input convention
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return V[:n_components, :].T, s[:n_components], U[:, :n_components].T
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else:
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return U[:, :n_components], s[:n_components], V[:n_components, :]
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def logsumexp(arr, axis=0):
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"""Computes the sum of arr assuming arr is in the log domain.
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Returns log(sum(exp(arr))) while minimizing the possibility of
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over/underflow.
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Examples
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--------
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>>> import numpy as np
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>>> from sklearn.utils.extmath import logsumexp
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>>> a = np.arange(10)
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>>> np.log(np.sum(np.exp(a)))
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9.4586297444267107
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>>> logsumexp(a)
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9.4586297444267107
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"""
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arr = np.rollaxis(arr, axis)
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# Use the max to normalize, as with the log this is what accumulates
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# the less errors
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vmax = arr.max(axis=0)
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out = np.log(np.sum(np.exp(arr - vmax), axis=0))
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out += vmax
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return out
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def weighted_mode(a, w, axis=0):
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"""Returns an array of the weighted modal (most common) value in a
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If there is more than one such value, only the first is returned.
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The bin-count for the modal bins is also returned.
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This is an extension of the algorithm in scipy.stats.mode.
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Parameters
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----------
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a : array_like
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n-dimensional array of which to find mode(s).
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w : array_like
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n-dimensional array of weights for each value
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axis : int, optional
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Axis along which to operate. Default is 0, i.e. the first axis.
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Returns
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-------
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vals : ndarray
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Array of modal values.
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score : ndarray
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Array of weighted counts for each mode.
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Examples
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--------
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>>> from sklearn.utils.extmath import weighted_mode
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>>> x = [4, 1, 4, 2, 4, 2]
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>>> weights = [1, 1, 1, 1, 1, 1]
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>>> weighted_mode(x, weights)
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(array([ 4.]), array([ 3.]))
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The value 4 appears three times: with uniform weights, the result is
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simply the mode of the distribution.
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>>> weights = [1, 3, 0.5, 1.5, 1, 2] # deweight the 4's
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>>> weighted_mode(x, weights)
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(array([ 2.]), array([ 3.5]))
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The value 2 has the highest score: it appears twice with weights of
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1.5 and 2: the sum of these is 3.
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See Also
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--------
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scipy.stats.mode
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"""
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if axis is None:
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a = np.ravel(a)
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w = np.ravel(w)
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axis = 0
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else:
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a = np.asarray(a)
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w = np.asarray(w)
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axis = axis
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if a.shape != w.shape:
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w = np.zeros(a.shape, dtype=w.dtype) + w
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scores = np.unique(np.ravel(a)) # get ALL unique values
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testshape = list(a.shape)
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testshape[axis] = 1
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oldmostfreq = np.zeros(testshape)
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oldcounts = np.zeros(testshape)
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for score in scores:
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template = np.zeros(a.shape)
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ind = (a == score)
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template[ind] = w[ind]
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counts = np.expand_dims(np.sum(template, axis), axis)
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mostfrequent = np.where(counts > oldcounts, score, oldmostfreq)
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oldcounts = np.maximum(counts, oldcounts)
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oldmostfreq = mostfrequent
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return mostfrequent, oldcounts
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def pinvh(a, cond=None, rcond=None, lower=True):
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"""Compute the (Moore-Penrose) pseudo-inverse of a hermetian matrix.
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Calculate a generalized inverse of a symmetric matrix using its
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eigenvalue decomposition and including all 'large' eigenvalues.
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Parameters
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----------
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a : array, shape (N, N)
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Real symmetric or complex hermetian matrix to be pseudo-inverted
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cond, rcond : float or None
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Cutoff for 'small' eigenvalues.
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Singular values smaller than rcond * largest_eigenvalue are considered
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zero.
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If None or -1, suitable machine precision is used.
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lower : boolean
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Whether the pertinent array data is taken from the lower or upper
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triangle of a. (Default: lower)
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Returns
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-------
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B : array, shape (N, N)
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Raises
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------
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LinAlgError
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If eigenvalue does not converge
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Examples
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--------
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>>> from numpy import *
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>>> a = random.randn(9, 6)
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>>> a = np.dot(a, a.T)
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>>> B = pinvh(a)
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>>> allclose(a, dot(a, dot(B, a)))
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True
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>>> allclose(B, dot(B, dot(a, B)))
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True
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"""
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a = np.asarray_chkfinite(a)
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s, u = linalg.eigh(a, lower=lower)
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if rcond is not None:
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cond = rcond
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if cond in [None, -1]:
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t = u.dtype.char.lower()
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factor = {'f': 1E3, 'd': 1E6}
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cond = factor[t] * np.finfo(t).eps
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# unlike svd case, eigh can lead to negative eigenvalues
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above_cutoff = (abs(s) > cond * np.max(abs(s)))
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psigma_diag = np.zeros_like(s)
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psigma_diag[above_cutoff] = 1.0 / s[above_cutoff]
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return np.dot(u * psigma_diag, np.conjugate(u).T)
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def cartesian(arrays, out=None):
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"""Generate a cartesian product of input arrays.
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Parameters
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----------
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arrays : list of array-like
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1-D arrays to form the cartesian product of.
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out : ndarray
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Array to place the cartesian product in.
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Returns
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-------
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out : ndarray
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2-D array of shape (M, len(arrays)) containing cartesian products
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formed of input arrays.
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Examples
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--------
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>>> cartesian(([1, 2, 3], [4, 5], [6, 7]))
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array([[1, 4, 6],
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[1, 4, 7],
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[1, 5, 6],
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[1, 5, 7],
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[2, 4, 6],
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[2, 4, 7],
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[2, 5, 6],
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[2, 5, 7],
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[3, 4, 6],
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[3, 4, 7],
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[3, 5, 6],
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[3, 5, 7]])
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References
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----------
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http://stackoverflow.com/questions/1208118/using-numpy-to-build-an-array-of-all-combinations-of-two-arrays
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"""
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arrays = [np.asarray(x).ravel() for x in arrays]
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dtype = arrays[0].dtype
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n = np.prod([x.size for x in arrays])
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if out is None:
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out = np.empty([n, len(arrays)], dtype=dtype)
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m = n / arrays[0].size
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out[:, 0] = np.repeat(arrays[0], m)
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if arrays[1:]:
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cartesian(arrays[1:], out=out[0:m, 1:])
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for j in xrange(1, arrays[0].size):
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out[j * m:(j + 1) * m, 1:] = out[0:m, 1:]
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return out
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def svd_flip(u, s, v):
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"""Sign correction to ensure deterministic output from SVD
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Adjusts the columns of u and the rows of v such that the loadings in the
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columns in u that are largest in absolute value are always positive.
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Parameters
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----------
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u, s, v: arrays,
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The output of `linalg.svd` or `sklearn.utils.extmath.randomized_svd`,
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with matching inner dimensions so one can compute `np.dot(u * s, v)`.
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Returns
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-------
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u_adjusted, s, v_adjusted: arrays with the same dimensions as the input.
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"""
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max_abs_cols = np.argmax(np.abs(u), axis=0)
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signs = np.sign(u[max_abs_cols, xrange(u.shape[1])])
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u *= signs
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v *= signs[:, np.newaxis]
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return u, s, v
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