218 lines
6.9 KiB
Python
218 lines
6.9 KiB
Python
"""
|
|
Quadratic Discriminant Analysis
|
|
"""
|
|
|
|
# Author: Matthieu Perrot <matthieu.perrot@gmail.com>
|
|
#
|
|
# License: BSD Style.
|
|
|
|
import warnings
|
|
|
|
import numpy as np
|
|
import scipy.ndimage as ndimage
|
|
|
|
from .base import BaseEstimator, ClassifierMixin
|
|
|
|
|
|
# FIXME :
|
|
# - in fit(X, y) method, many checks are common with other models
|
|
# (in particular LDA model) and should be factorized:
|
|
# maybe in BaseEstimator ?
|
|
|
|
class QDA(BaseEstimator, ClassifierMixin):
|
|
"""
|
|
Quadratic Discriminant Analysis (QDA)
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
Training vector, where n_samples in the number of samples and
|
|
n_features is the number of features.
|
|
y : array, shape = [n_samples]
|
|
Target vector relative to X
|
|
|
|
priors : array, optional, shape = [n_classes]
|
|
Priors on classes
|
|
|
|
Attributes
|
|
----------
|
|
`means_` : array-like, shape = [n_classes, n_features]
|
|
Class means
|
|
`priors_` : array-like, shape = [n_classes]
|
|
Class priors (sum to 1)
|
|
`covariances_` : list of array-like, shape = [n_features, n_features]
|
|
Covariance matrices of each class
|
|
|
|
Examples
|
|
--------
|
|
>>> from sklearn.qda import QDA
|
|
>>> import numpy as np
|
|
>>> X = np.array([[-1, -1], [-2, -1], [-3, -2], [1, 1], [2, 1], [3, 2]])
|
|
>>> y = np.array([1, 1, 1, 2, 2, 2])
|
|
>>> clf = QDA()
|
|
>>> clf.fit(X, y)
|
|
QDA(priors=None)
|
|
>>> print clf.predict([[-0.8, -1]])
|
|
[1]
|
|
|
|
See also
|
|
--------
|
|
LDA
|
|
"""
|
|
|
|
def __init__(self, priors=None):
|
|
self.priors = np.asarray(priors) if priors is not None else None
|
|
|
|
def fit(self, X, y, store_covariances=False, tol=1.0e-4):
|
|
"""
|
|
Fit the QDA model according to the given training data and parameters.
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
Training vector, where n_samples in the number of samples and
|
|
n_features is the number of features.
|
|
y : array, shape = [n_samples]
|
|
Target values (integers)
|
|
store_covariances : boolean
|
|
If True the covariance matrices are computed and stored in the
|
|
self.covariances_ attribute.
|
|
"""
|
|
X = np.asanyarray(X)
|
|
y = np.asanyarray(y)
|
|
if X.ndim != 2:
|
|
raise ValueError('X must be a 2D array')
|
|
if X.shape[0] != y.shape[0]:
|
|
raise ValueError(
|
|
'Incompatible shapes: X has %s samples, while y '
|
|
'has %s' % (X.shape[0], y.shape[0]))
|
|
if y.dtype.char.lower() not in ('b', 'h', 'i'):
|
|
# We need integer values to be able to use
|
|
# ndimage.measurements and np.bincount on numpy >= 2.0.
|
|
# We currently support (u)int8, (u)int16 and (u)int32.
|
|
# Note that versions of scipy >= 0.8 can also accept
|
|
# (u)int64. We however don't support it for backwards
|
|
# compatibility.
|
|
y = y.astype(np.int32)
|
|
n_samples, n_features = X.shape
|
|
classes = np.unique(y)
|
|
n_classes = classes.size
|
|
if n_classes < 2:
|
|
raise ValueError('y has less than 2 classes')
|
|
classes_indices = [(y == c).ravel() for c in classes]
|
|
if self.priors is None:
|
|
counts = np.array(ndimage.measurements.sum(
|
|
np.ones(n_samples, dtype=y.dtype), y, index=classes))
|
|
self.priors_ = counts / float(n_samples)
|
|
else:
|
|
self.priors_ = self.priors
|
|
|
|
cov = None
|
|
if store_covariances:
|
|
cov = []
|
|
means = []
|
|
scalings = []
|
|
rotations = []
|
|
for group_indices in classes_indices:
|
|
Xg = X[group_indices, :]
|
|
meang = Xg.mean(0)
|
|
means.append(meang)
|
|
Xgc = Xg - meang
|
|
# Xgc = U * S * V.T
|
|
U, S, Vt = np.linalg.svd(Xgc, full_matrices=False)
|
|
rank = np.sum(S > tol)
|
|
if rank < n_features:
|
|
warnings.warn("Variables are collinear")
|
|
S2 = (S ** 2) / (len(Xg) - 1)
|
|
if store_covariances:
|
|
# cov = V * (S^2 / (n-1)) * V.T
|
|
cov.append(np.dot(S2 * Vt.T, Vt))
|
|
scalings.append(S2)
|
|
rotations.append(Vt.T)
|
|
if store_covariances:
|
|
self.covariances_ = cov
|
|
self.means_ = np.asarray(means)
|
|
self.scalings = np.asarray(scalings)
|
|
self.rotations = rotations
|
|
self.classes = classes
|
|
return self
|
|
|
|
def decision_function(self, X):
|
|
"""Apply decision function to an array of samples.
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
Array of samples (test vectors).
|
|
|
|
Returns
|
|
-------
|
|
C : array, shape = [n_samples, n_classes]
|
|
Decision function values related to each class, per sample.
|
|
"""
|
|
X = np.asanyarray(X)
|
|
norm2 = []
|
|
for i in range(len(self.classes)):
|
|
R = self.rotations[i]
|
|
S = self.scalings[i]
|
|
Xm = X - self.means_[i]
|
|
X2 = np.dot(Xm, R * (S ** (-0.5)))
|
|
norm2.append(np.sum(X2 ** 2, 1))
|
|
norm2 = np.array(norm2).T # shape = [len(X), n_classes]
|
|
return (-0.5 * (norm2 + np.sum(np.log(self.scalings), 1))
|
|
+ np.log(self.priors_))
|
|
|
|
def predict(self, X):
|
|
"""Perform classification on an array of test vectors X.
|
|
|
|
The predicted class C for each sample in X is returned.
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
|
|
Returns
|
|
-------
|
|
C : array, shape = [n_samples]
|
|
"""
|
|
d = self.decision_function(X)
|
|
y_pred = self.classes[d.argmax(1)]
|
|
return y_pred
|
|
|
|
def predict_proba(self, X):
|
|
"""Return posterior probabilities of classification.
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
Array of samples/test vectors.
|
|
|
|
Returns
|
|
-------
|
|
C : array, shape = [n_samples, n_classes]
|
|
Posterior probabilities of classification per class.
|
|
"""
|
|
values = self.decision_function(X)
|
|
# compute the likelihood of the underlying gaussian models
|
|
# up to a multiplicative constant.
|
|
likelihood = np.exp(values - values.min(axis=1)[:, np.newaxis])
|
|
# compute posterior probabilities
|
|
return likelihood / likelihood.sum(axis=1)[:, np.newaxis]
|
|
|
|
def predict_log_proba(self, X):
|
|
"""Return posterior probabilities of classification.
|
|
|
|
Parameters
|
|
----------
|
|
X : array-like, shape = [n_samples, n_features]
|
|
Array of samples/test vectors.
|
|
|
|
Returns
|
|
-------
|
|
C : array, shape = [n_samples, n_classes]
|
|
Posterior log-probabilities of classification per class.
|
|
"""
|
|
# XXX : can do better to avoid precision overflows
|
|
probas_ = self.predict_proba(X)
|
|
return np.log(probas_)
|