594 lines
19 KiB
Python
594 lines
19 KiB
Python
""" Non-negative matrix factorization
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"""
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# Author: Vlad Niculae
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# Lars Buitinck <L.J.Buitinck@uva.nl>
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# Author: Chih-Jen Lin, National Taiwan University (original projected gradient
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# NMF implementation)
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# Author: Anthony Di Franco (original Python and NumPy port)
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# License: BSD 3 clause
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from __future__ import division
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from math import sqrt
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import warnings
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import numbers
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import numpy as np
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import scipy.sparse as sp
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from scipy.optimize import nnls
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from ..base import BaseEstimator, TransformerMixin
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from ..utils import atleast2d_or_csr, check_random_state, check_arrays
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from ..utils.extmath import randomized_svd, safe_sparse_dot
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def safe_vstack(Xs):
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if any(sp.issparse(X) for X in Xs):
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return sp.vstack(Xs)
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else:
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return np.vstack(Xs)
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def norm(x):
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"""Dot product-based Euclidean norm implementation
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See: http://fseoane.net/blog/2011/computing-the-vector-norm/
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"""
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x = x.ravel()
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return np.sqrt(np.dot(x, x))
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def trace_dot(X, Y):
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"""Trace of np.dot(X, Y.T)."""
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return np.dot(X.ravel(), Y.ravel())
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def _sparseness(x):
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"""Hoyer's measure of sparsity for a vector"""
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sqrt_n = np.sqrt(len(x))
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return (sqrt_n - np.linalg.norm(x, 1) / norm(x)) / (sqrt_n - 1)
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def check_non_negative(X, whom):
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X = X.data if sp.issparse(X) else X
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if (X < 0).any():
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raise ValueError("Negative values in data passed to %s" % whom)
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def _initialize_nmf(X, n_components, variant=None, eps=1e-6,
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random_state=None):
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"""NNDSVD algorithm for NMF initialization.
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Computes a good initial guess for the non-negative
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rank k matrix approximation for X: X = WH
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Parameters
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----------
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X : array, [n_samples, n_features]
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The data matrix to be decomposed.
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n_components : array, [n_components, n_features]
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The number of components desired in the approximation.
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variant : None | 'a' | 'ar'
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The variant of the NNDSVD algorithm.
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Accepts None, 'a', 'ar'
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None: leaves the zero entries as zero
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'a': Fills the zero entries with the average of X
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'ar': Fills the zero entries with standard normal random variates.
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Default: None
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eps: float
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Truncate all values less then this in output to zero.
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random_state : numpy.RandomState | int, optional
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The generator used to fill in the zeros, when using variant='ar'
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Default: numpy.random
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Returns
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-------
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(W, H) :
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Initial guesses for solving X ~= WH such that
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the number of columns in W is n_components.
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Remarks
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-------
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This implements the algorithm described in
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C. Boutsidis, E. Gallopoulos: SVD based
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initialization: A head start for nonnegative
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matrix factorization - Pattern Recognition, 2008
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http://tinyurl.com/nndsvd
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"""
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check_non_negative(X, "NMF initialization")
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if variant not in (None, 'a', 'ar'):
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raise ValueError("Invalid variant name")
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U, S, V = randomized_svd(X, n_components)
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W, H = np.zeros(U.shape), np.zeros(V.shape)
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# The leading singular triplet is non-negative
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# so it can be used as is for initialization.
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W[:, 0] = np.sqrt(S[0]) * np.abs(U[:, 0])
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H[0, :] = np.sqrt(S[0]) * np.abs(V[0, :])
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for j in range(1, n_components):
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x, y = U[:, j], V[j, :]
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# extract positive and negative parts of column vectors
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x_p, y_p = np.maximum(x, 0), np.maximum(y, 0)
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x_n, y_n = np.abs(np.minimum(x, 0)), np.abs(np.minimum(y, 0))
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# and their norms
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x_p_nrm, y_p_nrm = norm(x_p), norm(y_p)
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x_n_nrm, y_n_nrm = norm(x_n), norm(y_n)
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m_p, m_n = x_p_nrm * y_p_nrm, x_n_nrm * y_n_nrm
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# choose update
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if m_p > m_n:
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u = x_p / x_p_nrm
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v = y_p / y_p_nrm
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sigma = m_p
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else:
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u = x_n / x_n_nrm
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v = y_n / y_n_nrm
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sigma = m_n
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lbd = np.sqrt(S[j] * sigma)
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W[:, j] = lbd * u
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H[j, :] = lbd * v
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W[W < eps] = 0
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H[H < eps] = 0
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if variant == "a":
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avg = X.mean()
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W[W == 0] = avg
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H[H == 0] = avg
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elif variant == "ar":
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random_state = check_random_state(random_state)
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avg = X.mean()
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W[W == 0] = abs(avg * random_state.randn(len(W[W == 0])) / 100)
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H[H == 0] = abs(avg * random_state.randn(len(H[H == 0])) / 100)
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return W, H
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def _nls_subproblem(V, W, H, tol, max_iter, sigma=0.01, beta=0.1):
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"""Non-negative least square solver
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Solves a non-negative least squares subproblem using the
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projected gradient descent algorithm.
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min || WH - V ||_2
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Parameters
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----------
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V, W : array-like
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Constant matrices.
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H : array-like
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Initial guess for the solution.
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tol : float
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Tolerance of the stopping condition.
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max_iter : int
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Maximum number of iterations before timing out.
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sigma : float
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Constant used in the sufficient decrease condition checked by the line
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search. Smaller values lead to a looser sufficient decrease condition,
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thus reducing the time taken by the line search, but potentially
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increasing the number of iterations of the projected gradient
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procedure. 0.01 is a commonly used value in the optimization
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literature.
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beta : float
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Factor by which the step size is decreased (resp. increased) until
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(resp. as long as) the sufficient decrease condition is satisfied.
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Larger values allow to find a better step size but lead to longer line
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search. 0.1 is a commonly used value in the optimization literature.
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Returns
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-------
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H : array-like
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Solution to the non-negative least squares problem.
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grad : array-like
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The gradient.
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n_iter : int
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The number of iterations done by the algorithm.
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Reference
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---------
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C.-J. Lin. Projected gradient methods
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for non-negative matrix factorization. Neural
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Computation, 19(2007), 2756-2779.
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http://www.csie.ntu.edu.tw/~cjlin/nmf/
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"""
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WtV = safe_sparse_dot(W.T, V)
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WtW = np.dot(W.T, W)
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# values justified in the paper
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alpha = 1
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for n_iter in range(1, max_iter + 1):
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grad = np.dot(WtW, H) - WtV
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# The following multiplication with a boolean array is more than twice
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# as fast as indexing into grad.
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if norm(grad * np.logical_or(grad < 0, H > 0)) < tol:
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break
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Hp = H
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for inner_iter in range(19):
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# Gradient step.
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Hn = H - alpha * grad
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# Projection step.
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Hn *= Hn > 0
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d = Hn - H
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gradd = np.dot(grad.ravel(), d.ravel())
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dQd = np.dot(np.dot(WtW, d).ravel(), d.ravel())
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suff_decr = (1 - sigma) * gradd + 0.5 * dQd < 0
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if inner_iter == 0:
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decr_alpha = not suff_decr
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if decr_alpha:
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if suff_decr:
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H = Hn
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break
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else:
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alpha *= beta
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elif not suff_decr or (Hp == Hn).all():
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H = Hp
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break
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else:
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alpha /= beta
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Hp = Hn
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if n_iter == max_iter:
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warnings.warn("Iteration limit reached in nls subproblem.")
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return H, grad, n_iter
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class ProjectedGradientNMF(BaseEstimator, TransformerMixin):
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"""Non-Negative matrix factorization by Projected Gradient (NMF)
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Parameters
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----------
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n_components : int or None
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Number of components, if n_components is not set all components
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are kept
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init : 'nndsvd' | 'nndsvda' | 'nndsvdar' | 'random'
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Method used to initialize the procedure.
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Default: 'nndsvdar' if n_components < n_features, otherwise random.
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Valid options::
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'nndsvd': Nonnegative Double Singular Value Decomposition (NNDSVD)
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initialization (better for sparseness)
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'nndsvda': NNDSVD with zeros filled with the average of X
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(better when sparsity is not desired)
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'nndsvdar': NNDSVD with zeros filled with small random values
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(generally faster, less accurate alternative to NNDSVDa
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for when sparsity is not desired)
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'random': non-negative random matrices
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sparseness : 'data' | 'components' | None, default: None
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Where to enforce sparsity in the model.
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beta : double, default: 1
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Degree of sparseness, if sparseness is not None. Larger values mean
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more sparseness.
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eta : double, default: 0.1
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Degree of correctness to maintain, if sparsity is not None. Smaller
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values mean larger error.
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tol : double, default: 1e-4
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Tolerance value used in stopping conditions.
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max_iter : int, default: 200
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Number of iterations to compute.
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nls_max_iter : int, default: 2000
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Number of iterations in NLS subproblem.
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random_state : int or RandomState
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Random number generator seed control.
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Attributes
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----------
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`components_` : array, [n_components, n_features]
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Non-negative components of the data.
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`reconstruction_err_` : number
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Frobenius norm of the matrix difference between
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the training data and the reconstructed data from
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the fit produced by the model. ``|| X - WH ||_2``
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Examples
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--------
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>>> import numpy as np
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>>> X = np.array([[1,1], [2, 1], [3, 1.2], [4, 1], [5, 0.8], [6, 1]])
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>>> from sklearn.decomposition import ProjectedGradientNMF
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>>> model = ProjectedGradientNMF(n_components=2, init='random',
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... random_state=0)
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>>> model.fit(X) #doctest: +ELLIPSIS +NORMALIZE_WHITESPACE
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ProjectedGradientNMF(beta=1, eta=0.1, init='random', max_iter=200,
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n_components=2, nls_max_iter=2000, random_state=0, sparseness=None,
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tol=0.0001)
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>>> model.components_
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array([[ 0.77032744, 0.11118662],
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[ 0.38526873, 0.38228063]])
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>>> model.reconstruction_err_ #doctest: +ELLIPSIS
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0.00746...
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>>> model = ProjectedGradientNMF(n_components=2,
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... sparseness='components', init='random', random_state=0)
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>>> model.fit(X) #doctest: +ELLIPSIS +NORMALIZE_WHITESPACE
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ProjectedGradientNMF(beta=1, eta=0.1, init='random', max_iter=200,
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n_components=2, nls_max_iter=2000, random_state=0,
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sparseness='components', tol=0.0001)
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>>> model.components_
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array([[ 1.67481991, 0.29614922],
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[ 0. , 0.4681982 ]])
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>>> model.reconstruction_err_ #doctest: +ELLIPSIS
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0.513...
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References
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----------
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This implements
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C.-J. Lin. Projected gradient methods
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for non-negative matrix factorization. Neural
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Computation, 19(2007), 2756-2779.
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http://www.csie.ntu.edu.tw/~cjlin/nmf/
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P. Hoyer. Non-negative Matrix Factorization with
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Sparseness Constraints. Journal of Machine Learning
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Research 2004.
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NNDSVD is introduced in
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C. Boutsidis, E. Gallopoulos: SVD based
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initialization: A head start for nonnegative
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matrix factorization - Pattern Recognition, 2008
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http://tinyurl.com/nndsvd
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"""
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def __init__(self, n_components=None, init=None, sparseness=None, beta=1,
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eta=0.1, tol=1e-4, max_iter=200, nls_max_iter=2000,
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random_state=None):
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self.n_components = n_components
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self.init = init
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self.tol = tol
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if sparseness not in (None, 'data', 'components'):
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raise ValueError(
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'Invalid sparseness parameter: got %r instead of one of %r' %
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(sparseness, (None, 'data', 'components')))
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self.sparseness = sparseness
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self.beta = beta
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self.eta = eta
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self.max_iter = max_iter
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self.nls_max_iter = nls_max_iter
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self.random_state = random_state
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def _init(self, X):
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n_samples, n_features = X.shape
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init = self.init
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if init is None:
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if self.n_components_ < n_features:
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init = 'nndsvd'
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else:
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init = 'random'
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if isinstance(init, (numbers.Integral, np.random.RandomState)):
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random_state = check_random_state(init)
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init = "random"
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warnings.warn("Passing a random seed or generator as init "
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"is deprecated and will be removed in 0.15. Use "
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"init='random' and random_state instead.",
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DeprecationWarning)
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else:
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random_state = self.random_state
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if init == 'nndsvd':
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W, H = _initialize_nmf(X, self.n_components_)
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elif init == 'nndsvda':
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W, H = _initialize_nmf(X, self.n_components_, variant='a')
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elif init == 'nndsvdar':
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W, H = _initialize_nmf(X, self.n_components_, variant='ar')
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elif init == "random":
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rng = check_random_state(random_state)
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W = rng.randn(n_samples, self.n_components_)
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# we do not write np.abs(W, out=W) to stay compatible with
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# numpy 1.5 and earlier where the 'out' keyword is not
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# supported as a kwarg on ufuncs
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np.abs(W, W)
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H = rng.randn(self.n_components_, n_features)
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np.abs(H, H)
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else:
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raise ValueError(
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'Invalid init parameter: got %r instead of one of %r' %
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(init, (None, 'nndsvd', 'nndsvda', 'nndsvdar', 'random')))
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return W, H
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def _update_W(self, X, H, W, tolW):
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n_samples, n_features = X.shape
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if self.sparseness is None:
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W, gradW, iterW = _nls_subproblem(X.T, H.T, W.T, tolW,
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self.nls_max_iter)
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elif self.sparseness == 'data':
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W, gradW, iterW = _nls_subproblem(
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safe_vstack([X.T, np.zeros((1, n_samples))]),
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safe_vstack([H.T, np.sqrt(self.beta) * np.ones((1,
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self.n_components_))]),
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W.T, tolW, self.nls_max_iter)
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elif self.sparseness == 'components':
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W, gradW, iterW = _nls_subproblem(
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safe_vstack([X.T,
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np.zeros((self.n_components_, n_samples))]),
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safe_vstack([H.T,
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np.sqrt(self.eta) * np.eye(self.n_components_)]),
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W.T, tolW, self.nls_max_iter)
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return W.T, gradW.T, iterW
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def _update_H(self, X, H, W, tolH):
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n_samples, n_features = X.shape
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if self.sparseness is None:
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H, gradH, iterH = _nls_subproblem(X, W, H, tolH,
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self.nls_max_iter)
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elif self.sparseness == 'data':
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H, gradH, iterH = _nls_subproblem(
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safe_vstack([X, np.zeros((self.n_components_, n_features))]),
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safe_vstack([W,
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np.sqrt(self.eta) * np.eye(self.n_components_)]),
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H, tolH, self.nls_max_iter)
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elif self.sparseness == 'components':
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H, gradH, iterH = _nls_subproblem(
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safe_vstack([X, np.zeros((1, n_features))]),
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safe_vstack([W,
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np.sqrt(self.beta)
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* np.ones((1, self.n_components_))]),
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H, tolH, self.nls_max_iter)
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return H, gradH, iterH
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def fit_transform(self, X, y=None):
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"""Learn a NMF model for the data X and returns the transformed data.
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This is more efficient than calling fit followed by transform.
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Parameters
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----------
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X: {array-like, sparse matrix}, shape = [n_samples, n_features]
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Data matrix to be decomposed
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Returns
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-------
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data: array, [n_samples, n_components]
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Transformed data
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"""
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X = atleast2d_or_csr(X)
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check_non_negative(X, "NMF.fit")
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n_samples, n_features = X.shape
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if not self.n_components:
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self.n_components_ = n_features
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else:
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self.n_components_ = self.n_components
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W, H = self._init(X)
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gradW = (np.dot(W, np.dot(H, H.T))
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- safe_sparse_dot(X, H.T, dense_output=True))
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gradH = (np.dot(np.dot(W.T, W), H)
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- safe_sparse_dot(W.T, X, dense_output=True))
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init_grad = norm(np.r_[gradW, gradH.T])
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tolW = max(0.001, self.tol) * init_grad # why max?
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tolH = tolW
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tol = self.tol * init_grad
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|
|
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for n_iter in range(1, self.max_iter + 1):
|
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# stopping condition
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|
# as discussed in paper
|
|
proj_norm = norm(np.r_[gradW[np.logical_or(gradW < 0, W > 0)],
|
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gradH[np.logical_or(gradH < 0, H > 0)]])
|
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if proj_norm < tol:
|
|
break
|
|
|
|
# update W
|
|
W, gradW, iterW = self._update_W(X, H, W, tolW)
|
|
if iterW == 1:
|
|
tolW = 0.1 * tolW
|
|
|
|
# update H
|
|
H, gradH, iterH = self._update_H(X, H, W, tolH)
|
|
if iterH == 1:
|
|
tolH = 0.1 * tolH
|
|
|
|
if not sp.issparse(X):
|
|
error = norm(X - np.dot(W, H))
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|
else:
|
|
sqnorm_X = np.dot(X.data, X.data)
|
|
norm_WHT = trace_dot(np.dot(np.dot(W.T, W), H), H)
|
|
cross_prod = trace_dot((X * H.T), W)
|
|
error = sqrt(sqnorm_X + norm_WHT - 2. * cross_prod)
|
|
|
|
self.reconstruction_err_ = error
|
|
|
|
self.comp_sparseness_ = _sparseness(H.ravel())
|
|
self.data_sparseness_ = _sparseness(W.ravel())
|
|
|
|
H[H == 0] = 0 # fix up negative zeros
|
|
self.components_ = H
|
|
|
|
if n_iter == self.max_iter:
|
|
warnings.warn("Iteration limit reached during fit")
|
|
|
|
return W
|
|
|
|
def fit(self, X, y=None, **params):
|
|
"""Learn a NMF model for the data X.
|
|
|
|
Parameters
|
|
----------
|
|
|
|
X: {array-like, sparse matrix}, shape = [n_samples, n_features]
|
|
Data matrix to be decomposed
|
|
|
|
Returns
|
|
-------
|
|
self
|
|
"""
|
|
self.fit_transform(X, **params)
|
|
return self
|
|
|
|
def transform(self, X):
|
|
"""Transform the data X according to the fitted NMF model
|
|
|
|
Parameters
|
|
----------
|
|
|
|
X: {array-like, sparse matrix}, shape = [n_samples, n_features]
|
|
Data matrix to be transformed by the model
|
|
|
|
Returns
|
|
-------
|
|
data: array, [n_samples, n_components]
|
|
Transformed data
|
|
"""
|
|
X, = check_arrays(X, sparse_format='csc')
|
|
Wt = np.zeros((self.n_components_, X.shape[0]))
|
|
check_non_negative(X, "ProjectedGradientNMF.transform")
|
|
|
|
if sp.issparse(X):
|
|
Wt, _, _ = _nls_subproblem(X.T, self.components_.T, Wt,
|
|
tol=self.tol,
|
|
max_iter=self.nls_max_iter)
|
|
else:
|
|
for j in range(0, X.shape[0]):
|
|
Wt[:, j], _ = nnls(self.components_.T, X[j, :])
|
|
return Wt.T
|
|
|
|
|
|
class NMF(ProjectedGradientNMF):
|
|
__doc__ = ProjectedGradientNMF.__doc__
|
|
pass
|