1039 lines
36 KiB
Python
1039 lines
36 KiB
Python
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"""
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Linear Discriminant Analysis and Quadratic Discriminant Analysis
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"""
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# Authors: Clemens Brunner
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# Martin Billinger
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# Matthieu Perrot
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# Mathieu Blondel
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# License: BSD 3-Clause
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import warnings
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import numpy as np
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import scipy.linalg
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from scipy import linalg
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from numbers import Real, Integral
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from .base import BaseEstimator, TransformerMixin, ClassifierMixin
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from .base import ClassNamePrefixFeaturesOutMixin
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from .linear_model._base import LinearClassifierMixin
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from .covariance import ledoit_wolf, empirical_covariance, shrunk_covariance
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from .utils.multiclass import unique_labels
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from .utils.validation import check_is_fitted
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from .utils._array_api import get_namespace, _expit
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from .utils.multiclass import check_classification_targets
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from .utils.extmath import softmax
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from .utils._param_validation import StrOptions, Interval, HasMethods
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from .preprocessing import StandardScaler
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__all__ = ["LinearDiscriminantAnalysis", "QuadraticDiscriminantAnalysis"]
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def _cov(X, shrinkage=None, covariance_estimator=None):
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"""Estimate covariance matrix (using optional covariance_estimator).
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Parameters
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----------
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X : array-like of shape (n_samples, n_features)
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Input data.
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shrinkage : {'empirical', 'auto'} or float, default=None
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Shrinkage parameter, possible values:
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- None or 'empirical': no shrinkage (default).
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- 'auto': automatic shrinkage using the Ledoit-Wolf lemma.
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- float between 0 and 1: fixed shrinkage parameter.
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Shrinkage parameter is ignored if `covariance_estimator`
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is not None.
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covariance_estimator : estimator, default=None
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If not None, `covariance_estimator` is used to estimate
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the covariance matrices instead of relying on the empirical
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covariance estimator (with potential shrinkage).
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The object should have a fit method and a ``covariance_`` attribute
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like the estimators in :mod:`sklearn.covariance``.
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if None the shrinkage parameter drives the estimate.
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.. versionadded:: 0.24
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Returns
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-------
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s : ndarray of shape (n_features, n_features)
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Estimated covariance matrix.
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"""
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if covariance_estimator is None:
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shrinkage = "empirical" if shrinkage is None else shrinkage
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if isinstance(shrinkage, str):
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if shrinkage == "auto":
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sc = StandardScaler() # standardize features
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X = sc.fit_transform(X)
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s = ledoit_wolf(X)[0]
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# rescale
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s = sc.scale_[:, np.newaxis] * s * sc.scale_[np.newaxis, :]
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elif shrinkage == "empirical":
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s = empirical_covariance(X)
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elif isinstance(shrinkage, Real):
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s = shrunk_covariance(empirical_covariance(X), shrinkage)
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else:
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if shrinkage is not None and shrinkage != 0:
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raise ValueError(
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"covariance_estimator and shrinkage parameters "
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"are not None. Only one of the two can be set."
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)
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covariance_estimator.fit(X)
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if not hasattr(covariance_estimator, "covariance_"):
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raise ValueError(
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"%s does not have a covariance_ attribute"
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% covariance_estimator.__class__.__name__
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)
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s = covariance_estimator.covariance_
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return s
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def _class_means(X, y):
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"""Compute class means.
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Parameters
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----------
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X : array-like of shape (n_samples, n_features)
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Input data.
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y : array-like of shape (n_samples,) or (n_samples, n_targets)
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Target values.
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Returns
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-------
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means : array-like of shape (n_classes, n_features)
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Class means.
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"""
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xp, is_array_api = get_namespace(X)
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classes, y = xp.unique_inverse(y)
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means = xp.zeros(shape=(classes.shape[0], X.shape[1]))
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if is_array_api:
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for i in range(classes.shape[0]):
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means[i, :] = xp.mean(X[y == i], axis=0)
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else:
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# TODO: Explore the choice of using bincount + add.at as it seems sub optimal
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# from a performance-wise
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cnt = np.bincount(y)
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np.add.at(means, y, X)
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means /= cnt[:, None]
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return means
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def _class_cov(X, y, priors, shrinkage=None, covariance_estimator=None):
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"""Compute weighted within-class covariance matrix.
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The per-class covariance are weighted by the class priors.
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Parameters
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----------
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X : array-like of shape (n_samples, n_features)
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Input data.
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y : array-like of shape (n_samples,) or (n_samples, n_targets)
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Target values.
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priors : array-like of shape (n_classes,)
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Class priors.
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shrinkage : 'auto' or float, default=None
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Shrinkage parameter, possible values:
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- None: no shrinkage (default).
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- 'auto': automatic shrinkage using the Ledoit-Wolf lemma.
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- float between 0 and 1: fixed shrinkage parameter.
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Shrinkage parameter is ignored if `covariance_estimator` is not None.
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covariance_estimator : estimator, default=None
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If not None, `covariance_estimator` is used to estimate
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the covariance matrices instead of relying the empirical
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covariance estimator (with potential shrinkage).
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The object should have a fit method and a ``covariance_`` attribute
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like the estimators in sklearn.covariance.
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If None, the shrinkage parameter drives the estimate.
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.. versionadded:: 0.24
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Returns
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-------
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cov : array-like of shape (n_features, n_features)
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Weighted within-class covariance matrix
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"""
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classes = np.unique(y)
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cov = np.zeros(shape=(X.shape[1], X.shape[1]))
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for idx, group in enumerate(classes):
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Xg = X[y == group, :]
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cov += priors[idx] * np.atleast_2d(_cov(Xg, shrinkage, covariance_estimator))
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return cov
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class LinearDiscriminantAnalysis(
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ClassNamePrefixFeaturesOutMixin,
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LinearClassifierMixin,
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TransformerMixin,
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BaseEstimator,
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):
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"""Linear Discriminant Analysis.
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A classifier with a linear decision boundary, generated by fitting class
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conditional densities to the data and using Bayes' rule.
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The model fits a Gaussian density to each class, assuming that all classes
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share the same covariance matrix.
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The fitted model can also be used to reduce the dimensionality of the input
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by projecting it to the most discriminative directions, using the
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`transform` method.
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.. versionadded:: 0.17
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*LinearDiscriminantAnalysis*.
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Read more in the :ref:`User Guide <lda_qda>`.
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Parameters
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----------
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solver : {'svd', 'lsqr', 'eigen'}, default='svd'
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Solver to use, possible values:
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- 'svd': Singular value decomposition (default).
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Does not compute the covariance matrix, therefore this solver is
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recommended for data with a large number of features.
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- 'lsqr': Least squares solution.
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Can be combined with shrinkage or custom covariance estimator.
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- 'eigen': Eigenvalue decomposition.
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Can be combined with shrinkage or custom covariance estimator.
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.. versionchanged:: 1.2
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`solver="svd"` now has experimental Array API support. See the
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:ref:`Array API User Guide <array_api>` for more details.
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shrinkage : 'auto' or float, default=None
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Shrinkage parameter, possible values:
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- None: no shrinkage (default).
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- 'auto': automatic shrinkage using the Ledoit-Wolf lemma.
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- float between 0 and 1: fixed shrinkage parameter.
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This should be left to None if `covariance_estimator` is used.
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Note that shrinkage works only with 'lsqr' and 'eigen' solvers.
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priors : array-like of shape (n_classes,), default=None
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The class prior probabilities. By default, the class proportions are
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inferred from the training data.
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n_components : int, default=None
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Number of components (<= min(n_classes - 1, n_features)) for
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dimensionality reduction. If None, will be set to
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min(n_classes - 1, n_features). This parameter only affects the
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`transform` method.
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store_covariance : bool, default=False
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If True, explicitly compute the weighted within-class covariance
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matrix when solver is 'svd'. The matrix is always computed
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and stored for the other solvers.
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.. versionadded:: 0.17
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tol : float, default=1.0e-4
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Absolute threshold for a singular value of X to be considered
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significant, used to estimate the rank of X. Dimensions whose
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singular values are non-significant are discarded. Only used if
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solver is 'svd'.
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.. versionadded:: 0.17
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covariance_estimator : covariance estimator, default=None
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If not None, `covariance_estimator` is used to estimate
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the covariance matrices instead of relying on the empirical
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|
|
covariance estimator (with potential shrinkage).
|
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The object should have a fit method and a ``covariance_`` attribute
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like the estimators in :mod:`sklearn.covariance`.
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if None the shrinkage parameter drives the estimate.
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This should be left to None if `shrinkage` is used.
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Note that `covariance_estimator` works only with 'lsqr' and 'eigen'
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solvers.
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.. versionadded:: 0.24
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Attributes
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----------
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coef_ : ndarray of shape (n_features,) or (n_classes, n_features)
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Weight vector(s).
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intercept_ : ndarray of shape (n_classes,)
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Intercept term.
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covariance_ : array-like of shape (n_features, n_features)
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Weighted within-class covariance matrix. It corresponds to
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`sum_k prior_k * C_k` where `C_k` is the covariance matrix of the
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samples in class `k`. The `C_k` are estimated using the (potentially
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shrunk) biased estimator of covariance. If solver is 'svd', only
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exists when `store_covariance` is True.
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explained_variance_ratio_ : ndarray of shape (n_components,)
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Percentage of variance explained by each of the selected components.
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If ``n_components`` is not set then all components are stored and the
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sum of explained variances is equal to 1.0. Only available when eigen
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or svd solver is used.
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means_ : array-like of shape (n_classes, n_features)
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Class-wise means.
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priors_ : array-like of shape (n_classes,)
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Class priors (sum to 1).
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scalings_ : array-like of shape (rank, n_classes - 1)
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Scaling of the features in the space spanned by the class centroids.
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Only available for 'svd' and 'eigen' solvers.
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xbar_ : array-like of shape (n_features,)
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Overall mean. Only present if solver is 'svd'.
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classes_ : array-like of shape (n_classes,)
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Unique class labels.
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n_features_in_ : int
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Number of features seen during :term:`fit`.
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.. versionadded:: 0.24
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feature_names_in_ : ndarray of shape (`n_features_in_`,)
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Names of features seen during :term:`fit`. Defined only when `X`
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has feature names that are all strings.
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.. versionadded:: 1.0
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See Also
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--------
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QuadraticDiscriminantAnalysis : Quadratic Discriminant Analysis.
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Examples
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--------
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>>> import numpy as np
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>>> from sklearn.discriminant_analysis import LinearDiscriminantAnalysis
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>>> X = np.array([[-1, -1], [-2, -1], [-3, -2], [1, 1], [2, 1], [3, 2]])
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>>> y = np.array([1, 1, 1, 2, 2, 2])
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>>> clf = LinearDiscriminantAnalysis()
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>>> clf.fit(X, y)
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LinearDiscriminantAnalysis()
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>>> print(clf.predict([[-0.8, -1]]))
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[1]
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"""
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_parameter_constraints: dict = {
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"solver": [StrOptions({"svd", "lsqr", "eigen"})],
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"shrinkage": [StrOptions({"auto"}), Interval(Real, 0, 1, closed="both"), None],
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"n_components": [Interval(Integral, 1, None, closed="left"), None],
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"priors": ["array-like", None],
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"store_covariance": ["boolean"],
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"tol": [Interval(Real, 0, None, closed="left")],
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"covariance_estimator": [HasMethods("fit"), None],
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}
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def __init__(
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self,
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solver="svd",
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shrinkage=None,
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priors=None,
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n_components=None,
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store_covariance=False,
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tol=1e-4,
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covariance_estimator=None,
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):
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self.solver = solver
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self.shrinkage = shrinkage
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self.priors = priors
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self.n_components = n_components
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self.store_covariance = store_covariance # used only in svd solver
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self.tol = tol # used only in svd solver
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self.covariance_estimator = covariance_estimator
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def _solve_lstsq(self, X, y, shrinkage, covariance_estimator):
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|
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"""Least squares solver.
|
||
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|
|
||
|
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The least squares solver computes a straightforward solution of the
|
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|
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optimal decision rule based directly on the discriminant functions. It
|
||
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can only be used for classification (with any covariance estimator),
|
||
|
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because
|
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|
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estimation of eigenvectors is not performed. Therefore, dimensionality
|
||
|
|
reduction with the transform is not supported.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Training data.
|
||
|
|
|
||
|
|
y : array-like of shape (n_samples,) or (n_samples, n_classes)
|
||
|
|
Target values.
|
||
|
|
|
||
|
|
shrinkage : 'auto', float or None
|
||
|
|
Shrinkage parameter, possible values:
|
||
|
|
- None: no shrinkage.
|
||
|
|
- 'auto': automatic shrinkage using the Ledoit-Wolf lemma.
|
||
|
|
- float between 0 and 1: fixed shrinkage parameter.
|
||
|
|
|
||
|
|
Shrinkage parameter is ignored if `covariance_estimator` i
|
||
|
|
not None
|
||
|
|
|
||
|
|
covariance_estimator : estimator, default=None
|
||
|
|
If not None, `covariance_estimator` is used to estimate
|
||
|
|
the covariance matrices instead of relying the empirical
|
||
|
|
covariance estimator (with potential shrinkage).
|
||
|
|
The object should have a fit method and a ``covariance_`` attribute
|
||
|
|
like the estimators in sklearn.covariance.
|
||
|
|
if None the shrinkage parameter drives the estimate.
|
||
|
|
|
||
|
|
.. versionadded:: 0.24
|
||
|
|
|
||
|
|
Notes
|
||
|
|
-----
|
||
|
|
This solver is based on [1]_, section 2.6.2, pp. 39-41.
|
||
|
|
|
||
|
|
References
|
||
|
|
----------
|
||
|
|
.. [1] R. O. Duda, P. E. Hart, D. G. Stork. Pattern Classification
|
||
|
|
(Second Edition). John Wiley & Sons, Inc., New York, 2001. ISBN
|
||
|
|
0-471-05669-3.
|
||
|
|
"""
|
||
|
|
self.means_ = _class_means(X, y)
|
||
|
|
self.covariance_ = _class_cov(
|
||
|
|
X, y, self.priors_, shrinkage, covariance_estimator
|
||
|
|
)
|
||
|
|
self.coef_ = linalg.lstsq(self.covariance_, self.means_.T)[0].T
|
||
|
|
self.intercept_ = -0.5 * np.diag(np.dot(self.means_, self.coef_.T)) + np.log(
|
||
|
|
self.priors_
|
||
|
|
)
|
||
|
|
|
||
|
|
def _solve_eigen(self, X, y, shrinkage, covariance_estimator):
|
||
|
|
"""Eigenvalue solver.
|
||
|
|
|
||
|
|
The eigenvalue solver computes the optimal solution of the Rayleigh
|
||
|
|
coefficient (basically the ratio of between class scatter to within
|
||
|
|
class scatter). This solver supports both classification and
|
||
|
|
dimensionality reduction (with any covariance estimator).
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Training data.
|
||
|
|
|
||
|
|
y : array-like of shape (n_samples,) or (n_samples, n_targets)
|
||
|
|
Target values.
|
||
|
|
|
||
|
|
shrinkage : 'auto', float or None
|
||
|
|
Shrinkage parameter, possible values:
|
||
|
|
- None: no shrinkage.
|
||
|
|
- 'auto': automatic shrinkage using the Ledoit-Wolf lemma.
|
||
|
|
- float between 0 and 1: fixed shrinkage constant.
|
||
|
|
|
||
|
|
Shrinkage parameter is ignored if `covariance_estimator` i
|
||
|
|
not None
|
||
|
|
|
||
|
|
covariance_estimator : estimator, default=None
|
||
|
|
If not None, `covariance_estimator` is used to estimate
|
||
|
|
the covariance matrices instead of relying the empirical
|
||
|
|
covariance estimator (with potential shrinkage).
|
||
|
|
The object should have a fit method and a ``covariance_`` attribute
|
||
|
|
like the estimators in sklearn.covariance.
|
||
|
|
if None the shrinkage parameter drives the estimate.
|
||
|
|
|
||
|
|
.. versionadded:: 0.24
|
||
|
|
|
||
|
|
Notes
|
||
|
|
-----
|
||
|
|
This solver is based on [1]_, section 3.8.3, pp. 121-124.
|
||
|
|
|
||
|
|
References
|
||
|
|
----------
|
||
|
|
.. [1] R. O. Duda, P. E. Hart, D. G. Stork. Pattern Classification
|
||
|
|
(Second Edition). John Wiley & Sons, Inc., New York, 2001. ISBN
|
||
|
|
0-471-05669-3.
|
||
|
|
"""
|
||
|
|
self.means_ = _class_means(X, y)
|
||
|
|
self.covariance_ = _class_cov(
|
||
|
|
X, y, self.priors_, shrinkage, covariance_estimator
|
||
|
|
)
|
||
|
|
|
||
|
|
Sw = self.covariance_ # within scatter
|
||
|
|
St = _cov(X, shrinkage, covariance_estimator) # total scatter
|
||
|
|
Sb = St - Sw # between scatter
|
||
|
|
|
||
|
|
evals, evecs = linalg.eigh(Sb, Sw)
|
||
|
|
self.explained_variance_ratio_ = np.sort(evals / np.sum(evals))[::-1][
|
||
|
|
: self._max_components
|
||
|
|
]
|
||
|
|
evecs = evecs[:, np.argsort(evals)[::-1]] # sort eigenvectors
|
||
|
|
|
||
|
|
self.scalings_ = evecs
|
||
|
|
self.coef_ = np.dot(self.means_, evecs).dot(evecs.T)
|
||
|
|
self.intercept_ = -0.5 * np.diag(np.dot(self.means_, self.coef_.T)) + np.log(
|
||
|
|
self.priors_
|
||
|
|
)
|
||
|
|
|
||
|
|
def _solve_svd(self, X, y):
|
||
|
|
"""SVD solver.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Training data.
|
||
|
|
|
||
|
|
y : array-like of shape (n_samples,) or (n_samples, n_targets)
|
||
|
|
Target values.
|
||
|
|
"""
|
||
|
|
xp, is_array_api = get_namespace(X)
|
||
|
|
|
||
|
|
if is_array_api:
|
||
|
|
svd = xp.linalg.svd
|
||
|
|
else:
|
||
|
|
svd = scipy.linalg.svd
|
||
|
|
|
||
|
|
n_samples, n_features = X.shape
|
||
|
|
n_classes = self.classes_.shape[0]
|
||
|
|
|
||
|
|
self.means_ = _class_means(X, y)
|
||
|
|
if self.store_covariance:
|
||
|
|
self.covariance_ = _class_cov(X, y, self.priors_)
|
||
|
|
|
||
|
|
Xc = []
|
||
|
|
for idx, group in enumerate(self.classes_):
|
||
|
|
Xg = X[y == group]
|
||
|
|
Xc.append(Xg - self.means_[idx, :])
|
||
|
|
|
||
|
|
self.xbar_ = self.priors_ @ self.means_
|
||
|
|
|
||
|
|
Xc = xp.concat(Xc, axis=0)
|
||
|
|
|
||
|
|
# 1) within (univariate) scaling by with classes std-dev
|
||
|
|
std = xp.std(Xc, axis=0)
|
||
|
|
# avoid division by zero in normalization
|
||
|
|
std[std == 0] = 1.0
|
||
|
|
fac = xp.asarray(1.0 / (n_samples - n_classes))
|
||
|
|
|
||
|
|
# 2) Within variance scaling
|
||
|
|
X = xp.sqrt(fac) * (Xc / std)
|
||
|
|
# SVD of centered (within)scaled data
|
||
|
|
U, S, Vt = svd(X, full_matrices=False)
|
||
|
|
|
||
|
|
rank = xp.sum(xp.astype(S > self.tol, xp.int32))
|
||
|
|
# Scaling of within covariance is: V' 1/S
|
||
|
|
scalings = (Vt[:rank, :] / std).T / S[:rank]
|
||
|
|
fac = 1.0 if n_classes == 1 else 1.0 / (n_classes - 1)
|
||
|
|
|
||
|
|
# 3) Between variance scaling
|
||
|
|
# Scale weighted centers
|
||
|
|
X = (
|
||
|
|
(xp.sqrt((n_samples * self.priors_) * fac)) * (self.means_ - self.xbar_).T
|
||
|
|
).T @ scalings
|
||
|
|
# Centers are living in a space with n_classes-1 dim (maximum)
|
||
|
|
# Use SVD to find projection in the space spanned by the
|
||
|
|
# (n_classes) centers
|
||
|
|
_, S, Vt = svd(X, full_matrices=False)
|
||
|
|
|
||
|
|
if self._max_components == 0:
|
||
|
|
self.explained_variance_ratio_ = xp.empty((0,), dtype=S.dtype)
|
||
|
|
else:
|
||
|
|
self.explained_variance_ratio_ = (S**2 / xp.sum(S**2))[
|
||
|
|
: self._max_components
|
||
|
|
]
|
||
|
|
|
||
|
|
rank = xp.sum(xp.astype(S > self.tol * S[0], xp.int32))
|
||
|
|
self.scalings_ = scalings @ Vt.T[:, :rank]
|
||
|
|
coef = (self.means_ - self.xbar_) @ self.scalings_
|
||
|
|
self.intercept_ = -0.5 * xp.sum(coef**2, axis=1) + xp.log(self.priors_)
|
||
|
|
self.coef_ = coef @ self.scalings_.T
|
||
|
|
self.intercept_ -= self.xbar_ @ self.coef_.T
|
||
|
|
|
||
|
|
def fit(self, X, y):
|
||
|
|
"""Fit the Linear Discriminant Analysis model.
|
||
|
|
|
||
|
|
.. versionchanged:: 0.19
|
||
|
|
*store_covariance* has been moved to main constructor.
|
||
|
|
|
||
|
|
.. versionchanged:: 0.19
|
||
|
|
*tol* has been moved to main constructor.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Training data.
|
||
|
|
|
||
|
|
y : array-like of shape (n_samples,)
|
||
|
|
Target values.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
self : object
|
||
|
|
Fitted estimator.
|
||
|
|
"""
|
||
|
|
self._validate_params()
|
||
|
|
|
||
|
|
xp, _ = get_namespace(X)
|
||
|
|
|
||
|
|
X, y = self._validate_data(
|
||
|
|
X, y, ensure_min_samples=2, dtype=[xp.float64, xp.float32]
|
||
|
|
)
|
||
|
|
self.classes_ = unique_labels(y)
|
||
|
|
n_samples, _ = X.shape
|
||
|
|
n_classes = self.classes_.shape[0]
|
||
|
|
|
||
|
|
if n_samples == n_classes:
|
||
|
|
raise ValueError(
|
||
|
|
"The number of samples must be more than the number of classes."
|
||
|
|
)
|
||
|
|
|
||
|
|
if self.priors is None: # estimate priors from sample
|
||
|
|
_, cnts = xp.unique_counts(y) # non-negative ints
|
||
|
|
self.priors_ = xp.astype(cnts, xp.float64) / float(y.shape[0])
|
||
|
|
else:
|
||
|
|
self.priors_ = xp.asarray(self.priors)
|
||
|
|
|
||
|
|
if xp.any(self.priors_ < 0):
|
||
|
|
raise ValueError("priors must be non-negative")
|
||
|
|
|
||
|
|
if xp.abs(xp.sum(self.priors_) - 1.0) > 1e-5:
|
||
|
|
warnings.warn("The priors do not sum to 1. Renormalizing", UserWarning)
|
||
|
|
self.priors_ = self.priors_ / self.priors_.sum()
|
||
|
|
|
||
|
|
# Maximum number of components no matter what n_components is
|
||
|
|
# specified:
|
||
|
|
max_components = min(n_classes - 1, X.shape[1])
|
||
|
|
|
||
|
|
if self.n_components is None:
|
||
|
|
self._max_components = max_components
|
||
|
|
else:
|
||
|
|
if self.n_components > max_components:
|
||
|
|
raise ValueError(
|
||
|
|
"n_components cannot be larger than min(n_features, n_classes - 1)."
|
||
|
|
)
|
||
|
|
self._max_components = self.n_components
|
||
|
|
|
||
|
|
if self.solver == "svd":
|
||
|
|
if self.shrinkage is not None:
|
||
|
|
raise NotImplementedError("shrinkage not supported with 'svd' solver.")
|
||
|
|
if self.covariance_estimator is not None:
|
||
|
|
raise ValueError(
|
||
|
|
"covariance estimator "
|
||
|
|
"is not supported "
|
||
|
|
"with svd solver. Try another solver"
|
||
|
|
)
|
||
|
|
self._solve_svd(X, y)
|
||
|
|
elif self.solver == "lsqr":
|
||
|
|
self._solve_lstsq(
|
||
|
|
X,
|
||
|
|
y,
|
||
|
|
shrinkage=self.shrinkage,
|
||
|
|
covariance_estimator=self.covariance_estimator,
|
||
|
|
)
|
||
|
|
elif self.solver == "eigen":
|
||
|
|
self._solve_eigen(
|
||
|
|
X,
|
||
|
|
y,
|
||
|
|
shrinkage=self.shrinkage,
|
||
|
|
covariance_estimator=self.covariance_estimator,
|
||
|
|
)
|
||
|
|
if self.classes_.size == 2: # treat binary case as a special case
|
||
|
|
coef_ = xp.asarray(self.coef_[1, :] - self.coef_[0, :], dtype=X.dtype)
|
||
|
|
self.coef_ = xp.reshape(coef_, (1, -1))
|
||
|
|
intercept_ = xp.asarray(
|
||
|
|
self.intercept_[1] - self.intercept_[0], dtype=X.dtype
|
||
|
|
)
|
||
|
|
self.intercept_ = xp.reshape(intercept_, 1)
|
||
|
|
self._n_features_out = self._max_components
|
||
|
|
return self
|
||
|
|
|
||
|
|
def transform(self, X):
|
||
|
|
"""Project data to maximize class separation.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Input data.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
X_new : ndarray of shape (n_samples, n_components) or \
|
||
|
|
(n_samples, min(rank, n_components))
|
||
|
|
Transformed data. In the case of the 'svd' solver, the shape
|
||
|
|
is (n_samples, min(rank, n_components)).
|
||
|
|
"""
|
||
|
|
if self.solver == "lsqr":
|
||
|
|
raise NotImplementedError(
|
||
|
|
"transform not implemented for 'lsqr' solver (use 'svd' or 'eigen')."
|
||
|
|
)
|
||
|
|
check_is_fitted(self)
|
||
|
|
xp, _ = get_namespace(X)
|
||
|
|
X = self._validate_data(X, reset=False)
|
||
|
|
|
||
|
|
if self.solver == "svd":
|
||
|
|
X_new = (X - self.xbar_) @ self.scalings_
|
||
|
|
elif self.solver == "eigen":
|
||
|
|
X_new = X @ self.scalings_
|
||
|
|
|
||
|
|
return X_new[:, : self._max_components]
|
||
|
|
|
||
|
|
def predict_proba(self, X):
|
||
|
|
"""Estimate probability.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Input data.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of shape (n_samples, n_classes)
|
||
|
|
Estimated probabilities.
|
||
|
|
"""
|
||
|
|
check_is_fitted(self)
|
||
|
|
xp, is_array_api = get_namespace(X)
|
||
|
|
decision = self.decision_function(X)
|
||
|
|
if self.classes_.size == 2:
|
||
|
|
proba = _expit(decision)
|
||
|
|
return xp.stack([1 - proba, proba], axis=1)
|
||
|
|
else:
|
||
|
|
return softmax(decision)
|
||
|
|
|
||
|
|
def predict_log_proba(self, X):
|
||
|
|
"""Estimate log probability.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Input data.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of shape (n_samples, n_classes)
|
||
|
|
Estimated log probabilities.
|
||
|
|
"""
|
||
|
|
xp, _ = get_namespace(X)
|
||
|
|
prediction = self.predict_proba(X)
|
||
|
|
|
||
|
|
info = xp.finfo(prediction.dtype)
|
||
|
|
if hasattr(info, "smallest_normal"):
|
||
|
|
smallest_normal = info.smallest_normal
|
||
|
|
else:
|
||
|
|
# smallest_normal was introduced in NumPy 1.22
|
||
|
|
smallest_normal = info.tiny
|
||
|
|
|
||
|
|
prediction[prediction == 0.0] += smallest_normal
|
||
|
|
return xp.log(prediction)
|
||
|
|
|
||
|
|
def decision_function(self, X):
|
||
|
|
"""Apply decision function to an array of samples.
|
||
|
|
|
||
|
|
The decision function is equal (up to a constant factor) to the
|
||
|
|
log-posterior of the model, i.e. `log p(y = k | x)`. In a binary
|
||
|
|
classification setting this instead corresponds to the difference
|
||
|
|
`log p(y = 1 | x) - log p(y = 0 | x)`. See :ref:`lda_qda_math`.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Array of samples (test vectors).
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of shape (n_samples,) or (n_samples, n_classes)
|
||
|
|
Decision function values related to each class, per sample.
|
||
|
|
In the two-class case, the shape is (n_samples,), giving the
|
||
|
|
log likelihood ratio of the positive class.
|
||
|
|
"""
|
||
|
|
# Only override for the doc
|
||
|
|
return super().decision_function(X)
|
||
|
|
|
||
|
|
|
||
|
|
class QuadraticDiscriminantAnalysis(ClassifierMixin, BaseEstimator):
|
||
|
|
"""Quadratic Discriminant Analysis.
|
||
|
|
|
||
|
|
A classifier with a quadratic decision boundary, generated
|
||
|
|
by fitting class conditional densities to the data
|
||
|
|
and using Bayes' rule.
|
||
|
|
|
||
|
|
The model fits a Gaussian density to each class.
|
||
|
|
|
||
|
|
.. versionadded:: 0.17
|
||
|
|
*QuadraticDiscriminantAnalysis*
|
||
|
|
|
||
|
|
Read more in the :ref:`User Guide <lda_qda>`.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
priors : array-like of shape (n_classes,), default=None
|
||
|
|
Class priors. By default, the class proportions are inferred from the
|
||
|
|
training data.
|
||
|
|
|
||
|
|
reg_param : float, default=0.0
|
||
|
|
Regularizes the per-class covariance estimates by transforming S2 as
|
||
|
|
``S2 = (1 - reg_param) * S2 + reg_param * np.eye(n_features)``,
|
||
|
|
where S2 corresponds to the `scaling_` attribute of a given class.
|
||
|
|
|
||
|
|
store_covariance : bool, default=False
|
||
|
|
If True, the class covariance matrices are explicitly computed and
|
||
|
|
stored in the `self.covariance_` attribute.
|
||
|
|
|
||
|
|
.. versionadded:: 0.17
|
||
|
|
|
||
|
|
tol : float, default=1.0e-4
|
||
|
|
Absolute threshold for a singular value to be considered significant,
|
||
|
|
used to estimate the rank of `Xk` where `Xk` is the centered matrix
|
||
|
|
of samples in class k. This parameter does not affect the
|
||
|
|
predictions. It only controls a warning that is raised when features
|
||
|
|
are considered to be colinear.
|
||
|
|
|
||
|
|
.. versionadded:: 0.17
|
||
|
|
|
||
|
|
Attributes
|
||
|
|
----------
|
||
|
|
covariance_ : list of len n_classes of ndarray \
|
||
|
|
of shape (n_features, n_features)
|
||
|
|
For each class, gives the covariance matrix estimated using the
|
||
|
|
samples of that class. The estimations are unbiased. Only present if
|
||
|
|
`store_covariance` is True.
|
||
|
|
|
||
|
|
means_ : array-like of shape (n_classes, n_features)
|
||
|
|
Class-wise means.
|
||
|
|
|
||
|
|
priors_ : array-like of shape (n_classes,)
|
||
|
|
Class priors (sum to 1).
|
||
|
|
|
||
|
|
rotations_ : list of len n_classes of ndarray of shape (n_features, n_k)
|
||
|
|
For each class k an array of shape (n_features, n_k), where
|
||
|
|
``n_k = min(n_features, number of elements in class k)``
|
||
|
|
It is the rotation of the Gaussian distribution, i.e. its
|
||
|
|
principal axis. It corresponds to `V`, the matrix of eigenvectors
|
||
|
|
coming from the SVD of `Xk = U S Vt` where `Xk` is the centered
|
||
|
|
matrix of samples from class k.
|
||
|
|
|
||
|
|
scalings_ : list of len n_classes of ndarray of shape (n_k,)
|
||
|
|
For each class, contains the scaling of
|
||
|
|
the Gaussian distributions along its principal axes, i.e. the
|
||
|
|
variance in the rotated coordinate system. It corresponds to `S^2 /
|
||
|
|
(n_samples - 1)`, where `S` is the diagonal matrix of singular values
|
||
|
|
from the SVD of `Xk`, where `Xk` is the centered matrix of samples
|
||
|
|
from class k.
|
||
|
|
|
||
|
|
classes_ : ndarray of shape (n_classes,)
|
||
|
|
Unique class labels.
|
||
|
|
|
||
|
|
n_features_in_ : int
|
||
|
|
Number of features seen during :term:`fit`.
|
||
|
|
|
||
|
|
.. versionadded:: 0.24
|
||
|
|
|
||
|
|
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
||
|
|
Names of features seen during :term:`fit`. Defined only when `X`
|
||
|
|
has feature names that are all strings.
|
||
|
|
|
||
|
|
.. versionadded:: 1.0
|
||
|
|
|
||
|
|
See Also
|
||
|
|
--------
|
||
|
|
LinearDiscriminantAnalysis : Linear Discriminant Analysis.
|
||
|
|
|
||
|
|
Examples
|
||
|
|
--------
|
||
|
|
>>> from sklearn.discriminant_analysis import QuadraticDiscriminantAnalysis
|
||
|
|
>>> 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 = QuadraticDiscriminantAnalysis()
|
||
|
|
>>> clf.fit(X, y)
|
||
|
|
QuadraticDiscriminantAnalysis()
|
||
|
|
>>> print(clf.predict([[-0.8, -1]]))
|
||
|
|
[1]
|
||
|
|
"""
|
||
|
|
|
||
|
|
_parameter_constraints: dict = {
|
||
|
|
"priors": ["array-like", None],
|
||
|
|
"reg_param": [Interval(Real, 0, 1, closed="both")],
|
||
|
|
"store_covariance": ["boolean"],
|
||
|
|
"tol": [Interval(Real, 0, None, closed="left")],
|
||
|
|
}
|
||
|
|
|
||
|
|
def __init__(
|
||
|
|
self, *, priors=None, reg_param=0.0, store_covariance=False, tol=1.0e-4
|
||
|
|
):
|
||
|
|
self.priors = priors
|
||
|
|
self.reg_param = reg_param
|
||
|
|
self.store_covariance = store_covariance
|
||
|
|
self.tol = tol
|
||
|
|
|
||
|
|
def fit(self, X, y):
|
||
|
|
"""Fit the model according to the given training data and parameters.
|
||
|
|
|
||
|
|
.. versionchanged:: 0.19
|
||
|
|
``store_covariances`` has been moved to main constructor as
|
||
|
|
``store_covariance``
|
||
|
|
|
||
|
|
.. versionchanged:: 0.19
|
||
|
|
``tol`` has been moved to main constructor.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Training vector, where `n_samples` is the number of samples and
|
||
|
|
`n_features` is the number of features.
|
||
|
|
|
||
|
|
y : array-like of shape (n_samples,)
|
||
|
|
Target values (integers).
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
self : object
|
||
|
|
Fitted estimator.
|
||
|
|
"""
|
||
|
|
self._validate_params()
|
||
|
|
X, y = self._validate_data(X, y)
|
||
|
|
check_classification_targets(y)
|
||
|
|
self.classes_, y = np.unique(y, return_inverse=True)
|
||
|
|
n_samples, n_features = X.shape
|
||
|
|
n_classes = len(self.classes_)
|
||
|
|
if n_classes < 2:
|
||
|
|
raise ValueError(
|
||
|
|
"The number of classes has to be greater than one; got %d class"
|
||
|
|
% (n_classes)
|
||
|
|
)
|
||
|
|
if self.priors is None:
|
||
|
|
self.priors_ = np.bincount(y) / float(n_samples)
|
||
|
|
else:
|
||
|
|
self.priors_ = np.array(self.priors)
|
||
|
|
|
||
|
|
cov = None
|
||
|
|
store_covariance = self.store_covariance
|
||
|
|
if store_covariance:
|
||
|
|
cov = []
|
||
|
|
means = []
|
||
|
|
scalings = []
|
||
|
|
rotations = []
|
||
|
|
for ind in range(n_classes):
|
||
|
|
Xg = X[y == ind, :]
|
||
|
|
meang = Xg.mean(0)
|
||
|
|
means.append(meang)
|
||
|
|
if len(Xg) == 1:
|
||
|
|
raise ValueError(
|
||
|
|
"y has only 1 sample in class %s, covariance is ill defined."
|
||
|
|
% str(self.classes_[ind])
|
||
|
|
)
|
||
|
|
Xgc = Xg - meang
|
||
|
|
# Xgc = U * S * V.T
|
||
|
|
_, S, Vt = np.linalg.svd(Xgc, full_matrices=False)
|
||
|
|
rank = np.sum(S > self.tol)
|
||
|
|
if rank < n_features:
|
||
|
|
warnings.warn("Variables are collinear")
|
||
|
|
S2 = (S**2) / (len(Xg) - 1)
|
||
|
|
S2 = ((1 - self.reg_param) * S2) + self.reg_param
|
||
|
|
if self.store_covariance or store_covariance:
|
||
|
|
# cov = V * (S^2 / (n-1)) * V.T
|
||
|
|
cov.append(np.dot(S2 * Vt.T, Vt))
|
||
|
|
scalings.append(S2)
|
||
|
|
rotations.append(Vt.T)
|
||
|
|
if self.store_covariance or store_covariance:
|
||
|
|
self.covariance_ = cov
|
||
|
|
self.means_ = np.asarray(means)
|
||
|
|
self.scalings_ = scalings
|
||
|
|
self.rotations_ = rotations
|
||
|
|
return self
|
||
|
|
|
||
|
|
def _decision_function(self, X):
|
||
|
|
# return log posterior, see eq (4.12) p. 110 of the ESL.
|
||
|
|
check_is_fitted(self)
|
||
|
|
|
||
|
|
X = self._validate_data(X, reset=False)
|
||
|
|
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, axis=1))
|
||
|
|
norm2 = np.array(norm2).T # shape = [len(X), n_classes]
|
||
|
|
u = np.asarray([np.sum(np.log(s)) for s in self.scalings_])
|
||
|
|
return -0.5 * (norm2 + u) + np.log(self.priors_)
|
||
|
|
|
||
|
|
def decision_function(self, X):
|
||
|
|
"""Apply decision function to an array of samples.
|
||
|
|
|
||
|
|
The decision function is equal (up to a constant factor) to the
|
||
|
|
log-posterior of the model, i.e. `log p(y = k | x)`. In a binary
|
||
|
|
classification setting this instead corresponds to the difference
|
||
|
|
`log p(y = 1 | x) - log p(y = 0 | x)`. See :ref:`lda_qda_math`.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Array of samples (test vectors).
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of shape (n_samples,) or (n_samples, n_classes)
|
||
|
|
Decision function values related to each class, per sample.
|
||
|
|
In the two-class case, the shape is (n_samples,), giving the
|
||
|
|
log likelihood ratio of the positive class.
|
||
|
|
"""
|
||
|
|
dec_func = self._decision_function(X)
|
||
|
|
# handle special case of two classes
|
||
|
|
if len(self.classes_) == 2:
|
||
|
|
return dec_func[:, 1] - dec_func[:, 0]
|
||
|
|
return dec_func
|
||
|
|
|
||
|
|
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 of shape (n_samples, n_features)
|
||
|
|
Vector to be scored, where `n_samples` is the number of samples and
|
||
|
|
`n_features` is the number of features.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of shape (n_samples,)
|
||
|
|
Estimated probabilities.
|
||
|
|
"""
|
||
|
|
d = self._decision_function(X)
|
||
|
|
y_pred = self.classes_.take(d.argmax(1))
|
||
|
|
return y_pred
|
||
|
|
|
||
|
|
def predict_proba(self, X):
|
||
|
|
"""Return posterior probabilities of classification.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Array of samples/test vectors.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of 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.max(axis=1)[:, np.newaxis])
|
||
|
|
# compute posterior probabilities
|
||
|
|
return likelihood / likelihood.sum(axis=1)[:, np.newaxis]
|
||
|
|
|
||
|
|
def predict_log_proba(self, X):
|
||
|
|
"""Return log of posterior probabilities of classification.
|
||
|
|
|
||
|
|
Parameters
|
||
|
|
----------
|
||
|
|
X : array-like of shape (n_samples, n_features)
|
||
|
|
Array of samples/test vectors.
|
||
|
|
|
||
|
|
Returns
|
||
|
|
-------
|
||
|
|
C : ndarray of 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_)
|