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"""
Demo is Derived from https://scikit-learn.org/stable/auto_examples/decomposition/plot_pca_vs_fa_model_selection.html#sphx-glr-auto-examples-decomposition-plot-pca-vs-fa-model-selection-py
"""
import numpy as np
import matplotlib.pyplot as plt
from scipy import linalg
import gradio as gr
import matplotlib.pyplot as plt
from sklearn.decomposition import PCA, FactorAnalysis
from sklearn.covariance import ShrunkCovariance, LedoitWolf
from sklearn.model_selection import cross_val_score
from sklearn.model_selection import GridSearchCV
def create_dataset(n_samples=500, n_features=25, rank=5, sigma=1.0, random_state=42, n_components=5):
'''
Function to create a dataset with homoscedastic noise and heteroscedastic noise
'''
# Create a random dataset and add homoscedastic noise and heteroscedastic noise
rng = np.random.RandomState(random_state)
U, _, _ = linalg.svd(rng.randn(n_features, n_features))
# here n_features must be >= rank as we do a dot product with U[:, :rank].T
X = np.dot(rng.randn(n_samples, rank), U[:, :rank].T)
# Adding homoscedastic noise
X_homo = X + sigma * rng.randn(n_samples, n_features)
# Adding heteroscedastic noise
sigmas = sigma * rng.rand(n_features) + sigma / 2.0
X_hetero = X + rng.randn(n_samples, n_features) * sigmas
n_components_range = np.arange(0, n_features, n_components)
return X_homo, X_hetero, n_components_range, rank
def compute_scores(X, n_components_range):
'''
Function to run PCA and FA with different number of componenets and run cross validation
Returns mean PCA and FA scores
'''
pca = PCA(svd_solver="full")
fa = FactorAnalysis()
pca_scores, fa_scores = [], []
for n in n_components_range:
pca.n_components = n
fa.n_components = n
pca_scores.append(np.mean(cross_val_score(pca, X)))
fa_scores.append(np.mean(cross_val_score(fa, X)))
return pca_scores, fa_scores
def shrunk_cov_score(X):
shrinkages = np.logspace(-2, 0, 30)
cv = GridSearchCV(ShrunkCovariance(), {"shrinkage": shrinkages})
return np.mean(cross_val_score(cv.fit(X).best_estimator_, X))
def lw_score(X):
return np.mean(cross_val_score(LedoitWolf(), X))
#TODO - allow selection of one or both methods
# def plot_pca_fa_analysis(n_features, n_components):
# '''
# Function to plot results of PCA and FA cross validation analysis
# '''
# X_homo, X_hetero, n_components_range, rank = create_dataset(n_features=n_features, n_components = n_components)
# for X, title in [(X_homo, "Homoscedastic Noise"), (X_hetero, "Heteroscedastic Noise")]:
# # compute the pca and fa scores
# pca_scores, fa_scores = compute_scores(X, n_components_range=n_components_range)
# n_components_pca = n_components_range[np.argmax(pca_scores)]
# n_components_fa = n_components_range[np.argmax(fa_scores)]
# pca = PCA(svd_solver="full", n_components="mle")
# pca.fit(X)
# n_components_pca_mle = pca.n_components_
# print("best n_components by PCA CV = %d" % n_components_pca)
# print("best n_components by FactorAnalysis CV = %d" % n_components_fa)
# print("best n_components by PCA MLE = %d" % n_components_pca_mle)
# fig = plt.figure()
# fig, (ax1, ax2) = plt.subplots(1,2)
# plt.plot(n_components_range, pca_scores, "b", label="PCA scores")
# plt.plot(n_components_range, fa_scores, "r", label="FA scores")
# plt.axvline(rank, color="g", label="TRUTH: %d" % rank, linestyle="-")
# plt.axvline(
# n_components_pca,
# color="b",
# label="PCA CV: %d" % n_components_pca,
# linestyle="--",
# )
# plt.axvline(
# n_components_fa,
# color="r",
# label="FactorAnalysis CV: %d" % n_components_fa,
# linestyle="--",
# )
# plt.axvline(
# n_components_pca_mle,
# color="k",
# label="PCA MLE: %d" % n_components_pca_mle,
# linestyle="--",
# )
# # compare with other covariance estimators
# plt.axhline(
# shrunk_cov_score(X),
# color="violet",
# label="Shrunk Covariance MLE",
# linestyle="-.",
# )
# plt.axhline(
# lw_score(X),
# color="orange",
# label="LedoitWolf MLE" % n_components_pca_mle,
# linestyle="-.",
# )
# plt.xlabel("nb of components")
# plt.ylabel("CV scores")
# plt.legend(loc="lower right")
# plt.title(title)
# return fig
def plot_pca_fa_analysis_side(n_samples, n_features, n_components):
X_homo, X_hetero, n_components_range, rank = create_dataset(n_samples = n_samples, n_features=n_features, n_components = n_components)
# set up figure - here we will be doing a side by side plot
fig, axes = plt.subplots(2,1, sharey= False, sharex=True, figsize = (10,8))
for X, title, idx in [(X_homo, "Homoscedastic Noise", 0), (X_hetero, "Heteroscedastic Noise", 1)]:
# compute the pca and fa scores
pca_scores, fa_scores = compute_scores(X, n_components_range=n_components_range)
n_components_pca = n_components_range[np.argmax(pca_scores)]
n_components_fa = n_components_range[np.argmax(fa_scores)]
pca = PCA(svd_solver="full", n_components="mle")
pca.fit(X)
n_components_pca_mle = pca.n_components_
print("best n_components by PCA CV = %d" % n_components_pca)
print("best n_components by FactorAnalysis CV = %d" % n_components_fa)
print("best n_components by PCA MLE = %d" % n_components_pca_mle)
axes[idx].plot(n_components_range, pca_scores, "b", label="PCA scores")
axes[idx].plot(n_components_range, fa_scores, "r", label="FA scores")
axes[idx].axvline(rank, color="g", label="TRUTH: %d" % rank, linestyle="-")
axes[idx].axvline(
n_components_pca,
color="b",
label="PCA CV: %d" % n_components_pca,
linestyle="--",
)
axes[idx].axvline(
n_components_fa,
color="r",
label="FactorAnalysis CV: %d" % n_components_fa,
linestyle="--",
)
axes[idx].axvline(
n_components_pca_mle,
color="k",
label="PCA MLE: %d" % n_components_pca_mle,
linestyle="--",
)
# compare with other covariance estimators
axes[idx].axhline(
shrunk_cov_score(X),
color="violet",
label="Shrunk Covariance MLE",
linestyle="-.",
)
axes[idx].axhline(
lw_score(X),
color="orange",
label="LedoitWolf MLE" % n_components_pca_mle,
linestyle="-.",
)
# axes[idx].legend(bbox_to_anchor=(1.01, 1.05))
# plt.xlabel("nb of components")
# plt.ylabel("CV scores")
axes[idx].set_xlabel("nb of components")
axes[idx].set_ylabel("CV scores")
axes[idx].legend(loc="lower right")
axes[idx].set_title(title)
return fig
title = " Illustration of Model Selection with Probabilistic PCA and Factor Analysis (FA)"
with gr.Blocks(title=title) as demo:
gr.Markdown(f"# {title}")
gr.Markdown(" This example shows how one can use Prinicipal Components Analysis (PCA) and Factor Analysis (FA) for model selection by observing the likelihood of a held-out dataset with added noise <br>"
" The number of samples (n_samples) will determine the number of data points to produce. <br>"
" The number of components (n_components) will determine the number of components each method will fit to, and will affect the likelihood of the held-out set. <br>"
" The number of features (n_components) determine the number of features the toy dataset X variable will have. <br>"
" For further details please see the sklearn docs:"
)
gr.Markdown(" **[Demo is based on sklearn docs found here](https://scikit-learn.org/stable/auto_examples/decomposition/plot_pca_vs_fa_model_selection.html#sphx-glr-auto-examples-decomposition-plot-pca-vs-fa-model-selection-py)** <br>")
gr.Markdown(" **Dataset** : A toy dataset with corrupted with homoscedastic noise (noise variance is the same for each feature) or heteroscedastic noise (noise variance is the different for each feature) . <br>")
gr.Markdown(" Different number of features and number of components affect how well the low rank space is recovered. <br>"
" Larger Depth trying to overfit and learn even the finner details of the data.<br>"
)
with gr.Row():
n_samples = gr.Slider(value=100, minimum=10, maximum=1000, step=10, label="n_samples")
n_components = gr.Slider(value=2, minimum=1, maximum=20, step=1, label="n_components")
n_features = gr.Slider(value=5, minimum=5, maximum=25, step=1, label="n_features")
# options for n_components
btn = gr.Button(value="Submit")
btn.click(plot_pca_fa_analysis_side, inputs= [n_samples, n_features, n_components], outputs= gr.Plot(label='PCA vs FA Model Selection with added noise') ) #
demo.launch() |