三种方法实现PCA算法(Python)

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  主成分分析,即Principal Component Analysis(PCA),是多元统计中的重要内容,也广泛应用于机器学习和其它领域。它的主要作用是对高维数据进行降维。PCA把原先的n个特征用数目更少的k个特征取代,新特征是旧特征的线性组合,这些线性组合最大化样本方差,尽量使新的k个特征互不相关。关于PCA的更多介绍,请参考:https://en.wikipedia.org/wiki/Principal_component_analysis.
  PCA的主要算法如下:
- 组织数据形式,以便于模型使用;

  • 计算样本每个特征的平均值;
  • 每个样本数据减去该特征的平均值(归一化处理);
  • 求协方差矩阵;
  • 找到协方差矩阵的特征值和特征向量;
  • 对特征值和特征向量重新排列(特征值从大到小排列);
  • 对特征值求取累计贡献率;
  • 对累计贡献率按照某个特定比例,选取特征向量集的字迹合;
  • 对原始数据(第三步后)。

  其中协方差矩阵的分解可以通过按对称矩阵的特征向量来,也可以通过分解矩阵的SVD来实现,而在Scikit-learn中,也是采用SVD来实现PCA算法的。关于SVD的介绍及其原理,可以参考:矩阵的奇异值分解(SVD)(理论)
  本文将用三种方法来实现PCA算法,一种是原始算法,即上面所描述的算法过程,具体的计算方法和过程,可以参考:A tutorial on Principal Components Analysis, Lindsay I Smith. 一种是带SVD的原始算法,在Python的Numpy模块中已经实现了SVD算法,并且将特征值从大从小排列,省去了对特征值和特征向量重新排列这一步。最后一种方法是用Python的Scikit-learn模块实现的PCA类直接进行计算,来验证前面两种方法的正确性。
  用以上三种方法来实现PCA的完整的Python如下:

import numpy as np
from sklearn.decomposition import PCA
import sys
#returns choosing how many main factors
def index_lst(lst, component=0, rate=0):
    #component: numbers of main factors
    #rate: rate of sum(main factors)/sum(all factors)
    #rate range suggest: (0.8,1)
    #if you choose rate parameter, return index = 0 or less than len(lst)
    if component and rate:
        print('Component and rate must choose only one!')
        sys.exit(0)
    if not component and not rate:
        print('Invalid parameter for numbers of components!')
        sys.exit(0)
    elif component:
        print('Choosing by component, components are %s......'%component)
        return component
    else:
        print('Choosing by rate, rate is %s ......'%rate)
        for i in range(1, len(lst)):
            if sum(lst[:i])/sum(lst) >= rate:
                return i
        return 0

def main():
    # test data
    mat = [[-1,-1,0,2,1],[2,0,0,-1,-1],[2,0,1,1,0]]

    # simple transform of test data
    Mat = np.array(mat, dtype='float64')
    print('Before PCA transforMation, data is:\n', Mat)
    print('\nMethod 1: PCA by original algorithm:')
    p,n = np.shape(Mat) # shape of Mat 
    t = np.mean(Mat, 0) # mean of each column

    # substract the mean of each column
    for i in range(p):
        for j in range(n):
            Mat[i,j] = float(Mat[i,j]-t[j])

    # covariance Matrix
    cov_Mat = np.dot(Mat.T, Mat)/(p-1)

    # PCA by original algorithm
    # eigvalues and eigenvectors of covariance Matrix with eigvalues descending
    U,V = np.linalg.eigh(cov_Mat) 
    # Rearrange the eigenvectors and eigenvalues
    U = U[::-1]
    for i in range(n):
        V[i,:] = V[i,:][::-1]
    # choose eigenvalue by component or rate, not both of them euqal to 0
    Index = index_lst(U, component=2)  # choose how many main factors
    if Index:
        v = V[:,:Index]  # subset of Unitary matrix
    else:  # improper rate choice may return Index=0
        print('Invalid rate choice.\nPlease adjust the rate.')
        print('Rate distribute follows:')
        print([sum(U[:i])/sum(U) for i in range(1, len(U)+1)])
        sys.exit(0)
    # data transformation
    T1 = np.dot(Mat, v)
    # print the transformed data
    print('We choose %d main factors.'%Index)
    print('After PCA transformation, data becomes:\n',T1)

    # PCA by original algorithm using SVD
    print('\nMethod 2: PCA by original algorithm using SVD:')
    # u: Unitary matrix,  eigenvectors in columns 
    # d: list of the singular values, sorted in descending order
    u,d,v = np.linalg.svd(cov_Mat)
    Index = index_lst(d, rate=0.95)  # choose how many main factors
    T2 = np.dot(Mat, u[:,:Index])  # transformed data
    print('We choose %d main factors.'%Index)
    print('After PCA transformation, data becomes:\n',T2)

    # PCA by Scikit-learn
    pca = PCA(n_components=2) # n_components can be integer or float in (0,1)
    pca.fit(mat)  # fit the model
    print('\nMethod 3: PCA by Scikit-learn:')
    print('After PCA transformation, data becomes:')
    print(pca.fit_transform(mat))  # transformed data

main()

运行以上代码,输出结果为:
Eclipse运行结果
  这说明用以上三种方法来实现PCA都是可行的。这样我们就能理解PCA的具体实现过程啦~~
  有兴趣的读者可以用其它语言实现一下哈。



参考文献:

  1. PCA 维基百科: https://en.wikipedia.org/wiki/Principal_component_analysis.
  2. 讲解详细又全面的PCA教程: A tutorial on Principal Components Analysis, Lindsay I Smith.
  3. 博客:矩阵的奇异值分解(SVD)(理论):http://www.cnblogs.com/jclian91/p/8022426.html.
  4. 博客:主成分分析PCA: https://www.cnblogs.com/zhangchaoyang/articles/2222048.html.
  5. Scikit-learn的PCA介绍:http://scikit-learn.org/stable/modules/generated/sklearn.decomposition.PCA.html.

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