diff --git a/README.md b/README.md index df72d71..08e7bee 100644 --- a/README.md +++ b/README.md @@ -1,7 +1 @@ -# tensorpack -A collection of tensor methods from the Meyer lab. - -To add it to your Python package, add the following line to `requirements.txt` and remake `venv`: -``` -git+https://github.com/meyer-lab/tensorpack.git@main -``` +# tensor-impute diff --git a/makefile b/makefile index d5f6405..a45a702 100644 --- a/makefile +++ b/makefile @@ -6,7 +6,7 @@ test: poetry run pytest -s -v -x coverage.xml: - poetry run pytest --junitxml=junit.xml --cov=tensorpack --cov-report xml:coverage.xml + poetry run pytest --junitxml=junit.xml --cov=timpute --cov-report xml:coverage.xml clean: rm -rf coverage.xml diff --git a/poetry.lock b/poetry.lock index 84b2c34..b9d8fe4 100644 --- a/poetry.lock +++ b/poetry.lock @@ -2,18 +2,18 @@ [[package]] name = "anndata" -version = "0.10.9" +version = "0.11.1" description = "Annotated data." optional = false -python-versions = ">=3.9" +python-versions 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"9f2498ef1ca1aa8a92ebd62db12b17195307eaab559a4780b278093029765e14" +content-hash = "c0b383aa5e88e52adc1c95f6c9ee6de8b1301a85bc1256903888a312ecfe442d" diff --git a/pyproject.toml b/pyproject.toml index cf857ef..a79b400 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -7,22 +7,20 @@ license = "MIT" [tool.poetry.dependencies] python = ">=3.11,<3.13" -numpy = "^1.26" -tensorly = "^0.8.1" -matplotlib = "^3.5.0" -tqdm = "^4.65" +numpy = "^2.1" +tensorly = "^0.8" +matplotlib = "^3.9" +tqdm = "^4.67" seaborn = "^0.13" -xarray = "^2023" -tensorpack = "^0.11" +xarray = "^2024" scikit-learn = "^1.1.3" -openpyxl = "^3.1.2" -setuptools = "^69.5.1" -pyright = "^1.1.389" [tool.poetry.dev-dependencies] pytest = "^8.3" -pytest-cov = "^3.0.0" -tensordata = {git = "https://github.com/meyer-lab/tensordata.git", branch = "main"} +pytest-cov = "^6.0" +tensordata = {git = "https://github.com/meyer-lab/tensordata.git", rev = "6afaec35c552c3ee91990db74c740728ddf37a55"} +pyright = "^1.1.389" +isort = "^5.13" [build-system] requires = ["poetry-core>=1.0.0"] diff --git a/setup.py b/setup.py deleted file mode 100644 index 42b67c0..0000000 --- a/setup.py +++ /dev/null @@ -1,12 +0,0 @@ -try: - from setuptools import setup, find_packages -except ImportError: - from distutils.core import setup, find_packages - -setup(name='tensor-impute', - version='0.1.0', - description='Examining various imputation methods for tensor decomposition.', - url='https://github.com/meyer-lab/tensorpack', - license='MIT', - packages=find_packages(exclude=['doc']), - install_requires=['numpy', 'tensorly', 'scikit-learn']) diff --git a/timpute/__init__.py b/timpute/__init__.py index 8a583c2..a167b19 100644 --- a/timpute/__init__.py +++ b/timpute/__init__.py @@ -1,2 +1,3 @@ +import tensorly as tl + from .decomposition import Decomposition -import tensorly as tl \ No newline at end of file diff --git a/timpute/data/import_hmsData.py b/timpute/data/import_hmsData.py index 5016f66..dcc2f44 100644 --- a/timpute/data/import_hmsData.py +++ b/timpute/data/import_hmsData.py @@ -1,6 +1,7 @@ +import os + import numpy as np import pandas as pd -import os import xarray as xa diff --git a/timpute/decomposition.py b/timpute/decomposition.py index a9499a9..c9792d1 100644 --- a/timpute/decomposition.py +++ b/timpute/decomposition.py @@ -1,15 +1,14 @@ import pickle +from typing import Optional + import numpy as np import tensorly as tl +from tqdm import tqdm -from .tracker import Tracker +from .impute_helper import calcR2X, chord_drop, entry_drop from .initialization import initialize_fac -from .impute_helper import entry_drop, chord_drop -from .impute_helper import calcR2X from .method_CLS import perform_CLS - -from copy import deepcopy -from tqdm import tqdm +from .tracker import Tracker class Decomposition: @@ -43,7 +42,7 @@ def imputation( init="random", maxiter: int = 50, seed=1, - callback: Tracker = None, + callback: Optional[Tracker] = None, printRuntime=False, ): """ @@ -135,7 +134,7 @@ def imputation( np.random.seed(int(x * seed)) CPinit = initialize_fac(missingCube.copy(), rr, init) elif isinstance(init, tl.cp_tensor.CPTensor): - CPinit = deepcopy(init) + CPinit = init.cp_copy() else: raise ValueError(f'Initialization method "{init}" not recognized') @@ -155,7 +154,6 @@ def imputation( missingCube.copy(), rank=rr, n_iter_max=maxiter, - mask=mask, init=CPinit, callback=callback, tol=tol, diff --git a/timpute/figures/common.py b/timpute/figures/common.py index 2441d26..7ef5753 100644 --- a/timpute/figures/common.py +++ b/timpute/figures/common.py @@ -1,11 +1,13 @@ """ This file contains functions that are used in multiple figures. """ -import seaborn as sns from string import ascii_lowercase -import matplotlib -from matplotlib import gridspec, pyplot as plt +import matplotlib +import seaborn as sns +from matplotlib import gridspec +from matplotlib import pyplot as plt +from matplotlib.lines import Line2D matplotlib.rcParams["legend.labelspacing"] = 0.2 matplotlib.rcParams["legend.fontsize"] = 8 @@ -68,4 +70,4 @@ def rgbs(color = 0, transparency = None): if transparency is not None: return tuple(list(color_rgbs[color]) + [transparency]) else: - return color_rgbs[color] \ No newline at end of file + return color_rgbs[color] diff --git a/timpute/figures/figure2.py b/timpute/figures/figure2.py index de938e9..e6a372a 100644 --- a/timpute/figures/figure2.py +++ b/timpute/figures/figure2.py @@ -1,8 +1,10 @@ import math + import numpy as np +from figures import DATANAMES, METHODNAMES, METHODS, SAVENAMES + +from .common import getSetup, rgbs, subplotLabel from .figure_helper import loadImputation -from .common import getSetup, subplotLabel, rgbs -from figures import METHODS, METHODNAMES, SAVENAMES, DATANAMES # poetry run python -m timpute.figures.figure2 diff --git a/timpute/figures/figure3.py b/timpute/figures/figure3.py index f0edc26..b998889 100644 --- a/timpute/figures/figure3.py +++ b/timpute/figures/figure3.py @@ -1,9 +1,11 @@ import math + import numpy as np +from figures import DATANAMES, DROPS, METHODNAMES, METHODS, SAVENAMES from matplotlib.lines import Line2D + +from .common import getSetup, rgbs, set_boxplot_color, subplotLabel from .figure_helper import loadImputation -from .common import getSetup, subplotLabel, rgbs, set_boxplot_color -from figures import METHODS, METHODNAMES, SAVENAMES, DATANAMES, DROPS # poetry run python -m timpute.figures.figure3 diff --git a/timpute/figures/figure4.py b/timpute/figures/figure4.py index b7f424f..3dde14d 100644 --- a/timpute/figures/figure4.py +++ b/timpute/figures/figure4.py @@ -1,7 +1,8 @@ import numpy as np +from figures import DATANAMES, METHODNAMES, METHODS, SAVENAMES + +from .common import getSetup, rgbs, subplotLabel from .figure_helper import loadImputation -from .common import getSetup, subplotLabel, rgbs -from figures import METHODS, METHODNAMES, SAVENAMES, DATANAMES # poetry run python -m timpute.figures.figure4 diff --git a/timpute/figures/figure5.py b/timpute/figures/figure5.py index 36fb07f..275f838 100644 --- a/timpute/figures/figure5.py +++ b/timpute/figures/figure5.py @@ -1,8 +1,10 @@ import numpy as np +from figures import DATANAMES, METHODNAMES, METHODS, SAVENAMES + +from .common import getSetup, rgbs, subplotLabel from .figure_data import bestComps from .figure_helper import loadImputation -from .common import getSetup, subplotLabel, rgbs -from figures import METHODS, METHODNAMES, SAVENAMES, DATANAMES + # from matplotlib.legend_handler import HandlerErrorbar # poetry run python -m timpute.figures.figure5 diff --git a/timpute/figures/figure_data.py b/timpute/figures/figure_data.py index 1d4ceb1..48328e7 100644 --- a/timpute/figures/figure_data.py +++ b/timpute/figures/figure_data.py @@ -1,8 +1,10 @@ import os + import numpy as np -from .figure_helper import runImputation, loadImputation +from figures import DROPS, METHODNAMES, METHODS, SAVENAMES + from ..generateTensor import generateTensor -from figures import METHODS, METHODNAMES, SAVENAMES, DROPS +from .figure_helper import loadImputation, runImputation # poetry run python -m timpute.figures.figure_data diff --git a/timpute/figures/figure_helper.py b/timpute/figures/figure_helper.py index 5336817..3db75b2 100644 --- a/timpute/figures/figure_helper.py +++ b/timpute/figures/figure_helper.py @@ -1,5 +1,7 @@ import os + import numpy as np + from ..decomposition import Decomposition from ..tracker import Tracker diff --git a/timpute/figures/memUsage.py b/timpute/figures/memUsage.py index b78c0bc..549dbd4 100644 --- a/timpute/figures/memUsage.py +++ b/timpute/figures/memUsage.py @@ -1,11 +1,12 @@ # import psutil -import pickle +import argparse import os -import numpy as np +import pickle import resource -import argparse -from figures import METHODS, METHODNAMES, SAVENAMES +import numpy as np +from figures import METHODNAMES, METHODS, SAVENAMES + from ..decomposition import Decomposition from ..generateTensor import generateTensor diff --git a/timpute/figures/supplements.py b/timpute/figures/supplements.py index d4040fa..3ec7a7e 100644 --- a/timpute/figures/supplements.py +++ b/timpute/figures/supplements.py @@ -1,9 +1,11 @@ import pickle -from figures import METHODNAMES, SAVENAMES, DATANAMES, DROPS + import numpy as np import pandas as pd -from .common import getSetup, rgbs +from figures import DATANAMES, DROPS, METHODNAMES, SAVENAMES + from ..decomposition import Decomposition +from .common import getSetup, rgbs # poetry run python -m timpute.figures.supplements diff --git a/timpute/generateTensor.py b/timpute/generateTensor.py index eb65610..58618a6 100644 --- a/timpute/generateTensor.py +++ b/timpute/generateTensor.py @@ -1,61 +1,115 @@ +import os + import numpy as np import tensorly as tl import xarray as xr -import os -from tensorly.cp_tensor import CPTensor -from .impute_helper import entry_drop - +from tensordata.alter import data as alter from tensordata.atyeo import data as atyeo from tensordata.zohar import data as zohar -from tensordata.alter import data as alter +from tensorly.cp_tensor import CPTensor + from .data.import_hmsData import hms_tensor +from .impute_helper import entry_drop -def generateTensor(type=None, r=6, shape=(10,10,10), scale=2, distribution='gamma', par=2, missingness=0.0, noise_scale=50): + +def generateTensor( + type=None, + r: int=6, + shape: tuple[int, int, int]=(10, 10, 10), + scale: float=2.0, + distribution="gamma", + par=2, + missingness=0.0, + noise_scale=50, +): """ Tensor options: 'known', 'unknown', 'zohar', 'atyeo', 'alter', 'hms', 'coh_receptor', or 'coh response'. Defaults to 'known' """ - if type == 'known': - temp, _ = createKnownRank(drop_perc=missingness, size=shape, rank=r, distribution=distribution, scale=scale, par=par) - return createNoise(temp,noise_scale) - elif type == 'unknown': - temp = createUnknownRank(drop_perc=missingness, size=shape, distribution=distribution, scale=scale, par=par) - return createNoise(temp,noise_scale) - elif type == 'zohar': return zohar().to_numpy().copy() - elif type == 'atyeo': return atyeo().to_numpy().copy() - elif type == 'alter': return alter()['Fc'].to_numpy().copy() - elif type == 'hms': return np.swapaxes(hms_tensor().to_numpy().copy(),0,2) - elif type == 'coh_receptor': + if type == "known": + temp, _ = createKnownRank( + drop_perc=missingness, + size=shape, + rank=r, + distribution=distribution, + scale=scale, + par=par, + ) + return createNoise(temp, noise_scale) + elif type == "unknown": + temp = createUnknownRank( + drop_perc=missingness, + size=shape, + distribution=distribution, + scale=scale, + par=par, + ) + return createNoise(temp, noise_scale) + elif type == "zohar": + return zohar().to_numpy().copy() + elif type == "atyeo": + return atyeo().to_numpy().copy() + elif type == "alter": + return alter()["Fc"].to_numpy().copy() + elif type == "hms": + return np.swapaxes(hms_tensor().to_numpy().copy(), 0, 2) + elif type == "coh_receptor": receptor = xr.open_dataarray(f"{os.getcwd()}/timpute/data/CoH/CoH_Rec.nc") return receptor.to_numpy().copy() - elif type == 'coh_response': - response = xr.open_dataarray(f"{os.getcwd()}/timpute/data/CoH/CoH_Tensor_DataSet.nc") + elif type == "coh_response": + response = xr.open_dataarray( + f"{os.getcwd()}/timpute/data/CoH/CoH_Tensor_DataSet.nc" + ) return response.to_numpy().copy() else: - temp, _ = createKnownRank(drop_perc=missingness, size=shape, rank=r, distribution=distribution, scale=scale, par=par) - return createNoise(temp,noise_scale) + temp, _ = createKnownRank( + drop_perc=missingness, + size=shape, + rank=r, + distribution=distribution, + scale=scale, + par=par, + ) + return createNoise(temp, noise_scale) + +def createNoise(tensor: np.ndarray, scale: float=1.0): + """adds noise in-place""" + return np.random.normal(0, scale, tensor.shape) + np.copy(tensor) -def createNoise(tensor,scale=1.0): - """ adds noise in-place """ - noise = np.random.normal(0, scale, tensor.shape) - noisyTensor = noise+np.copy(tensor) - return noisyTensor -def createUnknownRank(drop_perc=0.0, size=(10, 20, 25), distribution="gamma", scale=1, par=1): - if distribution == "gamma": tensor = np.random.gamma(par, scale, size=size) - if distribution == "chisquare": tensor = np.random.chisquare(size=size) - if distribution == "logistic": tensor = np.random.logistic(size=size) - if distribution == "exponential": tensor = np.random.exponential(size=size) - if distribution == "uniform": tensor = np.random.uniform(size=size) - if distribution == "normal": tensor = np.random.normal(size=size) +def createUnknownRank( + drop_perc=0.0, size=(10, 20, 25), distribution="gamma", scale: float=1.0, par=1 +): + if distribution == "gamma": + tensor = np.random.gamma(par, scale, size=size) + if distribution == "chisquare": + tensor = np.random.chisquare(size=size) + if distribution == "logistic": + tensor = np.random.logistic(size=size) + if distribution == "exponential": + tensor = np.random.exponential(size=size) + if distribution == "uniform": + tensor = np.random.uniform(size=size) + if distribution == "normal": + tensor = np.random.normal(size=size) - if scale != 1: tensor *= scale + if scale != 1: + tensor *= scale - entry_drop(tensor, int(drop_perc*tensor.size), dropany=True) + entry_drop(tensor, int(drop_perc * tensor.size), dropany=True) return tensor -def createKnownRank(drop_perc=0.0, size=(10,10,10), rank=6, distribution="gamma", scale=1, par=1, noise=True): + +def createKnownRank( + drop_perc=0.0, + size=(10, 10, 10), + rank=6, + distribution="gamma", + scale=1.0, + par=1, + noise=True, +): r""" Creates a random tensor following a set of possible distributions: `distribution` = "gamma", "chisquare", "logistic", "exponential", "uniform", "normal" @@ -65,30 +119,42 @@ def createKnownRank(drop_perc=0.0, size=(10,10,10), rank=6, distribution="gamma" factors = [] - if type(distribution) == str: + if isinstance(distribution, str): for i in size: - if distribution == "gamma": factors.append(rng.gamma(par, scale, size=(i,rank))) - if distribution == "chisquare": factors.append(rng.chisquare(par, size=(i,rank))) - if distribution == "logistic": factors.append(rng.logistic(size=(i,rank))) - if distribution == "exponential": factors.append(rng.exponential(size=(i,rank))) - if distribution == "uniform": factors.append(rng.uniform(size=(i,rank))) - if distribution == "normal": factors.append(rng.normal(size=(i,rank))) - + if distribution == "gamma": + factors.append(rng.gamma(par, scale, size=(i, rank))) + if distribution == "chisquare": + factors.append(rng.chisquare(par, size=(i, rank))) + if distribution == "logistic": + factors.append(rng.logistic(size=(i, rank))) + if distribution == "exponential": + factors.append(rng.exponential(size=(i, rank))) + if distribution == "uniform": + factors.append(rng.uniform(size=(i, rank))) + if distribution == "normal": + factors.append(rng.normal(size=(i, rank))) + else: assert len(distribution) == len(size) for i in size: - if distribution[i] == "gamma": factors[1] = rng.gamma(par, scale, size=(i,rank)) - if distribution[i] == "chisquare": factors[1] = rng.chisquare(par, size=(i,rank)) - if distribution[i] == "logistic": factors[1] = rng.logistic(size=(i,rank)) - if distribution[i] == "exponential": factors[1] = rng.exponential(size=(i,rank)) - if distribution[i] == "uniform": factors[1] = rng.uniform(size=(i,rank)) - if distribution[i] == "normal": factors[1] = rng.normal(size=(i,rank)) - + if distribution[i] == "gamma": + factors[1] = rng.gamma(par, scale, size=(i, rank)) + if distribution[i] == "chisquare": + factors[1] = rng.chisquare(par, size=(i, rank)) + if distribution[i] == "logistic": + factors[1] = rng.logistic(size=(i, rank)) + if distribution[i] == "exponential": + factors[1] = rng.exponential(size=(i, rank)) + if distribution[i] == "uniform": + factors[1] = rng.uniform(size=(i, rank)) + if distribution[i] == "normal": + factors[1] = rng.normal(size=(i, rank)) - if scale != 1: - for i in factors: i *= scale + if scale != 1.0: + for i in factors: + i *= scale temp = tl.cp_to_tensor(CPTensor((None, factors))) - if noise: - tensor = np.add(np.random.normal(0.5,0.15, size),temp) - entry_drop(tensor, int(drop_perc*tensor.size), dropany=True) - return tensor, factors \ No newline at end of file + if noise: + tensor = np.add(np.random.normal(0.5, 0.15, size), temp) + entry_drop(tensor, int(drop_perc * tensor.size), dropany=True) + return tensor, factors diff --git a/timpute/initialization.py b/timpute/initialization.py index 0577527..5059df3 100644 --- a/timpute/initialization.py +++ b/timpute/initialization.py @@ -1,7 +1,7 @@ import numpy as np import tensorly as tl -from tensorly.tenalg import svd_interface from tensorly.random import random_cp +from tensorly.tenalg import svd_interface class IterativeSVD(object): diff --git a/timpute/linesearch.py b/timpute/linesearch.py new file mode 100644 index 0000000..ce41eba --- /dev/null +++ b/timpute/linesearch.py @@ -0,0 +1,41 @@ +from .impute_helper import calcR2X + + +class Nesterov: + def __init__(self, gamma=1.1, gamma_bar=1.03, eta=1.5, beta_i=0.05, beta_i_bar=1.0): + self.gamma = gamma + self.gamma_bar = gamma_bar + self.eta = eta + self.beta_i = beta_i + self.beta_i_bar = beta_i_bar + self.factors_old = None + + def perform(self, factors, tOrig): + if self.factors_old is None: + self.factors_old = factors + self.prev_R2X = calcR2X((None, factors), tOrig) + + return self.factors_old, self.prev_R2X, 1.0 + + jump = self.beta_i + 1.0 + + factors_ls = [ + self.factors_old[ii] + (factors[ii] - self.factors_old[ii]) * jump for ii in range(len(factors)) + ] + + R2X_ls = calcR2X((None, factors_ls), tOrig) + + if R2X_ls > self.prev_R2X: + self.factors_old = factors_ls + self.prev_R2X = R2X_ls + + self.beta_i = min(self.beta_i_bar, self.gamma * self.beta_i) + self.beta_i_bar = max(1.0, self.gamma_bar * self.beta_i_bar) + else: + self.factors_old = factors + self.prev_R2X = calcR2X((None, factors), tOrig) + + self.beta_i_bar = self.beta_i + self.beta_i = self.beta_i / self.eta + + return self.factors_old, self.prev_R2X, jump diff --git a/timpute/method_ALS.py b/timpute/method_ALS.py index 466eddf..afecae9 100644 --- a/timpute/method_ALS.py +++ b/timpute/method_ALS.py @@ -1,21 +1,19 @@ import numpy as np - import tensorly as tl -from tensorly.cp_tensor import ( - cp_to_tensor, - CPTensor, -) +from tensorly.cp_tensor import cp_normalize, cp_to_tensor from tensorly.tenalg.core_tenalg.mttkrp import unfolding_dot_khatri_rao +from tqdm import tqdm + from .initialization import initialize_fac +from .linesearch import Nesterov def perform_ALS( - tensor, + tOrig, rank, - n_iter_max=100, + n_iter_max=50, init=None, tol=1e-6, - mask=None, callback=None, ) -> tl.cp_tensor.CPTensor: """CANDECOMP/PARAFAC decomposition via alternating least squares (ALS) @@ -38,11 +36,6 @@ def perform_ALS( (Default: 1e-6) Relative reconstruction error tolerance. The algorithm is considered to have found the global minimum when the reconstruction error is less than `tol`. - mask : ndarray - array of booleans with the same shape as ``tensor`` should be 0 where - the values are missing and 1 everywhere else. Note: if tensor is - sparse, then mask should also be sparse with a fill value of 1 (or - True). Allows for missing values [2]_ Returns ------- @@ -66,57 +59,53 @@ def perform_ALS( .. [3] R. Bro, "Multi-Way Analysis in the Food Industry: Models, Algorithms, and Applications", PhD., University of Amsterdam, 1998 """ - tensor = np.nan_to_num(tensor) + tensor = np.nan_to_num(tOrig) + mask = np.isfinite(tOrig) if init is None: - init = initialize_fac(tensor, rank, method="random") + tFac = initialize_fac(tensor, rank, method="random") + else: + tFac = init - weights, factors = init + linesrc = Nesterov() + fac, R2X, jump = linesrc.perform(tFac.factors, tOrig) + tFac.R2X = R2X + tFac.factors = fac - rec_errors = [] - norm_tensor = tl.norm(tensor, 2) + tq = tqdm(range(n_iter_max), disable=False) + for _ in tq: + # Update the tensor based on the mask + low_rank_component = cp_to_tensor(tFac) + tensor = tensor * mask + low_rank_component * (1 - mask) - for iteration in range(n_iter_max): for mode in range(np.ndim(tensor)): pseudo_inverse = np.ones((rank, rank)) - for i, factor in enumerate(factors): + for i, factor in enumerate(tFac.factors): if i != mode: pseudo_inverse = pseudo_inverse * np.dot(factor.T, factor) - pseudo_inverse = ( - np.reshape(weights, (-1, 1)) - * pseudo_inverse - * np.reshape(weights, (1, -1)) - ) - mttkrp = unfolding_dot_khatri_rao(tensor, (weights, factors), mode) - - factor = np.linalg.solve(pseudo_inverse.T, mttkrp.T).T - factors[mode] = factor - - # Calculate the current unnormalized error - low_rank_component = cp_to_tensor((weights, factors)) - # Update the tensor based on the mask - if mask is not None: - tensor = tensor * mask + low_rank_component * (1 - mask) - norm_tensor = tl.norm(tensor, 2) + mttkrp = unfolding_dot_khatri_rao(tensor, tFac, mode) - unnorml_rec_error = tl.norm(tensor - low_rank_component, 2) + factor = np.linalg.solve(pseudo_inverse.T, mttkrp.T).T + tFac.factors[mode] = factor - if tol: - rec_error = unnorml_rec_error / norm_tensor - rec_errors.append(rec_error) + R2X_last = tFac.R2X - if callback is not None: - cp_tensor = CPTensor((weights, factors)) - callback(cp_tensor) + fac, R2X, jump = linesrc.perform(tFac.factors, tOrig) + tFac.R2X = R2X + tFac.factors = fac - if tol is not None: - if iteration >= 1: - rec_error_decrease = rec_errors[-2] - rec_errors[-1] + tq.set_postfix( + R2X=tFac.R2X, delta=tFac.R2X - R2X_last, jump=jump, refresh=False + ) + assert tFac.R2X > 0.0 - if abs(rec_error_decrease) < tol: - break + if callback: + callback(tFac) - cp_tensor = CPTensor((weights, factors)) + if tFac.R2X - R2X_last < tol: + break - return cp_tensor + tFac_norm = cp_normalize(tFac) + tFac_norm.R2X = tFac.R2X + return tFac diff --git a/timpute/method_CLS.py b/timpute/method_CLS.py index 6cb0f77..f5176cb 100644 --- a/timpute/method_CLS.py +++ b/timpute/method_CLS.py @@ -4,17 +4,29 @@ import numpy as np import tensorly as tl -from tensorly.cp_tensor import cp_normalize, cp_flip_sign +from tensorly.cp_tensor import cp_flip_sign, cp_normalize from tensorly.tenalg import khatri_rao -from .initialization import initialize_fac -from .impute_helper import calcR2X +from scipy.linalg import solve as sp_solve from tqdm import tqdm -from sklearn.linear_model import Ridge + +from .initialization import initialize_fac +from .linesearch import Nesterov + +tl.set_backend("numpy") -tl.set_backend('numpy') +def ridge_solve_cholesky(X, y, alpha: float): + # w = inv(X^t X + alpha*Id) * X.T y + A = X.T @ X + Xy = X.T @ y -def censored_lstsq(A: np.ndarray, B: np.ndarray, uniqueInfo=None, alpha=None) -> np.ndarray: + A.flat[:: X.shape[1] + 1] += alpha + return sp_solve(A, Xy, assume_a="pos", overwrite_a=True) + + +def censored_lstsq( + A: np.ndarray, B: np.ndarray, uniqueInfo=None, alpha=None +) -> np.ndarray: """Solves least squares problem subject to missing data. Note: uses a for loop over the missing patterns of B, leading to a slower but more numerically stable algorithm @@ -27,6 +39,7 @@ def censored_lstsq(A: np.ndarray, B: np.ndarray, uniqueInfo=None, alpha=None) -> X (ndarray) : r x n matrix that minimizes norm(M*(AX - B)) """ X = np.empty((A.shape[1], B.shape[1])) + # Missingness patterns if uniqueInfo is None: unique, uIDX = np.unique(np.isfinite(B), axis=1, return_inverse=True) @@ -35,62 +48,71 @@ def censored_lstsq(A: np.ndarray, B: np.ndarray, uniqueInfo=None, alpha=None) -> for i in range(unique.shape[1]): uI = uIDX == i - uu = np.squeeze(unique[:, i]) + uu = unique[:, i] Bx = B[uu, :] if alpha is None: - X[:, uI] = np.linalg.lstsq(A[uu, :], Bx[:, uI], rcond=-1)[0] + X[:, uI] = np.linalg.lstsq(A[uu, :], Bx[:, uI], rcond=None)[0] else: - clf = Ridge(alpha=alpha, fit_intercept=False) - clf.fit(A[uu, :], Bx[:, uI]) - X[:, uI] = clf.coef_.T + X[:, uI] = ridge_solve_cholesky(A[uu, :], Bx[:, uI], alpha=alpha) return X.T - -def perform_CLS(tOrig, - rank=6, - init=None, - alpha=None, - tol=1e-6, - n_iter_max=50, - progress=False, - callback=None, - **kwargs -) -> tl.cp_tensor.CPTensor: - """ Perform CP decomposition. """ - - if init==None: tFac = initialize_fac(tOrig, rank) + +def perform_CLS( + tOrig: np.ndarray, + rank: int=6, + init=None, + alpha=None, + tol: float=1e-6, + n_iter_max: int=50, + progress=False, + callback=None, +) -> tl.cp_tensor.CPTensor: + """Perform CP decomposition.""" + + if init is None: + tFac = initialize_fac(tOrig, rank) else: tFac = init - tFac_last = init - + # Pre-unfold unfolded = [tl.unfold(tOrig, i) for i in range(tOrig.ndim)] R2X_last = -np.inf - tFac.R2X = calcR2X(tFac, tOrig) + + linesrc = Nesterov() + fac, R2X, jump = linesrc.perform(tFac.factors, tOrig) + tFac.factors = fac # Precalculate the missingness patterns - uniqueInfo = [np.unique(np.isfinite(B.T), axis=1, return_inverse=True) for B in unfolded] + uniqueInfo = [ + np.unique(np.isfinite(B.T), axis=1, return_inverse=True) for B in unfolded + ] tq = tqdm(range(n_iter_max), disable=(not progress)) for _ in tq: # Solve on each mode for m in range(len(tFac.factors)): kr = khatri_rao(tFac.factors, skip_matrix=m) - tFac.factors[m] = censored_lstsq(kr, unfolded[m].T, uniqueInfo[m], alpha=alpha) - - R2X_last = tFac.R2X - tFac.R2X = calcR2X(tFac, tOrig) - tq.set_postfix(R2X=tFac.R2X, delta=tFac.R2X - R2X_last, refresh=False) - - if callback: callback(tFac) - if tFac.R2X - R2X_last < tol: - break + tFac.factors[m] = censored_lstsq( + kr, unfolded[m].T, uniqueInfo[m], alpha=alpha + ) + R2X_last = R2X + fac, R2X, jump = linesrc.perform(tFac.factors, tOrig) + tFac.factors = fac + + tq.set_postfix( + R2X=R2X, delta=R2X - R2X_last, jump=jump, refresh=False + ) + + if callback: + callback(tFac) + if R2X - R2X_last < tol: + break tFac = cp_normalize(tFac) tFac = cp_flip_sign(tFac) - tFac.R2X = calcR2X(tFac, tOrig) + tFac.R2X = R2X return tFac diff --git a/timpute/method_DO.py b/timpute/method_DO.py index ca6ee51..fb22c97 100644 --- a/timpute/method_DO.py +++ b/timpute/method_DO.py @@ -2,12 +2,13 @@ Tensor decomposition methods """ import numpy as np -from scipy.optimize import minimize import tensorly as tl +from scipy.optimize import minimize +from tensorly.cp_tensor import cp_lstsq_grad, cp_normalize + +from .generateTensor import generateTensor from .initialization import initialize_fac from .tracker import Tracker -from tensorly.cp_tensor import cp_normalize, cp_lstsq_grad -from .generateTensor import generateTensor tl.set_backend("numpy") @@ -37,13 +38,12 @@ def __call__(self, x): def perform_DO( - tensorOrig:np.ndarray=None, + tensorOrig: np.ndarray, rank:int=6, n_iter_max:int=5_000, tol = 1e-6, callback=None, init=None, - **kwargs ) -> tl.cp_tensor.CPTensor: """Perform CP decomposition.""" if tensorOrig is None: diff --git a/timpute/method_PM.py b/timpute/method_PM.py index 95b062d..0eb1924 100644 --- a/timpute/method_PM.py +++ b/timpute/method_PM.py @@ -1,11 +1,11 @@ import numpy as np import tensorly as tl +from tensorly.cp_tensor import cp_flip_sign, cp_normalize +from tensorly.tenalg import khatri_rao from tqdm import tqdm -from tensorly.tenalg import khatri_rao from .impute_helper import calcR2X from .initialization import initialize_fac -from tensorly.cp_tensor import cp_normalize, cp_flip_sign def perform_PM( @@ -16,7 +16,6 @@ def perform_PM( callback=None, init=None, verbose=None, - **kwargs, ) -> tl.cp_tensor.CPTensor: # function [A, B, C, LFT, M]=PARAFACM(XIJK, Fac, epsilon) # % Input diff --git a/timpute/test/test_cls.py b/timpute/test/test_cls.py index 380b374..64c7ced 100644 --- a/timpute/test/test_cls.py +++ b/timpute/test/test_cls.py @@ -2,13 +2,15 @@ Unit test file. """ +import warnings + import numpy as np import tensorly as tl -import warnings -from ..method_CLS import perform_CLS, censored_lstsq +from sklearn.linear_model import Ridge from tensorly.tenalg import khatri_rao + from ..initialization import initialize_fac -from sklearn.linear_model import Ridge +from ..method_CLS import censored_lstsq, perform_CLS def createCube(missing=0.0, size=(10, 20, 25)): diff --git a/timpute/test/test_do.py b/timpute/test/test_do.py index ae10dfa..4dfab48 100644 --- a/timpute/test/test_do.py +++ b/timpute/test/test_do.py @@ -1,9 +1,11 @@ import numpy as np -from ..method_DO import perform_DO -from ..impute_helper import calcR2X -from ..generateTensor import generateTensor -from timpute.tracker import Tracker + from timpute.decomposition import Decomposition +from timpute.tracker import Tracker + +from ..generateTensor import generateTensor +from ..impute_helper import calcR2X +from ..method_DO import perform_DO def test_decomp_dopt(plot=False, method=perform_DO): diff --git a/timpute/test/test_impute.py b/timpute/test/test_impute.py index 4d0c617..f118f6e 100644 --- a/timpute/test/test_impute.py +++ b/timpute/test/test_impute.py @@ -1,6 +1,7 @@ import numpy as np import tensorly as tl from tensorly.random import random_cp + from ..decomposition import Decomposition from ..generateTensor import generateTensor from ..impute_helper import entry_drop diff --git a/timpute/tracker.py b/timpute/tracker.py index d2eff72..7441a8a 100644 --- a/timpute/tracker.py +++ b/timpute/tracker.py @@ -1,8 +1,11 @@ -import numpy as np -import time import pickle +import time + +import numpy as np + from .impute_helper import calcR2X + class Tracker(): """ Tracks next unfilled entry & runtime, holds tracked name for plotting """ @@ -22,7 +25,7 @@ def __init__(self, tOrig = [0], mask=None, track_runtime = True): self.combined = False - def __call__(self, tFac, **kwargs): + def __call__(self, tFac): """ Takes a CP tensor object """ self.total_error[self.rank][self.rep] = np.append(self.fitted_error[self.rank][self.rep], calcR2X(tFac, self.data, True))