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Kernel Principal Component Analysis

Kernel Principal Component Analysis (kernel PCA) is an extension of principal component analysis (PCA) using techniques of kernel methods. Using a kernel, the originally linear operations of PCA are performed in a reproducing kernel Hilbert space.

This package defines a KernelPCA type to represent a kernel PCA model, and provides a set of methods to access the properties.

Properties

Let M be an instance of KernelPCA, d be the dimension of observations, and p be the output dimension (i.e the dimension of the principal subspace)

.. function:: indim(M)

    Get the input dimension ``d``, *i.e* the dimension of the observation space.


.. function:: outdim(M)

    Get the output dimension ``p``, *i.e* the dimension of the principal subspace.


.. function:: projection(M)

    Get the projection matrix (of size ``(n, p)``). Each column of the projection matrix corresponds to an eigenvector, and ``n`` is a number of observations.

    The principal components are arranged in descending order of the corresponding eigenvalues.


.. function:: principalvars(M)

    The variances of principal components.

Transformation and Construction

The package provides methods to do so:

.. function:: transform(M, x)

    Transform observations ``x`` into principal components.

    Here, ``x`` can be either a vector of length ``d`` or a matrix where each column is an observation.


.. function:: reconstruct(M, y)

    Approximately reconstruct observations from the principal components given in ``y``.

    Here, ``y`` can be either a vector of length ``p`` or a matrix where each column gives the principal components for an observation.

Data Analysis

One can use the fit method to perform kernel PCA over a given dataset.

.. function:: fit(KernelPCA, X; ...)

    Perform kernel PCA over the data given in a matrix ``X``. Each column of ``X`` is an observation.

    This method returns an instance of ``KernelPCA``.

    **Keyword arguments:**

    Let ``(d, n) = size(X)`` be respectively the input dimension and the number of observations:

    =========== =============================================================== ===============
      name         description                                                   default
    =========== =============================================================== ===============
     kernel     The kernel function:                                             ``(x,y)->x'y``

                This functions accepts two vector arguments ``x`` and ``y``,
                and returns a scalar value.

                If ``X`` is a precomputed kernel matrix (Gramian), set
                ``kernel=nothing``.
    ----------- --------------------------------------------------------------- ---------------
     solver     The choice of solver:                                            ``:eig``

                - ``:eig``: uses ``eigfact``
                - ``:eigs``: uses ``eigs`` (always used for sparse data)
    ----------- --------------------------------------------------------------- ---------------
     maxoutdim  Maximum output dimension.                                        ``min(d, n)``
    ----------- --------------------------------------------------------------- ---------------
     inverse    Whether to perform calculation for inverse transform for         ``false``
                non-precomputed kernels.
    ----------- --------------------------------------------------------------- ---------------
     β          Hyperparameter of the ridge regression that learns the           ``1.0``
                inverse transform (when ``inverse`` is ``true``).
    ----------- --------------------------------------------------------------- ---------------
     tol        Convergence tolerance for ``eigs`` solver                        ``0.0``
    ----------- --------------------------------------------------------------- ---------------
     maxiter    Maximum number of iterations for ``eigs`` solver                 ``300``
    =========== =============================================================== ===============

Kernels

List of the commonly used kernels:

function description
(x,y)->x'y Linear
(x,y)->(x'y+c)^d Polynomial
(x,y)->exp(-γ*norm(x-y)^2.0) Radial basis function (RBF)

Example:

using MultivariateStats

# suppose Xtr and Xte are training and testing data matrix,
# with each observation in a column

# train a kernel PCA model
M = fit(KernelPCA, Xtr; maxoutdim=100, inverse=true)

# apply kernel PCA model to testing set
Yte = transform(M, Xte)

# reconstruct testing observations (approximately)
Xr = reconstruct(M, Yte)