/// <summary>
/// Computes the variable importance in projection (VIP)
/// </summary>
/// <returns>
/// A predictors x factors matrix in which each row represents
/// the importance of the variable in a projection considering
/// the number of factors indicated by the column.
/// </returns>
/// <remarks>
/// References:
/// - http://mevik.net/work/software/VIP.R
/// - http://www.postech.ac.kr/~chjun/publication/Chemometrics/chemo05.pdf
/// </remarks>
protected double[,] ComputeVariableImportanceInProjection(int factors)
{
int xcols = sourceX.GetLength(1);
double[,] importance = new double[xcols, factors];
// For each input variable
for (int j = 0; j < xcols; j++)
{
double[] SS1 = new double[factors];
double[] SS2 = new double[factors];
// For each latent factor
for (int k = 0; k < factors; k++)
{
// Assume single response variable
var b = loadingsY.GetColumn(k)[0];
var t = scoresX.GetColumn(k);
var w = loadingsX.GetColumn(k);
var ss = (b * b) * (t.InnerProduct(t));
var wn = (w[j] * w[j]) / Norm.SquareEuclidean(w);
SS1[k] = ss * wn;
SS2[k] = ss;
}
var sum1 = Matrix.CumulativeSum(SS1);
var sum2 = Matrix.CumulativeSum(SS2);
for (int k = 0; k < factors; k++)
{
importance[j, k] = System.Math.Sqrt(xcols * sum1[k] / sum2[k]);
}
}
return(importance);
// Matricial form (possibly more efficient) solution
/*
* var SS = loadingsY.ElementwisePower(2).GetRow(0)
* .ElementwiseMultiply(scoresX.ElementwisePower(2).Sum(1));
*
* var loadingsX2 = loadingsX.ElementwisePower(2);
*
* var Wnorm2 = loadingsX2.Sum(1);
*
* var SSW = loadingsX2.ElementwiseMultiply(SS.ElementwiseDivide(Wnorm2), 1);
*
* var division = SSW.CumulativeSum(0).ToMatrix()
* .ElementwiseDivide(SS.CumulativeSum(), 0);
*
* this.vip = Matrix.Sqrt(division.Multiply(SSW.GetLength(0))).Transpose();
*/
}
/// <summary>
/// Gets the Euclidean norm for a matrix.
/// </summary>
///
public static float[] Euclidean(this float[,] a, int dimension)
{
float[] norm = Norm.SquareEuclidean(a, dimension);
for (int i = 0; i < norm.Length; i++)
{
norm[i] = (float)System.Math.Sqrt(norm[i]);
}
return(norm);
}
/// <summary>
/// Gets the Euclidean norm for a matrix.
/// </summary>
///
public static double[] Euclidean(this double[,] a, int dimension)
{
double[] norm = Norm.SquareEuclidean(a, dimension);
for (int i = 0; i < norm.Length; i++)
{
norm[i] = System.Math.Sqrt(norm[i]);
}
return(norm);
}
/// <summary>
/// Calculate the Procrustes Distance between two sets of data
/// </summary>
/// <param name="samples1">First data set</param>
/// <param name="samples2">Second data set</param>
/// <returns>The Procrustes distance</returns>
double ProcrustesDistance(double[,] samples1, double[,] samples2)
{
double sum = 0;
// Only calculate the distance for the maximal common number of points (i.e. the Min between samples1 and samples2 number of points)
for (int i = 0; i < System.Math.Min(samples1.GetLength(0), samples2.GetLength(0)); i++)
{
sum += Norm.SquareEuclidean(samples1.GetRow(i).Subtract(samples2.GetRow(i)));
}
return(System.Math.Sqrt(sum));
}
/// <summary>
/// Estimates suitable values for the sigmoid kernel
/// by exploring the response area of the tanh function.
/// </summary>
///
/// <param name="inputs">An input data set.</param>
///
/// <returns>A Sigmoid kernel initialized with appropriate values.</returns>
///
public static Sigmoid Estimate(double[][] inputs)
{
double[] norm = new double[inputs.Length];
for (int i = 0; i < inputs.Length; i++)
{
norm[i] = Norm.SquareEuclidean(inputs[i]);
}
double max = Matrix.Max(norm);
double r = -Math.E;
double a = -r / max;
return(new Sigmoid(a, r));
}
/// <summary>
/// Projects an input point into feature space.
/// </summary>
///
/// <param name="input">The input point to be projected into feature space.</param>
///
/// <returns>
/// The feature space representation of the given <paramref name="input"/> point.
/// </returns>
///
public double[] Transform(double[] input)
{
// http://epubs.siam.org/doi/pdf/10.1137/1.9781611972818.19
double[] features = new double[coefficients.Length];
features[0] = 1;
for (int index = 1, k = 0; index < coefficients.Length; k++)
{
double alpha = coefficients[k];
foreach (int[] s in Combinatorics.Sequences(input.Length, k + 1))
{
double prod = 1.0;
for (int i = 0; i < s.Length; i++)
{
prod *= input[s[i]];
}
features[index++] = alpha * prod;
if (index >= coefficients.Length)
{
break;
}
}
}
double norm = Norm.SquareEuclidean(input);
double constant = Math.Exp(-gaussian.Gamma * norm);
for (int i = 0; i < features.Length; i++)
{
features[i] *= constant;
}
return(features);
}