smile.projection

Class PPCA

java.lang.Object

smile.projection.PPCA

All Implemented Interfaces:

Projection<double[]>

public class PPCA
extends Object
implements Projection<double[]>

Probabilistic principal component analysis. PPCA is a simplified factor analysis that employs a latent variable model with linear relationship:

     y ∼ W * x + μ + ε
 

where latent variables x ∼ N(0, I), error (or noise) ε ∼ N(0, Ψ), and μ is the location term (mean). In PPCA, an isotropic noise model is used, i.e., noise variances constrained to be equal (Ψ_i = σ²). A close form of estimation of above parameters can be obtained by maximum likelihood method.

References

1. Michael E. Tipping and Christopher M. Bishop. Probabilistic Principal Component Analysis. Journal of the Royal Statistical Society. Series B (Statistical Methodology) 61(3):611-622, 1999.

Author:

Haifeng Li

See Also:

PCA

Constructor Summary

Constructors

Constructor and Description
PPCA(double[][] data, int k) Constructor.

Method Summary

Methods

Modifier and Type	Method and Description
double[]	getCenter() Returns the center of data.
double[][]	getLoadings() Returns the variable loading matrix, ordered from largest to smallest by corresponding eigenvalues.
double	getNoiseVariance() Returns the variance of noise.
double[][]	getProjection() Returns the projection matrix.
double[]	project(double[] x) Project a data point to the feature space.
double[][]	project(double[][] x) Project a set of data toe the feature space.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PPCA

public PPCA(double[][] data,
    int k)

Constructor. Learn probabilistic principal component analysis.

Parameters:

data - training data of which each row is a sample.

k - the number of principal component to learn.

Method Detail

getLoadings

public double[][] getLoadings()

Returns the variable loading matrix, ordered from largest to smallest by corresponding eigenvalues.

getCenter

public double[] getCenter()

Returns the center of data.

getNoiseVariance

public double getNoiseVariance()

Returns the variance of noise.

getProjection

public double[][] getProjection()

Returns the projection matrix. Note that this is not the matrix W in the latent model.

project

public double[] project(double[] x)

Description copied from interface: Projection

Project a data point to the feature space.

Specified by:

project in interface Projection<double[]>

project

public double[][] project(double[][] x)

Description copied from interface: Projection

Project a set of data toe the feature space.

Specified by:

project in interface Projection<double[]>