import numpy as np from ..base import fold, unfold from ..tenalg import norm, khatri_rao from ..utils import check_random_state from ..tenalg.proximal import soft_thresholding, svd_thresholding # Author: Jean Kossaifi # License: BSD 3 clause def robust_pca(X, mask=None, tol=10e-7, reg_E=1, reg_J=1, mu_init=10e-5, mu_max=10e9, learning_rate=1.1, n_iter_max=100, random_state=None, verbose=1): """Robust Tensor PCA via ALM Decomposes a tensor `X` into the sum of a low-rank component `D` and a sparse component `E`. Parameters ---------- X : ndarray tensor data of shape (n_samples, N1, ..., NS) mask : ndarray array of booleans with the same shape as `X` should be zero where the values are missing and 1 everywhere else tol : float convergence value reg_E : float, optional, default is 1 regularisation on the sparse part `E` reg_J : float, optional, default is 1 regularisation on the low rank part `D` mu_init : float, optional, default is 10e-5 initial value for mu mu_max : float, optional, default is 10e-5 maximal value for mu learning_rate : float, optional, default is 1.1 percentage increase of mu at each iteration n_iter_max : int, optional, default is 100 maximum number of iteration random_state : None, int or RandomState, optional, default is None verbose : int, default is 1 level of verbosity Returns ------- (D, E) Robust decomposition of `X` D : `X`-like array low-rank part E : `X`-like array sparse error part Notes ----- The problem we solve is, for an input tensor :math:`\\tilde X`: .. math:: :nowrap: \\begin{equation*} \\begin{aligned} & \\min_{\\{J_i\\}, \\tilde D, \\tilde E} & \\sum_{i=1}^N \\text{reg}_J \\|J_i\\|_* + \\text{reg}_E \\|E\\|_1 \\\\ & \\text{subject to} & \\tilde X = & \\tilde A + \\tilde E \\\\ & & A_{[i]} = & J_i, \\text{ for each } i \\in \\{1, 2, \\cdots, N\\}\\\\ \\end{aligned} \\end{equation*} """ if mask is None: mask = 1 # Initialise the decompositions D = np.zeros_like(X) # low rank part E = np.zeros_like(X) # sparse part L_x = np.zeros_like(X) # Lagrangian variables for the (X - D - E - L_x/mu) term J = [np.zeros_like(X) for _ in range(X.ndim)] # Low-rank modes of X L = [np.zeros_like(X) for _ in range(X.ndim)] # Lagrangian or J # Norm of the reconstructions at each iteration rec_X = [] rec_D = [] mu = mu_init for iteration in range(n_iter_max): for i in range(X.ndim): J[i] = fold(svd_thresholding(unfold(D, i) + unfold(L[i], i)/mu, reg_J/mu), i, X.shape) D = L_x/mu + X- E for i in range(X.ndim): D += J[i] - L[i]/mu D /= (X.ndim + 1) E = soft_thresholding(X - D + L_x/mu, mask*reg_E/mu) # Update the lagrangian multipliers for i in range(X.ndim): L[i] += mu * (D - J[i]) L_x += mu*(X - D - E) mu = min(mu*learning_rate, mu_max) # Evolution of the reconstruction errors rec_X.append(norm(X - D - E, 2)) rec_D.append(np.max([norm(low_rank - D, 2) for low_rank in J])) # Convergence check if iteration > 1: if (max(rec_X[-1], rec_D[-1]) <= tol): if verbose: print('\nConverged in {} iterations'.format(iteration)) break return D, E