Revision f04806e2ddcd9af66be2bec85a9ec9311f3a31a5 authored by Jean Kossaifi on 23 December 2018, 23:32:26 UTC, committed by Jean Kossaifi on 23 December 2018, 23:32:26 UTC
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proximal.py
from .. import backend as T

# Author: Jean Kossaifi

# License: BSD 3 clause



def soft_thresholding(tensor, threshold):
    """Soft-thresholding operator

        sign(tensor) * max[abs(tensor) - threshold, 0]

    Parameters
    ----------
    tensor : ndarray
    threshold : float or ndarray with shape tensor.shape
        * If float the threshold is applied to the whole tensor
        * If ndarray, one theshold is applied per elements, 0 values are ignored

    Returns
    -------
    ndarray
        thresholded tensor on which the operator has been applied

    Examples
    --------
    Basic shrinkage

    >>> import tensorly.backend as T
    >>> from tensorly.tenalg.proximal import soft_thresholding
    >>> tensor = T.tensor([[1, -2, 1.5], [-4, 3, -0.5]])
    >>> soft_thresholding(tensor, 1.1)
    array([[ 0. , -0.9,  0.4],
           [-2.9,  1.9,  0. ]])


    Example with missing values

    >>> mask = T.tensor([[0, 0, 1], [1, 0, 1]])
    >>> soft_thresholding(tensor, mask*1.1)
    array([[ 1. , -2. ,  0.4],
           [-2.9,  3. ,  0. ]])

    See also
    --------
    inplace_soft_thresholding : Inplace version of the soft-thresholding operator
    svd_thresholding : SVD-thresholding operator
    """
    return T.sign(tensor)*T.clip(T.abs(tensor) - threshold, a_min=0)


def svd_thresholding(matrix, threshold):
    """Singular value thresholding operator

    Parameters
    ----------
    matrix : ndarray
    threshold : float

    Returns
    -------
    ndarray
        matrix on which the operator has been applied

    See also
    --------
    procrustes : procrustes operator
    """
    U, s, V = T.partial_svd(matrix, n_eigenvecs=min(matrix.shape))
    return T.dot(U, T.reshape(soft_thresholding(s, threshold), (-1, 1))*V)


def procrustes(matrix):
    """Procrustes operator

    Parameters
    ----------
    matrix : ndarray

    Returns
    -------
    ndarray
        matrix on which the Procrustes operator has been applied
        has the same shape as the original tensor


    See also
    --------
    svd_thresholding : SVD-thresholding operator
    """
    U, _, V = T.partial_svd(matrix, n_eigenvecs=min(matrix.shape))
    return T.dot(U, V)

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