sklearn.decomposition
.IncrementalPCA¶

class
sklearn.decomposition.
IncrementalPCA
(n_components=None, whiten=False, copy=True, batch_size=None)[source]¶ Incremental principal components analysis (IPCA).
Linear dimensionality reduction using Singular Value Decomposition of centered data, keeping only the most significant singular vectors to project the data to a lower dimensional space.
Depending on the size of the input data, this algorithm can be much more memory efficient than a PCA.
This algorithm has constant memory complexity, on the order of
batch_size
, enabling use of np.memmap files without loading the entire file into memory.The computational overhead of each SVD is
O(batch_size * n_features ** 2)
, but only 2 * batch_size samples remain in memory at a time. There will ben_samples / batch_size
SVD computations to get the principal components, versus 1 large SVD of complexityO(n_samples * n_features ** 2)
for PCA.Read more in the User Guide.
Parameters: n_components : int or None, (default=None)
Number of components to keep. If
n_components `` is ``None
, thenn_components
is set tomin(n_samples, n_features)
.batch_size : int or None, (default=None)
The number of samples to use for each batch. Only used when calling
fit
. Ifbatch_size
isNone
, thenbatch_size
is inferred from the data and set to5 * n_features
, to provide a balance between approximation accuracy and memory consumption.copy : bool, (default=True)
If False, X will be overwritten.
copy=False
can be used to save memory but is unsafe for general use.whiten : bool, optional
When True (False by default) the
components_
vectors are divided byn_samples
timescomponents_
to ensure uncorrelated outputs with unit componentwise variances.Whitening will remove some information from the transformed signal (the relative variance scales of the components) but can sometimes improve the predictive accuracy of the downstream estimators by making data respect some hardwired assumptions.
Attributes: components_ : array, shape (n_components, n_features)
Components with maximum variance.
explained_variance_ : array, shape (n_components,)
Variance explained by each of the selected components.
explained_variance_ratio_ : array, shape (n_components,)
Percentage of variance explained by each of the selected components. If all components are stored, the sum of explained variances is equal to 1.0
mean_ : array, shape (n_features,)
Perfeature empirical mean, aggregate over calls to
partial_fit
.var_ : array, shape (n_features,)
Perfeature empirical variance, aggregate over calls to
partial_fit
.noise_variance_ : float
The estimated noise covariance following the Probabilistic PCA model from Tipping and Bishop 1999. See “Pattern Recognition and Machine Learning” by C. Bishop, 12.2.1 p. 574 or http://www.miketipping.com/papers/metmppca.pdf.
n_components_ : int
The estimated number of components. Relevant when
n_components=None
.n_samples_seen_ : int
The number of samples processed by the estimator. Will be reset on new calls to fit, but increments across
partial_fit
calls.See also
Notes
Implements the incremental PCA model from: D. Ross, J. Lim, R. Lin, M. Yang, Incremental Learning for Robust Visual Tracking, International Journal of Computer Vision, Volume 77, Issue 13, pp. 125141, May 2008. See http://www.cs.toronto.edu/~dross/ivt/RossLimLinYang_ijcv.pdf
This model is an extension of the Sequential KarhunenLoeve Transform from: A. Levy and M. Lindenbaum, Sequential KarhunenLoeve Basis Extraction and its Application to Images, IEEE Transactions on Image Processing, Volume 9, Number 8, pp. 13711374, August 2000. See http://www.cs.technion.ac.il/~mic/doc/sklip.pdf
We have specifically abstained from an optimization used by authors of both papers, a QR decomposition used in specific situations to reduce the algorithmic complexity of the SVD. The source for this technique is Matrix Computations, Third Edition, G. Holub and C. Van Loan, Chapter 5, section 5.4.4, pp 252253.. This technique has been omitted because it is advantageous only when decomposing a matrix with
n_samples
(rows) >= 5/3 *n_features
(columns), and hurts the readability of the implemented algorithm. This would be a good opportunity for future optimization, if it is deemed necessary.References
 Ross, J. Lim, R. Lin, M. Yang. Incremental Learning for Robust Visual
Tracking, International Journal of Computer Vision, Volume 77, Issue 13, pp. 125141, May 2008.
 Golub and C. Van Loan. Matrix Computations, Third Edition, Chapter 5,
Section 5.4.4, pp. 252253.
Methods
fit
(X[, y])Fit the model with X, using minibatches of size batch_size. fit_transform
(X[, y])Fit to data, then transform it. get_covariance
()Compute data covariance with the generative model. get_params
([deep])Get parameters for this estimator. get_precision
()Compute data precision matrix with the generative model. inverse_transform
(X[, y])Transform data back to its original space. partial_fit
(X[, y, check_input])Incremental fit with X. set_params
(\*\*params)Set the parameters of this estimator. transform
(X[, y])Apply dimensionality reduction to X. 
fit
(X, y=None)[source]¶ Fit the model with X, using minibatches of size batch_size.
Parameters: X: arraylike, shape (n_samples, n_features) :
Training data, where n_samples is the number of samples and n_features is the number of features.
y: Passthrough for ``Pipeline`` compatibility. :
Returns: self: object :
Returns the instance itself.

fit_transform
(X, y=None, **fit_params)[source]¶ Fit to data, then transform it.
Fits transformer to X and y with optional parameters fit_params and returns a transformed version of X.
Parameters: X : numpy array of shape [n_samples, n_features]
Training set.
y : numpy array of shape [n_samples]
Target values.
Returns: X_new : numpy array of shape [n_samples, n_features_new]
Transformed array.

get_covariance
()[source]¶ Compute data covariance with the generative model.
cov = components_.T * S**2 * components_ + sigma2 * eye(n_features)
where S**2 contains the explained variances, and sigma2 contains the noise variances.Returns: cov : array, shape=(n_features, n_features)
Estimated covariance of data.

get_params
(deep=True)[source]¶ Get parameters for this estimator.
Parameters: deep : boolean, optional
If True, will return the parameters for this estimator and contained subobjects that are estimators.
Returns: params : mapping of string to any
Parameter names mapped to their values.

get_precision
()[source]¶ Compute data precision matrix with the generative model.
Equals the inverse of the covariance but computed with the matrix inversion lemma for efficiency.
Returns: precision : array, shape=(n_features, n_features)
Estimated precision of data.

inverse_transform
(X, y=None)[source]¶ Transform data back to its original space.
In other words, return an input X_original whose transform would be X.
Parameters: X : arraylike, shape (n_samples, n_components)
New data, where n_samples is the number of samples and n_components is the number of components.
Returns: X_original arraylike, shape (n_samples, n_features) :
Notes
If whitening is enabled, inverse_transform will compute the exact inverse operation, which includes reversing whitening.

partial_fit
(X, y=None, check_input=True)[source]¶ Incremental fit with X. All of X is processed as a single batch.
Parameters: X: arraylike, shape (n_samples, n_features) :
Training data, where n_samples is the number of samples and n_features is the number of features.
Returns: self: object :
Returns the instance itself.

set_params
(**params)[source]¶ Set the parameters of this estimator.
The method works on simple estimators as well as on nested objects (such as pipelines). The latter have parameters of the form
<component>__<parameter>
so that it’s possible to update each component of a nested object.Returns: self :

transform
(X, y=None)[source]¶ Apply dimensionality reduction to X.
X is projected on the first principal components previously extracted from a training set.
Parameters: X : arraylike, shape (n_samples, n_features)
New data, where n_samples is the number of samples and n_features is the number of features.
Returns: X_new : arraylike, shape (n_samples, n_components)
Examples
>>> import numpy as np >>> from sklearn.decomposition import IncrementalPCA >>> X = np.array([[1, 1], [2, 1], [3, 2], [1, 1], [2, 1], [3, 2]]) >>> ipca = IncrementalPCA(n_components=2, batch_size=3) >>> ipca.fit(X) IncrementalPCA(batch_size=3, copy=True, n_components=2, whiten=False) >>> ipca.transform(X)