blob: 435f8315b36606bd26ba12fe2835c0caa466fb4d [file] [log] [blame]
/* ----------------------------------------------------------------------- *//**
*
* @file pca.sql_in
*
* @brief Principal Component Analysis
*
* @sa For a brief introduction to Principal Component Analysis, see the module
* description \ref grp_pca.
*
*//* ----------------------------------------------------------------------- */
m4_include(`SQLCommon.m4')
/**
@addtogroup grp_pca_train
@brief Produces a model that transforms a number of (possibly) correlated
variables into a (smaller) number of uncorrelated variables called principal
components.
<div class ="toc"><b>Contents</b>
<ul>
<li class="level1"><a href="#train">Training Function</a></li>
<li class="level1"><a href="#examples">Examples</a></li>
<li class="level1"><a href="#notes">Notes</a></li>
<li class="level1"><a href="#background_pca">Technical Background</a></li>
<li class="level1"><a href="#literature">Literature</a></li>
<li class="level1"><a href="#related">Related Topics</a></li>
</ul>
</div>
Principal component analysis (PCA) is a mathematical procedure that uses an
orthogonal transformation to convert a set of observations of possibly
correlated variables into a set of values of linearly uncorrelated variables
called principal components. This transformation is defined in such a way that
the first principal component has the largest possible variance (i.e.,
accounts for as much of the variability in the data as possible), and each
succeeding component in turn has the highest variance possible under the
constraint that it be orthogonal to (i.e., uncorrelated with) the preceding
components.
See the \ref background_pca "Technical Background" for an introduction to
principal component analysis and the implementation notes.
@anchor train
@par Training Function
The training functions have the following formats:
<pre class="syntax">
pca_train( source_table,
out_table,
row_id,
k,
grouping_cols,
lanczos_iter,
use_correlation,
result_summary_table
)
</pre>
and
<pre class="syntax">
pca_sparse_train( source_table,
out_table,
row_id,
col_id,
val_id,
row_dim,
col_dim,
k,
grouping_cols,
lanczos_iter,
use_correlation,
result_summary_table
)
</pre>
\b Arguments
<DL class="arglist">
<DT>source_table</DT>
<DD>TEXT. Name of the input table containing the data for PCA training.
The input data matrix should have \f$ N \f$ rows
and \f$ M \f$ columns, where \f$ N \f$ is the number of data points, and \f$ M
\f$ is the number of features for each data point.
A dense input table is expected to be in the one of the
two standard MADlib dense matrix formats, and a sparse input table
should be in the standard MADlib sparse matrix format.
The two standard MADlib dense matrix formats are
<pre>{TABLE|VIEW} <em>source_table</em> (
<em>row_id</em> INTEGER,
<em>row_vec</em> FLOAT8[],
)</pre>
and
<pre>{TABLE|VIEW} <em>source_table</em> (
<em>row_id</em> INTEGER,
<em>col1</em> FLOAT8,
<em>col2</em> FLOAT8,
...
)</pre>
Note that the column name <em>row_id</em> is taken as an input parameter,
and should contain a continguous list of row indices (starting at 1) for the input matrix.
The input table for sparse PCA is expected to be in the form:
<pre>{TABLE|VIEW} <em>source_table</em> (
...
<em>row_id</em> INTEGER,
<em>col_id</em> INTEGER,
<em>val_id</em> FLOAT8,
...
)</pre>
The <em>row_id</em> and <em>col_id</em> columns specify which entries
in the matrix are nonzero, and the <em>val_id</em> column defines the values
of the nonzero entries.
</DD>
<DT>out_table</DT>
<DD>TEXT. The name of the table that will contain the output. The output is divided into three tables.
The primary output table (<em>out_table</em>) encodes the principal components with the
<em>k</em> highest eigenvalues. The table has the following columns:
<table class="output">
<tr>
<th>row_id</th>
<td>Eigenvalue rank in descending order of the eigenvalue size.</td>
</tr>
<tr>
<th>principal_components</th>
<td>Vectors containing elements of the principal components.</td>
</tr>
<tr>
<th>eigen_values</th>
<td>The eigenvalues associated with each principal component.</td>
</tr>
</table>
The table <em>out_table</em>_means contains the column means.
This table has just one column:
<table class="output">
<tr>
<th>column_means</th>
<td>A vector containing the column means for the input matrix.</td>
</tr>
</table>
The optional table <em>result_summary_table</em> contains information about the performance of the PCA. The contents of this table are described under the <em>result_summary_table</em> argument.
</DD>
<DT>row_id</DT>
<DD>TEXT. Column name containing the row IDs in the input source table. The column
needs to be of type that can be cast to INT and should only contain values between 1 and
<em>N</em>. For dense matrix format, it should contain all continguous integers from 1 to <em>N</em>.</DD>
<DT>col_id</DT>
<DD>TEXT. Column name of containing the col IDS in sparse matrix representation
(sparse matrices only). The column should be of type that can be cast to INT and
contain values between 1 and <em>M</em>.</DD>
<DT>val_id</DT>
<DD>TEXT. Name of 'val_id' column in sparse matrix representation (sparse matrices only). </DD>
<DT>row_dim</DT>
<DD>INTEGER. The number of rows in the sparse matrix (sparse matrices only). </DD>
<DT>col_dim</DT>
<DD>INTEGER. The number of columns in the sparse matrix (sparse matrices only). </DD>
<DT>k</DT>
<DD>INTEGER. The number of principal components to calculate from the input data. </DD>
<DT>grouping_cols (optional)</DT>
<DD>TEXT, default: NULL. Currently <em>grouping_cols</em> is present as a placeholder for forward
compatibility. The parameter is planned to be implemented as a comma-separated
list of column names, with the source data grouped using the combination of all the columns.
An independent PCA model will be computed for each combination of the grouping columns.</DD>
<DT>lanczos_iter (optional)</DT>
<DD>INTEGER, default: minimum of {k+40, smallest matrix dimension}. The number of Lanczos iterations for the SVD calculation.
The Lanczos iteration number roughly corresponds to the accuracy of the SVD
calculation, and a higher iteration number corresponds to greater accuracy
but longer computation time. The number of iterations must be at least as
large as the value of <em>k</em>, but no larger than the smallest dimension
of the matrix. If the iteration number is given as zero, then the default
number of iterations is used.</DD>
<DT>use_correlation (optional)</DT>
<DD>BOOLEAN, default FALSE. Whether to use the correlation matrix for calculating the principal components instead of the covariance matrix. Currently
<em>use_correlation</em> is a placeholder for forward compatibility, and
this value must be set to false.</DD>
<DT>result_summary_table (optional)</DT>
<DD>TEXT, default NULL. Name of the optional summary table. When NULL, no summary table is generated.
This sumary table has the following columns:
<table class="output">
<tr>
<th>rows_used</th>
<td>INTEGER. Number of data points in the input.</td>
</tr>
<tr>
<th>exec_time (ms)</th>
<td>FLOAT8. Number of milliseconds for the PCA calculation to run.</td>
</tr>
<tr>
<th>iter</th>
<td>INTEGER. Number of iterations used in the SVD calculation.</td>
</tr>
<tr>
<th>recon_error</th>
<td>FLOAT8. The absolute error in the SVD approximation.</td>
</tr>
<tr>
<th>relative_recon_error</th>
<td>FLOAT8. The relative error in the SVD approximation.</td>
</tr>
<tr>
<th>use_correlation</th>
<td>BOOLEAN. Indicates if the correlation matrix was used.</td>
</tr>
</table>
</DD>
</DL>
@anchor examples
@examp
-# View online help for the PCA training function.
<pre class="example">
SELECT madlib.pca_train();
</pre>
-# Create the sample data.
<pre class="example">
DROP TABLE IF EXISTS mat;
CREATE TABLE mat (
row_id integer,
row_vec double precision[]
);
COPY mat (row_id, row_vec) FROM stdin;
1 {1,2,3}
2 {2,1,2}
3 {3,2,1}
\\.
</pre>
-# Run the PCA function:
<pre class="example">
DROP TABLE result_table;
SELECT pca_train( 'mat',
'result_table',
'row_id',
3
);
</pre>
-# View the PCA results:
<pre class="example">
SELECT * FROM result_table;
</pre>
Result
<pre class="result">
row_id | principal_components | eigen_values
--------+--------------------------------------------------------------+----------------------
1 | {-0.707106781186548,-1.2490009027033e-16,0.707106781186548} | 1.4142135623731
2 | {5.55111512312578e-17,1,0} | 0.577350269189626
3 | {-0.707106781186547,1.11022302462516e-16,-0.707106781186548} | 1.07795017977832e-16
</pre>
@anchor notes
@par Notes
- Table names can be optionally schema qualified (current_schemas() would be
searched if a schema name is not provided) and all table and column names
should follow case-sensitivity and quoting rules per the database.
(For instance, 'mytable' and 'MyTable' both resolve to the same entity, i.e. 'mytable'.
If mixed-case or multi-byte characters are desired for entity names then the
string should be double-quoted; in this case the input would be '"MyTable"').
- Because of the centering step in PCA (see
\ref background_pca "Technical Background"), sparse matrices almost always
become dense during the training process. Thus, this implementation
automatically densifies sparse matrix input, and there should be no expected
performance improvement in using sparse matrix input over dense matrix input.
@anchor background_pca
@par Technical Background
The PCA implemented here uses an SVD decomposition implementation to recover
the principal components (as opposed to the directly computing the eigenvectors
of the covariance matrix). Let \f$ \boldsymbol X \f$ be the data matrix, and
let \f$ \hat{x} \f$ be a vector of the column averages of \f$ \boldsymbol{X}\f$.
PCA computes the matrix \f$ \hat{\boldsymbol X} \f$ as
\f[
\hat{\boldsymbol X} = {\boldsymbol X} - \vec{e} \hat{x}^T
\f]
where \f$ \vec{e} \f$ is the vector of all ones.
PCA then computes the SVD matrix factorization
\f[
\hat{\boldsymbol X} = {\boldsymbol U}{\boldsymbol \Sigma}{\boldsymbol V}^T
\f]
where \f$ {\boldsymbol \Sigma} \f$ is a diagonal matrix. The eigenvalues are
recovered as the entries of \f$ {\boldsymbol \Sigma}/(\sqrt{N-1}) \f$, and the principal
components are the rows of \f$ {\boldsymbol V} \f$.
It is important to note that the PCA implementation assumes that the user will
use only the principal components that have non-zero eigenvalues. The SVD
calculation is done with the Lanczos method, with does not guarantee
correctness for singular vectors with zero-valued eigenvalues. Consequently,
principal components with zero-valued eigenvalues are not guaranteed to be correct.
Generally, this will not be problem unless the user wants to use the
principal components for the entire eigenspectrum.
@anchor literature
@literature
[1] Principal Component Analysis. http://en.wikipedia.org/wiki/Principal_component_analysis
[2] Shlens, Jonathon (2009), A Tutorial on Principal Component Analysis
@anchor related
@par Related Topics
File pca.sql_in documenting the SQL functions
\ref grp_pca_project
*/
-- -----------------------------------------------------------------------
-- PCA for Dense matrices
-- -----------------------------------------------------------------------
/*
@brief Compute principal components for a dense matrix stored in a
database table
*/
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
k INTEGER, -- Number of principal components to compute
grouping_cols TEXT, -- Comma-separated list of grouping columns (Default: NULL)
lanczos_iter INTEGER, -- The number of Lanczos iterations for the SVD calculation (Default: min(k+40, smallest Matrix dimension))
use_correlation BOOLEAN, -- If True correlation matrix is used for principal components (Default: False)
result_summary_table TEXT -- Table name to store summary of results (Default: NULL)
)
RETURNS VOID AS $$
PythonFunction(pca, pca, pca)
$$ LANGUAGE plpythonu
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
-- Overloaded functions for optional parameters
-- -----------------------------------------------------------------------
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
k INTEGER,-- Number of principal components to compute
grouping_cols TEXT, -- Comma-separated list of grouping columns
lanczos_iter INTEGER,-- The number of Lanczos iterations for the SVD calculation
use_correlation BOOLEAN -- If True correlation matrix is used for principal components
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_train($1, $2, $3, $4, $5, $6, $7, NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
k INTEGER,-- Number of principal components to compute
grouping_cols TEXT, -- Comma-separated list of grouping columns
lanczos_iter INTEGER -- The number of Lanczos iterations for the SVD calculation
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_train($1, $2, $3, $4, $5, $6, False , NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
k INTEGER,-- Number of principal components to compute
grouping_cols TEXT -- Comma-separated list of grouping columns
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_train($1, $2, $3, $4, $5, 0, False , NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
k INTEGER -- Number of principal components to compute
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_train($1, $2, $3, $4, NULL, 0, False, NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
-- Information Functions
-- -----------------------------------------------------------------------
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.pca_train(
usage_string VARCHAR -- usage string
)
RETURNS TEXT AS $$
PythonFunctionBodyOnly(`pca', `pca')
return pca.pca_help_message(schema_madlib, usage_string)
$$ LANGUAGE plpythonu IMMUTABLE
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `CONTAINS SQL', `');
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.pca_train()
RETURNS VARCHAR AS $$
BEGIN
RETURN MADLIB_SCHEMA.pca_train('');
END;
$$ LANGUAGE plpgsql IMMUTABLE
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `CONTAINS SQL', `');
-- -----------------------------------------------------------------------
-- PCA for Sparse matrices
-- -----------------------------------------------------------------------
/*
@brief Compute principal components for a sparse matrix stored in a
database table
*/
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_sparse_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Name of 'row_id' column in sparse matrix representation
col_id TEXT, -- Name of 'col_id' column in sparse matrix representation
val_id TEXT, -- Name of 'val_id' column in sparse matrix representation
row_dim INTEGER, -- Number of rows in the sparse matrix
col_dim INTEGER, -- Number of columns in the sparse matrix
k INTEGER, -- Number of eigenvectors with dominant eigenvalues, sorted decreasingly
grouping_cols TEXT, -- Comma-separated list of grouping columns (Default: NULL)
lanczos_iter INTEGER, -- The number of Lanczos iterations for the SVD calculation (Default: min(k+40, smallest Matrix dimension))
use_correlation BOOLEAN, -- If True correlation matrix is used for principal components (Default: False)
result_summary_table TEXT -- Table name to store summary of results (Default: NULL)
)
RETURNS VOID AS $$
PythonFunction(pca, pca, pca_sparse)
$$ LANGUAGE plpythonu
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
-- Overloaded functions for optional parameters
-- -----------------------------------------------------------------------
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_sparse_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
col_id TEXT, -- Name of 'col_id' column in sparse matrix representation
val_id TEXT, -- Name of 'val_id' column in sparse matrix representation
row_dim INTEGER, -- Number of rows in the sparse matrix
col_dim INTEGER, -- Number of columns in the sparse matrix
k INTEGER, -- Number of principal components to compute
grouping_cols TEXT, -- Comma-separated list of grouping columns
lanczos_iter INTEGER, -- The number of Lanczos iterations for the SVD calculation
use_correlation BOOLEAN -- If True correlation matrix is used for principal components
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_sparse_train($1, $2, $3, $4, $5, $6, $7, $8, $9, $10, $11, NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_sparse_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
col_id TEXT, -- Name of 'col_id' column in sparse matrix representation
val_id TEXT, -- Name of 'val_id' column in sparse matrix representation
row_dim INTEGER, -- Number of rows in the sparse matrix
col_dim INTEGER, -- Number of columns in the sparse matrix
k INTEGER, -- Number of principal components to compute
grouping_cols TEXT, -- Comma-separated list of grouping columns
lanczos_iter INTEGER -- The number of Lanczos iterations for the SVD calculation
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_sparse_train($1, $2, $3, $4, $5, $6, $7, $8, $9, $10, False , NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_sparse_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
col_id TEXT, -- Name of 'col_id' column in sparse matrix representation
val_id TEXT, -- Name of 'val_id' column in sparse matrix representation
row_dim INTEGER, -- Number of rows in the sparse matrix
col_dim INTEGER, -- Number of columns in the sparse matrix
k INTEGER, -- Number of principal components to compute
grouping_cols TEXT -- Comma-separated list of grouping columns
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_sparse_train($1, $2, $3, $4, $5, $6, $7, $8, $9, 0, False , NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
CREATE OR REPLACE FUNCTION
MADLIB_SCHEMA.pca_sparse_train(
source_table TEXT, -- Source table name (dense matrix)
pc_table TEXT, -- Output table name for the principal components
row_id TEXT, -- Column name for the ID for each row
col_id TEXT, -- Name of 'col_id' column in sparse matrix representation
val_id TEXT, -- Name of 'val_id' column in sparse matrix representation
row_dim INTEGER, -- Number of rows in the sparse matrix
col_dim INTEGER, -- Number of columns in the sparse matrix
k INTEGER -- Number of principal components to compute
)
RETURNS VOID AS $$
SELECT MADLIB_SCHEMA.pca_sparse_train($1, $2, $3, $4, $5, $6, $7, $8, NULL, 0, False, NULL)
$$ LANGUAGE SQL
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `MODIFIES SQL DATA', `');
-- -----------------------------------------------------------------------
-- Information Functions
-- -----------------------------------------------------------------------
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.pca_sparse_train(
usage_string VARCHAR -- usage string
)
RETURNS TEXT AS $$
PythonFunctionBodyOnly(`pca', `pca')
return pca.pca_sparse_help_message(schema_madlib, usage_string)
$$ LANGUAGE plpythonu IMMUTABLE
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `CONTAINS SQL', `');
CREATE OR REPLACE FUNCTION MADLIB_SCHEMA.pca_sparse_train()
RETURNS TEXT AS $$
BEGIN
RETURN MADLIB_SCHEMA.pca_sparse_train('');
END;
$$ LANGUAGE plpgsql IMMUTABLE
m4_ifdef(`__HAS_FUNCTION_PROPERTIES__', `CONTAINS SQL', `');