FPCA of 1-dimensional data

# Author: Steven Golovkine <steven_golovkine@icloud.com>
# License: MIT

# Load packages
import matplotlib.pyplot as plt
import numpy as np

from FDApy.representation import DenseArgvals
from FDApy.simulation import KarhunenLoeve
from FDApy.preprocessing import UFPCA
from FDApy.visualization import plot

In this section, we are showing how to perform a functional principal component on one-dimensional data using the UFPCA class. We will compare two methods to perform the dimension reduction: the decomposition of the covariance operator and the decomposition of the inner-product matrix. We will use the first \(K = 5\) principal components to reconstruct the curves.

# Set general parameters
rng = 42
n_obs = 50

# Parameters of the basis
name = "fourier"
n_functions = 25
argvals = DenseArgvals({"input_dim_0": np.linspace(0, 1, 101)})

We simulate \(N = 50\) curves on the one-dimensional observation grid \(\{0, 0.01, 0.02, \cdots, 1\}\), based on the first \(K = 25\) Fourier basis functions on \([0, 1]\) and the variance of the scores random variables decreasing exponentially.

kl = KarhunenLoeve(
    n_functions=n_functions, basis_name=name, argvals=argvals, random_state=rng
)
kl.new(n_obs=n_obs, clusters_std="exponential")
kl.add_noise(noise_variance=0.05)
data = kl.noisy_data

_ = plot(data)
plt.show()

Estimation of the eigencomponents

The UFPCA class requires two parameters: the number of components to estimate and the method to use. The method parameter can be either covariance or inner-product. The first method estimates the eigenfunctions by decomposing the covariance operator, while the second method estimates the eigenfunctions by decomposing the inner-product matrix.

# First, we perform a univariate FPCA using a decomposition of the covariance operator.
ufpca_cov = UFPCA(n_components=5, method="covariance")
ufpca_cov.fit(data)

# Plot the eigenfunctions using the decomposition of the covariance operator.
_ = plot(ufpca_cov.eigenfunctions)
plt.show()

# Second, we perform a univariate FPCA using a decomposition of the inner-product matrix.
ufpca_innpro = UFPCA(n_components=5, method="inner-product")
ufpca_innpro.fit(data)

# Plot the eigenfunctions using the decomposition of the inner-product matrix.
_ = plot(ufpca_innpro.eigenfunctions)
plt.show()

Estimation of the scores

Once the eigenfunctions are estimated, we can compute the scores using numerical integration, the PACE algorithm or the eigenvectors from the decomposition of the inner-product matrix. The transform() method requires the data as argument and the method to use. The method parameter can be either NumInt, PACE or InnPro. Note that, when using the eigenvectors from the decomposition of the inner-product matrix, new data can not be passed as argument of the transform() method because the estimation is performed using the eigenvectors of the inner-product matrix.

scores_numint = ufpca_cov.transform(data, method="NumInt")
scores_pace = ufpca_cov.transform(data, method="PACE")
scores_innpro = ufpca_innpro.transform(method="InnPro")

# Plot of the scores
plt.scatter(scores_numint[:, 0], scores_numint[:, 1], label="NumInt")
plt.scatter(scores_pace[:, 0], scores_pace[:, 1], label="PACE")
plt.scatter(scores_innpro[:, 0], scores_innpro[:, 1], label="InnPro")
plt.legend()
plt.show()

Comparison of the methods

Finally, we compare the methods by reconstructing the curves using the first \(K = 5\) principal components. We plot a sample of curves and their reconstruction.

data_recons_numint = ufpca_cov.inverse_transform(scores_numint)
data_recons_pace = ufpca_cov.inverse_transform(scores_pace)
data_recons_innpro = ufpca_innpro.inverse_transform(scores_innpro)

colors_numint = np.array([[0.9, 0, 0, 1]])
colors_pace = np.array([[0, 0.9, 0, 1]])
colors_innpro = np.array([[0.9, 0, 0.9, 1]])

fig, axes = plt.subplots(nrows=5, ncols=2, figsize=(16, 16))
for idx_plot, idx in enumerate(np.random.choice(n_obs, 10)):
    temp_ax = axes.flatten()[idx_plot]
    temp_ax = plot(kl.data[idx], ax=temp_ax, label="True")
    plot(
        data_recons_numint[idx],
        colors=colors_numint,
        ax=temp_ax,
        label="Reconstruction NumInt",
    )
    plot(
        data_recons_pace[idx],
        colors=colors_pace,
        ax=temp_ax,
        label="Reconstruction PACE",
    )
    plot(
        data_recons_innpro[idx],
        colors=colors_innpro,
        ax=temp_ax,
        label="Reconstruction InnPro",
    )
    temp_ax.legend()
plt.show()