entropyx/dist/dimensionality-reduction/pca.js

A simple data mining library, written in TypeScript

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.PCA = void 0;
const ml_matrix_1 = require("ml-matrix");
class PCA {
    constructor(options = {}) {
        this.means = [];
        this.stDevs = [];
        this.components = [];
        this.eigenvalues = [];
        this.explainedVariance = [];
        this.projectionDimension = options.projectionDimension ?? 2;
        this.centerData = options.center ?? true;
        this.scaleData = options.scale ?? false;
    }
    fit(data) {
        if (data.length === 0) {
            return {
                projection: [],
                components: [],
                eigenvalues: [],
                explainedVariance: [],
            };
        }
        const nFeatures = data[0].length;
        const rawData = data.map((row) => [...row]);
        let transformedData = data.map((row) => [...row]);
        if (this.centerData) {
            this.means = this.computeMeans(transformedData);
            transformedData = transformedData.map((row) => row.map((val, i) => val - this.means[i]));
        }
        else {
            this.means = new Array(nFeatures).fill(0);
        }
        if (this.scaleData) {
            this.stDevs = this.computeStDevs(transformedData);
            transformedData = transformedData.map((row) => row.map((val, i) => {
                const sd = this.stDevs[i];
                return sd === 0 ? 0 : val / sd;
            }));
        }
        else {
            this.stDevs = new Array(nFeatures).fill(1);
        }
        const covarianceMatrix = this.computeCovariance(transformedData);
        const covMat = new ml_matrix_1.Matrix(covarianceMatrix);
        const eig = new ml_matrix_1.EigenvalueDecomposition(covMat, { assumeSymmetric: true });
        const eigenValuesArr = eig.realEigenvalues;
        const eigenVectorsMat = eig.eigenvectorMatrix.to2DArray();
        const sorted = this.sortEigenPairs(eigenValuesArr, eigenVectorsMat);
        const sortedEigenValues = sorted.eigenValues;
        const sortedEigenVectors = sorted.eigenVectors;
        const k = Math.min(this.projectionDimension, nFeatures);
        this.eigenvalues = sortedEigenValues.slice(0, k);
        this.components = [];
        for (let j = 0; j < k; j++) {
            const column = [];
            for (let i = 0; i < nFeatures; i++) {
                column.push(sortedEigenVectors[i][j]);
            }
            this.components.push(column);
        }
        const totalVar = sortedEigenValues.reduce((acc, val) => acc + val, 0);
        this.explainedVariance = this.eigenvalues.map((val) => val / totalVar);
        const projection = this.transform(rawData);
        return {
            projection,
            components: this.components,
            eigenvalues: this.eigenvalues,
            explainedVariance: this.explainedVariance,
        };
    }
    transform(data) {
        if (data.length === 0)
            return [];
        const centeredScaled = data.map((row) => row.map((val, i) => (val - this.means[i]) / (this.stDevs[i] || 1)));
        return centeredScaled.map((row) => {
            const coords = [];
            for (let pcIndex = 0; pcIndex < this.components.length; pcIndex++) {
                const comp = this.components[pcIndex];
                let dot = 0;
                for (let i = 0; i < row.length; i++) {
                    dot += row[i] * comp[i];
                }
                coords.push(dot);
            }
            return coords;
        });
    }
    computeMeans(data) {
        const nSamples = data.length;
        const nFeatures = data[0].length;
        const means = new Array(nFeatures).fill(0);
        for (let i = 0; i < nSamples; i++) {
            for (let j = 0; j < nFeatures; j++) {
                means[j] += data[i][j];
            }
        }
        for (let j = 0; j < nFeatures; j++) {
            means[j] /= nSamples;
        }
        return means;
    }
    computeStDevs(data) {
        const nSamples = data.length;
        const nFeatures = data[0].length;
        const stDevs = new Array(nFeatures).fill(0);
        for (let i = 0; i < nSamples; i++) {
            for (let j = 0; j < nFeatures; j++) {
                stDevs[j] += data[i][j] ** 2;
            }
        }
        for (let j = 0; j < nFeatures; j++) {
            stDevs[j] = Math.sqrt(stDevs[j] / (nSamples - 1));
        }
        return stDevs;
    }
    computeCovariance(data) {
        const nSamples = data.length;
        const nFeatures = data[0].length;
        const cov = Array.from({ length: nFeatures }, () => new Array(nFeatures).fill(0));
        for (let s = 0; s < nSamples; s++) {
            for (let i = 0; i < nFeatures; i++) {
                for (let j = 0; j < nFeatures; j++) {
                    cov[i][j] += data[s][i] * data[s][j];
                }
            }
        }
        for (let i = 0; i < nFeatures; i++) {
            for (let j = 0; j < nFeatures; j++) {
                cov[i][j] /= nSamples - 1;
            }
        }
        return cov;
    }
    sortEigenPairs(eigenValues, eigenVectors) {
        const pairs = eigenValues.map((val, i) => ({ val, idx: i }));
        pairs.sort((a, b) => b.val - a.val);
        const sortedValues = pairs.map((p) => p.val);
        const sortedVectors = new Array(eigenVectors.length).fill(null).map(() => new Array(eigenVectors.length).fill(0));
        for (let col = 0; col < pairs.length; col++) {
            const sourceCol = pairs[col].idx;
            for (let row = 0; row < eigenVectors.length; row++) {
                sortedVectors[row][col] = eigenVectors[row][sourceCol];
            }
        }
        return { eigenValues: sortedValues, eigenVectors: sortedVectors };
    }
}
exports.PCA = PCA;
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