big_SVD: Partial SVD In bigstatsr: Statistical Tools for Filebacked Big Matrices

Description

An algorithm for partial SVD (or PCA) of a Filebacked Big Matrix through the eigen decomposition of the covariance between variables (primal) or observations (dual). Use this algorithm only if there is one dimension that is much smaller than the other. Otherwise use big_randomSVD.

Usage

 1 2 3 4 5 6 7 8 big_SVD( X, fun.scaling = big_scale(center = FALSE, scale = FALSE), ind.row = rows_along(X), ind.col = cols_along(X), k = 10, block.size = block_size(nrow(X)) ) 

Arguments

 X An object of class FBM. fun.scaling A function that returns a named list of mean and sd for every column, to scale each of their elements such as followed: \frac{X_{i,j} - mean_j}{sd_j}. Default doesn't use any scaling. ind.row An optional vector of the row indices that are used. If not specified, all rows are used. Don't use negative indices. ind.col An optional vector of the column indices that are used. If not specified, all columns are used. Don't use negative indices. k Number of singular vectors/values to compute. Default is 10. This algorithm should be used to compute only a few singular vectors/values. If more is needed, have a look at https://stackoverflow.com/a/46380540/6103040. block.size Maximum number of columns read at once. Default uses block_size.

Details

To get X = U \cdot D \cdot V^T,

• if the number of observations is small, this function computes K_(2) = X \cdot X^T \approx U \cdot D^2 \cdot U^T and then V = X^T \cdot U \cdot D^{-1},

• if the number of variable is small, this function computes K_(1) = X^T \cdot X \approx V \cdot D^2 \cdot V^T and then U = X \cdot V \cdot D^{-1},

• if both dimensions are large, use big_randomSVD instead.

Value

A named list (an S3 class "big_SVD") of

• d, the singular values,

• u, the left singular vectors,

• v, the right singular vectors,

• center, the centering vector,

• scale, the scaling vector.

Note that to obtain the Principal Components, you must use predict on the result. See examples.

Matrix parallelization

Large matrix computations are made block-wise and won't be parallelized in order to not have to reduce the size of these blocks. Instead, you may use Microsoft R Open or OpenBLAS in order to accelerate these block matrix computations. You can also control the number of cores used with bigparallelr::set_blas_ncores().

prcomp

Examples

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 set.seed(1) X <- big_attachExtdata() n <- nrow(X) # Using only half of the data ind <- sort(sample(n, n/2)) test <- big_SVD(X, fun.scaling = big_scale(), ind.row = ind) str(test) plot(test$u) pca <- prcomp(X[ind, ], center = TRUE, scale. = TRUE) # same scaling all.equal(test$center, pca$center) all.equal(test$scale, pca$scale) # scores and loadings are the same or opposite # except for last eigenvalue which is equal to 0 # due to centering of columns scores <- test$u %*% diag(test$d) class(test) scores2 <- predict(test) # use this function to predict scores all.equal(scores, scores2) dim(scores) dim(pca$x) tail(pca$sdev) plot(scores2, pca$x[, 1:ncol(scores2)]) plot(test$v[1:100, ], pca$rotation[1:100, 1:ncol(scores2)]) # projecting on new data X2 <- sweep(sweep(X[-ind, ], 2, test$center, '-'), 2, test$scale, '/') scores.test <- X2 %*% test$v ind2 <- setdiff(rows_along(X), ind) scores.test2 <- predict(test, X, ind.row = ind2) # use this all.equal(scores.test, scores.test2) scores.test3 <- predict(pca, X[-ind, ]) plot(scores.test2, scores.test3[, 1:ncol(scores.test2)])  Example output List of 5$ d     : num [1:10] 172.5 117.6 89.6 87.5 87.2 ...
$u : num [1:258, 1:10] -0.1015 -0.0914 -0.0951 -0.0798 -0.0901 ...$ v     : num [1:4542, 1:10] 0.00304 -0.00274 0.02779 -0.01381 0.00599 ...
$center: num [1:4542] 1.32 1.6 1.56 1.69 1.05 ...$ scale : num [1:4542] 0.684 0.572 0.616 0.511 0.692 ...
- attr(*, "class")= chr "big_SVD"
[1] TRUE
[1] TRUE
[1] "big_SVD"
[1] TRUE
[1] 258  10
[1] 258 258
[1] 3.037803e+00 3.014497e+00 2.977890e+00 2.953051e+00 2.877736e+00
[6] 7.611047e-15
[1] TRUE


bigstatsr documentation built on April 5, 2021, 5:08 p.m.