steadyICA: Estimate independent components by minimizing distance...
In steadyICA: ICA and Tests of Independence via Multivariate Distance Covariance

Description Usage Arguments Value Author(s) References See Also Examples

The model is: X = S M + E, where X is n x p and has mean zero, S is n x d, M is d x p, and E is measurement error. For whitened data, we have Z = S t(W), where W is orthogonal. We find the matrix M such that S minimizes the distance covariance dependency measure.

1
2
3

steadyICA(X, n.comp = ncol(X), w.init = NULL, PIT = FALSE, bw = 'SJ', adjust = 1,
whiten = FALSE, irlba = FALSE, symmetric = FALSE, eps = 1e-08, alpha.eps = 1e-08,
maxit = 100, method = c('Cpp','R'), verbose = FALSE)

`X`	The n x p data matrix, where n is the number of observations.
`n.comp`	number of components to be estimated
`w.init`	a p x d initial unmixing matrix
`PIT`	logical; if TRUE, the distribution and density of the independent components are estimated using gaussian kernel density estimates.
`bw`	Argument for bandwidth selection method; defaults to 'SJ'; see stats::density
`adjust`	adjust bandwidth selection; e.g., if observations are correlated, consider using adjust > 1; see stats::density
`whiten`	logical; if TRUE, whitens the data before applying ICA, i.e., X%*%whitener = Z, where Z has mean zero and empirical covariance equal to the identity matrix, and Z is then used as the input.
`irlba`	logical; when whiten=TRUE, irlbA=TRUE uses the R-package 'irlba' in the whitening, which is generally faster than base::svd though sometimes less accurate
`symmetric`	logical; if TRUE, implements the symmetric version of the ICA algorithm, which is invariant to the ordering of the columns of X but is slower
`eps`	algorithm terminates when the norm of the gradient of multidcov is less than eps
`maxit`	maximum number of iterations
`alpha.eps`	tolerance controlling the level of annealing: algorithm terminates with a warning if the learning parameter is less than alpha.eps
`method`	options 'Cpp' (default), which requires the package 'Rcpp', or 'R', which is solely written in R but is much slower
`verbose`	logical; if TRUE, prints the value of multidcov, norm of the gradient, and current value of the learning parameter.

`S`	the estimated independent components
`W`	the estimated unmixing matrix: if whiten=TRUE, W is orthogonal and corresponds to Z W = S; if whiten=FALSE, corresponds to X ginv(M) = S
`M`	Returns the estimated mixing matrix for the model X = S M, where X is not pre-whitened (although X is centered)
`f`	the value of the objective function at the estimated S
`Table`	summarizes algorithm status at each iteration
`convergence`	1 if norm of the gradient is less than eps, 2 if the learning parameter was smaller than alpha.eps, which usually means the gradient is sufficiently small, 0 otherwise

Benjamin Risk

Matteson, D. S. & Tsay, R. Independent component analysis via U-Statistics. <http://www.stat.cornell.edu/~matteson/#ICA>

multidcov

set.seed(999)
nObs <- 1024
nComp <- 3
# simulate from some gamma distributions:
simS<-cbind(rgamma(nObs, shape = 1, scale = 2),
            rgamma(nObs, shape = 3, scale = 2),
            rgamma(nObs, shape = 9, scale = 0.5))

#standardize by expected value and variance:
simS[,1] = (simS[,1] - 1*2)/sqrt(1*2^2)
simS[,2] = (simS[,2] - 3*2)/sqrt(3*2^2)
simS[,3] = (simS[,3] - 9*0.5)/sqrt(9*0.5^2)

# slightly revised 'mixmat' function (from ProDenICA)
# for p>=d: uses fastICA and ProDenICA parameterization:
myMixmat <- function (p = 2, d = NULL) {
  if(is.null(d)) d = p
  a <- matrix(rnorm(d * p), d, p)
  sa <- La.svd(a)
  dL <- sort(runif(d) + 1)
  mat <- sa$u%*%(sa$vt*dL)
  attr(mat, "condition") <- dL[d]/dL[1]
  mat
}

simM <- myMixmat(p = 6, d = nComp)
xData <- simS%*%simM
xWhitened <- whitener(xData, n.comp = nComp)

#estimate mixing matrix:
est.steadyICA.v1 = steadyICA(X = xData,whiten=TRUE,n.comp=nComp,verbose = TRUE)

#Define the 'true' W:
W.true <- solve(simM%*%xWhitened$whitener)

frobICA(M1=est.steadyICA.v1$M,M2=simM)
frobICA(S1=est.steadyICA.v1$S,S2=simS)

## Not run: 
#now initiate from target:
est.steadyICA.v2 = steadyICA(X = xData, w.init= W.true, n.comp = nComp, whiten=TRUE, verbose=TRUE)

#estimate using PIT steadyICA such that dimension reduction is via ICA:
est.steadyICA.v3 = steadyICA(X = xData, w.init=ginv(est.steadyICA.v2$M),
PIT=TRUE, n.comp = nComp, whiten=FALSE, verbose=TRUE)

frobICA(M1=est.steadyICA.v2$M,M2=simM)
frobICA(M1=est.steadyICA.v3$M,M2=simM) 
frobICA(S1=est.steadyICA.v2$S,S2=simS)

#tends to be lower than PCA-based (i.e., whitening) methods:
frobICA(S1=est.steadyICA.v3$S,S2=simS) 

# JADE uses a different parameterization and different notation.
# Using our parameterization and notation, the arguments for 
# JADE::amari.error correspond to:
amari.error(t(W.hat), W.true)

library(JADE)

amari.error(t(est.steadyICA.v1$W), W.true) 
amari.error(t(est.steadyICA.v2$W), W.true)
##note that a square W is not estimated if PIT=TRUE and whiten=FALSE

#Compare performance to fastICA:
library(fastICA)
est.fastICA = fastICA(X = xData, n.comp = 3, tol=1e-07)
amari.error(t(est.fastICA$W), W.true)
##steadyICA usually outperforms fastICA

##Compare performance to ProDenICA:
library(ProDenICA)
est.ProDenICA = ProDenICA(x = xWhitened$Z, k = 3, maxit=40,trace=TRUE)
amari.error(t(est.ProDenICA$W), W.true)
##ProDenICA and steadyICA tend to be similar when sources
##are continuously differentiable

## End(Not run)