add class LinearTransport

1 files changed, 233 insertions, 6 deletions

diff --git a/ot/da.py b/ot/da.py
index 63bee5a..ab5f860 100644
--- a/ot/da.py
+++ b/ot/da.py
@@ -634,13 +634,76 @@ def joint_OT_mapping_kernel(xs, xt, mu=1, eta=0.001, kerneltype='gaussian',
         return G, L
 
 
-def OT_mapping_linear(xs, xt, reg=1e-6,ws=None,wt=None,log=False):
-    """ return OT linear operator between samples"""
+def OT_mapping_linear(xs, xt, reg=1e-6,ws=None,wt=None,bias=True,log=False):
+    """ return OT linear operator between samples
+
+    The function estimate the optimal linear operator that align the two
+    empirical distributions. This is equivalent to estimating the closed 
+    form mapping between two Gaussian distribution :math:`N(\mu_s,\Sigma_s)` 
+    and :math:`N(\mu_t,\Sigma_t)` as proposed in [14].
+    
+    The linear operator from source to target :math:`M`
+
+    .. math::
+        M(x)=Ax+b
+        
+    where :
+    
+    .. math::
+        A=\Sigma_s^{-1/2}(\Sigma_s^{1/2}\Sigma_t\Sigma_s^{1/2})^{1/2}
+        \Sigma_s^{-1/2}
+    .. math::  
+        b=\mu_t-A\mu_s
+
+    Parameters
+    ----------
+    xs : np.ndarray (ns,d)
+        samples in the source domain
+    xt : np.ndarray (nt,d)
+        samples in the target domain
+    reg : float,optional
+        regularization added to the daigonals of convariances (>0)
+    ws : np.ndarray (ns,1), optional
+        weights for the source samples
+    wt : np.ndarray (ns,1), optional
+        weights for the target samples  
+    bias: boolean, optional
+        estimate bias b else b=0 (default:True)
+    log : bool, optional
+        record log if True
+
+
+    Returns
+    -------
+    A : (d x d) ndarray
+        Linear operator
+    b : (1 x d) ndarray
+        bias
+    log : dict
+        log dictionary return only if log==True in parameters
+
+
+    References
+    ----------
+
+    .. [14] Knott, M. and Smith, C. S. "On the optimal mapping of 
+        distributions", Journal of Optimization Theory and Applications
+        Vol 43, 1984
+
+
+    """
 
     d=xs.shape[1]    
     
-    mxs=xs.mean(0,keepdims=True)
-    mxt=xt.mean(0,keepdims=True)
+    if bias:
+        mxs=xs.mean(0,keepdims=True)
+        mxt=xt.mean(0,keepdims=True)
+        
+        xs=xs-mxs
+        xt=xt-mxt
+    else:
+        mxs=np.zeros((1,d))
+        mxt=np.zeros((1,d))
 
     
     if ws is None:
@@ -658,12 +721,17 @@ def OT_mapping_linear(xs, xt, reg=1e-6,ws=None,wt=None,log=False):
         
     M0=linalg.sqrtm(Cs12.dot(Ct.dot(Cs12)))
         
-    A=Cs_12.dot(M0.dot(Cs_12)).T   
+    A=Cs_12.dot(M0.dot(Cs_12))
     
     b=mxt-mxs.dot(A)
     
     if log:
-        pass
+        log={}
+        log['Cs']=Cs
+        log['Ct']=Ct
+        log['Cs12']=Cs12
+        log['Cs_12']=Cs_12
+        return A,b,log
     else:
         return A,b
 
@@ -1216,6 +1284,165 @@ class BaseTransport(BaseEstimator):
             return transp_Xt
 
 
+class LinearTransport(BaseTransport):
+    """ OT linear operator between empirical distributions
+
+    The function estimate the optimal linear operator that align the two
+    empirical distributions. This is equivalent to estimating the closed 
+    form mapping between two Gaussian distribution :math:`N(\mu_s,\Sigma_s)` 
+    and :math:`N(\mu_t,\Sigma_t)` as proposed in [14].
+    
+    The linear operator from source to target :math:`M`
+
+    .. math::
+        M(x)=Ax+b
+        
+    where :
+    
+    .. math::
+        A=\Sigma_s^{-1/2}(\Sigma_s^{1/2}\Sigma_t\Sigma_s^{1/2})^{1/2}
+        \Sigma_s^{-1/2}
+    .. math::  
+        b=\mu_t-A\mu_s
+
+    Parameters
+    ----------
+    reg : float,optional
+        regularization added to the daigonals of convariances (>0) 
+    bias: boolean, optional
+        estimate bias b else b=0 (default:True)
+    log : bool, optional
+        record log if True
+        
+        
+    """
+    
+    def __init__(self, reg=1e-8,bias=True,log=False,
+                 distribution_estimation=distribution_estimation_uniform):
+        
+        self.bias=bias
+        self.log=log
+        self.reg=reg
+        self.distribution_estimation=distribution_estimation
+
+    def fit(self, Xs=None, ys=None, Xt=None, yt=None):
+        """Build a coupling matrix from source and target sets of samples
+        (Xs, ys) and (Xt, yt)
+
+        Parameters
+        ----------
+        Xs : array-like, shape (n_source_samples, n_features)
+            The training input samples.
+        ys : array-like, shape (n_source_samples,)
+            The class labels
+        Xt : array-like, shape (n_target_samples, n_features)
+            The training input samples.
+        yt : array-like, shape (n_target_samples,)
+            The class labels. If some target samples are unlabeled, fill the
+            yt's elements with -1.
+
+            Warning: Note that, due to this convention -1 cannot be used as a
+            class label
+
+        Returns
+        -------
+        self : object
+            Returns self.
+        """
+        
+        self.mu_s = self.distribution_estimation(Xs)
+        self.mu_t = self.distribution_estimation(Xt)
+
+        
+
+        # coupling estimation
+        returned_ = OT_mapping_linear(Xs,Xt,reg=self.reg,
+                                      ws=self.mu_s.reshape((-1,1)),
+                                      wt=self.mu_t.reshape((-1,1)),
+                                      bias=self.bias,log=self.log)
+
+        # deal with the value of log
+        if self.log:
+            self.A_, self.B_, self.log_ = returned_
+        else:
+            self.A_, self.B_, = returned_
+            self.log_ = dict()
+        
+        # re compute inverse mapping
+        self.A1_=linalg.inv(self.A_)
+        self.B1_=-self.B_.dot(self.A1_)
+
+        return self
+
+    def transform(self, Xs=None, ys=None, Xt=None, yt=None, batch_size=128):
+        """Transports source samples Xs onto target ones Xt
+
+        Parameters
+        ----------
+        Xs : array-like, shape (n_source_samples, n_features)
+            The training input samples.
+        ys : array-like, shape (n_source_samples,)
+            The class labels
+        Xt : array-like, shape (n_target_samples, n_features)
+            The training input samples.
+        yt : array-like, shape (n_target_samples,)
+            The class labels. If some target samples are unlabeled, fill the
+            yt's elements with -1.
+
+            Warning: Note that, due to this convention -1 cannot be used as a
+            class label
+        batch_size : int, optional (default=128)
+            The batch size for out of sample inverse transform
+
+        Returns
+        -------
+        transp_Xs : array-like, shape (n_source_samples, n_features)
+            The transport source samples.
+        """
+
+        # check the necessary inputs parameters are here
+        if check_params(Xs=Xs):
+
+            transp_Xs= Xs.dot(self.A_)+self.B_
+
+            return transp_Xs
+
+    def inverse_transform(self, Xs=None, ys=None, Xt=None, yt=None,
+                          batch_size=128):
+        """Transports target samples Xt onto target samples Xs
+
+        Parameters
+        ----------
+        Xs : array-like, shape (n_source_samples, n_features)
+            The training input samples.
+        ys : array-like, shape (n_source_samples,)
+            The class labels
+        Xt : array-like, shape (n_target_samples, n_features)
+            The training input samples.
+        yt : array-like, shape (n_target_samples,)
+            The class labels. If some target samples are unlabeled, fill the
+            yt's elements with -1.
+
+            Warning: Note that, due to this convention -1 cannot be used as a
+            class label
+        batch_size : int, optional (default=128)
+            The batch size for out of sample inverse transform
+
+        Returns
+        -------
+        transp_Xt : array-like, shape (n_source_samples, n_features)
+            The transported target samples.
+        """
+
+        # check the necessary inputs parameters are here
+        if check_params(Xt=Xt):
+
+            transp_Xt= Xt.dot(self.A1_)+self.B1_
+
+            return transp_Xt
+
+
+
 class SinkhornTransport(BaseTransport):
 
     """Domain Adapatation OT method based on Sinkhorn Algorithm