From 4e5e0746c5a7c3e832b2304b1e0dab191bfcb423 Mon Sep 17 00:00:00 2001 From: Aart Stuurman Date: Thu, 3 Apr 2025 00:29:39 +0200 Subject: [PATCH 1/3] Project setup Python project setup with Ruff linting and formatting, mypy, tests, publishing, all with CI. --- .github/workflows/ci.yml | 80 +++++++++ LICENSE | 373 +++++++++++++++++++++++++++++++++++++++ README.md | 20 +++ pyproject.toml | 50 ++++++ pyrpca/__init__.py | 0 pyrpca/ialm.py | 0 tests/test_dummy.py | 12 ++ 7 files changed, 535 insertions(+) create mode 100644 .github/workflows/ci.yml create mode 100644 LICENSE create mode 100644 README.md create mode 100644 pyproject.toml create mode 100644 pyrpca/__init__.py create mode 100644 pyrpca/ialm.py create mode 100644 tests/test_dummy.py diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml new file mode 100644 index 0000000..cc0fb26 --- /dev/null +++ b/.github/workflows/ci.yml @@ -0,0 +1,80 @@ +name: ci + +on: + push: + branches: ['**'] + tags: ['**'] + pull_request: + branches: ['**'] + +jobs: + ruff: + runs-on: ubuntu-24.04 + steps: + - uses: actions/checkout@v4 + - uses: actions/setup-python@v5 + with: + python-version: '3.13' + + - name: Install package as dev + run: pip install ".[dev]" + + - name: Ruff check + run: ruff check + + - name: Ruff format + run: ruff format --check + + mypy: + runs-on: ubuntu-24.04 + strategy: + matrix: + python-version: ["3.9", "3.10", "3.11", "3.12", "3.13"] + steps: + - uses: actions/checkout@v4 + - uses: actions/setup-python@v5 + with: + python-version: ${{ matrix.python-version }} + + - name: Install package as dev + run: pip install ".[dev]" + + - name: Run mypy + run: mypy pyrpca + + test: + runs-on: ubuntu-24.04 + strategy: + matrix: + python-version: ["3.9", "3.10", "3.11", "3.12", "3.13"] + steps: + - uses: actions/checkout@v4 + - uses: actions/setup-python@v5 + with: + python-version: ${{ matrix.python-version }} + + - name: Install package as dev + run: pip install ".[dev]" + + - name: Run tests + run: pytest + + deploy: + if: startsWith(github.ref, 'refs/tags/v') + needs: [ruff, mypy, test] + runs-on: ubuntu-24.04 + environment: + name: publish + permissions: + id-token: write + + steps: + - uses: actions/checkout@v4 + - uses: actions/setup-python@v5 + with: + python-version: '3.13' + + - name: Build package + run: pip wheel --no-deps . -w ./dist + - name: Publish package distributions to PyPI + uses: pypa/gh-action-pypi-publish@release/v1 diff --git a/LICENSE b/LICENSE new file mode 100644 index 0000000..d0a1fa1 --- /dev/null +++ b/LICENSE @@ -0,0 +1,373 @@ +Mozilla Public License Version 2.0 +================================== + +1. Definitions +-------------- + +1.1. "Contributor" + means each individual or legal entity that creates, contributes to + the creation of, or owns Covered Software. + +1.2. "Contributor Version" + means the combination of the Contributions of others (if any) used + by a Contributor and that particular Contributor's Contribution. + +1.3. "Contribution" + means Covered Software of a particular Contributor. + +1.4. "Covered Software" + means Source Code Form to which the initial Contributor has attached + the notice in Exhibit A, the Executable Form of such Source Code + Form, and Modifications of such Source Code Form, in each case + including portions thereof. + +1.5. "Incompatible With Secondary Licenses" + means + + (a) that the initial Contributor has attached the notice described + in Exhibit B to the Covered Software; or + + (b) that the Covered Software was made available under the terms of + version 1.1 or earlier of the License, but not also under the + terms of a Secondary License. + +1.6. "Executable Form" + means any form of the work other than Source Code Form. + +1.7. "Larger Work" + means a work that combines Covered Software with other material, in + a separate file or files, that is not Covered Software. + +1.8. "License" + means this document. + +1.9. "Licensable" + means having the right to grant, to the maximum extent possible, + whether at the time of the initial grant or subsequently, any and + all of the rights conveyed by this License. + +1.10. "Modifications" + means any of the following: + + (a) any file in Source Code Form that results from an addition to, + deletion from, or modification of the contents of Covered + Software; or + + (b) any new file in Source Code Form that contains any Covered + Software. + +1.11. "Patent Claims" of a Contributor + means any patent claim(s), including without limitation, method, + process, and apparatus claims, in any patent Licensable by such + Contributor that would be infringed, but for the grant of the + License, by the making, using, selling, offering for sale, having + made, import, or transfer of either its Contributions or its + Contributor Version. + +1.12. "Secondary License" + means either the GNU General Public License, Version 2.0, the GNU + Lesser General Public License, Version 2.1, the GNU Affero General + Public License, Version 3.0, or any later versions of those + licenses. + +1.13. "Source Code Form" + means the form of the work preferred for making modifications. + +1.14. "You" (or "Your") + means an individual or a legal entity exercising rights under this + License. For legal entities, "You" includes any entity that + controls, is controlled by, or is under common control with You. For + purposes of this definition, "control" means (a) the power, direct + or indirect, to cause the direction or management of such entity, + whether by contract or otherwise, or (b) ownership of more than + fifty percent (50%) of the outstanding shares or beneficial + ownership of such entity. + +2. License Grants and Conditions +-------------------------------- + +2.1. Grants + +Each Contributor hereby grants You a world-wide, royalty-free, +non-exclusive license: + +(a) under intellectual property rights (other than patent or trademark) + Licensable by such Contributor to use, reproduce, make available, + modify, display, perform, distribute, and otherwise exploit its + Contributions, either on an unmodified basis, with Modifications, or + as part of a Larger Work; and + +(b) under Patent Claims of such Contributor to make, use, sell, offer + for sale, have made, import, and otherwise transfer either its + Contributions or its Contributor Version. + +2.2. Effective Date + +The licenses granted in Section 2.1 with respect to any Contribution +become effective for each Contribution on the date the Contributor first +distributes such Contribution. + +2.3. Limitations on Grant Scope + +The licenses granted in this Section 2 are the only rights granted under +this License. No additional rights or licenses will be implied from the +distribution or licensing of Covered Software under this License. +Notwithstanding Section 2.1(b) above, no patent license is granted by a +Contributor: + +(a) for any code that a Contributor has removed from Covered Software; + or + +(b) for infringements caused by: (i) Your and any other third party's + modifications of Covered Software, or (ii) the combination of its + Contributions with other software (except as part of its Contributor + Version); or + +(c) under Patent Claims infringed by Covered Software in the absence of + its Contributions. + +This License does not grant any rights in the trademarks, service marks, +or logos of any Contributor (except as may be necessary to comply with +the notice requirements in Section 3.4). + +2.4. Subsequent Licenses + +No Contributor makes additional grants as a result of Your choice to +distribute the Covered Software under a subsequent version of this +License (see Section 10.2) or under the terms of a Secondary License (if +permitted under the terms of Section 3.3). + +2.5. Representation + +Each Contributor represents that the Contributor believes its +Contributions are its original creation(s) or it has sufficient rights +to grant the rights to its Contributions conveyed by this License. + +2.6. Fair Use + +This License is not intended to limit any rights You have under +applicable copyright doctrines of fair use, fair dealing, or other +equivalents. + +2.7. Conditions + +Sections 3.1, 3.2, 3.3, and 3.4 are conditions of the licenses granted +in Section 2.1. + +3. Responsibilities +------------------- + +3.1. Distribution of Source Form + +All distribution of Covered Software in Source Code Form, including any +Modifications that You create or to which You contribute, must be under +the terms of this License. You must inform recipients that the Source +Code Form of the Covered Software is governed by the terms of this +License, and how they can obtain a copy of this License. You may not +attempt to alter or restrict the recipients' rights in the Source Code +Form. + +3.2. Distribution of Executable Form + +If You distribute Covered Software in Executable Form then: + +(a) such Covered Software must also be made available in Source Code + Form, as described in Section 3.1, and You must inform recipients of + the Executable Form how they can obtain a copy of such Source Code + Form by reasonable means in a timely manner, at a charge no more + than the cost of distribution to the recipient; and + +(b) You may distribute such Executable Form under the terms of this + License, or sublicense it under different terms, provided that the + license for the Executable Form does not attempt to limit or alter + the recipients' rights in the Source Code Form under this License. + +3.3. Distribution of a Larger Work + +You may create and distribute a Larger Work under terms of Your choice, +provided that You also comply with the requirements of this License for +the Covered Software. If the Larger Work is a combination of Covered +Software with a work governed by one or more Secondary Licenses, and the +Covered Software is not Incompatible With Secondary Licenses, this +License permits You to additionally distribute such Covered Software +under the terms of such Secondary License(s), so that the recipient of +the Larger Work may, at their option, further distribute the Covered +Software under the terms of either this License or such Secondary +License(s). + +3.4. Notices + +You may not remove or alter the substance of any license notices +(including copyright notices, patent notices, disclaimers of warranty, +or limitations of liability) contained within the Source Code Form of +the Covered Software, except that You may alter any license notices to +the extent required to remedy known factual inaccuracies. + +3.5. Application of Additional Terms + +You may choose to offer, and to charge a fee for, warranty, support, +indemnity or liability obligations to one or more recipients of Covered +Software. However, You may do so only on Your own behalf, and not on +behalf of any Contributor. You must make it absolutely clear that any +such warranty, support, indemnity, or liability obligation is offered by +You alone, and You hereby agree to indemnify every Contributor for any +liability incurred by such Contributor as a result of warranty, support, +indemnity or liability terms You offer. You may include additional +disclaimers of warranty and limitations of liability specific to any +jurisdiction. + +4. Inability to Comply Due to Statute or Regulation +--------------------------------------------------- + +If it is impossible for You to comply with any of the terms of this +License with respect to some or all of the Covered Software due to +statute, judicial order, or regulation then You must: (a) comply with +the terms of this License to the maximum extent possible; and (b) +describe the limitations and the code they affect. Such description must +be placed in a text file included with all distributions of the Covered +Software under this License. Except to the extent prohibited by statute +or regulation, such description must be sufficiently detailed for a +recipient of ordinary skill to be able to understand it. + +5. Termination +-------------- + +5.1. The rights granted under this License will terminate automatically +if You fail to comply with any of its terms. However, if You become +compliant, then the rights granted under this License from a particular +Contributor are reinstated (a) provisionally, unless and until such +Contributor explicitly and finally terminates Your grants, and (b) on an +ongoing basis, if such Contributor fails to notify You of the +non-compliance by some reasonable means prior to 60 days after You have +come back into compliance. Moreover, Your grants from a particular +Contributor are reinstated on an ongoing basis if such Contributor +notifies You of the non-compliance by some reasonable means, this is the +first time You have received notice of non-compliance with this License +from such Contributor, and You become compliant prior to 30 days after +Your receipt of the notice. + +5.2. If You initiate litigation against any entity by asserting a patent +infringement claim (excluding declaratory judgment actions, +counter-claims, and cross-claims) alleging that a Contributor Version +directly or indirectly infringes any patent, then the rights granted to +You by any and all Contributors for the Covered Software under Section +2.1 of this License shall terminate. + +5.3. In the event of termination under Sections 5.1 or 5.2 above, all +end user license agreements (excluding distributors and resellers) which +have been validly granted by You or Your distributors under this License +prior to termination shall survive termination. + +************************************************************************ +* * +* 6. Disclaimer of Warranty * +* ------------------------- * +* * +* Covered Software is provided under this License on an "as is" * +* basis, without warranty of any kind, either expressed, implied, or * +* statutory, including, without limitation, warranties that the * +* Covered Software is free of defects, merchantable, fit for a * +* particular purpose or non-infringing. The entire risk as to the * +* quality and performance of the Covered Software is with You. * +* Should any Covered Software prove defective in any respect, You * +* (not any Contributor) assume the cost of any necessary servicing, * +* repair, or correction. This disclaimer of warranty constitutes an * +* essential part of this License. No use of any Covered Software is * +* authorized under this License except under this disclaimer. * +* * +************************************************************************ + +************************************************************************ +* * +* 7. Limitation of Liability * +* -------------------------- * +* * +* Under no circumstances and under no legal theory, whether tort * +* (including negligence), contract, or otherwise, shall any * +* Contributor, or anyone who distributes Covered Software as * +* permitted above, be liable to You for any direct, indirect, * +* special, incidental, or consequential damages of any character * +* including, without limitation, damages for lost profits, loss of * +* goodwill, work stoppage, computer failure or malfunction, or any * +* and all other commercial damages or losses, even if such party * +* shall have been informed of the possibility of such damages. This * +* limitation of liability shall not apply to liability for death or * +* personal injury resulting from such party's negligence to the * +* extent applicable law prohibits such limitation. Some * +* jurisdictions do not allow the exclusion or limitation of * +* incidental or consequential damages, so this exclusion and * +* limitation may not apply to You. * +* * +************************************************************************ + +8. Litigation +------------- + +Any litigation relating to this License may be brought only in the +courts of a jurisdiction where the defendant maintains its principal +place of business and such litigation shall be governed by laws of that +jurisdiction, without reference to its conflict-of-law provisions. +Nothing in this Section shall prevent a party's ability to bring +cross-claims or counter-claims. + +9. Miscellaneous +---------------- + +This License represents the complete agreement concerning the subject +matter hereof. If any provision of this License is held to be +unenforceable, such provision shall be reformed only to the extent +necessary to make it enforceable. Any law or regulation which provides +that the language of a contract shall be construed against the drafter +shall not be used to construe this License against a Contributor. + +10. Versions of the License +--------------------------- + +10.1. New Versions + +Mozilla Foundation is the license steward. Except as provided in Section +10.3, no one other than the license steward has the right to modify or +publish new versions of this License. Each version will be given a +distinguishing version number. + +10.2. Effect of New Versions + +You may distribute the Covered Software under the terms of the version +of the License under which You originally received the Covered Software, +or under the terms of any subsequent version published by the license +steward. + +10.3. Modified Versions + +If you create software not governed by this License, and you want to +create a new license for such software, you may create and use a +modified version of this License if you rename the license and remove +any references to the name of the license steward (except to note that +such modified license differs from this License). + +10.4. Distributing Source Code Form that is Incompatible With Secondary +Licenses + +If You choose to distribute Source Code Form that is Incompatible With +Secondary Licenses under the terms of this version of the License, the +notice described in Exhibit B of this License must be attached. + +Exhibit A - Source Code Form License Notice +------------------------------------------- + + This Source Code Form is subject to the terms of the Mozilla Public + License, v. 2.0. If a copy of the MPL was not distributed with this + file, You can obtain one at https://mozilla.org/MPL/2.0/. + +If it is not possible or desirable to put the notice in a particular +file, then You may include the notice in a location (such as a LICENSE +file in a relevant directory) where a recipient would be likely to look +for such a notice. + +You may add additional accurate notices of copyright ownership. + +Exhibit B - "Incompatible With Secondary Licenses" Notice +--------------------------------------------------------- + + This Source Code Form is "Incompatible With Secondary Licenses", as + defined by the Mozilla Public License, v. 2.0. diff --git a/README.md b/README.md new file mode 100644 index 0000000..bded931 --- /dev/null +++ b/README.md @@ -0,0 +1,20 @@ +# Robust principle component analysis for Python + +Work in progress. Coming soon here and on PyPI. + +## Installing +```shell +pip install pyrpca +``` + +## Example +TODO + +## Acknowledgements +Appreciation is due to various other Python implementations of RPCA; below is a non-exhaustive list. +The code in this project has been loosely inspired by these works. + +- https://github.com/2020leon/rpca +- https://github.com/dganguli/robust-pca +- https://github.com/weilinear/PyRPCA +- https://github.com/loiccoyle/RPCA diff --git a/pyproject.toml b/pyproject.toml new file mode 100644 index 0000000..c9790b3 --- /dev/null +++ b/pyproject.toml @@ -0,0 +1,50 @@ +[build-system] +requires = [ + "setuptools >= 78", + "setuptools-git-versioning >=2.1, <3", +] +build-backend = "setuptools.build_meta" + +[tool.setuptools-git-versioning] +enabled = true + +[project] +name = "pyrpca" +description = "Robust principle component analysis for Python." +dynamic = ["version"] +readme = "README.md" +requires-python = ">=3.9,<4" +classifiers = [ + "License :: OSI Approved :: Mozilla Public License 2.0 (MPL 2.0)", +] +dependencies = [ + "numpy >=2.0.2, <3", +] +keywords = [ + "rpca", + "robust pca", + "robust principal component analysis", +] +authors = [ + {name = "Aart Stuurman", email = "aart@astuurman.com"}, +] +maintainers = [ + {name = "Aart Stuurman", email = "aart@astuurman.com"}, +] +license = {file = "LICENSE"} + +[project.optional-dependencies] +dev = [ + "ruff == 0.11.2", + "mypy == 1.15.0", + "pytest == 8.3.5", +] + +[project.urls] +homepage = "https://github.com/surgura/PyRPCA" + +[tool.setuptools] +package-dir = {"pyrpca" = "pyrpca"} + +[tool.mypy] +strict = true diff --git a/pyrpca/__init__.py b/pyrpca/__init__.py new file mode 100644 index 0000000..e69de29 diff --git a/pyrpca/ialm.py b/pyrpca/ialm.py new file mode 100644 index 0000000..e69de29 diff --git a/tests/test_dummy.py b/tests/test_dummy.py new file mode 100644 index 0000000..5514af1 --- /dev/null +++ b/tests/test_dummy.py @@ -0,0 +1,12 @@ +""" +Dummy test file to see the tests run properly. + +To be removed after an actual test is added. +""" + + +def test_dummpy() -> None: + """ + Dummy test. + """ + pass From 35109196e5b53ebb2636487feba2c6aa2cb44206 Mon Sep 17 00:00:00 2001 From: Aart Stuurman Date: Tue, 8 Apr 2025 00:19:31 +0200 Subject: [PATCH 2/3] IALM implementation (#7) * Implemented IALM * Updated README to reflect changes --- .github/workflows/ci.yml | 4 +- .gitignore | 2 + README.md | 40 ++++++++++++++----- pyproject.toml | 32 +++++---------- pyrpca/__init__.py | 3 ++ pyrpca/pcp_ialm.py | 85 ++++++++++++++++++++++++++++++++++++++++ tests/test_dummy.py | 12 ------ tests/test_pcp_ialm.py | 43 ++++++++++++++++++++ 8 files changed, 175 insertions(+), 46 deletions(-) create mode 100644 pyrpca/pcp_ialm.py delete mode 100644 tests/test_dummy.py create mode 100644 tests/test_pcp_ialm.py diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml index cc0fb26..6803be6 100644 --- a/.github/workflows/ci.yml +++ b/.github/workflows/ci.yml @@ -29,7 +29,7 @@ jobs: runs-on: ubuntu-24.04 strategy: matrix: - python-version: ["3.9", "3.10", "3.11", "3.12", "3.13"] + python-version: ["3.10", "3.11", "3.12", "3.13"] steps: - uses: actions/checkout@v4 - uses: actions/setup-python@v5 @@ -46,7 +46,7 @@ jobs: runs-on: ubuntu-24.04 strategy: matrix: - python-version: ["3.9", "3.10", "3.11", "3.12", "3.13"] + python-version: ["3.10", "3.11", "3.12", "3.13"] steps: - uses: actions/checkout@v4 - uses: actions/setup-python@v5 diff --git a/.gitignore b/.gitignore index 0a19790..47f98d1 100644 --- a/.gitignore +++ b/.gitignore @@ -1,3 +1,5 @@ +.vscode/ + # Byte-compiled / optimized / DLL files __pycache__/ *.py[cod] diff --git a/README.md b/README.md index bded931..22e6746 100644 --- a/README.md +++ b/README.md @@ -1,20 +1,40 @@ -# Robust principle component analysis for Python +# Robust principal component analysis for Python -Work in progress. Coming soon here and on PyPI. +This package provides algorithms to solve the Robust Principal Component Analysis (RPCA) problem, as presented by Candès et al.[[1]](#candes2011). +Currently, a single algorithm is implemented: it solves the Principal Component Pursuit (PCP) convex relaxation of RPCA from the same paper, using the Inexact Augmented Lagrange Multiplier (IALM) method from Lin et al.[[2]](#lin2011)[[3]](#lin2013). + +## Example +```python +from pyrpca import rpca_pcp_ialm + +# given an m x n data matrix +data = ... + +# decide on sparsity factor. +# this parameter is also commonly known as `lambda`. +sparsity_factor = 1.0 / numpy.sqrt(max(data.shape)) + +# run the ialm algorithm. +low_rank, sparse = rpca_pcp_ialm(data, sparsity_factor) +``` ## Installing ```shell pip install pyrpca ``` -## Example -TODO +## Feature requests and contributing +Pull requests and feature requests are welcome. The current version is minimal and suits my personal needs, but feel free to make suggestions. Even if the repository looks inactive, I will still respond :) + +## References +1. [Emmanuel J. Candès, Xiaodong Li, Yi Ma, John Wright. Robust principal component analysis? Association for Computing Machinery 2011.](https://doi.org/10.1145/1970392.1970395) (preprint on [arXiv](https://doi.org/10.48550/arXiv.0912.3599)) +2. [Zhouchen Lin, Risheng Liu, Zhixun Su. Linearized Alternating Direction Method with Adaptive Penalty for Low-Rank Representation. arXiv 2011.](https://doi.org/10.48550/arXiv.1109.0367) +3. [Zhouchen Lin, Minming Chen, Yi Ma. The Augmented Lagrange Multiplier Method for Exact Recovery of Corrupted Low-Rank Matrices, V3. arXiv 2013.](https://doi.org/10.48550/arXiv.1009.5055) -## Acknowledgements -Appreciation is due to various other Python implementations of RPCA; below is a non-exhaustive list. -The code in this project has been loosely inspired by these works. +## Acknowledgements +Appreciation is due to various other Python implementations of RPCA that served as inspiration for this project. Below is a non-exhaustive list: -- https://github.com/2020leon/rpca -- https://github.com/dganguli/robust-pca -- https://github.com/weilinear/PyRPCA +- https://github.com/2020leon/rpca +- https://github.com/dganguli/robust-pca +- https://github.com/weilinear/PyRPCA - https://github.com/loiccoyle/RPCA diff --git a/pyproject.toml b/pyproject.toml index c9790b3..da1b54f 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -1,8 +1,5 @@ [build-system] -requires = [ - "setuptools >= 78", - "setuptools-git-versioning >=2.1, <3", -] +requires = ["setuptools >= 78", "setuptools-git-versioning >=2.1, <3"] build-backend = "setuptools.build_meta" [tool.setuptools-git-versioning] @@ -10,41 +7,32 @@ enabled = true [project] name = "pyrpca" -description = "Robust principle component analysis for Python." +description = "Robust principal component analysis for Python." dynamic = ["version"] readme = "README.md" -requires-python = ">=3.9,<4" +requires-python = ">=3.10,<4" classifiers = [ "License :: OSI Approved :: Mozilla Public License 2.0 (MPL 2.0)", ] -dependencies = [ - "numpy >=2.0.2, <3", -] -keywords = [ - "rpca", - "robust pca", - "robust principal component analysis", -] -authors = [ - {name = "Aart Stuurman", email = "aart@astuurman.com"}, -] -maintainers = [ - {name = "Aart Stuurman", email = "aart@astuurman.com"}, -] -license = {file = "LICENSE"} +dependencies = ["numpy >= 2.0.2, < 3", "scipy >= 1.15.2"] +keywords = ["rpca", "robust pca", "robust principal component analysis"] +authors = [{ name = "Aart Stuurman", email = "aart@astuurman.com" }] +maintainers = [{ name = "Aart Stuurman", email = "aart@astuurman.com" }] +license = { file = "LICENSE" } [project.optional-dependencies] dev = [ "ruff == 0.11.2", "mypy == 1.15.0", "pytest == 8.3.5", + "scipy-stubs >= 1.15.2", ] [project.urls] homepage = "https://github.com/surgura/PyRPCA" [tool.setuptools] -package-dir = {"pyrpca" = "pyrpca"} +package-dir = { "pyrpca" = "pyrpca" } [tool.mypy] strict = true diff --git a/pyrpca/__init__.py b/pyrpca/__init__.py index e69de29..573ceb6 100644 --- a/pyrpca/__init__.py +++ b/pyrpca/__init__.py @@ -0,0 +1,3 @@ +from .pcp_ialm import rpca_pcp_ialm + +__all__ = ["rpca_pcp_ialm"] diff --git a/pyrpca/pcp_ialm.py b/pyrpca/pcp_ialm.py new file mode 100644 index 0000000..084d054 --- /dev/null +++ b/pyrpca/pcp_ialm.py @@ -0,0 +1,85 @@ +import numpy.typing as npt +from typing import Tuple +import numpy as np +from numpy.linalg import norm +from scipy.linalg import svd + + +def rpca_pcp_ialm( + observations: npt.ArrayLike, + sparsity_factor: float, + max_iter: int = 1000, + mu: float | None = None, + mu_upper_bound: float | None = None, + rho: float = 1.5, + tol: float = 1e-7, + verbose: bool = True, +) -> Tuple[npt.ArrayLike, npt.ArrayLike]: + """ + Solve the Principal Component Pursuit (PCP) convex relaxation of Robust PCA using the Inexact Augmented Lagrange Multiplier (IALM) method. + + See README for algorithmic details and references. + + Mu is updated every loop by multiplying it by `rho` until reaching `mu_upper_bound`. + + Parameters: + observations: The m x n input matrix to decompose ('D' in the IALM paper). + sparsity_factor: Weight on the sparse term in the objective ('lambda' in the IALM paper). + max_iter: Maximum number of iterations to perform. + mu: Initial value for the penalty parameter. If None, defaults to 1/spectral norm of observations. + mu_upper_bound: Maximum allowed value for `mu`. If None, defaults to `mu * 1e7`. + rho: Multiplicative factor to increase `mu` in each iteration. + tol: Tolerance for stopping criterion (relative Frobenius norm of the residual). + verbose: If True, print status and debug information during optimization. + + Returns: + low_rank_component: The recovered low-rank matrix ('A' in the IALM paper). + sparse_component: The recovered sparse matrix ('E' in the IALM paper). + """ + if mu is None: + mu = float(1.25 / norm(observations, ord=2)) + if mu_upper_bound is None: + mu_upper_bound = mu * 1e7 + + norm_fro_obs = norm(observations, ord="fro") + + dual = observations / np.maximum( + norm(observations, ord=2), norm(observations, ord=np.inf) / sparsity_factor + ) + sparse = np.zeros_like(observations) + + i = 0 + while True: + # compute next iteration of a + u, s, v = svd(observations - sparse + 1.0 / mu * dual, full_matrices=False) + s_thresholded = np.maximum(s - 1.0 / mu, 0) + low_rank = (u * s_thresholded) @ v + + # compute next iteration of e + residual_for_sparse = observations - low_rank + 1.0 / mu * dual + sparse = np.sign(residual_for_sparse) * np.maximum( + np.abs(residual_for_sparse) - sparsity_factor / mu, 0 + ) + + # calculate error + residual = observations - low_rank - sparse + err = norm(residual, ord="fro") / norm_fro_obs + + i += 1 + + if verbose: + print(f"iter {i:<4} | err {err:<25} | mu {mu:<25}") + + if err < tol: + if verbose: + print("Finished optimization. Error smaller than tolerance.") + break + if i == max_iter: + if verbose: + print("Finized optimization. Max iterations reached.") + break + + # update dual and mu + dual = dual + mu * (residual) + mu = min(mu * rho, mu_upper_bound) + return low_rank, sparse diff --git a/tests/test_dummy.py b/tests/test_dummy.py deleted file mode 100644 index 5514af1..0000000 --- a/tests/test_dummy.py +++ /dev/null @@ -1,12 +0,0 @@ -""" -Dummy test file to see the tests run properly. - -To be removed after an actual test is added. -""" - - -def test_dummpy() -> None: - """ - Dummy test. - """ - pass diff --git a/tests/test_pcp_ialm.py b/tests/test_pcp_ialm.py new file mode 100644 index 0000000..33fb10d --- /dev/null +++ b/tests/test_pcp_ialm.py @@ -0,0 +1,43 @@ +import numpy as np +from pyrpca import rpca_pcp_ialm +from numpy.linalg import norm +from scipy.sparse import random as sparse_random + + +def test_rpca_separates_low_rank_and_sparse(): + np.random.seed(0) + m, n, rank = 500, 400, 5 + + # create low-rank matrix A + u = np.random.randn(m, rank) + v = np.random.randn(rank, n) + low_rank = u @ v + + # create sparse matrix E + sparse = sparse_random( + m, n, density=0.1, format="csr", data_rvs=np.random.randn + ).toarray() + + # create observation matrix + observations = low_rank + sparse + + # Run RPCA + low_rank_recovered, sparse_recovered = rpca_pcp_ialm( + observations, + sparsity_factor=1.0 / np.sqrt(max(observations.shape)), + ) + + # check that the reconstruction is close + reconstruction_error = norm( + observations - (low_rank_recovered + sparse_recovered), ord="fro" + ) / norm(observations, ord="fro") + assert reconstruction_error < 1e-6, ( + f"Reconstruction error too high: {reconstruction_error}" + ) + + # check that recovered matrices are low rank and sparse + approx_rank = np.linalg.matrix_rank(low_rank_recovered, tol=1e-3) + sparsity = np.count_nonzero(sparse_recovered) / sparse_recovered.size + + assert approx_rank <= rank + 2, f"Recovered A not low rank: {approx_rank}" + assert sparsity < 0.2, f"Recovered E not sparse: sparsity={sparsity}" From 3ca3321da2ff07c5c1d4dba1be105a37f9c62988 Mon Sep 17 00:00:00 2001 From: Aart Stuurman Date: Tue, 8 Apr 2025 00:21:24 +0200 Subject: [PATCH 3/3] Update README.md --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 22e6746..6fb47d9 100644 --- a/README.md +++ b/README.md @@ -11,7 +11,7 @@ from pyrpca import rpca_pcp_ialm data = ... # decide on sparsity factor. -# this parameter is also commonly known as `lambda`. +# this parameter is also commonly known as 'lambda'. sparsity_factor = 1.0 / numpy.sqrt(max(data.shape)) # run the ialm algorithm.