Merge pull request #100 from ngayraud/add_unbalanced_da

[MRG] Adds Unbalaced transport to domain adaptation methods + bugfixes

Author: rflamary

.travis.yml

@@ -13,15 +13,14 @@ matrix:
           python: 3.5
         - os: linux
           sudo: required
-          python: 3.6        
+          python: 3.6
         - os: linux
           sudo: required
           python: 2.7
 before_install:
   - ./.travis/before_install.sh
 before_script: # configure a headless display to test plot generation
   - "export DISPLAY=:99.0"
-  - "sh -e /etc/init.d/xvfb start"
   - sleep 3 # give xvfb some time to start
 # command to install dependencies
 install:
@@ -30,6 +29,8 @@ install:
   - pip install flake8 pytest "pytest-cov<2.6"
   - pip install .
 # command to run tests + check syntax style
+services:
+  - xvfb
 script:
   - python setup.py develop
   - flake8 examples/ ot/ test/

ot/da.py

@@ -6,6 +6,7 @@
 # Author: Remi Flamary <[email protected]>
 #         Nicolas Courty <[email protected]>
 #         Michael Perrot <[email protected]>
+#         Nathalie Gayraud <[email protected]>
 #
 # License: MIT License
 
@@ -16,6 +17,7 @@
 from .lp import emd
 from .utils import unif, dist, kernel, cost_normalization
 from .utils import check_params, BaseEstimator
+from .unbalanced import sinkhorn_unbalanced
 from .optim import cg
 from .optim import gcg
 
@@ -1793,3 +1795,122 @@ def transform(self, Xs):
                 transp_Xs = K.dot(self.mapping_)
 
             return transp_Xs
+
+
+class UnbalancedSinkhornTransport(BaseTransport):
+
+    """Domain Adapatation unbalanced OT method based on sinkhorn algorithm
+
+    Parameters
+    ----------
+    reg_e : float, optional (default=1)
+        Entropic regularization parameter
+    reg_m : float, optional (default=0.1)
+        Mass regularization parameter
+    method : str
+        method used for the solver either 'sinkhorn',  'sinkhorn_stabilized' or
+        'sinkhorn_epsilon_scaling', see those function for specific parameters
+    max_iter : int, float, optional (default=10)
+        The minimum number of iteration before stopping the optimization
+        algorithm if no it has not converged
+    tol : float, optional (default=10e-9)
+        Stop threshold on error (inner sinkhorn solver) (>0)
+    verbose : bool, optional (default=False)
+        Controls the verbosity of the optimization algorithm
+    log : bool, optional (default=False)
+        Controls the logs of the optimization algorithm
+    metric : string, optional (default="sqeuclidean")
+        The ground metric for the Wasserstein problem
+    norm : string, optional (default=None)
+        If given, normalize the ground metric to avoid numerical errors that
+        can occur with large metric values.
+    distribution_estimation : callable, optional (defaults to the uniform)
+        The kind of distribution estimation to employ
+    out_of_sample_map : string, optional (default="ferradans")
+        The kind of out of sample mapping to apply to transport samples
+        from a domain into another one. Currently the only possible option is
+        "ferradans" which uses the method proposed in [6].
+    limit_max: float, optional (default=10)
+        Controls the semi supervised mode. Transport between labeled source
+        and target samples of different classes will exhibit an infinite cost
+        (10 times the maximum value of the cost matrix)
+
+    Attributes
+    ----------
+    coupling_ : array-like, shape (n_source_samples, n_target_samples)
+        The optimal coupling
+    log_ : dictionary
+        The dictionary of log, empty dic if parameter log is not True
+
+    References
+    ----------
+
+    .. [1] Chizat, L., Peyré, G., Schmitzer, B., & Vialard, F. X. (2016).
+    Scaling algorithms for unbalanced transport problems. arXiv preprint
+    arXiv:1607.05816.
+
+    """
+
+    def __init__(self, reg_e=1., reg_m=0.1, method='sinkhorn',
+                 max_iter=10, tol=1e-9, verbose=False, log=False,
+                 metric="sqeuclidean", norm=None,
+                 distribution_estimation=distribution_estimation_uniform,
+                 out_of_sample_map='ferradans', limit_max=10):
+
+        self.reg_e = reg_e
+        self.reg_m = reg_m
+        self.method = method
+        self.max_iter = max_iter
+        self.tol = tol
+        self.verbose = verbose
+        self.log = log
+        self.metric = metric
+        self.norm = norm
+        self.distribution_estimation = distribution_estimation
+        self.out_of_sample_map = out_of_sample_map
+        self.limit_max = limit_max
+
+    def fit(self, Xs, 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.
+        """
+
+        # check the necessary inputs parameters are here
+        if check_params(Xs=Xs, Xt=Xt):
+
+            super(UnbalancedSinkhornTransport, self).fit(Xs, ys, Xt, yt)
+
+            returned_ = sinkhorn_unbalanced(
+                a=self.mu_s, b=self.mu_t, M=self.cost_,
+                reg=self.reg_e, alpha=self.reg_m, method=self.method,
+                numItermax=self.max_iter, stopThr=self.tol,
+                verbose=self.verbose, log=self.log)
+
+            # deal with the value of log
+            if self.log:
+                self.coupling_, self.log_ = returned_
+            else:
+                self.coupling_ = returned_
+                self.log_ = dict()
+
+        return self

ot/unbalanced.py

@@ -364,7 +364,7 @@ def sinkhorn_knopp_unbalanced(a, b, M, reg, alpha, numItermax=1000,
                 or np.any(np.isinf(u)) or np.any(np.isinf(v))):
             # we have reached the machine precision
             # come back to previous solution and quit loop
-            warnings.warn('Numerical errors at iteration', cpt)
+            warnings.warn('Numerical errors at iteration %s' % cpt)
             u = uprev
             v = vprev
             break

ot/utils.py

@@ -178,15 +178,20 @@ def cost_normalization(C, norm=None):
         The input cost matrix normalized according to given norm.
     """
 
-    if norm == "median":
+    if norm is None:
+        pass
+    elif norm == "median":
         C /= float(np.median(C))
     elif norm == "max":
         C /= float(np.max(C))
     elif norm == "log":
         C = np.log(1 + C)
     elif norm == "loglog":
         C = np.log1p(np.log1p(C))
-
+    else:
+        raise ValueError('Norm %s is not a valid option.\n'
+                         'Valid options are:\n'
+                         'median, max, log, loglog' % norm)
     return C
 
 

test/test_da.py

@@ -245,6 +245,71 @@ def test_sinkhorn_transport_class():
     assert len(otda.log_.keys()) != 0
 
 
+def test_unbalanced_sinkhorn_transport_class():
+    """test_sinkhorn_transport
+    """
+
+    ns = 150
+    nt = 200
+
+    Xs, ys = make_data_classif('3gauss', ns)
+    Xt, yt = make_data_classif('3gauss2', nt)
+
+    otda = ot.da.UnbalancedSinkhornTransport()
+
+    # test its computed
+    otda.fit(Xs=Xs, Xt=Xt)
+    assert hasattr(otda, "cost_")
+    assert hasattr(otda, "coupling_")
+    assert hasattr(otda, "log_")
+
+    # test dimensions of coupling
+    assert_equal(otda.cost_.shape, ((Xs.shape[0], Xt.shape[0])))
+    assert_equal(otda.coupling_.shape, ((Xs.shape[0], Xt.shape[0])))
+
+    # test transform
+    transp_Xs = otda.transform(Xs=Xs)
+    assert_equal(transp_Xs.shape, Xs.shape)
+
+    Xs_new, _ = make_data_classif('3gauss', ns + 1)
+    transp_Xs_new = otda.transform(Xs_new)
+
+    # check that the oos method is working
+    assert_equal(transp_Xs_new.shape, Xs_new.shape)
+
+    # test inverse transform
+    transp_Xt = otda.inverse_transform(Xt=Xt)
+    assert_equal(transp_Xt.shape, Xt.shape)
+
+    Xt_new, _ = make_data_classif('3gauss2', nt + 1)
+    transp_Xt_new = otda.inverse_transform(Xt=Xt_new)
+
+    # check that the oos method is working
+    assert_equal(transp_Xt_new.shape, Xt_new.shape)
+
+    # test fit_transform
+    transp_Xs = otda.fit_transform(Xs=Xs, Xt=Xt)
+    assert_equal(transp_Xs.shape, Xs.shape)
+
+    # test unsupervised vs semi-supervised mode
+    otda_unsup = ot.da.SinkhornTransport()
+    otda_unsup.fit(Xs=Xs, Xt=Xt)
+    n_unsup = np.sum(otda_unsup.cost_)
+
+    otda_semi = ot.da.SinkhornTransport()
+    otda_semi.fit(Xs=Xs, ys=ys, Xt=Xt, yt=yt)
+    assert_equal(otda_semi.cost_.shape, ((Xs.shape[0], Xt.shape[0])))
+    n_semisup = np.sum(otda_semi.cost_)
+
+    # check that the cost matrix norms are indeed different
+    assert n_unsup != n_semisup, "semisupervised mode not working"
+
+    # check everything runs well with log=True
+    otda = ot.da.SinkhornTransport(log=True)
+    otda.fit(Xs=Xs, ys=ys, Xt=Xt)
+    assert len(otda.log_.keys()) != 0
+
+
 def test_emd_transport_class():
     """test_sinkhorn_transport
     """