mlegp (version 3.1.10)

mlegp-svd-functions: Singular Value Decomposition functions for mlegp

Description

Functions that deal with the singular value decomposition of an output Y, for use with Gaussian process lists

Usage

pcweights(Y, weights.num = NULL, cutoff = 99)
getSingularValues(Y)
singularValueImportance(Y)
numSingularValues(Y, cutoff = 99)

Value

pcweights returns a list with components:

UD

the UD matrix corresponding to the number of principle components kept

Vprime

The Vprime matrix corresponding to the number of principle components kept

Note: the number of principle component weights kept is equal to dim(UD)[2]

getSingularValues returns a matrix containing the singular values of Y

numSingularValues returns the minimum number of singular values accounting for cutoff percent of the variation in Y

singularValueImportance returns a matrix where element i corresponds to the percentage of total variation in Y accounted for by the first i singular values

Arguments

Y

the output to decompose, where each column of Y correspond to k-dimensional output

weights.num

optionally, the number of principle component weights to keep

cutoff

if specified, weights.num is set to correspond to number of principle component weights that account for cutoff percent of the total variation in Y; if both cutoff and weights.num are specified, weights.num will be used

Author

Garrett M. Dancik

Details

Utilizes the singular value decomposition (SVD) of Y, Y = UDVprime. Columns of Y should correspond to a single k-dimensional observation (e.g., functional output of a computer model, evaluated at a particular input).

For a k x m matrix Y, and r = min(k,m), in the complete SVD, U is k x r, D is r x r, containing the singular values along the diagonal, and Vprime is r x m. The output Y is approximated by keeping l < r singular values, keeping a UD matrix of dimension k x l, and the Vprime matrix of dimension l x m. Each column of Vprime now contains l principle component weights, which can be used to reconstruct the functional output.

References

Heitmann, K., Higdon, D., Nakhleh, C., Habib, S., 2006. Cosmic Calibration. The Astrophysical Journal, 646, 2, L1-L4.

https://github.com/gdancik/mlegp/

See Also

mlegp

Examples

## create functional output that varies based on parameter 'p' ##
x = seq(-5,5,by=.2)
p = 1:50
y = matrix(0,length(p), length(x))
for (i in p) {
	y[i,] = sin(x) + i + rnorm(length(x), sd  = .1)
}

singularValueImportance(t(y))
numSingularValues(t(y), cutoff = 99.99)