pca-web 0.1.0

package/dist/numeric/eigh.js.map

@@ -0,0 +1 @@
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package/dist/numeric/lanczos.d.ts

@@ -0,0 +1,31 @@
+/**
+ * Truncated SVD via Golub–Kahan–Lanczos bidiagonalization with full
+ * reorthogonalization — the `svdSolver: 'arpack'` equivalent. Like ARPACK at
+ * tol=0, it converges the requested singular triplets to machine precision,
+ * so its output matches `scipy.sparse.linalg.svds` (and hence sklearn's
+ * arpack solver) up to floating-point noise and the sign convention that the
+ * caller fixes afterwards with svd_flip.
+ *
+ * Memory: O((m+n) · j) for a Krylov basis of size j (typically a small
+ * multiple of k), never O(m·n) beyond the input itself.
+ */
+import type { SolverHooks } from '../progress.js';
+import type { FloatArray } from '../types.js';
+import type { RandomState } from './rng.js';
+import { type SvdResult } from './svd.js';
+/**
+ * Top-k singular triplets of `a` (m×n) as a step generator: yields `void`
+ * at the top of every Lanczos iteration — the suspension/abort checkpoints
+ * used by the async drivers. Numerically identical to draining it in one go
+ * (`lanczosSvd` below). `hooks` reports each residual checkpoint; snapshot
+ * Ritz triplets reuse the small SVD already computed for the residual test,
+ * and no RNG is drawn for reporting, so the stream is unchanged.
+ */
+export declare function lanczosSvdSteps(a: FloatArray, m: number, n: number, k: number, v0: Float64Array, rng: RandomState, hooks?: SolverHooks | null): Generator<void, SvdResult, void>;
+/**
+ * Top-k singular triplets of `a` (m×n). `v0` seeds the start vector (length
+ * min(m,n), like scipy's svds); the converged result does not depend on it.
+ * Requires 1 <= k < min(m, n) (ARPACK's constraint, enforced by the caller).
+ */
+export declare function lanczosSvd(a: FloatArray, m: number, n: number, k: number, v0: Float64Array, rng: RandomState): SvdResult;
+//# sourceMappingURL=lanczos.d.ts.map

package/dist/numeric/lanczos.d.ts.map

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package/dist/numeric/lanczos.js

@@ -0,0 +1,287 @@
+import { matvec, matvecTransA } from './blas.js';
+import { svd } from './svd.js';
+const EPS = 2 ** -52;
+function norm(v) {
+    let s = 0;
+    for (let i = 0; i < v.length; i++) {
+        s += v[i] * v[i];
+    }
+    return Math.sqrt(s);
+}
+/** v -= (basis_j · v) basis_j for all j — classical Gram–Schmidt, run twice. */
+function reorthogonalize(v, basis) {
+    for (let pass = 0; pass < 2; pass++) {
+        for (let j = 0; j < basis.length; j++) {
+            const b = basis[j];
+            let d = 0;
+            for (let i = 0; i < v.length; i++) {
+                d += b[i] * v[i];
+            }
+            if (d !== 0) {
+                for (let i = 0; i < v.length; i++) {
+                    v[i] -= d * b[i];
+                }
+            }
+        }
+    }
+}
+/** A fresh random unit vector orthogonal to `basis`, or null if the space is exhausted. */
+function randomOrthogonal(dim, basis, rng) {
+    if (basis.length >= dim) {
+        return null;
+    }
+    for (let attempt = 0; attempt < 5; attempt++) {
+        const v = new Float64Array(dim);
+        rng.standardNormal(v);
+        reorthogonalize(v, basis);
+        const nv = norm(v);
+        if (nv > 1e-8 * Math.sqrt(dim)) {
+            for (let i = 0; i < dim; i++) {
+                v[i] /= nv;
+            }
+            return v;
+        }
+    }
+    return null;
+}
+/**
+ * Top-k singular triplets of `a` (m×n) as a step generator: yields `void`
+ * at the top of every Lanczos iteration — the suspension/abort checkpoints
+ * used by the async drivers. Numerically identical to draining it in one go
+ * (`lanczosSvd` below). `hooks` reports each residual checkpoint; snapshot
+ * Ritz triplets reuse the small SVD already computed for the residual test,
+ * and no RNG is drawn for reporting, so the stream is unchanged.
+ */
+export function* lanczosSvdSteps(a, m, n, k, v0, rng, hooks) {
+    // Run the recurrence with the v-side on the smaller dimension, mirroring
+    // scipy operating on the smaller Gram operator.
+    const wide = m < n;
+    const rows = wide ? n : m; // u-side dimension
+    const cols = wide ? m : n; // v-side dimension
+    const mulA = (x) => wide ? matvecTransA(a, x, m, n) : matvec(a, x, m, n);
+    const mulAT = (x) => wide ? matvec(a, x, m, n) : matvecTransA(a, x, m, n);
+    const jmax = cols;
+    const V = [];
+    const U = [];
+    const alphas = [];
+    const betas = [];
+    const v = Float64Array.from(v0);
+    const v0norm = norm(v);
+    if (v0norm === 0) {
+        throw new Error('lanczosSvd: starting vector must be nonzero');
+    }
+    for (let i = 0; i < cols; i++) {
+        v[i] /= v0norm;
+    }
+    V.push(v);
+    let anormEst = 0;
+    let result = null;
+    let checkCount = 0;
+    for (let j = 0; j < jmax; j++) {
+        yield;
+        // u_j = A v_j - beta_{j-1} u_{j-1}
+        const u = mulA(V[j]);
+        if (j > 0) {
+            const b = betas[j - 1];
+            const uPrev = U[j - 1];
+            for (let i = 0; i < rows; i++) {
+                u[i] -= b * uPrev[i];
+            }
+        }
+        reorthogonalize(u, U);
+        let alpha = norm(u);
+        anormEst = Math.max(anormEst, alpha);
+        if (alpha > EPS * anormEst * rows) {
+            for (let i = 0; i < rows; i++) {
+                u[i] /= alpha;
+            }
+            U.push(u);
+        }
+        else {
+            // Breakdown: the u-side Krylov space is exhausted in this direction.
+            alpha = 0;
+            const fresh = randomOrthogonal(rows, U, rng);
+            if (fresh === null) {
+                // Full u-space captured; finish with what we have (post-loop).
+                break;
+            }
+            U.push(fresh);
+        }
+        alphas.push(alpha);
+        // v_{j+1} = Aᵀ u_j - alpha_j v_j
+        const vn = mulAT(U[j]);
+        const al = alphas[j];
+        const vj = V[j];
+        for (let i = 0; i < cols; i++) {
+            vn[i] -= al * vj[i];
+        }
+        reorthogonalize(vn, V);
+        let beta = norm(vn);
+        const basisSize = j + 1;
+        const canStop = basisSize >= k;
+        const shouldCheck = canStop && (basisSize === jmax || (basisSize - k) % 3 === 0);
+        if (shouldCheck && alphas.length >= k) {
+            // Inlined tryFinish so the residual test's small SVD can also feed the
+            // progress event (and, when wanted, a Ritz-triplet snapshot) at no
+            // extra decomposition cost. Decisions are identical to tryFinish.
+            const decB = smallSvdOfB(alphas, betas);
+            const force = basisSize === jmax;
+            const smax = decB.s[0] > 0 ? decB.s[0] : 1;
+            const residual = maxTopKResidual(decB, beta, k);
+            const converged = residual <= 1e-13 * smax;
+            if (hooks) {
+                checkCount++;
+                // The terminal checkpoint's triplets feed the model itself; only
+                // non-terminal checkpoints assemble a separate snapshot copy.
+                let snapDec = null;
+                if (!(converged || force) && hooks.wantSnapshot(checkCount)) {
+                    const ritz = assembleTriplets(decB, U, V, k, rows, cols);
+                    snapDec = wide ? untransposeResult(ritz, m, n, k) : ritz;
+                }
+                hooks.emit({
+                    phase: 'lanczos-step',
+                    step: checkCount,
+                    totalSteps: null,
+                    dec: snapDec,
+                    detail: { basisSize, jmax, maxResidual: residual },
+                });
+            }
+            if (converged || force) {
+                result = assembleTriplets(decB, U, V, k, rows, cols);
+                break;
+            }
+        }
+        if (beta > EPS * anormEst * cols) {
+            for (let i = 0; i < cols; i++) {
+                vn[i] /= beta;
+            }
+            V.push(vn);
+        }
+        else {
+            beta = 0;
+            const fresh = randomOrthogonal(cols, V, rng);
+            if (fresh === null) {
+                result = tryFinish(U, V, alphas, betas, 0, k, rows, cols, true);
+                break;
+            }
+            V.push(fresh);
+        }
+        betas.push(beta);
+    }
+    if (result === null) {
+        result = tryFinish(U, V, alphas, betas, 0, k, rows, cols, true);
+        if (result === null) {
+            throw new Error('lanczosSvd: failed to converge');
+        }
+    }
+    if (!wide) {
+        return result;
+    }
+    return untransposeResult(result, m, n, k);
+}
+/**
+ * Top-k singular triplets of `a` (m×n). `v0` seeds the start vector (length
+ * min(m,n), like scipy's svds); the converged result does not depend on it.
+ * Requires 1 <= k < min(m, n) (ARPACK's constraint, enforced by the caller).
+ */
+export function lanczosSvd(a, m, n, k, v0, rng) {
+    const gen = lanczosSvdSteps(a, m, n, k, v0, rng);
+    let step = gen.next();
+    while (!step.done) {
+        step = gen.next();
+    }
+    return step.value;
+}
+/** We decomposed Aᵀ; swap sides back: A = V_op Σ U_opᵀ. */
+function untransposeResult(result, m, n, k) {
+    const { u: uOp, s, vt: vtOp } = result;
+    const uA = new Float64Array(m * k);
+    for (let i = 0; i < m; i++) {
+        for (let c = 0; c < k; c++) {
+            uA[i * k + c] = vtOp[c * m + i];
+        }
+    }
+    const vtA = new Float64Array(k * n);
+    for (let c = 0; c < k; c++) {
+        for (let i = 0; i < n; i++) {
+            vtA[c * n + i] = uOp[i * k + c];
+        }
+    }
+    return { u: uA, s, vt: vtA };
+}
+function smallSvdOfB(alphas, betas) {
+    const J = alphas.length;
+    const B = new Float64Array(J * J);
+    for (let i = 0; i < J; i++) {
+        B[i * J + i] = alphas[i];
+        if (i + 1 < J) {
+            B[i * J + i + 1] = betas[i];
+        }
+    }
+    const { u: p, s, vt: qt } = svd(B, J, J);
+    return { p, s, qt, j: J };
+}
+/** Largest residual estimate |betaNext · P[J−1, i]| over the top-k triplets. */
+function maxTopKResidual(dec, betaNext, k) {
+    const J = dec.j;
+    let worst = 0;
+    for (let i = 0; i < k; i++) {
+        const residual = Math.abs(betaNext * dec.p[(J - 1) * J + i]);
+        if (residual > worst) {
+            worst = residual;
+        }
+    }
+    return worst;
+}
+/** Ritz triplets from the current basis: uOut = U·P[:, :k], vtOut = Qt[:k]·V. */
+function assembleTriplets(dec, U, V, k, rows, cols) {
+    const { p: P, s, qt: Qt, j: J } = dec;
+    // uOut (rows×k) = U_mat @ P[:, :k]; U_mat columns are the U basis vectors.
+    const uOut = new Float64Array(rows * k);
+    for (let j = 0; j < J; j++) {
+        const uj = U[j];
+        for (let c = 0; c < k; c++) {
+            const w = P[j * J + c];
+            if (w !== 0) {
+                for (let i = 0; i < rows; i++) {
+                    uOut[i * k + c] += w * uj[i];
+                }
+            }
+        }
+    }
+    // vtOut (k×cols): row c = Σ_j Qt[c, j] * V[j].
+    const vtOut = new Float64Array(k * cols);
+    for (let c = 0; c < k; c++) {
+        const off = c * cols;
+        for (let j = 0; j < J; j++) {
+            const w = Qt[c * J + j];
+            if (w !== 0) {
+                const vj = V[j];
+                for (let i = 0; i < cols; i++) {
+                    vtOut[off + i] += w * vj[i];
+                }
+            }
+        }
+    }
+    return { u: uOut, s: s.slice(0, k), vt: vtOut };
+}
+/**
+ * Builds the bidiagonal B from (alphas, betas), takes its SVD, and returns
+ * the top-k Ritz triplets if they are converged (residual = betaNext ·
+ * |last row of P|), or unconditionally when `force` is set.
+ */
+function tryFinish(U, V, alphas, betas, betaNext, k, rows, cols, force) {
+    const J = alphas.length;
+    if (J < k) {
+        return null;
+    }
+    const dec = smallSvdOfB(alphas, betas);
+    if (!force) {
+        const smax = dec.s[0] > 0 ? dec.s[0] : 1;
+        if (maxTopKResidual(dec, betaNext, k) > 1e-13 * smax) {
+            return null;
+        }
+    }
+    return assembleTriplets(dec, U, V, k, rows, cols);
+}
+//# sourceMappingURL=lanczos.js.map

package/dist/numeric/lanczos.js.map

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package/dist/numeric/lu.d.ts

@@ -0,0 +1,27 @@
+/**
+ * LU decomposition with partial pivoting (LAPACK dgetrf conventions: pivot is
+ * the first maximal |value|), plus the helpers PCA needs: `permute_l` output
+ * matching `scipy.linalg.lu(A, permute_l=True)` (used as the randomized
+ * solver's power-iteration normalizer), matrix inverse, and slogdet.
+ */
+export interface LuFactor {
+    /** In-place L\U factors, m×n row-major. */
+    lu: Float64Array;
+    /** ipiv[j]: row j was swapped with row ipiv[j] at step j. */
+    ipiv: Int32Array;
+}
+/** Factorizes a copy of `a` (m×n). Singular pivots are tolerated (column skipped). */
+export declare function luFactor(a: Float64Array, m: number, n: number): LuFactor;
+/**
+ * P@L from an LU factorization: the m×k unit-lower-trapezoidal factor with
+ * the row permutation applied, as returned by scipy's `lu(permute_l=True)`.
+ */
+export declare function permutedL(f: LuFactor, m: number, n: number): Float64Array;
+/** Solves A x = b in place using a square LU factorization. */
+export declare function luSolveInPlace(f: LuFactor, n: number, b: Float64Array): void;
+/** Matrix inverse of a square `a` (n×n) via LU. Throws on an exactly singular
+ * matrix, like scipy.linalg.inv. */
+export declare function inverse(a: Float64Array, n: number): Float64Array;
+/** numpy `slogdet` for a square matrix: [sign, log|det|]. */
+export declare function slogdet(a: Float64Array, n: number): [number, number];
+//# sourceMappingURL=lu.d.ts.map

package/dist/numeric/lu.d.ts.map

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package/dist/numeric/lu.js

@@ -0,0 +1,149 @@
+/**
+ * LU decomposition with partial pivoting (LAPACK dgetrf conventions: pivot is
+ * the first maximal |value|), plus the helpers PCA needs: `permute_l` output
+ * matching `scipy.linalg.lu(A, permute_l=True)` (used as the randomized
+ * solver's power-iteration normalizer), matrix inverse, and slogdet.
+ */
+/** Factorizes a copy of `a` (m×n). Singular pivots are tolerated (column skipped). */
+export function luFactor(a, m, n) {
+    const lu = a.slice();
+    const k = Math.min(m, n);
+    const ipiv = new Int32Array(k);
+    for (let j = 0; j < k; j++) {
+        // Partial pivot: first index of maximal |value| in column j, rows j..m-1.
+        let p = j;
+        let maxv = Math.abs(lu[j * n + j]);
+        for (let i = j + 1; i < m; i++) {
+            const v = Math.abs(lu[i * n + j]);
+            if (v > maxv) {
+                maxv = v;
+                p = i;
+            }
+        }
+        ipiv[j] = p;
+        if (lu[p * n + j] !== 0) {
+            if (p !== j) {
+                for (let c = 0; c < n; c++) {
+                    const t = lu[j * n + c];
+                    lu[j * n + c] = lu[p * n + c];
+                    lu[p * n + c] = t;
+                }
+            }
+            const inv = 1 / lu[j * n + j];
+            for (let i = j + 1; i < m; i++) {
+                lu[i * n + j] *= inv;
+            }
+            for (let i = j + 1; i < m; i++) {
+                const l = lu[i * n + j];
+                if (l !== 0) {
+                    for (let c = j + 1; c < n; c++) {
+                        lu[i * n + c] -= l * lu[j * n + c];
+                    }
+                }
+            }
+        }
+    }
+    return { lu, ipiv };
+}
+/**
+ * P@L from an LU factorization: the m×k unit-lower-trapezoidal factor with
+ * the row permutation applied, as returned by scipy's `lu(permute_l=True)`.
+ */
+export function permutedL(f, m, n) {
+    const k = Math.min(m, n);
+    const sigma = new Int32Array(m);
+    for (let i = 0; i < m; i++) {
+        sigma[i] = i;
+    }
+    for (let j = 0; j < k; j++) {
+        const p = f.ipiv[j];
+        const t = sigma[j];
+        sigma[j] = sigma[p];
+        sigma[p] = t;
+    }
+    const pl = new Float64Array(m * k);
+    for (let i = 0; i < m; i++) {
+        const dest = sigma[i] * k;
+        const lim = Math.min(i, k - 1);
+        for (let j = 0; j < lim; j++) {
+            pl[dest + j] = f.lu[i * n + j];
+        }
+        if (i < k) {
+            pl[dest + i] = 1;
+        }
+        else {
+            pl[dest + lim] = f.lu[i * n + lim];
+        }
+    }
+    return pl;
+}
+/** Solves A x = b in place using a square LU factorization. */
+export function luSolveInPlace(f, n, b) {
+    const { lu, ipiv } = f;
+    for (let j = 0; j < n; j++) {
+        const p = ipiv[j];
+        if (p !== j) {
+            const t = b[j];
+            b[j] = b[p];
+            b[p] = t;
+        }
+    }
+    // Forward substitution with unit lower triangle.
+    for (let i = 1; i < n; i++) {
+        let s = b[i];
+        for (let j = 0; j < i; j++) {
+            s -= lu[i * n + j] * b[j];
+        }
+        b[i] = s;
+    }
+    // Back substitution.
+    for (let i = n - 1; i >= 0; i--) {
+        let s = b[i];
+        for (let j = i + 1; j < n; j++) {
+            s -= lu[i * n + j] * b[j];
+        }
+        b[i] = s / lu[i * n + i];
+    }
+}
+/** Matrix inverse of a square `a` (n×n) via LU. Throws on an exactly singular
+ * matrix, like scipy.linalg.inv. */
+export function inverse(a, n) {
+    const f = luFactor(a, n, n);
+    for (let j = 0; j < n; j++) {
+        if (f.lu[j * n + j] === 0) {
+            throw new Error('singular matrix: inverse cannot be computed');
+        }
+    }
+    const inv = new Float64Array(n * n);
+    const col = new Float64Array(n);
+    for (let j = 0; j < n; j++) {
+        col.fill(0);
+        col[j] = 1;
+        luSolveInPlace(f, n, col);
+        for (let i = 0; i < n; i++) {
+            inv[i * n + j] = col[i];
+        }
+    }
+    return inv;
+}
+/** numpy `slogdet` for a square matrix: [sign, log|det|]. */
+export function slogdet(a, n) {
+    const f = luFactor(a, n, n);
+    let sign = 1;
+    let logdet = 0;
+    for (let j = 0; j < n; j++) {
+        if (f.ipiv[j] !== j) {
+            sign = -sign;
+        }
+        const d = f.lu[j * n + j];
+        if (d === 0) {
+            return [0, Number.NEGATIVE_INFINITY];
+        }
+        if (d < 0) {
+            sign = -sign;
+        }
+        logdet += Math.log(Math.abs(d));
+    }
+    return [sign, logdet];
+}
+//# sourceMappingURL=lu.js.map

package/dist/numeric/lu.js.map

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package/dist/numeric/mle.d.ts

@@ -0,0 +1,5 @@
+/** Log-likelihood that the data has rank `rank`, given the eigenvalue spectrum. */
+export declare function assessDimension(spectrum: Float64Array, rank: number, nSamples: number): number;
+/** argmax over rank of assessDimension, ranks 1..p-1 (never returns 0). */
+export declare function inferDimension(spectrum: Float64Array, nSamples: number): number;
+//# sourceMappingURL=mle.d.ts.map

package/dist/numeric/mle.d.ts.map

@@ -0,0 +1 @@
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package/dist/numeric/mle.js

@@ -0,0 +1,67 @@
+/**
+ * Minka's MLE for choosing the number of PCA components — a direct port of
+ * sklearn's `_assess_dimension` / `_infer_dimension`.
+ *
+ * Reference: Thomas P. Minka, "Automatic Choice of Dimensionality for PCA",
+ * NIPS 2000.
+ */
+import { lgamma } from './special.js';
+const LOG_PI = Math.log(Math.PI);
+const LOG_2PI = Math.log(2 * Math.PI);
+/** Log-likelihood that the data has rank `rank`, given the eigenvalue spectrum. */
+export function assessDimension(spectrum, rank, nSamples) {
+    const p = spectrum.length;
+    if (!(rank >= 1 && rank < p)) {
+        throw new Error('the tested rank should be in [1, n_features - 1]');
+    }
+    const eps = 1e-15;
+    if (spectrum[rank - 1] < eps) {
+        // Tiny eigenvalue: log-likelihood would be tiny and numerically fragile.
+        return Number.NEGATIVE_INFINITY;
+    }
+    let pu = -rank * Math.LN2;
+    for (let i = 1; i <= rank; i++) {
+        pu += lgamma((p - i + 1) / 2) - (LOG_PI * (p - i + 1)) / 2;
+    }
+    let pl = 0;
+    for (let i = 0; i < rank; i++) {
+        pl += Math.log(spectrum[i]);
+    }
+    pl = (-pl * nSamples) / 2;
+    let v = 0;
+    for (let i = rank; i < p; i++) {
+        v += spectrum[i];
+    }
+    v = Math.max(eps, v / (p - rank));
+    const pv = (-Math.log(v) * nSamples * (p - rank)) / 2;
+    const m = p * rank - (rank * (rank + 1)) / 2;
+    const pp = (LOG_2PI * (m + rank)) / 2;
+    const spectrumFilled = Float64Array.from(spectrum);
+    for (let i = rank; i < p; i++) {
+        spectrumFilled[i] = v;
+    }
+    let pa = 0;
+    const logN = Math.log(nSamples);
+    for (let i = 0; i < rank; i++) {
+        for (let j = i + 1; j < p; j++) {
+            pa +=
+                Math.log((spectrum[i] - spectrum[j]) * (1.0 / spectrumFilled[j] - 1.0 / spectrumFilled[i])) + logN;
+        }
+    }
+    return pu + pl + pv + pp - pa / 2 - (rank * logN) / 2;
+}
+/** argmax over rank of assessDimension, ranks 1..p-1 (never returns 0). */
+export function inferDimension(spectrum, nSamples) {
+    const p = spectrum.length;
+    let best = 0;
+    let bestLl = Number.NEGATIVE_INFINITY;
+    for (let rank = 1; rank < p; rank++) {
+        const ll = assessDimension(spectrum, rank, nSamples);
+        if (ll > bestLl) {
+            bestLl = ll;
+            best = rank;
+        }
+    }
+    return best;
+}
+//# sourceMappingURL=mle.js.map

package/dist/numeric/mle.js.map

@@ -0,0 +1 @@
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