Inversing PCA transform with sklearn (with whiten=True)

Question

Usually PCA transform is easily inversed:

import numpy as np
from sklearn import decomposition

x = np.zeros((500, 10))
x[:, :5] = random.rand(500, 5)
x[:, 5:] = x[:, :5] # so that using PCA would make sense

p = decomposition.PCA()
p.fit(x)

a = x[5, :]

print p.inverse_transform(p.transform(a)) - a  # this yields small numbers (about 10**-16)

Now, if we try to add whiten=True parameter the result will be entirely different:

p = decomposition.PCA(whiten=True)
p.fit(x)

a = x[5, :]

print p.inverse_transform(p.transform(a)) - a  # now yields numbers about 10**15

So, as I didn't find any other methods that would do the trick, I wounder how is it possible to obtain the original value of a? Or is it even possible at all? Thanks a lot for any help.

Answer 1

This behaviour is admittedly potentially weird, but it is nevertheless documented in the docstrings of the relevant functions.

The class docstring of PCA says the following about whiten:

whiten : bool, optional
    When True (False by default) the `components_` vectors are divided
    by n_samples times singular values to ensure uncorrelated outputs
    with unit component-wise variances.

    Whitening will remove some information from the transformed signal
    (the relative variance scales of the components) but can sometime
    improve the predictive accuracy of the downstream estimators by
    making there data respect some hard-wired assumptions.

The code and docstring of PCA.inverse_transform says:

def inverse_transform(self, X):
    """Transform data back to its original space, i.e.,
    return an input X_original whose transform would be X

    Parameters
    ----------
    X : array-like, shape (n_samples, n_components)
        New data, where n_samples is the number of samples
        and n_components is the number of components.

    Returns
    -------
    X_original array-like, shape (n_samples, n_features)

    Notes
    -----
    If whitening is enabled, inverse_transform does not compute the
    exact inverse operation as transform.
    """
    return np.dot(X, self.components_) + self.mean_

Now take a look at what happens when whiten=True in the function PCA._fit:

    if self.whiten:
        self.components_ = V / S[:, np.newaxis] * np.sqrt(n_samples)
    else:
        self.components_ = V

where S are singular values and V are singular vectors. By definition, whitening levels the spectrum, essentially setting all of the eigenvalues of the covariance matrix to 1.

In order to finally answer your question: The PCA object of sklearn.decomposition does not allow reconstructing original data from the whitened matrix, because the singular values of the centered data / the eigenvalues of the covariance matrix are garbage collected after the function PCA._fit.

However, if you obtain the singular values S manually, you will be able to multiply them back and arrive back at your original data.

Try this

import numpy as np
rng = np.random.RandomState(42)

n_samples_train, n_features = 40, 10
n_samples_test = 20
X_train = rng.randn(n_samples_train, n_features)
X_test = rng.randn(n_samples_test, n_features)

from sklearn.decomposition import PCA
pca = PCA(whiten=True)

pca.fit(X_train)

X_train_mean = X_train.mean(0)
X_train_centered = X_train - X_train_mean
U, S, VT = np.linalg.svd(X_train_centered, full_matrices=False)
components = VT / S[:, np.newaxis] * np.sqrt(n_samples_train)

from numpy.testing import assert_array_almost_equal
# These assertions will raise an error if the arrays aren't equal
assert_array_almost_equal(components, pca.components_)  # we have successfully 
                                                        # calculated whitened components

transformed = pca.transform(X_test)
inverse_transformed = transformed.dot(S[:, np.newaxis] ** 2 * pca.components_ /
                                            n_samples_train) + X_train_mean

assert_array_almost_equal(inverse_transformed, X_test)  # We have equality

As you can see from the line creating inverse_transformed, if you multiply the singular values back to the components, you can return to the original space.

As a matter of fact, the singular values S are actually hidden in the norms of the components, so there is no need to calculate an SVD along side the PCA. Using the definitions above one can see

S_recalculated = 1. / np.sqrt((pca.components_ ** 2).sum(axis=1) / n_samples_train)
assert_array_almost_equal(S, S_recalculated)

Conclusion: By obtaining the singular values of the centered data matrix, we are able to undo the whitening and transform back to the original space. However, this functionality is not natively implemented in the PCA object.

Remedy: Without modifying the code of scikit learn (which may be done officially if considered useful by the community), the solution you are looking for is this (and I will now use your code and variable names, please check if this works for you):

transformed_a = p.transform(a)
singular_values = 1. / np.sqrt((p.components_ ** 2).sum(axis=1) / len(x))
inverse_transformed = np.dot(transformed_a, singular_values[:, np.newaxis] ** 2 *
                                          p.components_ / len(x)) + p.mean_)

(IMHO the inverse_transform function of any estimator should go back a close as possible to the original data. In this case it would not cost much to also store the singular values explicitly, so maybe this functionality should actually be added to sklearn.)

EDIT The singular values of the centered matrix are not garbage collected as initially thought. As a matter of fact, they are stored in pca.explained_variance_ and can be used to unwhiten. See comments.