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Blind source separation using FastICA in Scikit-learn

An example of estimating sources from noisy data.

Independent component analysis (ICA) is used to estimate sources given noisy measurements. Imagine 3 instruments playing simultaneously and 3 microphones recording the mixed signals. ICA is used to recover the sources ie. what is played by each instrument. Importantly, PCA fails at recovering our instruments since the related signals reflect non-Gaussian processes.

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Version

In [1]:
import sklearn
sklearn.__version__
Out[1]:
'0.18'

Imports

This tutorial imports FastICA and PCA.

In [2]:
print(__doc__)

import plotly.plotly as py
import plotly.graph_objs as go
from plotly import tools

import numpy as np
from scipy import signal

from sklearn.decomposition import FastICA, PCA
Automatically created module for IPython interactive environment

Calculations

Generate sample data

In [3]:
np.random.seed(0)
n_samples = 2000
time = np.linspace(0, 8, n_samples)

s1 = np.sin(2 * time)  # Signal 1 : sinusoidal signal
s2 = np.sign(np.sin(3 * time))  # Signal 2 : square signal
s3 = signal.sawtooth(2 * np.pi * time)  # Signal 3: saw tooth signal

S = np.c_[s1, s2, s3]
S += 0.2 * np.random.normal(size=S.shape)  # Add noise

S /= S.std(axis=0)  # Standardize data
# Mix data
A = np.array([[1, 1, 1], [0.5, 2, 1.0], [1.5, 1.0, 2.0]])  # Mixing matrix
X = np.dot(S, A.T)  # Generate observations

# Compute ICA
ica = FastICA(n_components=3)
S_ = ica.fit_transform(X)  # Reconstruct signals
A_ = ica.mixing_  # Get estimated mixing matrix

# We can `prove` that the ICA model applies by reverting the unmixing.
assert np.allclose(X, np.dot(S_, A_.T) + ica.mean_)

# For comparison, compute PCA
pca = PCA(n_components=3)
H = pca.fit_transform(X)  # Reconstruct signals based on orthogonal components

Plot Results

In [4]:
models = [X, S, S_, H]
names = ('Observations (mixed signal)',
         'True Sources',
         'ICA recovered signals',
         'PCA recovered signals')
colors = ['red', 'steelblue', 'orange']

fig = tools.make_subplots(rows=4, cols=1,
                          subplot_titles=names,
                          print_grid=False)
row = 1
for ii, (model, name) in enumerate(zip(models, names), 1):
    for sig, color in zip(model.T, colors):
        trace = go.Scatter(y=sig, 
                           showlegend=False,
                           line=dict(color=color)
                           )
        fig.append_trace(trace, row, 1)

    row+=1
    
fig['layout'].update(height=800)
In [5]:
py.iplot(fig)
Out[5]:
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