paper.md

title	tags	authors	affiliations	date	bibliography
ExpFamilyPCA.jl: A Julia Package for Exponential Family Principal Component Analysis	Julia compression dimensionality reduction PCA exponential family EPCA open-source POMDP MDP sequential decision making RL	name orcid affiliation Logan Mondal Bhamidipaty 0009-0001-3978-9462 1 name orcid affiliation Mykel J. Kochenderfer 0000-0002-7238-9663 1 name orcid affiliation Trevor Hastie 0000-0002-0164-3142 1	name index Stanford University 1	9 September 2024	paper.bib

Summary

Principal component analysis (PCA) [@PCA1; @PCA2; @PCA3] is popular for compressing, denoising, and interpreting high-dimensional data, but it underperforms on binary, count, and compositional data because the objective assumes data is normally distributed. Exponential family PCA (EPCA) [@EPCA] generalizes PCA to accommodate data from any exponential family distribution, making it more suitable for fields where these data types are common, such as geochemistry, marketing, genomics, political science, and machine learning [@composition; @elements].

ExpFamilyPCA.jl is a library for EPCA written in Julia, a dynamic language for scientific computing [@Julia]. It is the first EPCA package in Julia and the first in any language to support EPCA for multiple distributions.

Statement of Need

EPCA is used in reinforcement learning [@Roy], sample debiasing [@debiasing], and compositional analysis [@gans]. Wider adoption, however, remains limited due to the lack of implementations. The only other EPCA package is written in MATLAB and supports just one distribution [@epca-MATLAB]. This is surprising, as other Bregman-based optimization techniques have been successful in areas like mass spectrometry [@spectrum], ultrasound denoising [@ultrasound], topological data analysis [@topological], and robust clustering [@clustering]. These successes suggest that EPCA holds untapped potential in signal processing and machine learning.

The absence of a general EPCA library likely stems from the limited interoperability between fast symbolic differentiation and optimization libraries in popular languages like Python and C. Julia, by contrast, uses multiple dispatch which promotes high levels of generic code reuse [@dispatch]. Multiple dispatch allows ExpFamilyPCA.jl to integrate fast symbolic differentiation [@symbolics], optimization [@optim], and numerically stable computation [@stable_exp] without requiring costly API conversions. As a result, ExpFamilyPCA.jl delivers speed, stability, and flexibility, with built-in support for most common distributions (§ Supported Distributions) and flexible constructors for custom distributions (§ Custom Distributions).

Principal Component Analysis

Geometric Interpretation

Given a data matrix $X \in \mathbb{R}^{n \times d}$ with $n$ observations and $d$ features, PCA seeks the closest low-rank approximation $\Theta \in \mathbb{R}^{n \times d}$ by minimizing the reconstruction error

$$\begin{aligned} & \underset{\Theta}{\text{minimize}} & & \frac{1}{2}|X - \Theta|_F^2 \\ & \text{subject to} & & \mathrm{rank}\left(\Theta\right) = k \end{aligned}$$

where $| \cdot |_F$ denotes the Frobenius norm. The optimal $\Theta$ is a $k$-dimensional linear subspace that can be written as the product of the projected observations $A \in \mathbb{R}^{n \times k}$ and the basis $V \in \mathbb{R}^{k \times d}$:

$$ X \approx \Theta = AV. $$

This suggests that each observation $x_i \in \mathrm{rows}(X)$ can be well-approximated by a linear combination of $k$ basis vectors (the rows of $V$):

$$x_i \approx \theta_i = a_i V$$

for $i = 1, \dots, n$.

Probabilistic Interpretation

The PCA objective is equivalent to maximum likelihood estimation for a Gaussian model. Under this lens, each observation $x_i$ is a noisy realization of a $d$-dimensional Gaussian at $\theta_i \in \mathrm{rows}(\Theta)$:

$$ x_i \sim \mathcal{N}(\theta_i, I). $$

To recover the latent structure $\Theta$, PCA solves

$$\begin{aligned} & \underset{\Theta}{\text{maximize}} & & \sum_{i=1}^{n}\log \mathcal{L}(x_i; \theta_i) \\ & \text{subject to} & & \mathrm{rank}\left(\Theta\right) = k \end{aligned}$$

where $\mathcal{L}$ is the likelihood function.

Exponential Family PCA

Link Function

The link function $g(\theta)$ connects the natural parameter $\theta$ to the mean parameter $\mu$ of an exponential family distribution. It is defined as the gradient of the log-partition function $G(\theta)$:

$$ \mu = g(\theta) = \nabla G(\theta). $$

The link function serves a role analogous to that in generalized linear models (GLMs) [@GLM]. In GLMs, the link function connects the linear predictor to the mean of the distribution, enabling flexibility in modeling various data types. Similarly, in EPCA, the link function maps the low-dimensional latent variables to the expectation parameters of the exponential family, thereby generalizing the linear assumptions of traditional PCA to accommodate diverse distributions (see appendix).

Bregman Divergences

EPCA extends the probabilistic interpretation of PCA using a measure of statistical difference called the Bregman divergence [@Bregman; @Brad]. The Bregman divergence $B_F$ for a strictly convex, continuously differentiable function $F$ is

$$ B_F(p | q) = F(p) - F(q) - \langle \nabla F(q), p - q \rangle. $$

This can be interpreted as the difference between $F(p)$ and its linear approximation about $q$. When $F$ is the convex conjugate of the log-partition function of an exponential family distribution, minimizing the Bregman divergence corresponds to maximizing the associated log-likelihood [@azoury; @forster] (see documentation).

Loss Function

EPCA generalizes the PCA objective as a Bregman divergence between the data $X$ and the expectation parameters $g(\Theta)$:

$$\begin{aligned} & \underset{\Theta}{\text{minimize}} & & B_F(X | g(\Theta)) \\ & \text{subject to} & & \mathrm{rank}\left(\Theta\right) = k \end{aligned}$$

where

• $g(\theta)$ is the link function and the gradient of $G$,
• $G(\theta)$ is a strictly convex, continuously differentiable function (usually the log-partition of an exponential family distribution),
• and $F(\mu)$ is the convex conjugate of $G$ defined by

$$ F(\mu) = \langle \mu, \theta \rangle - G(\theta). $$

This suggests that data from the exponential family is well-approximated by expectation parameters

$$ x_i \approx g(\theta_i) = g(a_i V). $$

Regularization

To ensure the optimum converges, we introduce a regularization term

$$\begin{aligned} & \underset{\Theta}{\text{minimize}} & & B_F(X | g(\Theta)) + \epsilon B_F(\mu_0 | g(\Theta)) \\ & \text{subject to} & & \mathrm{rank}\left(\Theta\right) = k \end{aligned}$$

where $\epsilon > 0$ and $\mu_0 \in \mathrm{range}(g)$.

Example: Poisson EPCA

The Poisson EPCA objective is the generalized Kullback-Leibler (KL) divergence (see appendix), making Poisson EPCA ideal for compressing discrete distribution data.

This is useful in applications like belief compression in reinforcement learning [@Roy], where high-dimensional belief states can be effectively reduced with minimal information loss. Below we recreate a figure from @shortRoy and observe that Poisson EPCA achieved a nearly perfect reconstruction of a $41$-dimensional belief profile using just $5$ basis components.

For a larger environment with $200$ states, PCA struggles even with $10$ basis.

API

Supported Distributions

ExpFamilyPCA.jl includes efficient EPCA implementations for several exponential family distributions.

Julia	Description
BernoulliEPCA	For binary data
BinomialEPCA	For count data with a fixed number of trials
ContinuousBernoulliEPCA	For modeling probabilities between $0$ and $1$
GammaEPCA	For positive continuous data
GaussianEPCA	Standard PCA for real-valued data
NegativeBinomialEPCA	For over-dispersed count data
ParetoEPCA	For modeling heavy-tailed distributions
PoissonEPCA	For count and discrete distribution data
WeibullEPCA	For modeling life data and survival analysis

Custom Distributions

When working with custom distributions, certain specifications are often more convenient and computationally efficient than others. For example, inducing the gamma EPCA objective from the log-partition $G(\theta) = -\log(-\theta)$ and its derivative $g(\theta) = -1/\theta$ is much simpler than implementing the full the Itakura-Saito distance [@ItakuraSaito] (see appendix):

$$ D(P(\omega), \hat{P}(\omega)) =\frac{1}{2\pi} \int_{-\pi}^{\pi} \Bigg[ \frac{P(\omega)}{\hat{P}(\omega)} - \log \frac{P(\omega)}{\hat{P}{\omega}} - 1\Bigg] , d\omega. $$

In ExpFamilyPCA.jl, we would write:

G(θ) = -log(-θ)
g(θ) = -1 / θ
gamma_epca = EPCA(indim, outdim, G, g, Val((:G, :g)); options = NegativeDomain())

A lengthier discussion of the EPCA constructors and math is provided in the documentation.

Usage

Each EPCA object supports a three-method interface: fit!, compress, and decompress. fit! trains the model and returns the compressed training data; compress returns compressed input; and decompress reconstructs the original data from the compressed representation.

X = sample_from_gamma(n1, indim)
Y = sample_from_gamma(n2, indim)

X_compressed = fit!(gamma_epca, X)
Y_compressed = compress(gamma_epca, Y)
Y_reconstructed = decompress(gamma_epca, Y_compressed)

Acknowledgments

We thank Ryan Tibshirani, Arec Jamgochian, Robert Moss, and Dylan Asmar for their help and guidance.

References