[MRG] Use pseudo-inverse in Covariance (#206)

* FIX: fix covariance algo

* some fixes and add non regression test

* Use size instead of len

* Address #206 (review)

Author: wdevazelhes

metric_learn/covariance.py

@@ -10,6 +10,7 @@
 
 from __future__ import absolute_import
 import numpy as np
+import scipy
 from sklearn.base import TransformerMixin
 
 from .base_metric import MahalanobisMixin
@@ -35,11 +36,11 @@ def fit(self, X, y=None):
     y : unused
     """
     X = self._prepare_inputs(X, ensure_min_samples=2)
-    M = np.cov(X, rowvar = False)
-    if M.ndim == 0:
-      M = 1./M
+    M = np.atleast_2d(np.cov(X, rowvar=False))
+    if M.size == 1:
+      M = 1. / M
     else:
-      M = np.linalg.inv(M)
+      M = scipy.linalg.pinvh(M)
 
     self.transformer_ = transformer_from_metric(np.atleast_2d(M))
     return self

test/metric_learn_test.py

@@ -6,7 +6,8 @@
 from six.moves import xrange
 from sklearn.metrics import pairwise_distances
 from sklearn.datasets import load_iris, make_classification, make_regression
-from numpy.testing import assert_array_almost_equal, assert_array_equal
+from numpy.testing import (assert_array_almost_equal, assert_array_equal,
+                           assert_allclose)
 from sklearn.utils.testing import assert_warns_message
 from sklearn.exceptions import ConvergenceWarning
 from sklearn.utils.validation import check_X_y
@@ -53,6 +54,23 @@ def test_iris(self):
     # deterministic result
     self.assertAlmostEqual(csep, 0.72981476)
 
+  def test_singular_returns_pseudo_inverse(self):
+    """Checks that if the input covariance matrix is singular, we return
+    the pseudo inverse"""
+    X, y = load_iris(return_X_y=True)
+    # We add a virtual column that is a linear combination of the other
+    # columns so that the covariance matrix will be singular
+    X = np.concatenate([X, X[:, :2].dot([[2], [3]])], axis=1)
+    cov_matrix = np.cov(X, rowvar=False)
+    covariance = Covariance()
+    covariance.fit(X)
+    pseudo_inverse = covariance.get_mahalanobis_matrix()
+    # here is the definition of a pseudo inverse according to wikipedia:
+    assert_allclose(cov_matrix.dot(pseudo_inverse).dot(cov_matrix),
+                    cov_matrix)
+    assert_allclose(pseudo_inverse.dot(cov_matrix).dot(pseudo_inverse),
+                    pseudo_inverse)
+
 
 class TestLSML(MetricTestCase):
   def test_iris(self):