pca.c

/*C***********************  Contents  ****************************************
C* Principal Components Analysis: C, 638 lines. ****************************
C* Sample input data set (final 36 lines). *********************************
C***************************************************************************

*/

/*********************************/
/* Principal Components Analysis */
/*********************************/

/*********************************************************************/
/* Principal Components Analysis or the Karhunen-Loeve expansion is a
   classical method for dimensionality reduction or exploratory data
   analysis.  One reference among many is: F. Murtagh and A. Heck,
   Multivariate Data Analysis, Kluwer Academic, Dordrecht, 1987.

   Author:
   F. Murtagh
   Phone:        + 49 89 32006298 (work)
                 + 49 89 965307 (home)
   Earn/Bitnet:  fionn@dgaeso51,  fim@dgaipp1s,  murtagh@stsci
   Span:         esomc1::fionn
   Internet:     murtagh@scivax.stsci.edu
   
   F. Murtagh, Munich, 6 June 1989                                   */   
/*********************************************************************/
//#include <cstdlib>

#include <stdio.h>
#include <string.h>
#include <math.h>
#include "pca.h"
#define SIGN(a, b) ( (b) < 0 ? -fabs(a) : fabs(a) )

main1(argc, argv)
int argc;
char *argv[];

{
FILE *stream;
int  n, m,  i, j, k, k2;
float **data, **symmat, **symmat2,  *evals, *interm;

float in_value;
char option;//, *strncpy();

/*********************************************************************
   Get from command line:
   input data file name, #rows, #cols, option.

   Open input file: fopen opens the file whose name is stored in the
   pointer argv[argc-1]; if unsuccessful, error message is printed to
   stderr.
*********************************************************************/

   if (argc !=  5)
      {
      printf("Syntax help: PCA filename #rows #cols option\n\n");
      printf("(filename -- give full path name,\n");
      printf(" #rows                          \n");
      printf(" #cols    -- integer values,\n");                  
      printf(" option   -- R (recommended) for correlation analysis,\n");
      printf("             V for variance/covariance analysis\n");
      printf("             S for SSCP analysis.)\n");
      exit(1);
      }

   n = atoi(argv[2]);              /* # rows */
   m = atoi(argv[3]);              /* # columns */
   strncpy(&option,argv[4],1);     /* Analysis option */

   printf("No. of rows: %d, no. of columns: %d.\n",n,m);
   printf("Input file: %s.\n",argv[1]);

   if ((stream = fopen(argv[1],"r")) == NULL)
      {
      fprintf(stderr, "Program %s : cannot open file %s\n",
                       argv[0], argv[1]);
      fprintf(stderr, "Exiting to system.");
      exit(1);
      
      }

    /* Now read in data. */

    data = matrix(n, m);  /* Storage allocation for input data */

    for (i = 1; i <= n; i++)
        {
        for (j = 1; j <= m; j++)
            {
            fscanf(stream, "%f", &in_value);
            data[i][j] = in_value;
            }
         }

    

    symmat = matrix(m, m);  /* Allocation of correlation (etc.) matrix */
	
   /* Look at analysis option; branch in accordance with this. */

     switch(option)
             {
          case 'R':
          case 'r':
              printf("Analysis of correlations chosen.\n");
              corcol(data, n, m, symmat);

                        
              break;
          case 'V':
          case 'v':
              printf("Analysis of variances-covariances chosen.\n");
              covcol(data, n, m, symmat);

                        
              break;
          case 'S':
          case 's':
              printf("Analysis of sums-of-squares-cross-products");
              printf(" matrix chosen.\n");
              scpcol(data, n, m, symmat);

                        
              break;
          default:
              printf("Option: %s\n",option);
              printf("For option, please type R, V, or S\n");
              printf("(upper or lower case).\n");
              printf("Exiting to system.\n");
              exit(1);
              break;
          }

/*********************************************************************
    Eigen-reduction
**********************************************************************/

    /* Allocate storage for dummy and new vectors. */
    evals = vector(m);     /* Storage alloc. for vector of eigenvalues */
    interm = vector(m);    /* Storage alloc. for 'intermediate' vector */
    symmat2 = matrix(m, m);  /* Duplicate of correlation (etc.) matrix */
    for (i = 1; i <= m; i++) {
     for (j = 1; j <= m; j++) {
      symmat2[i][j] = symmat[i][j]; /* Needed below for col. projections */
                              }
                             }
    tred2(symmat, m, evals, interm);  /* Triangular decomposition */
    tqli(evals, interm, m, symmat);   /* Reduction of sym. trid. matrix */
  

     printf("\nEigenvalues:\n");
     for (j = m; j >= 1; j--) {
       printf("%18.5f\n", evals[j]); }
 

     printf("\nEigenvectors:\n");
  
     for (j = 1; j <= m; j++) {
       for (i = 1; i <= 3; i++)  {
          printf("%12.4f", symmat[j][m-i+1]);  }
          printf("\n");  }

     /* Form projections of row-points on first three prin. components. */
     /* Store in 'data', overwriting original data. */
     for (i = 1; i <= n; i++) {
      for (j = 1; j <= m; j++) {
        interm[j] = data[i][j]; }   /* data[i][j] will be overwritten */
        for (k = 1; k <= 3; k++) {
          data[i][k] = 0.0;
          for (k2 = 1; k2 <= m; k2++) {
            data[i][k] += interm[k2] * symmat[k2][m-k+1]; }
        }
     }

     printf("\nProjections of row-points on first 3 prin. comps.:\n");
     for (i = 1; i <= n; i++) {
       for (j = 1; j <= 3; j++)  {
          printf("%12.4f", data[i][j]);  }
          printf("\n");  }

     /* Form projections of col.-points on first three prin. components. */
     /* Store in 'symmat2', overwriting what was stored in this. */
     for (j = 1; j <= m; j++) {
      for (k = 1; k <= m; k++) {
        interm[k] = symmat2[j][k]; }  /*symmat2[j][k] will be overwritten*/
        for (i = 1; i <= 3; i++) {
          symmat2[j][i] = 0.0;
          for (k2 = 1; k2 <= m; k2++) {
            symmat2[j][i] += interm[k2] * symmat[k2][m-i+1]; }
          if (evals[m-i+1] > 0.0005)   /* Guard against zero eigenvalue */
             symmat2[j][i] /=(float) sqrt(evals[m-i+1]);   /* Rescale */
          else
             symmat2[j][i] = 0.0;    /* Standard kludge */
        }
     }

     printf("\nProjections of column-points on first 3 prin. comps.:\n");
     for (j = 1; j <= m; j++) {
       for (k = 1; k <= 3; k++)  {
          printf("%12.4f", symmat2[j][k]);  }
          printf("\n");  }

    free_matrix(data, n, m);
    free_matrix(symmat, m, m);
    free_matrix(symmat2, m, m);
    free_vector(evals, m);
    free_vector(interm, m);

}


/**  Correlation matrix: creation  ***********************************/

void corcol(float **data,int n,int m,float ** symmat)

/* Create m * m correlation matrix from given n * m data matrix. */
{
float eps =(float) 0.005;
float x, *mean, *stddev;//, *vector();
int i, j, j1, j2;

/* Allocate storage for mean and std. dev. vectors */

mean = vector(m);
stddev = vector(m);

/* Determine mean of column vectors of input data matrix */

for (j = 1; j <= m; j++)
    {
    mean[j] = 0.0;
    for (i = 1; i <= n; i++)
        {
        mean[j] += data[i][j];
        }
    mean[j] /= (float)n;
    }

printf("\nMeans of column vectors:\n");
for (j = 1; j <= m; j++)  {
    printf("%7.1f",mean[j]);  }   printf("\n");

/* Determine standard deviations of column vectors of data matrix. */

for (j = 1; j <= m; j++)
    {
    stddev[j] = 0.0;
    for (i = 1; i <= n; i++)
        {
        stddev[j] += (   ( data[i][j] - mean[j] ) *
                         ( data[i][j] - mean[j] )  );
        }
        stddev[j] /= (float)n;
        stddev[j] =(float) sqrt(stddev[j]);
        
        if (stddev[j] <= eps) stddev[j] = 1.0;
    }

printf("\nStandard deviations of columns:\n");
for (j = 1; j <= m; j++) { printf("%7.1f", stddev[j]); }
printf("\n");

/* Center and reduce the column vectors. */

for (i = 1; i <= n; i++)
    {
    for (j = 1; j <= m; j++)
        {
        data[i][j] -= mean[j];
        x = (float) sqrt((float)n);
        x *= stddev[j];
        data[i][j] /= x;
        }
    }

/* Calculate the m * m correlation matrix. */
for (j1 = 1; j1 <= m-1; j1++)
    {
    symmat[j1][j1] = 1.0;
    for (j2 = j1+1; j2 <= m; j2++)
        {
        symmat[j1][j2] = 0.0;
        for (i = 1; i <= n; i++)
            {
            symmat[j1][j2] += ( data[i][j1] * data[i][j2]);
            }
        symmat[j2][j1] = symmat[j1][j2];
        }
    }
    symmat[m][m] = 1.0;

return;

}

/**  Variance-covariance matrix: creation  *****************************/

void covcol(float **data,int n,int m,float ** symmat)

/* Create m * m covariance matrix from given n * m data matrix. */
{
float *mean;//, *vector();
int i, j, j1, j2;

/* Allocate storage for mean vector */

mean = vector(m);

/* Determine mean of column vectors of input data matrix */

for (j = 1; j <= m; j++)
    {
    mean[j] = 0.0;
    for (i = 1; i <= n; i++)
        {
        mean[j] += data[i][j];
        }
    mean[j] /= (float)n;
    }

printf("\nMeans of column vectors:\n");
for (j = 1; j <= m; j++)  {
    printf("%7.1f",mean[j]);  }   printf("\n");

/* Center the column vectors. */

for (i = 1; i <= n; i++)
    {
    for (j = 1; j <= m; j++)
        {
        data[i][j] -= mean[j];
        }
    }

/* Calculate the m * m covariance matrix. */
for (j1 = 1; j1 <= m; j1++)
    {
    for (j2 = j1; j2 <= m; j2++)
        {
        symmat[j1][j2] = 0.0;
        for (i = 1; i <= n; i++)
            {
            symmat[j1][j2] += data[i][j1] * data[i][j2];
            }
        symmat[j2][j1] = symmat[j1][j2];
        }
    }

return;

}

/**  Sums-of-squares-and-cross-products matrix: creation  **************/

void scpcol(float **data,int n,int m,float ** symmat)

/* Create m * m sums-of-cross-products matrix from n * m data matrix. */
{
int i, j1, j2;

/* Calculate the m * m sums-of-squares-and-cross-products matrix. */

for (j1 = 1; j1 <= m; j1++)
    {
    for (j2 = j1; j2 <= m; j2++)
        {
        symmat[j1][j2] = 0.0;
        for (i = 1; i <= n; i++)
            {
            symmat[j1][j2] += data[i][j1] * data[i][j2];
            }
        symmat[j2][j1] = symmat[j1][j2];
        }
    }

return;

}

/**  Error handler  **************************************************/

void erhand(char *err_msg)

/* Error handler */
{
    fprintf(stderr,"Run-time error:\n");
    fprintf(stderr,"%s\n", err_msg);
    fprintf(stderr,"Exiting to system.\n");
    exit(1);
}

/**  Allocation of vector storage  ***********************************/
/* Allocates a float vector with range [1..n]. */

float *vector(int n){
   float *v;
   //SP change the memory allocation to n+1
    v = (float *) malloc ((unsigned) (n+1)*sizeof(float));
    if (!v) erhand("Allocation failure in vector().");
    return v-1;

}

/**  Allocation of float matrix storage  *****************************/
/* Allocate a float matrix with range [1..n][1..m]. */

float **matrix(int n,int m)
{
    int i;
    float **mat;

    /* Allocate pointers to rows. */
    //SP explicit allocation of rows and column indices to n+1 and m+1 respectively, because the code starts to reference array index from i = 1, instead of i = 0.
    mat = (float **) malloc((unsigned) (n+1)*sizeof(float*));
    if (!mat) erhand("Allocation failure 1 in matrix().");
    mat -= 1;

    /* Allocate rows and set pointers to them. */
    for (i = 1; i < n+1; i++)
        {
        mat[i] = (float *) malloc((unsigned) (m+1)*sizeof(float));
        if (!mat[i]) erhand("Allocation failure 2 in matrix().");
        mat[i] -= 1;
        }

     /* Return pointer to array of pointers to rows. */
     return mat;

}

/**  Deallocate vector storage  *********************************/

void free_vector(float *v,int n)

/* Free a float vector allocated by vector(). */
{
   free((char*) (v+1));
}

/**  Deallocate float matrix storage  ***************************/

void free_matrix(float **mat,int n,int m)

/* Free a float matrix allocated by matrix(). */
{
   int i;

   for (i = n; i >= 1; i--)
       {
       free ((char*) (mat[i]+1));
       }
   free ((char*) (mat+1));
}

/**  Reduce a real, symmetric matrix to a symmetric, tridiag. matrix. */

void tred2(float **a,int  n, float *d, float *e)



/* Householder reduction of matrix a to tridiagonal form.
   Algorithm: Martin et al., Num. Math. 11, 181-195, 1968.
   Ref: Smith et al., Matrix Eigensystem Routines -- EISPACK Guide
        Springer-Verlag, 1976, pp. 489-494.
        W H Press et al., Numerical Recipes in C, Cambridge U P,
        1988, pp. 373-374.  */
{
int l, k, j, i;
float scale, hh, h, g, f;

for (i = n; i >= 2; i--)
    {
    l = i - 1;
    h = scale = 0.0;
    if (l > 1)
       {
       for (k = 1; k <= l; k++)
           scale +=(float) fabs(a[i][k]);
       if (scale == 0.0)
          e[i] = a[i][l];
       else
          {
          for (k = 1; k <= l; k++)
              {
              a[i][k] /= scale;
              h += a[i][k] * a[i][k];
              }
          f = a[i][l];
          g =(float)( f>0 ? -sqrt(h) : sqrt(h));
          e[i] = scale * g;
          h -= f * g;
          a[i][l] = f - g;
          f = 0.0;
          for (j = 1; j <= l; j++)
              {
              a[j][i] = a[i][j]/h;
              g = 0.0;
              for (k = 1; k <= j; k++)
                  g += a[j][k] * a[i][k];
              for (k = j+1; k <= l; k++)
                  g += a[k][j] * a[i][k];
              e[j] = g / h;
              f += e[j] * a[i][j];
              }
          hh = f / (h + h);
          for (j = 1; j <= l; j++)
              {
              f = a[i][j];
              e[j] = g = e[j] - hh * f;
              for (k = 1; k <= j; k++)
                  a[j][k] -= (f * e[k] + g * a[i][k]);
              }
         }
    }
    else
        e[i] = a[i][l];
    d[i] = h;
    }
d[1] = 0.0;
e[1] = 0.0;
for (i = 1; i <= n; i++)
    {
    l = i - 1;
    if (d[i])
       {
       for (j = 1; j <= l; j++)
           {
           g = 0.0;
           for (k = 1; k <= l; k++)
               g += a[i][k] * a[k][j];
           for (k = 1; k <= l; k++)
               a[k][j] -= g * a[k][i];
           }
       }
       d[i] = a[i][i];
       a[i][i] = 1.0;
       for (j = 1; j <= l; j++)
           a[j][i] = a[i][j] = 0.0;
    }
}

/**  Tridiagonal QL algorithm -- Implicit  **********************/

void tqli(float d[],float e[],int n,float **z)

{
int m, l, iter, i, k;
float s, r, p, g, f, dd, c, b;
void erhand();

for (i = 2; i <= n; i++)
    e[i-1] = e[i];
e[n] = 0.0;
for (l = 1; l <= n; l++)
    {
    iter = 0;
    do
      {
      for (m = l; m <= n-1; m++)
          {
          dd =(float)( fabs(d[m]) + fabs(d[m+1]));
          if (fabs(e[m]) + dd == dd) break;
          }
          if (m != l)
             {
             if (iter++ == 30) erhand("No convergence in TLQI.");
             g =(float) ((d[l+1] - d[l]) / (2.0 * e[l]));
             r =(float) (sqrt((g * g) + 1.0));
             g =(float) (d[m] - d[l] + e[l] / (g + SIGN(r, g)));
             s = c = 1.0;
             p = 0.0;
             for (i = m-1; i >= l; i--)
                 {
                 f = s * e[i];
                 b = c * e[i];
                 if (fabs(f) >= fabs(g))
                    {
                    c = g / f;
                    r =(float) sqrt((c * c) + 1.0);
                    e[i+1] = f * r;
                    c =(float) (c*(s = (float) 1.0/r));
                    }
                 else
                    {
                    s = f / g;
                    r =(float) sqrt((s * s) + 1.0);
                    e[i+1] = g * r;
                    s =(float)( s*(c =(float) 1.0/r));
                    }
                 g = d[i+1] - p;
                 r = (float)((d[i] - g) * s + 2.0 * c * b);
                 p = s * r;
                 d[i+1] = g + p;
                 g = c * r - b;
                 for (k = 1; k <= n; k++)
                     {
                     f = z[k][i+1];
                     z[k][i+1] = s * z[k][i] + c * f;
                     z[k][i] = c * z[k][i] - s * f;
                     }
                 }
                 d[l] = d[l] - p;
                 e[l] = g;
                 e[m] = 0.0;
             }
          }  while (m != l);
      }
 }