Within a neural network, I have some 2D feature maps with values between 0 and 1. For these maps, I want to calculate the covariance matrix based on the values at each coordination. Unfortunately, pytorch has no .cov()
function like in numpy. So I wrote the following function instead:
def get_covariance(tensor):
bn, nk, w, h = tensor.shape
tensor_reshape = tensor.reshape(bn, nk, 2, -1)
x = tensor_reshape[:, :, 0, :]
y = tensor_reshape[:, :, 1, :]
mean_x = torch.mean(x, dim=2).unsqueeze(-1)
mean_y = torch.mean(y, dim=2).unsqueeze(-1)
xx = torch.sum((x - mean_x) * (x - mean_x), dim=2).unsqueeze(-1) / (h * w - 1)
xy = torch.sum((x - mean_x) * (y - mean_y), dim=2).unsqueeze(-1) / (h * w - 1)
yx = xy
yy = torch.sum((y - mean_y) * (y - mean_y), dim=2).unsqueeze(-1) / (h * w - 1)
cov = torch.cat((xx, xy, yx, yy), dim=2)
cov = cov.reshape(bn, nk, 2, 2)
return cov
Is that the correct way to do it?
Edit:
Here is a comparison with the numpy function:
a = torch.randn(1, 1, 64, 64)
a_numpy = a.reshape(1, 1, 2, -1).numpy()
torch_cov = get_covariance(a)
numpy_cov = np.cov(a_numpy[0][0])
torch_cov
tensor([[[[ 0.4964, -0.0053],
[-0.0053, 0.4926]]]])
numpy_cov
array([[ 0.99295635, -0.01069122],
[-0.01069122, 0.98539236]])
Apparently, my values are too small by a factor of 2. Why could that be?
Edit2: Ahhh I figured it out. It has to be divided by (h*w/2 - 1)
:) Then the values match.