ENH: Add GED transformer

doc/_includes/ged.rst

@@ -0,0 +1,107 @@
+:orphan:
+
+Generalized eigendecomposition in decoding
+==========================================
+
+.. NOTE: part of this file is included in doc/overview/implementation.rst.
+   Changes here are reflected there. If you want to link to this content, link
+   to :ref:`ged` to link to that section of the implementation.rst page.
+   The next line is a target for :start-after: so we can omit the title from
+   the include:
+   ged-begin-content
+
+This section describes the mathematical formulation and application of
+Generalized Eigendecomposition (GED), often used in spatial filtering
+and source separation algorithms, such as :class:`mne.decoding.CSP`, 
+:class:`mne.decoding.SPoC`, :class:`mne.decoding.SSD` and 
+:class:`mne.preprocessing.Xdawn`.
+
+The core principle of GED is to find a set of channel weights (spatial filter) 
+that maximizes the ratio of signal power between two data features. 
+These features are defined by the researcher and are represented by two covariance matrices: 
+a "signal" matrix :math:`S` and a "reference" matrix :math:`R`. 
+For example, :math:`S` could be the covariance of data from a task time interval, 
+and :math:`S` could be the covariance from a baseline time interval. For more details see :footcite:`Cohen2022`.
+
+Algebraic formulation of GED
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+
+A few definitions first: 
+Let :math:`n \in \mathbb{N}^+` be a number of channels.
+Let :math:`\text{Symm}_n(\mathbb{R}) \subset M_n(\mathbb{R})` be a vector space of real symmetric matrices.
+Let :math:`S^n_+, S^n_{++} \subset \text{Symm}_n(\mathbb{R})` be sets of real positive semidefinite and positive definite matrices, respectively.
+Let :math:`S, R \in S^n_+` be covariance matrices estimated from electrophysiological data :math:`X_S \in M_{n \times t_S}(\mathbb{R})` and :math:`X_R \in M_{n \times t_R}(\mathbb{R})`.
+
+GED (or simultaneous diagonalization by congruence) of :math:`S` and :math:`R` 
+is possible when :math:`R` is full rank (and thus :math:`R \in S^n_{++}`):
+
+.. math::
+
+   SW = RWD,
+
+where :math:`W \in M_n(\mathbb{R})` is an invertible matrix of eigenvectors 
+of :math:`(S, R)` and :math:`D` is a diagonal matrix of eigenvalues :math:`\lambda_i`.
+
+Each eigenvector :math:`\mathbf{w} \in W` is a spatial filter that solves 
+an optimization problem of the form:
+
+.. math::
+
+   \operatorname{argmax}_{\mathbf{w}} \frac{\mathbf{w}^t S \mathbf{w}}{\mathbf{w}^t R \mathbf{w}}
+
+That is, using spatial filters :math:`W` on time-series :math:`X \in M_{n \times t}(\mathbb{R})`:
+
+.. math::
+
+   \mathbf{A} = W^t X,
+
+results in "activation" time-series :math:`A` of the estimated "sources", 
+such that the ratio of their variances, 
+:math:`\frac{\text{Var}(\mathbf{w}^T X_S)}{\text{Var}(\mathbf{w}^T X_R)} = \frac{\mathbf{w}^T S \mathbf{w}}{\mathbf{w}^T R \mathbf{w}}`, 
+is sequentially maximized spatial filters :math:`\mathbf{w}_i`, sorted according to :math:`\lambda_i`.
+
+GED in the principal subspace
+~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+Unfortunately, :math:`R` might not be full rank depending on the data :math:`X_R` (for example due to average reference, removed PCA/ICA components, etc.). 
+In such cases, GED can be performed on :math:`S` and :math:`R` in the principal subspace :math:`Q = \operatorname{Im}(C_{ref}) \subset \mathbb{R}^n` of some reference 
+covariance :math:`C_{ref}` (in Common Spatial Pattern (CSP) algorithm, for example, :math:`C_{ref}=\frac{1}{2}(S+R)` and GED is performed on S and R'=S+R). 
+
+More formally: 
+Let :math:`r \leq n` be a rank of :math:`C \in S^n_+`. 
+Let :math:`Q=\operatorname{Im}(C_{ref})` be a principal subspace of :math:`C_{ref}`. 
+Let :math:`P \in M_{n \times r}(\mathbb{R})` be an isometry formed by orthonormal basis of :math:`Q`.
+Let :math:`f:S^n_+ \to S^r_+`, :math:`A \mapsto P^t A P` be a "restricting" map, that restricts quadratic form 
+:math:`q_A:\mathbb{R}^n \to \mathbb{R}` to :math:`q_{A|_Q}:\mathbb{R}^n \to \mathbb{R}` (in practical terms, :math:`q_A` maps 
+spatial filters to variance of the spatially filtered data :math:`X_A`).
+
+Then, the GED of :math:`S` and :math:`R` in the principal subspace :math:`Q` of :math:`C_{ref}` is performed as follows:
+
+1. :math:`S` and :math:`R` are transformed to :math:`S_Q = f(S) = P^t S P` and :math:`R_Q = f(R) = P^t R P`, 
+   such that :math:`S_Q` and :math:`R_Q` are matrix representations of restricted :math:`q_{S|_Q}` and :math:`q_{R|_Q}`.
+2. GED is performed on :math:`S_Q` and :math:`R_Q`: :math:`S_Q W_Q = R_Q W_Q D`.
+3. Eigenvectors :math:`W_Q` of :math:`(S_Q, R_Q)` are transformed back to :math:`\mathbb{R}^n` 
+   by :math:`W = P W_Q \in \mathbb{R}^{n \times r}` to obtain :math:`r` spatial filters.
+
+Note that the solution to the original optimization problem is preserved:
+
+.. math::
+
+   \frac{\mathbf{w_Q}^t S_Q \mathbf{w_Q}}{\mathbf{w_Q}^t R_Q \mathbf{w_Q}}= \frac{\mathbf{w_Q}^t (P^t S P) \mathbf{w_Q}}{\mathbf{w_Q}^t (P^t R P) 
+   \mathbf{w_Q}} = \frac{\mathbf{w}^t S \mathbf{w}}{\mathbf{w}^t R \mathbf{w}} = \lambda
+
+
+In addition to restriction, :math:`q_S` and :math:`q_R` can be rescaled based on the whitened :math:`C_{ref}`. 
+In this case the whitening map :math:`f_{wh}:S^n_+ \to S^r_+`, 
+:math:`A \mapsto P_{wh}^t A P_{wh}` transforms :math:`A` into matrix representation of :math:`q_{A|Q}` rescaled according to :math:`\Lambda^{-1/2}`, 
+where :math:`\Lambda` is a diagonal matrix of eigenvalues of :math:`C_{ref}` and so :math:`P_{wh} = P \Lambda^{-1/2}`.
+
+In MNE-Python, the matrix :math:`P` of the restricting map can be obtained using
+::
+
+    _, ref_evecs, mask = mne.cov._smart_eigh(C_ref, ..., proj_subspace=True, ...)
+    restr_mat = ref_evecs[mask]
+
+while :math:`P_{wh}` using:
+::
+
+    restr_mat = compute_whitener(C_ref, ..., pca=True, ...)

doc/api/decoding.rst

@@ -29,6 +29,7 @@ Decoding
    GeneralizingEstimator
    SPoC
    SSD
+   XdawnTransformer
 
 Functions that assist with decoding and model fitting:
 

doc/changes/devel/13259.newfeature.rst

@@ -0,0 +1,3 @@
+Implement GEDTransformer superclass that generalizes 
+:class:`mne.decoding.CSP`, :class:`mne.decoding.SPoC`, :class:`mne.decoding.XdawnTransformer`, 
+:class:`mne.decoding.SSD` and fix related bugs and inconsistencies, by `Gennadiy Belonosov`_.

doc/documentation/implementation.rst

@@ -124,6 +124,14 @@ Morphing and averaging source estimates
    :start-after: morph-begin-content
 
 
+.. _ged:
+
+Generalized eigendecomposition in decoding
+^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
+
+.. include:: ../_includes/ged.rst
+   :start-after: ged-begin-content
+
 References
 ^^^^^^^^^^
 .. footbibliography::

doc/references.bib

@@ -282,6 +282,18 @@ @article{Cohen2019
   year = {2019}
 }
 
+@article{Cohen2022,
+author = {Cohen, Michael X},
+doi = {10.1016/j.neuroimage.2021.118809},
+journal = {NeuroImage},
+pages = {118809},
+title = {A tutorial on generalized eigendecomposition for denoising, contrast enhancement, and dimension reduction in multichannel electrophysiology},
+volume = {247},
+year = {2022},
+issn = {1053-8119},
+
+}
+
 @article{CohenHosaka1976,
   author = {Cohen, David and Hosaka, Hidehiro},
   doi = {10.1016/S0022-0736(76)80041-6},

mne/decoding/__init__.pyi

@@ -17,6 +17,7 @@ __all__ = [
     "TransformerMixin",
     "UnsupervisedSpatialFilter",
     "Vectorizer",
+    "XdawnTransformer",
     "compute_ems",
     "cross_val_multiscore",
     "get_coef",
@@ -43,3 +44,4 @@ from .transformer import (
     UnsupervisedSpatialFilter,
     Vectorizer,
 )
+from .xdawn import XdawnTransformer