# To calculate mahalanobis distance when the number of observations are less than the dimension

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Pradeep Krishnamurthy 2017 年 3 月 31 日

I am in the field of neuroscience and the data I am working on has the number of trials (or observations) less than the number of neurons (or dimensions). When I use mahal function on my data, I get the following error:
Error using mahal (line 38) The number of rows of X must exceed the number of columns.
Instead of posting my data, which is huge, you can run the following code that issues the same error.
A = rand(1,100); % new data
B = rand(10,100); % 10 observations and dimension 100
d = mahal(A,B);

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### 採用された回答

John D'Errico 2017 年 3 月 31 日

The problem is Mahalanobis distance is not defined in your case.
https://en.wikipedia.org/wiki/Mahalanobis_distance
You can't compute a meaningful distance when the result would be undefined. Why do I say this? A Mahalanobis distance requires a covariance matrix. A NON-singular covariance matrix. If your matrix is singular, then the computation will produce garbage, since you cannot invert a singular matrix. Since you don't have sufficient data to estimate a complete covariance matrix, mahal must fail.
Think about it in terms of what a mahalanobis distance means, and what a singular covariance matrix tells you. A singular covariance matrix tells you have NO information in some spatial directions about the system under study. So when you try to invert that, you get infinities, essentially infinite uncertainty.
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John D'Errico 2017 年 3 月 31 日
The idea behind Mahalanobis distance is to look at a point in context of what your data shows. Your data has no information in some directions. With fewer data points than dimensions, that MUST be true. What does no information mean? ZERO variance in that direction.
So, now think of it in terms of how you compute Mahalanobis distance. You look in some direction, and divide by the standard deviation, implicitly scaling things by how many standard deviations a point is in context of the information that you have. But if the standard deviation in that direction is zero?
Maybe I'm not making this clear. Were we talking in person, I could see if it was making sense to you. Suppose we had a very simple problem, with a NON-singular covariance matrix. I'll make one up here.
C =
1e-08 5e-05
5e-05 1.25
[V,D] = eig(C)
V =
-1 4e-05
4e-05 1
D =
8e-09 0
0 1.25
I chose C so it has one very small eigenvalue. If we were to submit a point in the direction of that very small eigenvalue, then mahal would say it was very far out. But go out an equal Euclidean distance in the direction of the normal sized eigenvalue, and a Mahalanobis distance would not say it was far out. Essentially, Mahalanobis distance reflects the data.
But suppose we have a singular covariance matrix? Now the matrix will have at least one zero eigenvalue. Any thing seen in your test point in that direction must be infinitely far out.
The formula for Mahalanobis distance is simple to write, and simple to compute. The wiki link I gave shows it. If you look online, you will probably see people suggesting you can use a pseudo-inverse instead of inv there. (I did look, and I did see exactly that idea.)
Essentially, that would just result in the computation ignoring anything in a test point that was in the null-space of your reference data. To be honest, I really don't think much of the idea. Closing your eyes to something does not make it go away, or mean that it does not exist. That is effectively what pinv would do there.
Could you use pinv? Sure. I'd really want to add an indicator of how much stuff you were ignoring by using pinv there, so how much of a test point was actually in the null space of your data.

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### その他の回答 (2 件)

Hugo Malagon 2017 年 8 月 29 日
Reduce the dimensions. Principal component analyses, for example.
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Ilya 2017 年 8 月 30 日
For classification, use regularized discriminant or pseudo discriminant. Both options are supported in fitcdiscr. Regularization add a positive value to the diagonal of the covariance matrix to make it full-rank. Pseudo discriminant amounts to taking pinv.

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