1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380
|
"""A histogram for a probability mass function."""
import copy
import math
import numpy
def kolmogorovMetric(x, y):
"""For PMF's (probability mass functions) recorded in arrays, the
Kolmogorov metric is the absolute value of the maximum difference
between the CMF's (cumulative mass functions). Note that
PMF's must be valid (sum to unity)."""
assert len(x) == len(y)
d = 0.
f = 0.
g = 0.
for i in range(len(x)):
f += x[i]
g += y[i]
d = max(d, abs(f - g))
return d
def totalVariationMetric(x, y):
"""The total variation metric is half the sum of the absolute value of
the difference between the PMF's (probability mass functions). Note that
PMF's must be valid (sum to unity)."""
assert len(x) == len(y)
d = 0.
for i in range(len(x)):
d += abs(x[i] - y[i])
return 0.5 * d
class Histogram:
"""A histogram for a probability mass function. It uses a list of bin
arrays.
In addition to recording histogram data, we record information so that
one can compute the mean and variance. Specifically, we record the
cardinality, the mean, the summed second centered moment
sum_i(w_i(x_i-mu)**2), and the sum of the weights.
The members _width and _inverseWidth are marked as private because they
must be changed together. Use getWidth() to get the width and setWidth()
to set the width."""
def __init__(self, size=0, multiplicity=0):
"""Construct an empty histogram."""
self.cardinality = 0.
self.sumOfWeights = 0.
self.mean = 0.
self.summedSecondCenteredMoment = 0.
self.lowerBound = 0.
self.setWidth(1.)
self.histograms = []
for i in range(multiplicity):
self.histograms.append(numpy.zeros(size, numpy.float64))
# The current histogram.
self.current = None
def clear(self):
self.cardinality = 0.
self.sumOfWeights = 0.
self.mean = 0.
self.summedSecondCenteredMoment = 0.
self.lowerBound = 0.
self.setWidth(1.)
for h in self.histograms:
h.fill(0)
self.current = None
def set(self, i, bins):
"""Set the specified array of bins. This function ensures that the bins
are represented with a numpy array."""
self.histograms[i] = numpy.array(bins, numpy.float64)
def getWidth(self):
return self._width
def setWidth(self, width):
self._width = width
self._inverseWidth = 1. / width
def size(self):
"""Return the number of bins."""
return len(self.histograms[0])
def multiplicity(self):
"""Return the histogram multiplicity."""
return len(self.histograms)
def findMinimum(self):
"""Return the index of the histogram with the minimum sum."""
sums = [sum(h) for h in self.histograms]
return sums.index(min(sums))
def setCurrent(self, index):
"""Set the current histogram"""
self.current = self.histograms[index]
def setCurrentToMinimum(self):
"""Set the current histogram to the one with the minimum sum."""
self.current = self.histograms[self.findMinimum()]
def min(self):
"""Return a closed lower bound."""
for i in range(len(self.histograms[0])):
for h in self.histograms:
if h[i] != 0:
return self.lowerBound + i * self._width
# If the histogram is empty, return infinity.
return float('inf')
def max(self):
"""Return an open upper bound."""
for i in range(len(self.histograms[0])-1, -1, -1):
for h in self.histograms:
if h[i] != 0:
return self.lowerBound + (i + 1) * self._width
return 1.
def _upperBound(self):
return self.lowerBound + self.size() * self._width
def __repr__(self):
"""Print the cardinality, sum of weights, mean, summed second centered
moment, lower bound, width, and the list of bin arrays."""
return ''.join([repr(self.cardinality), '\n',
repr(self.sumOfWeights), '\n',
repr(self.mean), '\n',
repr(self.summedSecondCenteredMoment), '\n',
repr(self.lowerBound), '\n', repr(self._width), '\n',
'\n'.join([''.join([repr(x) + ' ' for x in h])
for h in self.histograms])])
def read(self, stream, multiplicity):
"""Read the cardinality, sum of weights, mean, summed second centered
moment, lower bound, width, and the list of bin arrays."""
self.cardinality = float(stream.readline())
self.sumOfWeights = float(stream.readline())
self.mean = float(stream.readline())
self.summedSecondCenteredMoment = float(stream.readline())
self.lowerBound = float(stream.readline())
self.setWidth(float(stream.readline()))
self.histograms = []
for i in range(multiplicity):
self.histograms.append(numpy.array([float(x) for x in
stream.readline().split()],
numpy.float64))
self.current = None
def accumulate(self, event, weight):
# Update the statistics.
if self.cardinality == 0:
self.cardinality = 1.
self.sumOfWeights = weight
self.mean = event
self.summedSecondCenteredMoment = 0.
else:
self.cardinality += 1.
newSum = self.sumOfWeights + weight
self.summedSecondCenteredMoment +=\
self.sumOfWeights * weight * (event - self.mean)**2 / newSum
self.mean += (event - self.mean) * weight / newSum
self.sumOfWeights = newSum
# Update the current histogram.
self._includeEvent(event)
index = int((event - self.lowerBound) * self._inverseWidth)
self.current[index] += weight
def merge(self, other):
# Check for the trivial case.
if other.cardinality == 0:
return
# Update the statistics.
self.cardinality += other.cardinality
sumOfWeights = self.sumOfWeights + other.sumOfWeights
self.mean = (self.sumOfWeights * self.mean +
other.sumOfWeights * other.mean) / sumOfWeights
self.summedSecondCenteredMoment += other.summedSecondCenteredMoment
self.sumOfWeights = sumOfWeights
# Merge the histograms.
self._includeHistogram(other)
for h in other.histograms:
self.setCurrentToMinimum()
for i in range(len(h)):
if h[i] != 0:
event = other.lowerBound + i * other._width
index = int((event - self.lowerBound) * self._inverseWidth)
self.current[index] += h[i]
def _includeEvent(self, event):
"""If necessary adjust the lower bound and width to include the
specified event."""
# Do nothing if the event will be placed in the current histogram.
if self.lowerBound <= event and event < self._upperBound():
return
# Determine the new closed lower bound.
if (self.lowerBound < event):
lower = min(self.min(), event)
else:
lower = event
# Determine the new open upper bound.
# Add one to get an open upper bound.
if (event < self._upperBound()):
upper = max(self.max(), event + 1.)
else:
upper = event + 1.
# Rebuild with the new lower and upper bounds.
self.rebuild(lower, upper);
def _includeHistogram(self, other):
"""If necessary adjust the lower bound and width to include the
events from the other histogram."""
# Do nothing if all of the events will be placed in the current
# histogram.
if self.lowerBound <= other.lowerBound and\
self._upperBound() >= other._upperBound():
return
# Determine the new closed lower bound.
lower = min(self.min(), other.min())
upper = max(self.max(), other.max())
# Rebuild with the new lower and upper bounds.
self.rebuild(lower, upper);
def rebuild(self, low, high):
assert low >= 0 and low < high
# Determine the new bounds and a bin width.
# Note that the width is only allowed to grow.
newWidth = self._width;
newLowerBound = math.floor(low / newWidth) * newWidth;
newUpperBound = newLowerBound + self.size() * newWidth;
while high > newUpperBound:
newWidth *= 2
newLowerBound = math.floor(low / newWidth) * newWidth;
newUpperBound = newLowerBound + self.size() * newWidth;
# Rebuild the histogram.
# Copy the probabilities.
newInverseWidth = 1. / newWidth;
newBins = numpy.zeros(self.size(), numpy.float64)
for bins in self.histograms:
newBins.fill(0.)
for i in range(self.size()):
if bins[i] != 0:
event = self.lowerBound + i * self._width;
index = int((event - newLowerBound) * newInverseWidth)
newBins[index] += bins[i];
bins[:] = newBins
# New bounds and width.
self.lowerBound = newLowerBound;
self.setWidth(newWidth)
def getMean(self):
return self.mean
def isVarianceDefined(self):
return self.cardinality > 1
def getUnbiasedVariance(self):
if not self.isVarianceDefined():
return float('inf')
return self.summedSecondCenteredMoment * self.cardinality /\
((self.cardinality - 1) * self.sumOfWeights)
def getProbabilities(self):
"""Return an array of normalized probabilities."""
probabilities = numpy.zeros(self.size(), numpy.float64)
for h in self.histograms:
probabilities += h
s = sum(probabilities)
if s != 0:
probabilities *= 1. / s
return probabilities
def getPmf(self):
"""Return an array of the probability mass function. This is the
normalized probabilities divided by the bin width."""
pmf = self.getProbabilities()
pmf *= self._inverseWidth
return pmf
def errorInDistribution(self, metric=totalVariationMetric):
"""Return an estimate of the error in the distribution using the
specified metric. (The default is the total variation metric.)
To do this sum the distances between each of
the histograms and their mean distribution. Then divide by (m - 1)
where m is the histogram multiplicity to obtain an unbiased estimate
of the error in each of the histograms. Finally we assume that
the convergence rate of the metric is 1/sqrt(n) where n is the
cardinality. Thus we divide by sqrt(m) to obtain an estimate of
the error in the mean distribution."""
# If the histogram multiplicity is one, then we cannot estimate the
# error.
if len(self.histograms) == 1:
return 1.
d = self.getProbabilities()
# Handle the special case that no events have been recorded.
if sum(d) == 0.:
return 1.
x = numpy.zeros(self.size(), numpy.float64)
s = 0.
# The number of non-empty histograms.
multiplicity = 0
for i in range(len(self.histograms)):
x[:] = self.histograms[i]
# Normalize to get probabilities.
sx = sum(x)
if sx != 0:
multiplicity += 1
x *= 1./sx
s += metric(d, x)
# If the multiplicity is unity, we cannot estimate the error.
if multiplicity <= 1:
return 1.
return s / ((multiplicity - 1) * math.sqrt(multiplicity))
def writeXml(self, writer, frame=None, species=None):
"""frame is the frame index. species is the recorded species index,
which is not the same as the species index as not all species may
be recorded."""
attributes =\
{'cardinality':repr(self.cardinality),
'sumOfWeights':repr(self.sumOfWeights),
'mean':repr(self.mean),
'summedSecondCenteredMoment':repr(self.summedSecondCenteredMoment),
'lowerBound':repr(self.lowerBound),
'width':repr(self._width)}
if frame is not None:
attributes['frame'] = repr(frame)
if species is not None:
attributes['species'] = repr(species)
writer.beginElement('histogram', attributes)
for h in self.histograms:
writer.writeElement('histogramElement', {},
' '.join([repr(x) for x in h]))
writer.endElement() # histogram
def coordinate(histograms):
"""Coordinate the list of histograms so they have the same ranges and bin
widths."""
low = min([x.min() for x in histograms])
# Check the case that all histograms are empty.
if low == float('inf'):
low = 0
high = max([x.max() for x in histograms])
for x in histograms:
x.rebuild(low, high)
for x in histograms[1:]:
assert histograms[0].lowerBound == x.lowerBound and\
histograms[0]._width == x._width
def histogramDistance(a, b, metric=totalVariationMetric):
"""Return the histogram distance using the specified metric (total
variation is the default)."""
# Make copies and synchronize them.
a = copy.deepcopy(a)
b = copy.deepcopy(b)
coordinate([a, b])
assert a.lowerBound == b.lowerBound and a._width == b._width and \
a.size() == b.size()
# Return the distance.
return metric(a.getProbabilities(), b.getProbabilities())
def _computeMeanAndVariance(values, weights):
assert len(values) == len(weights)
n = len(values)
assert n > 1
mean = 0.
sumOfWeights = 0.
for i in range(n):
mean += weights[i] * values[i]
sumOfWeights += weights[i]
mean /= sumOfWeights
variance = 0.
for i in range(n):
variance += weights[i] * (values[i] - mean)**2
variance *= n / ((n - 1) * sumOfWeights)
return (mean, variance)
|