gov.sandia.cognition.math.MultivariateStatisticsUtil Maven / Gradle / Ivy
/*
* File: MultivariateStatisticsUtil.java
* Authors: Kevin Dixon
* Company: Sandia National Laboratories
* Project: Cognitive Foundry
*
* Copyright June 16, 2010, Sandia Corporation.
* Under the terms of Contract DE-AC04-94AL85000, there is a non-exclusive
* license for use of this work by or on behalf of the U.S. Government. Export
* of this program may require a license from the United States Government.
* See CopyrightHistory.txt for complete details.
*
*/
package gov.sandia.cognition.math;
import gov.sandia.cognition.math.matrix.Matrix;
import gov.sandia.cognition.math.matrix.MatrixFactory;
import gov.sandia.cognition.math.matrix.Vector;
import gov.sandia.cognition.math.matrix.Vectorizable;
import gov.sandia.cognition.util.DefaultPair;
import gov.sandia.cognition.util.Pair;
import gov.sandia.cognition.util.WeightedValue;
import java.util.Collection;
/**
* Some static methods for computing generally useful multivariate statistics.
*
* @author Kevin Dixon
* @since 2.0
*/
public class MultivariateStatisticsUtil
{
/**
* Computes the arithmetic sum of the dataset
*
* @param The type of data to compute the sum over, which must
* implement the {@code Ring} interface.
* @param data
* Dataset to consider
* @return
* Arithmetic sum of the given dataset
*/
static public > RingType computeSum(
Iterable data )
{
RingAccumulator sum = new RingAccumulator( data );
return sum.getSum();
}
/**
* Computes the arithmetic mean (average, expectation, first central moment)
* of a dataset
*
* @param The type of data to compute the sum over, which must
* implement the {@code Ring} interface.
* @param data
* Collection of Vectors to consider
* @return
* Arithmetic mean of the given dataset
*/
static public > RingType computeMean(
Iterable data )
{
RingAccumulator mean = new RingAccumulator( data );
return mean.getMean();
}
/**
* Computes the variance (second central moment, squared standard deviation)
* of a dataset. Computes the mean first, then computes the variance. If
* you already have the mean, then use the two-argument
* computeVariance(data,mean) method to save duplication of effort
* @param data
* Collection of Vector to consider
* @return
* Variance of the given dataset
*/
static public Matrix computeVariance(
Collection data )
{
Pair result = computeMeanAndCovariance(data);
return (result != null) ? result.getSecond() : null;
}
/**
* Computes the variance (second central moment, squared standard deviation)
* of a dataset
* @param data
* Collection of Doubles to consider
* @param mean
* Pre-computed mean (or central value) of the dataset
* @return
* Full covariance matrix of the given dataset
*/
static public Matrix computeVariance(
Collection data,
Vector mean )
{
if( data.size() == 0 )
{
return null;
}
RingAccumulator scatter = new RingAccumulator();
for (Vector value : data)
{
Vector delta = value.minus( mean );
scatter.accumulate( delta.outerProduct( delta ) );
}
Matrix covariance;
int num = data.size();
if (num >= 2)
{
covariance = scatter.getSum().scale( 1.0 / (num - 1) );
}
else
{
covariance = scatter.getSum();
covariance.zero();
}
return covariance;
}
/**
* Computes the mean and unbiased covariance Matrix of a multivariate
* data set.
* @param data
* Data set to consider
* @return
* Mean and unbiased Covariance
*/
public static Pair computeMeanAndCovariance(
Iterable data )
{
RingAccumulator sum = new RingAccumulator();
Matrix sum2 = null;
int dim = 0;
int n = 0;
for( Vectorizable vectorizable : data )
{
Vector x = vectorizable.convertToVector();
sum.accumulate( x );
if( sum2 == null )
{
dim = x.getDimensionality();
sum2 = MatrixFactory.getDefault().createMatrix(dim, dim);
}
for( int i = 0; i < dim; i++ )
{
for( int j = 0; j < dim; j++ )
{
double v = sum2.getElement(i, j);
v += x.getElement(i) * x.getElement(j);
sum2.setElement(i, j, v);
}
}
n++;
}
Vector mean;
Matrix C;
if( n >= 2 )
{
Vector s2 = sum.getSum().scale( 1.0/(n-1) );
mean = sum.getSum();
mean.scaleEquals(1.0/n);
C = sum2.scale( 1.0/(n-1) ).minus( mean.outerProduct(s2) );
}
else if( n == 1 )
{
mean = sum.getSum();
C = MatrixFactory.getDefault().createMatrix(dim, dim);
}
else
{
return null;
}
return DefaultPair.create( mean, C );
}
/**
* Computes the mean and biased covariance Matrix of a multivariate
* weighted data set.
* @param data
* Data set to consider
* @return
* Mean and biased Covariance
*/
public static Pair computeWeightedMeanAndCovariance(
Iterable> data )
{
RingAccumulator s1 = new RingAccumulator();
int dim = 0;
Matrix s2 = null;
int N = 0;
double weightSum = 0.0;
for( WeightedValue x : data )
{
N++;
final Vector v2 = x.getValue().convertToVector();
if( s2 == null )
{
dim = v2.getDimensionality();
s2 = MatrixFactory.getDefault().createMatrix(dim, dim);
}
final double weight = x.getWeight();
if( weight != 0.0 )
{
weightSum += weight;
Vector wx = v2;
if( weight != 1.0 )
{
// Can't use scaleEquals because we may need the original data
wx = wx.scale( weight );
}
s1.accumulate( wx );
for( int i = 0; i < dim; i++ )
{
for( int j = 0; j < dim; j++ )
{
double v = s2.getElement(i, j);
v += wx.getElement(i) * v2.getElement(j);
s2.setElement(i, j, v);
}
}
}
}
Vector mean;
Matrix covariance;
if( N >= 2 )
{
mean = s1.getSum().scale( 1.0 / weightSum );
covariance = s2.scale( 1.0/weightSum ).minus( mean.outerProduct(mean) );
}
else if( N == 1 )
{
mean = s1.getSum().scale( 1.0 / weightSum );
covariance = MatrixFactory.getDefault().createMatrix(dim, dim);
}
else
{
return null;
}
return DefaultPair.create( mean, covariance );
}
}