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Statistical sampling library for use in virtdata libraries, based
on apache commons math 4
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math4.analysis.interpolation;
import java.io.Serializable;
import java.util.Arrays;
import org.apache.commons.math4.analysis.polynomials.PolynomialSplineFunction;
import org.apache.commons.math4.exception.DimensionMismatchException;
import org.apache.commons.math4.exception.NoDataException;
import org.apache.commons.math4.exception.NonMonotonicSequenceException;
import org.apache.commons.math4.exception.NotFiniteNumberException;
import org.apache.commons.math4.exception.NotPositiveException;
import org.apache.commons.math4.exception.NumberIsTooSmallException;
import org.apache.commons.math4.exception.OutOfRangeException;
import org.apache.commons.math4.exception.util.LocalizedFormats;
import org.apache.commons.math4.util.FastMath;
import org.apache.commons.math4.util.MathArrays;
import org.apache.commons.math4.util.MathUtils;
/**
* Implements the
* Local Regression Algorithm (also Loess, Lowess) for interpolation of
* real univariate functions.
*
* For reference, see
*
* William S. Cleveland - Robust Locally Weighted Regression and Smoothing
* Scatterplots
*
* This class implements both the loess method and serves as an interpolation
* adapter to it, allowing one to build a spline on the obtained loess fit.
*
* @since 2.0
*/
public class LoessInterpolator
implements UnivariateInterpolator, Serializable {
/** Default value of the bandwidth parameter. */
public static final double DEFAULT_BANDWIDTH = 0.3;
/** Default value of the number of robustness iterations. */
public static final int DEFAULT_ROBUSTNESS_ITERS = 2;
/**
* Default value for accuracy.
* @since 2.1
*/
public static final double DEFAULT_ACCURACY = 1e-12;
/** serializable version identifier. */
private static final long serialVersionUID = 5204927143605193821L;
/**
* The bandwidth parameter: when computing the loess fit at
* a particular point, this fraction of source points closest
* to the current point is taken into account for computing
* a least-squares regression.
*
* A sensible value is usually 0.25 to 0.5.
*/
private final double bandwidth;
/**
* The number of robustness iterations parameter: this many
* robustness iterations are done.
*
* A sensible value is usually 0 (just the initial fit without any
* robustness iterations) to 4.
*/
private final int robustnessIters;
/**
* If the median residual at a certain robustness iteration
* is less than this amount, no more iterations are done.
*/
private final double accuracy;
/**
* Constructs a new {@link LoessInterpolator}
* with a bandwidth of {@link #DEFAULT_BANDWIDTH},
* {@link #DEFAULT_ROBUSTNESS_ITERS} robustness iterations
* and an accuracy of {#link #DEFAULT_ACCURACY}.
* See {@link #LoessInterpolator(double, int, double)} for an explanation of
* the parameters.
*/
public LoessInterpolator() {
this.bandwidth = DEFAULT_BANDWIDTH;
this.robustnessIters = DEFAULT_ROBUSTNESS_ITERS;
this.accuracy = DEFAULT_ACCURACY;
}
/**
* Construct a new {@link LoessInterpolator}
* with given bandwidth and number of robustness iterations.
*
* Calling this constructor is equivalent to calling {link {@link
* #LoessInterpolator(double, int, double) LoessInterpolator(bandwidth,
* robustnessIters, LoessInterpolator.DEFAULT_ACCURACY)}
*
*
* @param bandwidth when computing the loess fit at
* a particular point, this fraction of source points closest
* to the current point is taken into account for computing
* a least-squares regression.
* A sensible value is usually 0.25 to 0.5, the default value is
* {@link #DEFAULT_BANDWIDTH}.
* @param robustnessIters This many robustness iterations are done.
* A sensible value is usually 0 (just the initial fit without any
* robustness iterations) to 4, the default value is
* {@link #DEFAULT_ROBUSTNESS_ITERS}.
* @see #LoessInterpolator(double, int, double)
*/
public LoessInterpolator(double bandwidth, int robustnessIters) {
this(bandwidth, robustnessIters, DEFAULT_ACCURACY);
}
/**
* Construct a new {@link LoessInterpolator}
* with given bandwidth, number of robustness iterations and accuracy.
*
* @param bandwidth when computing the loess fit at
* a particular point, this fraction of source points closest
* to the current point is taken into account for computing
* a least-squares regression.
* A sensible value is usually 0.25 to 0.5, the default value is
* {@link #DEFAULT_BANDWIDTH}.
* @param robustnessIters This many robustness iterations are done.
* A sensible value is usually 0 (just the initial fit without any
* robustness iterations) to 4, the default value is
* {@link #DEFAULT_ROBUSTNESS_ITERS}.
* @param accuracy If the median residual at a certain robustness iteration
* is less than this amount, no more iterations are done.
* @throws OutOfRangeException if bandwidth does not lie in the interval [0,1].
* @throws NotPositiveException if {@code robustnessIters} is negative.
* @see #LoessInterpolator(double, int)
* @since 2.1
*/
public LoessInterpolator(double bandwidth, int robustnessIters, double accuracy)
throws OutOfRangeException,
NotPositiveException {
if (bandwidth < 0 ||
bandwidth > 1) {
throw new OutOfRangeException(LocalizedFormats.BANDWIDTH, bandwidth, 0, 1);
}
this.bandwidth = bandwidth;
if (robustnessIters < 0) {
throw new NotPositiveException(LocalizedFormats.ROBUSTNESS_ITERATIONS, robustnessIters);
}
this.robustnessIters = robustnessIters;
this.accuracy = accuracy;
}
/**
* Compute an interpolating function by performing a loess fit
* on the data at the original abscissae and then building a cubic spline
* with a
* {@link org.apache.commons.math4.analysis.interpolation.SplineInterpolator}
* on the resulting fit.
*
* @param xval the arguments for the interpolation points
* @param yval the values for the interpolation points
* @return A cubic spline built upon a loess fit to the data at the original abscissae
* @throws NonMonotonicSequenceException if {@code xval} not sorted in
* strictly increasing order.
* @throws DimensionMismatchException if {@code xval} and {@code yval} have
* different sizes.
* @throws NoDataException if {@code xval} or {@code yval} has zero size.
* @throws NotFiniteNumberException if any of the arguments and values are
* not finite real numbers.
* @throws NumberIsTooSmallException if the bandwidth is too small to
* accomodate the size of the input data (i.e. the bandwidth must be
* larger than 2/n).
*/
@Override
public final PolynomialSplineFunction interpolate(final double[] xval,
final double[] yval)
throws NonMonotonicSequenceException,
DimensionMismatchException,
NoDataException,
NotFiniteNumberException,
NumberIsTooSmallException {
return new SplineInterpolator().interpolate(xval, smooth(xval, yval));
}
/**
* Compute a weighted loess fit on the data at the original abscissae.
*
* @param xval Arguments for the interpolation points.
* @param yval Values for the interpolation points.
* @param weights point weights: coefficients by which the robustness weight
* of a point is multiplied.
* @return the values of the loess fit at corresponding original abscissae.
* @throws NonMonotonicSequenceException if {@code xval} not sorted in
* strictly increasing order.
* @throws DimensionMismatchException if {@code xval} and {@code yval} have
* different sizes.
* @throws NoDataException if {@code xval} or {@code yval} has zero size.
* @throws NotFiniteNumberException if any of the arguments and values are
not finite real numbers.
* @throws NumberIsTooSmallException if the bandwidth is too small to
* accomodate the size of the input data (i.e. the bandwidth must be
* larger than 2/n).
* @since 2.1
*/
public final double[] smooth(final double[] xval, final double[] yval,
final double[] weights)
throws NonMonotonicSequenceException,
DimensionMismatchException,
NoDataException,
NotFiniteNumberException,
NumberIsTooSmallException {
if (xval.length != yval.length) {
throw new DimensionMismatchException(xval.length, yval.length);
}
final int n = xval.length;
if (n == 0) {
throw new NoDataException();
}
checkAllFiniteReal(xval);
checkAllFiniteReal(yval);
checkAllFiniteReal(weights);
MathArrays.checkOrder(xval);
if (n == 1) {
return new double[]{yval[0]};
}
if (n == 2) {
return new double[]{yval[0], yval[1]};
}
int bandwidthInPoints = (int) (bandwidth * n);
if (bandwidthInPoints < 2) {
throw new NumberIsTooSmallException(LocalizedFormats.BANDWIDTH,
bandwidthInPoints, 2, true);
}
final double[] res = new double[n];
final double[] residuals = new double[n];
final double[] sortedResiduals = new double[n];
final double[] robustnessWeights = new double[n];
// Do an initial fit and 'robustnessIters' robustness iterations.
// This is equivalent to doing 'robustnessIters+1' robustness iterations
// starting with all robustness weights set to 1.
Arrays.fill(robustnessWeights, 1);
for (int iter = 0; iter <= robustnessIters; ++iter) {
final int[] bandwidthInterval = {0, bandwidthInPoints - 1};
// At each x, compute a local weighted linear regression
for (int i = 0; i < n; ++i) {
final double x = xval[i];
// Find out the interval of source points on which
// a regression is to be made.
if (i > 0) {
updateBandwidthInterval(xval, weights, i, bandwidthInterval);
}
final int ileft = bandwidthInterval[0];
final int iright = bandwidthInterval[1];
// Compute the point of the bandwidth interval that is
// farthest from x
final int edge;
if (xval[i] - xval[ileft] > xval[iright] - xval[i]) {
edge = ileft;
} else {
edge = iright;
}
// Compute a least-squares linear fit weighted by
// the product of robustness weights and the tricube
// weight function.
// See http://en.wikipedia.org/wiki/Linear_regression
// (section "Univariate linear case")
// and http://en.wikipedia.org/wiki/Weighted_least_squares
// (section "Weighted least squares")
double sumWeights = 0;
double sumX = 0;
double sumXSquared = 0;
double sumY = 0;
double sumXY = 0;
double denom = FastMath.abs(1.0 / (xval[edge] - x));
for (int k = ileft; k <= iright; ++k) {
final double xk = xval[k];
final double yk = yval[k];
final double dist = (k < i) ? x - xk : xk - x;
final double w = tricube(dist * denom) * robustnessWeights[k] * weights[k];
final double xkw = xk * w;
sumWeights += w;
sumX += xkw;
sumXSquared += xk * xkw;
sumY += yk * w;
sumXY += yk * xkw;
}
final double meanX = sumX / sumWeights;
final double meanY = sumY / sumWeights;
final double meanXY = sumXY / sumWeights;
final double meanXSquared = sumXSquared / sumWeights;
final double beta;
if (FastMath.sqrt(FastMath.abs(meanXSquared - meanX * meanX)) < accuracy) {
beta = 0;
} else {
beta = (meanXY - meanX * meanY) / (meanXSquared - meanX * meanX);
}
final double alpha = meanY - beta * meanX;
res[i] = beta * x + alpha;
residuals[i] = FastMath.abs(yval[i] - res[i]);
}
// No need to recompute the robustness weights at the last
// iteration, they won't be needed anymore
if (iter == robustnessIters) {
break;
}
// Recompute the robustness weights.
// Find the median residual.
// An arraycopy and a sort are completely tractable here,
// because the preceding loop is a lot more expensive
System.arraycopy(residuals, 0, sortedResiduals, 0, n);
Arrays.sort(sortedResiduals);
final double medianResidual = sortedResiduals[n / 2];
if (FastMath.abs(medianResidual) < accuracy) {
break;
}
for (int i = 0; i < n; ++i) {
final double arg = residuals[i] / (6 * medianResidual);
if (arg >= 1) {
robustnessWeights[i] = 0;
} else {
final double w = 1 - arg * arg;
robustnessWeights[i] = w * w;
}
}
}
return res;
}
/**
* Compute a loess fit on the data at the original abscissae.
*
* @param xval the arguments for the interpolation points
* @param yval the values for the interpolation points
* @return values of the loess fit at corresponding original abscissae
* @throws NonMonotonicSequenceException if {@code xval} not sorted in
* strictly increasing order.
* @throws DimensionMismatchException if {@code xval} and {@code yval} have
* different sizes.
* @throws NoDataException if {@code xval} or {@code yval} has zero size.
* @throws NotFiniteNumberException if any of the arguments and values are
* not finite real numbers.
* @throws NumberIsTooSmallException if the bandwidth is too small to
* accomodate the size of the input data (i.e. the bandwidth must be
* larger than 2/n).
*/
public final double[] smooth(final double[] xval, final double[] yval)
throws NonMonotonicSequenceException,
DimensionMismatchException,
NoDataException,
NotFiniteNumberException,
NumberIsTooSmallException {
if (xval.length != yval.length) {
throw new DimensionMismatchException(xval.length, yval.length);
}
final double[] unitWeights = new double[xval.length];
Arrays.fill(unitWeights, 1.0);
return smooth(xval, yval, unitWeights);
}
/**
* Given an index interval into xval that embraces a certain number of
* points closest to {@code xval[i-1]}, update the interval so that it
* embraces the same number of points closest to {@code xval[i]},
* ignoring zero weights.
*
* @param xval Arguments array.
* @param weights Weights array.
* @param i Index around which the new interval should be computed.
* @param bandwidthInterval a two-element array {left, right} such that:
* {@code (left==0 or xval[i] - xval[left-1] > xval[right] - xval[i])}
* and
* {@code (right==xval.length-1 or xval[right+1] - xval[i] > xval[i] - xval[left])}.
* The array will be updated.
*/
private static void updateBandwidthInterval(final double[] xval, final double[] weights,
final int i,
final int[] bandwidthInterval) {
final int left = bandwidthInterval[0];
final int right = bandwidthInterval[1];
// The right edge should be adjusted if the next point to the right
// is closer to xval[i] than the leftmost point of the current interval
int nextRight = nextNonzero(weights, right);
if (nextRight < xval.length && xval[nextRight] - xval[i] < xval[i] - xval[left]) {
int nextLeft = nextNonzero(weights, bandwidthInterval[0]);
bandwidthInterval[0] = nextLeft;
bandwidthInterval[1] = nextRight;
}
}
/**
* Return the smallest index {@code j} such that
* {@code j > i && (j == weights.length || weights[j] != 0)}.
*
* @param weights Weights array.
* @param i Index from which to start search.
* @return the smallest compliant index.
*/
private static int nextNonzero(final double[] weights, final int i) {
int j = i + 1;
while(j < weights.length && weights[j] == 0) {
++j;
}
return j;
}
/**
* Compute the
* tricube
* weight function
*
* @param x Argument.
* @return (1 - |x|3)3 for |x| < 1, 0 otherwise.
*/
private static double tricube(final double x) {
final double absX = FastMath.abs(x);
if (absX >= 1.0) {
return 0.0;
}
final double tmp = 1 - absX * absX * absX;
return tmp * tmp * tmp;
}
/**
* Check that all elements of an array are finite real numbers.
*
* @param values Values array.
* @throws NotFiniteNumberException
* if one of the values is not a finite real number.
*/
private static void checkAllFiniteReal(final double[] values) {
for (int i = 0; i < values.length; i++) {
MathUtils.checkFinite(values[i]);
}
}
}