mirror of https://github.com/jlizier/jidt
622 lines
23 KiB
Java
Executable File
622 lines
23 KiB
Java
Executable File
/*
|
|
* Java Information Dynamics Toolkit (JIDT)
|
|
* Copyright (C) 2012, Joseph T. Lizier
|
|
*
|
|
* This program is free software: you can redistribute it and/or modify
|
|
* it under the terms of the GNU General Public License as published by
|
|
* the Free Software Foundation, either version 3 of the License, or
|
|
* (at your option) any later version.
|
|
*
|
|
* This program is distributed in the hope that it will be useful,
|
|
* but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
* GNU General Public License for more details.
|
|
*
|
|
* You should have received a copy of the GNU General Public License
|
|
* along with this program. If not, see <http://www.gnu.org/licenses/>.
|
|
*/
|
|
|
|
package infodynamics.measures.continuous.kraskov;
|
|
|
|
import infodynamics.utils.FirstIndexComparatorDouble;
|
|
import infodynamics.utils.MathsUtils;
|
|
import infodynamics.utils.MatrixUtils;
|
|
|
|
/**
|
|
* <p>Compute the Conditional Mutual Info using the Kraskov estimation method,
|
|
* as extended by Frenzel and Pompe.</p>
|
|
* <p>
|
|
* Attempts to use the second algorithm (defined at start of p.3 of the Kraskov paper) -
|
|
* note that Frenzel and Pompe only extended the technique directly for the
|
|
* first algorithm, though here we define it for the second.
|
|
* It is unclear exactly how to do this - we assume that we only need
|
|
* a single 1/k additive factor in the largest joint space (Kraskov seems to do the
|
|
* same for the regular MI, noting on p.5 that other correction factors are
|
|
* missing, which would go to zero as N -> \infty.
|
|
* The implementation here is something of a guess, so use of
|
|
* {@link ConditionalMutualInfoCalculatorMultiVariateKraskov1}
|
|
* is perhaps recommended instead of this algorithm 2.</p>
|
|
*
|
|
* <p>Computes this directly looking at the marginal space for each variable, rather than
|
|
* using the multi-info (or integration) in the marginal spaces.
|
|
* </p>
|
|
* @see "Estimating mutual information", Kraskov, A., Stogbauer, H., Grassberger, P., Physical Review E 69, (2004) 066138
|
|
* http://dx.doi.org/10.1103/PhysRevE.69.066138
|
|
* @see "Partial Mutual Information for Coupling Analysis of Multivariate Time Series", Frenzel and Pompe, 2007
|
|
*
|
|
* @author Joseph Lizier
|
|
*
|
|
*/
|
|
public class ConditionalMutualInfoCalculatorMultiVariateKraskov2
|
|
extends ConditionalMutualInfoCalculatorMultiVariateKraskov {
|
|
|
|
protected static final int JOINT_NORM_VAL_COLUMN = 0;
|
|
protected static final int JOINT_NORM_TIMESTEP_COLUMN = 1;
|
|
|
|
// Multiplier used in hueristic for determining whether to use a linear search
|
|
// for min kth element or a binary search.
|
|
protected static final double CUTOFF_MULTIPLIER = 1.5;
|
|
|
|
/**
|
|
* Compute what the average conditional MI would look like were the given
|
|
* time series reordered
|
|
* as per the array of time indices in reordering.
|
|
* The user should ensure that all values 0..N-1 are represented exactly once in the
|
|
* array reordering and that no other values are included here.
|
|
*
|
|
* @param variableToReorder 1 for variable 1, 2 for variable 2
|
|
* @param reordering the reordered time steps of the given variable
|
|
* @return
|
|
* @throws Exception
|
|
*/
|
|
public double computeAverageLocalOfObservations(int variableToReorder,
|
|
int[] reordering) throws Exception {
|
|
if (!tryKeepAllPairsNorms || (var1Observations.length > MAX_DATA_SIZE_FOR_KEEP_ALL_PAIRS_NORM)) {
|
|
double[][] originalData;
|
|
if (variableToReorder == 1) {
|
|
originalData = var1Observations;
|
|
} else {
|
|
originalData = var2Observations;
|
|
}
|
|
// Generate a new re-ordered data array
|
|
if (variableToReorder == 1) {
|
|
var1Observations = MatrixUtils.extractSelectedTimePointsReusingArrays(originalData, reordering);
|
|
} else {
|
|
var2Observations = MatrixUtils.extractSelectedTimePointsReusingArrays(originalData, reordering);
|
|
}
|
|
// Compute the MI
|
|
double newMI = computeAverageLocalOfObservationsWhileComputingDistances();
|
|
// restore original data
|
|
if (variableToReorder == 1) {
|
|
var1Observations = originalData;
|
|
} else {
|
|
var2Observations = originalData;
|
|
}
|
|
return newMI;
|
|
}
|
|
|
|
// Otherwise we will use the norms we've already computed, and use a "virtual"
|
|
// reordered data2.
|
|
|
|
if (xNorms == null) {
|
|
computeNorms();
|
|
}
|
|
int N = var1Observations.length; // number of observations
|
|
int cutoffForKthMinLinear = (int) (CUTOFF_MULTIPLIER * Math.log(N) / Math.log(2.0));
|
|
|
|
// Count the average number of points within eps_xz and eps_yz and eps_z
|
|
double averageDiGammas = 0;
|
|
double averageInverseCountInJointYZ = 0;
|
|
double averageInverseCountInJointXZ = 0;
|
|
double avNxz = 0;
|
|
double avNyz = 0;
|
|
double avNz = 0;
|
|
|
|
for (int t = 0; t < N; t++) {
|
|
// Compute eps_xz and eps_yz ad eps_z for this time step:
|
|
// First get x and y and z norms to all neighbours
|
|
// (note that norm of point t to itself will be set to infinity).
|
|
|
|
int tForReorderedVar = reordering[t];
|
|
|
|
double[][] jointNorm = new double[N][2];
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
int t2ForReorderedVar = reordering[t2];
|
|
if (variableToReorder == 1) {
|
|
jointNorm[t2][JOINT_NORM_VAL_COLUMN] = Math.max(
|
|
xNorms[tForReorderedVar][t2ForReorderedVar],
|
|
Math.max(yNorms[t][t2], zNorms[t][t2]));
|
|
} else {
|
|
jointNorm[t2][JOINT_NORM_VAL_COLUMN] = Math.max(xNorms[t][t2],
|
|
Math.max(yNorms[tForReorderedVar][t2ForReorderedVar], zNorms[t][t2]));
|
|
}
|
|
// And store the time step for back reference after the
|
|
// array is sorted.
|
|
jointNorm[t2][JOINT_NORM_TIMESTEP_COLUMN] = t2;
|
|
}
|
|
// Then find the k closest neighbours:
|
|
double eps_x = 0.0;
|
|
double eps_y = 0.0;
|
|
double eps_z = 0.0;
|
|
int[] timeStepsOfKthMins = null;
|
|
if (k <= cutoffForKthMinLinear) {
|
|
// just do a linear search for the minimum epsilon value
|
|
timeStepsOfKthMins = MatrixUtils.kMinIndices(jointNorm, JOINT_NORM_VAL_COLUMN, k);
|
|
} else {
|
|
// Sort the array of joint norms
|
|
java.util.Arrays.sort(jointNorm, FirstIndexComparatorDouble.getInstance());
|
|
// and now we have the closest k points.
|
|
timeStepsOfKthMins = new int[k];
|
|
for (int j = 0; j < k; j++) {
|
|
timeStepsOfKthMins[j] = (int) jointNorm[j][JOINT_NORM_TIMESTEP_COLUMN];
|
|
}
|
|
}
|
|
// and now we have the closest k points.
|
|
// Find eps_{x,y,z} as the maximum x and y and z norms amongst this set:
|
|
for (int j = 0; j < k; j++) {
|
|
int timeStepOfJthPoint = timeStepsOfKthMins[j];
|
|
if (variableToReorder == 1) {
|
|
if (xNorms[tForReorderedVar][reordering[timeStepOfJthPoint]] > eps_x) {
|
|
eps_x = xNorms[tForReorderedVar][reordering[timeStepOfJthPoint]];
|
|
}
|
|
if (yNorms[t][timeStepOfJthPoint] > eps_y) {
|
|
eps_y = yNorms[t][timeStepOfJthPoint];
|
|
}
|
|
} else {
|
|
if (xNorms[t][timeStepOfJthPoint] > eps_x) {
|
|
eps_x = xNorms[t][timeStepOfJthPoint];
|
|
}
|
|
if (yNorms[tForReorderedVar][reordering[timeStepOfJthPoint]] > eps_y) {
|
|
eps_y = yNorms[tForReorderedVar][reordering[timeStepOfJthPoint]];
|
|
}
|
|
}
|
|
if (zNorms[t][timeStepOfJthPoint] > eps_z) {
|
|
eps_z = zNorms[t][timeStepOfJthPoint];
|
|
}
|
|
}
|
|
|
|
// Count the number of points whose x distance is less
|
|
// than or equal to eps_x, and whose y distance is less
|
|
// than or equal to eps_y, and whose z distance is less
|
|
// than or equal to eps_z
|
|
int n_xz = 0;
|
|
int n_yz = 0;
|
|
int n_z = 0;
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
if (zNorms[t][t2] <= eps_z) {
|
|
n_z++;
|
|
if (variableToReorder == 1) {
|
|
if (xNorms[tForReorderedVar][reordering[t2]] <= eps_x) {
|
|
n_xz++;
|
|
}
|
|
if (yNorms[t][t2] <= eps_y) {
|
|
n_yz++;
|
|
}
|
|
} else {
|
|
if (xNorms[t][t2] <= eps_x) {
|
|
n_xz++;
|
|
}
|
|
if (yNorms[tForReorderedVar][reordering[t2]] <= eps_y) {
|
|
n_yz++;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
avNxz += n_xz;
|
|
avNyz += n_yz;
|
|
avNz += n_z;
|
|
// And take the digamma before adding into the
|
|
// average:
|
|
averageDiGammas += MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
if (debug) {
|
|
// Only tracking this for debugging purposes:
|
|
double invN_xz = 1.0/(double) n_xz;
|
|
averageInverseCountInJointXZ += invN_xz;
|
|
double invN_yz = 1.0 / (double) n_yz;
|
|
averageInverseCountInJointYZ += invN_yz;
|
|
double localCondMi = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
System.out.printf("t=%d, n_xz=%d, n_yz=%d, n_z=%d, 1/n_yz=%.3f, 1/n_xz=%.3f, local=%.4f\n",
|
|
t, n_xz, n_yz, n_z, invN_yz, invN_xz, localCondMi);
|
|
}
|
|
}
|
|
averageDiGammas /= (double) N;
|
|
lastAverage = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
+ averageDiGammas;
|
|
condMiComputed = true;
|
|
|
|
if (debug) {
|
|
avNxz /= (double)N;
|
|
avNyz /= (double)N;
|
|
avNz /= (double)N;
|
|
averageInverseCountInJointXZ /= (double) N;
|
|
averageInverseCountInJointYZ /= (double) N;
|
|
System.out.printf("<n_xz>=%.3f, <n_yz>=%.3f, <n_z>=%.3f\n",
|
|
avNxz, avNyz, avNz);
|
|
System.out.printf("Av = digamma(k)=%.3f + <digammas>=%.3f - 1/k=%.3f = %.3f (<1/n_yz>=%.3f, <1/n_xz>=%.3f)\n",
|
|
MathsUtils.digamma(k), averageDiGammas, 1.0 / (double) k,
|
|
lastAverage, averageInverseCountInJointYZ, averageInverseCountInJointXZ);
|
|
}
|
|
|
|
return lastAverage;
|
|
}
|
|
|
|
public double computeAverageLocalOfObservations() throws Exception {
|
|
if (!tryKeepAllPairsNorms || (var1Observations.length > MAX_DATA_SIZE_FOR_KEEP_ALL_PAIRS_NORM)) {
|
|
return computeAverageLocalOfObservationsWhileComputingDistances();
|
|
}
|
|
|
|
if (xNorms == null) {
|
|
computeNorms();
|
|
}
|
|
int N = var1Observations.length; // number of observations
|
|
int cutoffForKthMinLinear = (int) (CUTOFF_MULTIPLIER * Math.log(N) / Math.log(2.0));
|
|
|
|
// Count the average number of points within eps_x and eps_y
|
|
double averageDiGammas = 0;
|
|
double averageInverseCountInJointYZ = 0;
|
|
double averageInverseCountInJointXZ = 0;
|
|
double avNxz = 0;
|
|
double avNyz = 0;
|
|
double avNz = 0;
|
|
|
|
for (int t = 0; t < N; t++) {
|
|
// Compute eps_x and eps_y and eps_z for this time step:
|
|
// using x and y and z norms to all neighbours
|
|
// (note that norm of point t to itself will be set to infinity).
|
|
|
|
double[][] jointNorm = new double[N][2];
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
jointNorm[t2][JOINT_NORM_VAL_COLUMN] = Math.max(xNorms[t][t2],
|
|
Math.max(yNorms[t][t2], zNorms[t][t2]));
|
|
// And store the time step for back reference after the
|
|
// array is sorted.
|
|
jointNorm[t2][JOINT_NORM_TIMESTEP_COLUMN] = t2;
|
|
}
|
|
// Then find the k closest neighbours:
|
|
double eps_x = 0.0;
|
|
double eps_y = 0.0;
|
|
double eps_z = 0.0;
|
|
int[] timeStepsOfKthMins = null;
|
|
if (k <= cutoffForKthMinLinear) {
|
|
// just do a linear search for the minimum epsilon value
|
|
timeStepsOfKthMins = MatrixUtils.kMinIndices(jointNorm, JOINT_NORM_VAL_COLUMN, k);
|
|
} else {
|
|
// Sort the array of joint norms
|
|
java.util.Arrays.sort(jointNorm, FirstIndexComparatorDouble.getInstance());
|
|
// and now we have the closest k points.
|
|
timeStepsOfKthMins = new int[k];
|
|
for (int j = 0; j < k; j++) {
|
|
timeStepsOfKthMins[j] = (int) jointNorm[j][JOINT_NORM_TIMESTEP_COLUMN];
|
|
}
|
|
}
|
|
// and now we have the closest k points.
|
|
// Find eps_{x,y,z} as the maximum x and y and z norms amongst this set:
|
|
for (int j = 0; j < k; j++) {
|
|
int timeStepOfJthPoint = timeStepsOfKthMins[j];
|
|
if (xNorms[t][timeStepOfJthPoint] > eps_x) {
|
|
eps_x = xNorms[t][timeStepOfJthPoint];
|
|
}
|
|
if (yNorms[t][timeStepOfJthPoint] > eps_y) {
|
|
eps_y = yNorms[t][timeStepOfJthPoint];
|
|
}
|
|
if (zNorms[t][timeStepOfJthPoint] > eps_z) {
|
|
eps_z = zNorms[t][timeStepOfJthPoint];
|
|
}
|
|
}
|
|
|
|
// Count the number of points whose x distance is less
|
|
// than or equal to eps_x, and whose y distance is less
|
|
// than or equal to eps_y, and whose z distance is less
|
|
// than or equal to eps_z
|
|
int n_xz = 0;
|
|
int n_yz = 0;
|
|
int n_z = 0;
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
if (zNorms[t][t2] <= eps_z) {
|
|
n_z++;
|
|
if (xNorms[t][t2] <= eps_x) {
|
|
n_xz++;
|
|
}
|
|
if (yNorms[t][t2] <= eps_y) {
|
|
n_yz++;
|
|
}
|
|
}
|
|
}
|
|
avNxz += n_xz;
|
|
avNyz += n_yz;
|
|
avNz += n_z;
|
|
// And take the digamma before adding into the
|
|
// average:
|
|
averageDiGammas += MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
if (debug) {
|
|
// Only tracking this for debugging purposes:
|
|
double invN_xz = 1.0/(double) n_xz;
|
|
averageInverseCountInJointXZ += invN_xz;
|
|
double invN_yz = 1.0 / (double) n_yz;
|
|
averageInverseCountInJointYZ += invN_yz;
|
|
double localCondMi = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
System.out.printf("t=%d, n_xz=%d, n_yz=%d, n_z=%d, 1/n_yz=%.3f, 1/n_xz=%.3f, local=%.4f\n",
|
|
t, n_xz, n_yz, n_z, invN_yz, invN_xz, localCondMi);
|
|
}
|
|
}
|
|
averageDiGammas /= (double) N;
|
|
lastAverage = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
averageDiGammas;
|
|
condMiComputed = true;
|
|
|
|
if (debug) {
|
|
avNxz /= (double)N;
|
|
avNyz /= (double)N;
|
|
avNz /= (double)N;
|
|
averageInverseCountInJointYZ /= (double) N;
|
|
averageInverseCountInJointXZ /= (double) N;
|
|
System.out.printf("<n_xz>=%.3f, <n_yz>=%.3f, <n_z>=%.3f\n",
|
|
avNxz, avNyz, avNz);
|
|
System.out.printf("Av = digamma(k)=%.3f + <digammas>=%.3f - 1/k=%.3f = %.3f (<1/n_yz>=%.3f, <1/n_xz>=%.3f)\n",
|
|
MathsUtils.digamma(k), averageDiGammas, 1.0 / (double) k,
|
|
lastAverage, averageInverseCountInJointYZ, averageInverseCountInJointXZ);
|
|
}
|
|
|
|
return lastAverage;
|
|
}
|
|
|
|
/**
|
|
* This method correctly computes the average local MI, but recomputes the x and y and z
|
|
* distances between all tuples in time.
|
|
* Kept here for cases where we have too many observations
|
|
* to keep the norm between all pairs, and for testing purposes.
|
|
*
|
|
* @return
|
|
* @throws Exception
|
|
*/
|
|
public double computeAverageLocalOfObservationsWhileComputingDistances() throws Exception {
|
|
int N = var1Observations.length; // number of observations
|
|
int cutoffForKthMinLinear = (int) (CUTOFF_MULTIPLIER * Math.log(N) / Math.log(2.0));
|
|
|
|
// Count the average number of points within eps_x and eps_y
|
|
double averageDiGammas = 0;
|
|
double averageInverseCountInJointYZ = 0;
|
|
double averageInverseCountInJointXZ = 0;
|
|
double avNxz = 0;
|
|
double avNyz = 0;
|
|
double avNz = 0;
|
|
|
|
for (int t = 0; t < N; t++) {
|
|
// Compute eps_x and eps_y and eps_z for this time step:
|
|
// First get x and y and z norms to all neighbours
|
|
// (note that norm of point t to itself will be set to infinity).
|
|
double[][] xyzNorms = normCalculator.computeNorms(var1Observations, var2Observations, condObservations, t);
|
|
double[][] jointNorm = new double[N][2];
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
jointNorm[t2][JOINT_NORM_VAL_COLUMN] = Math.max(xyzNorms[t2][0],
|
|
Math.max(xyzNorms[t2][1], xyzNorms[t2][2]));
|
|
// And store the time step for back reference after the
|
|
// array is sorted.
|
|
jointNorm[t2][JOINT_NORM_TIMESTEP_COLUMN] = t2;
|
|
}
|
|
// Then find the k closest neighbours:
|
|
double eps_x = 0.0;
|
|
double eps_y = 0.0;
|
|
double eps_z = 0.0;
|
|
int[] timeStepsOfKthMins = null;
|
|
if (k <= cutoffForKthMinLinear) {
|
|
// just do a linear search for the minimum epsilon value
|
|
timeStepsOfKthMins = MatrixUtils.kMinIndices(jointNorm, JOINT_NORM_VAL_COLUMN, k);
|
|
} else {
|
|
// Sort the array of joint norms
|
|
java.util.Arrays.sort(jointNorm, FirstIndexComparatorDouble.getInstance());
|
|
// and now we have the closest k points.
|
|
timeStepsOfKthMins = new int[k];
|
|
for (int j = 0; j < k; j++) {
|
|
timeStepsOfKthMins[j] = (int) jointNorm[j][JOINT_NORM_TIMESTEP_COLUMN];
|
|
}
|
|
}
|
|
// and now we have the closest k points.
|
|
// Find eps_{x,y} as the maximum x and y norms amongst this set:
|
|
for (int j = 0; j < k; j++) {
|
|
int timeStepOfJthPoint = timeStepsOfKthMins[j];
|
|
if (xyzNorms[timeStepOfJthPoint][0] > eps_x) {
|
|
eps_x = xyzNorms[timeStepOfJthPoint][0];
|
|
}
|
|
if (xyzNorms[timeStepOfJthPoint][1] > eps_y) {
|
|
eps_y = xyzNorms[timeStepOfJthPoint][1];
|
|
}
|
|
if (xyzNorms[timeStepOfJthPoint][2] > eps_z) {
|
|
eps_z = xyzNorms[timeStepOfJthPoint][2];
|
|
}
|
|
}
|
|
|
|
// Count the number of points whose x distance is less
|
|
// than or equal to eps_x, and whose y distance is less
|
|
// than or equal to eps_y, and whose z distance is less
|
|
// than or equal to eps_z
|
|
int n_xz = 0;
|
|
int n_yz = 0;
|
|
int n_z = 0;
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
if (xyzNorms[t2][2] <= eps_z) {
|
|
n_z++;
|
|
if (xyzNorms[t2][0] <= eps_x) {
|
|
n_xz++;
|
|
}
|
|
if (xyzNorms[t2][1] <= eps_y) {
|
|
n_yz++;
|
|
}
|
|
}
|
|
}
|
|
avNxz += n_xz;
|
|
avNyz += n_yz;
|
|
avNz += n_z;
|
|
// And take the digamma before adding into the
|
|
// average:
|
|
averageDiGammas += MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
if (debug) {
|
|
// Only tracking this for debugging purposes:
|
|
double invN_xz = 1.0/(double) n_xz;
|
|
averageInverseCountInJointXZ += invN_xz;
|
|
double invN_yz = 1.0 / (double) n_yz;
|
|
averageInverseCountInJointYZ += invN_yz;
|
|
double localCondMi = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
MathsUtils.digamma(n_z) - MathsUtils.digamma(n_xz)
|
|
- MathsUtils.digamma(n_yz);
|
|
System.out.printf("t=%d, n_xz=%d, n_yz=%d, n_z=%d, 1/n_yz=%.3f, 1/n_xz=%.3f, local=%.4f\n",
|
|
t, n_xz, n_yz, n_z, invN_yz, invN_xz, localCondMi);
|
|
}
|
|
}
|
|
averageDiGammas /= (double) N;
|
|
lastAverage = MathsUtils.digamma(k) - 1.0 / (double) k +
|
|
averageDiGammas;
|
|
condMiComputed = true;
|
|
|
|
if (debug) {
|
|
avNxz /= (double)N;
|
|
avNyz /= (double)N;
|
|
avNz /= (double)N;
|
|
averageInverseCountInJointYZ /= (double) N;
|
|
averageInverseCountInJointXZ /= (double) N;
|
|
System.out.printf("<n_xz>=%.3f, <n_yz>=%.3f, <n_z>=%.3f\n",
|
|
avNxz, avNyz, avNz);
|
|
System.out.printf("Av = digamma(k)=%.3f + <digammas>=%.3f - 1/k=%.3f = %.3f (<1/n_yz>=%.3f, <1/n_xz>=%.3f)\n",
|
|
MathsUtils.digamma(k), averageDiGammas, 1.0 / (double) k,
|
|
lastAverage, averageInverseCountInJointYZ, averageInverseCountInJointXZ);
|
|
}
|
|
|
|
return lastAverage;
|
|
}
|
|
|
|
public double[] computeLocalOfPreviousObservations() throws Exception {
|
|
int N = var1Observations.length; // number of observations
|
|
int cutoffForKthMinLinear = (int) (CUTOFF_MULTIPLIER * Math.log(N) / Math.log(2.0));
|
|
double[] localCondMi = new double[N];
|
|
|
|
// Constants:
|
|
double digammaK = MathsUtils.digamma(k);
|
|
double invK = 1.0 / (double) k;
|
|
|
|
// Count the average number of points within eps_x and eps_y
|
|
double averageDiGammas = 0;
|
|
double averageInverseCountInJointYZ = 0;
|
|
double averageInverseCountInJointXZ = 0;
|
|
double avNxz = 0;
|
|
double avNyz = 0;
|
|
double avNz = 0;
|
|
|
|
for (int t = 0; t < N; t++) {
|
|
// Compute eps_x and eps_y and eps_z for this time step:
|
|
// First get x and y and z norms to all neighbours
|
|
// (note that norm of point t to itself will be set to infinity).
|
|
double[][] xyzNorms = normCalculator.computeNorms(var1Observations, var2Observations, condObservations, t);
|
|
double[][] jointNorm = new double[N][2];
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
jointNorm[t2][JOINT_NORM_VAL_COLUMN] = Math.max(xyzNorms[t2][0],
|
|
Math.max(xyzNorms[t2][1], xyzNorms[t2][2]));
|
|
// And store the time step for back reference after the
|
|
// array is sorted.
|
|
jointNorm[t2][JOINT_NORM_TIMESTEP_COLUMN] = t2;
|
|
}
|
|
// Then find the k closest neighbours:
|
|
double eps_x = 0.0;
|
|
double eps_y = 0.0;
|
|
double eps_z = 0.0;
|
|
int[] timeStepsOfKthMins = null;
|
|
if (k <= cutoffForKthMinLinear) {
|
|
// just do a linear search for the minimum epsilon value
|
|
timeStepsOfKthMins = MatrixUtils.kMinIndices(jointNorm, JOINT_NORM_VAL_COLUMN, k);
|
|
} else {
|
|
// Sort the array of joint norms
|
|
java.util.Arrays.sort(jointNorm, FirstIndexComparatorDouble.getInstance());
|
|
// and now we have the closest k points.
|
|
timeStepsOfKthMins = new int[k];
|
|
for (int j = 0; j < k; j++) {
|
|
timeStepsOfKthMins[j] = (int) jointNorm[j][JOINT_NORM_TIMESTEP_COLUMN];
|
|
}
|
|
}
|
|
// and now we have the closest k points.
|
|
// Find eps_{x,y,z} as the maximum x and y norms amongst this set:
|
|
for (int j = 0; j < k; j++) {
|
|
int timeStepOfJthPoint = timeStepsOfKthMins[j];
|
|
if (xyzNorms[timeStepOfJthPoint][0] > eps_x) {
|
|
eps_x = xyzNorms[timeStepOfJthPoint][0];
|
|
}
|
|
if (xyzNorms[timeStepOfJthPoint][1] > eps_y) {
|
|
eps_y = xyzNorms[timeStepOfJthPoint][1];
|
|
}
|
|
if (xyzNorms[timeStepOfJthPoint][2] > eps_z) {
|
|
eps_z = xyzNorms[timeStepOfJthPoint][2];
|
|
}
|
|
}
|
|
|
|
// Count the number of points whose x distance is less
|
|
// than or equal to eps_x, and whose y distance is less
|
|
// than or equal to eps_y, and whose z distance is less
|
|
// than or equal to eps_z
|
|
int n_xz = 0;
|
|
int n_yz = 0;
|
|
int n_z = 0;
|
|
for (int t2 = 0; t2 < N; t2++) {
|
|
if (xyzNorms[t2][2] <= eps_z) {
|
|
n_z++;
|
|
if (xyzNorms[t2][0] <= eps_x) {
|
|
n_xz++;
|
|
}
|
|
if (xyzNorms[t2][1] <= eps_y) {
|
|
n_yz++;
|
|
}
|
|
}
|
|
}
|
|
avNxz += n_xz;
|
|
avNyz += n_yz;
|
|
avNz += n_z;
|
|
// And take the digamma:
|
|
double digammaNxz = MathsUtils.digamma(n_xz);
|
|
double digammaNyz = MathsUtils.digamma(n_yz);
|
|
double digammaNz = MathsUtils.digamma(n_z);
|
|
|
|
localCondMi[t] = digammaK - digammaNxz - digammaNyz + digammaNz
|
|
- invK;
|
|
|
|
averageDiGammas += digammaNz - digammaNxz - digammaNyz;
|
|
if (debug) {
|
|
// Only tracking this for debugging purposes:
|
|
double invN_yz = 1.0/(double) n_yz;
|
|
double invN_xz = 1.0/(double) n_xz;
|
|
averageInverseCountInJointYZ += invN_yz;
|
|
averageInverseCountInJointXZ += invN_xz;
|
|
System.out.printf("t=%d, n_xz=%d, n_yz=%d, n_z=%d, 1/n_yz=%.3f, 1/n_xz=%.3f, local=%.4f\n",
|
|
t, n_xz, n_yz, n_z, invN_yz, invN_xz, localCondMi[t]);
|
|
}
|
|
}
|
|
averageDiGammas /= (double) N;
|
|
lastAverage = digammaK + averageDiGammas - invK;
|
|
condMiComputed = true;
|
|
|
|
if (debug) {
|
|
avNxz /= (double)N;
|
|
avNyz /= (double)N;
|
|
avNz /= (double)N;
|
|
averageInverseCountInJointYZ /= (double) N;
|
|
averageInverseCountInJointXZ /= (double) N;
|
|
System.out.printf("<n_xz>=%.3f, <n_yz>=%.3f, <n_z>=%.3f\n",
|
|
avNxz, avNyz, avNz);
|
|
System.out.printf("Av = digamma(k)=%.3f + <digammas>=%.3f - 1/k=%.3f = %.3f (<1/n_yz>=%.3f, <1/n_xz>=%.3f)\n",
|
|
digammaK, averageDiGammas, invK,
|
|
lastAverage, averageInverseCountInJointYZ, averageInverseCountInJointXZ);
|
|
}
|
|
|
|
return localCondMi;
|
|
}
|
|
|
|
public String printConstants(int N) throws Exception {
|
|
String constants = String.format("digamma(k=%d)=%.3e",
|
|
k, MathsUtils.digamma(k));
|
|
return constants;
|
|
}
|
|
}
|