// Copyright (C) 2008 Davis E. King (davis@dlib.net), Steve Taylor
// License: Boost Software License See LICENSE.txt for the full license.
#ifndef DLIB_STATISTICs_
#define DLIB_STATISTICs_
#include "statistics_abstract.h"
#include <limits>
#include <cmath>
#include "../algs.h"
#include "../matrix.h"
#include "../sparse_vector.h"
namespace dlib
{
// ----------------------------------------------------------------------------------------
template <
typename T
>
class running_stats
{
public:
running_stats()
{
clear();
COMPILE_TIME_ASSERT ((
is_same_type<float,T>::value ||
is_same_type<double,T>::value ||
is_same_type<long double,T>::value
));
}
void clear()
{
sum = 0;
sum_sqr = 0;
sum_cub = 0;
sum_four = 0;
n = 0;
min_value = std::numeric_limits<T>::infinity();
max_value = -std::numeric_limits<T>::infinity();
}
void add (
const T& val
)
{
sum += val;
sum_sqr += val*val;
sum_cub += cubed(val);
sum_four += quaded(val);
if (val < min_value)
min_value = val;
if (val > max_value)
max_value = val;
++n;
}
T current_n (
) const
{
return n;
}
T mean (
) const
{
if (n != 0)
return sum/n;
else
return 0;
}
T max (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 0,
"\tT running_stats::max"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return max_value;
}
T min (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 0,
"\tT running_stats::min"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return min_value;
}
T variance (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_stats::variance"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1);
temp = temp*(sum_sqr - sum*sum/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T stddev (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_stats::stddev"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance());
}
T skewness (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 2,
"\tT running_stats::skewness"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/n;
T temp1 = std::sqrt(n*(n-1))/(n-2);
temp = temp1*temp*(sum_cub - 3*sum_sqr*sum*temp + 2*cubed(sum)*temp*temp)/
(std::sqrt(std::pow(temp*(sum_sqr-sum*sum*temp),3)));
return temp;
}
T ex_kurtosis (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 3,
"\tT running_stats::kurtosis"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/n;
T m4 = temp*(sum_four - 4*sum_cub*sum*temp+6*sum_sqr*sum*sum*temp*temp
-3*quaded(sum)*cubed(temp));
T m2 = temp*(sum_sqr-sum*sum*temp);
temp = (n-1)*((n+1)*m4/(m2*m2)-3*(n-1))/((n-2)*(n-3));
return temp;
}
T scale (
const T& val
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_stats::variance"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return (val-mean())/std::sqrt(variance());
}
running_stats operator+ (
const running_stats& rhs
) const
{
running_stats temp(*this);
temp.sum += rhs.sum;
temp.sum_sqr += rhs.sum_sqr;
temp.sum_cub += rhs.sum_cub;
temp.sum_four += rhs.sum_four;
temp.n += rhs.n;
temp.min_value = std::min(rhs.min_value, min_value);
temp.max_value = std::max(rhs.max_value, max_value);
return temp;
}
template <typename U>
friend void serialize (
const running_stats<U>& item,
std::ostream& out
);
template <typename U>
friend void deserialize (
running_stats<U>& item,
std::istream& in
);
private:
T sum;
T sum_sqr;
T sum_cub;
T sum_four;
T n;
T min_value;
T max_value;
T cubed (const T& val) const {return val*val*val; }
T quaded (const T& val) const {return val*val*val*val; }
};
template <typename T>
void serialize (
const running_stats<T>& item,
std::ostream& out
)
{
int version = 2;
serialize(version, out);
serialize(item.sum, out);
serialize(item.sum_sqr, out);
serialize(item.sum_cub, out);
serialize(item.sum_four, out);
serialize(item.n, out);
serialize(item.min_value, out);
serialize(item.max_value, out);
}
template <typename T>
void deserialize (
running_stats<T>& item,
std::istream& in
)
{
int version = 0;
deserialize(version, in);
if (version != 2)
throw dlib::serialization_error("Unexpected version number found while deserializing dlib::running_stats object.");
deserialize(item.sum, in);
deserialize(item.sum_sqr, in);
deserialize(item.sum_cub, in);
deserialize(item.sum_four, in);
deserialize(item.n, in);
deserialize(item.min_value, in);
deserialize(item.max_value, in);
}
// ----------------------------------------------------------------------------------------
template <
typename T
>
class running_scalar_covariance
{
public:
running_scalar_covariance()
{
clear();
COMPILE_TIME_ASSERT ((
is_same_type<float,T>::value ||
is_same_type<double,T>::value ||
is_same_type<long double,T>::value
));
}
void clear()
{
sum_xy = 0;
sum_x = 0;
sum_y = 0;
sum_xx = 0;
sum_yy = 0;
n = 0;
}
void add (
const T& x,
const T& y
)
{
sum_xy += x*y;
sum_xx += x*x;
sum_yy += y*y;
sum_x += x;
sum_y += y;
n += 1;
}
T current_n (
) const
{
return n;
}
T mean_x (
) const
{
if (n != 0)
return sum_x/n;
else
return 0;
}
T mean_y (
) const
{
if (n != 0)
return sum_y/n;
else
return 0;
}
T covariance (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::covariance()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return 1/(n-1) * (sum_xy - sum_y*sum_x/n);
}
T correlation (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::correlation()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return covariance() / std::sqrt(variance_x()*variance_y());
}
T variance_x (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::variance_x()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1) * (sum_xx - sum_x*sum_x/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T variance_y (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::variance_y()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1) * (sum_yy - sum_y*sum_y/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T stddev_x (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::stddev_x()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance_x());
}
T stddev_y (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance::stddev_y()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance_y());
}
running_scalar_covariance operator+ (
const running_scalar_covariance& rhs
) const
{
running_scalar_covariance temp(rhs);
temp.sum_xy += sum_xy;
temp.sum_x += sum_x;
temp.sum_y += sum_y;
temp.sum_xx += sum_xx;
temp.sum_yy += sum_yy;
temp.n += n;
return temp;
}
private:
T sum_xy;
T sum_x;
T sum_y;
T sum_xx;
T sum_yy;
T n;
};
// ----------------------------------------------------------------------------------------
template <
typename T
>
class running_scalar_covariance_decayed
{
public:
explicit running_scalar_covariance_decayed(
T decay_halflife = 1000
)
{
DLIB_ASSERT(decay_halflife > 0);
sum_xy = 0;
sum_x = 0;
sum_y = 0;
sum_xx = 0;
sum_yy = 0;
forget = std::pow(0.5, 1/decay_halflife);
n = 0;
COMPILE_TIME_ASSERT ((
is_same_type<float,T>::value ||
is_same_type<double,T>::value ||
is_same_type<long double,T>::value
));
}
T forget_factor (
) const
{
return forget;
}
void add (
const T& x,
const T& y
)
{
sum_xy = sum_xy*forget + x*y;
sum_xx = sum_xx*forget + x*x;
sum_yy = sum_yy*forget + y*y;
sum_x = sum_x*forget + x;
sum_y = sum_y*forget + y;
n = n*forget + 1;
}
T current_n (
) const
{
return n;
}
T mean_x (
) const
{
if (n != 0)
return sum_x/n;
else
return 0;
}
T mean_y (
) const
{
if (n != 0)
return sum_y/n;
else
return 0;
}
T covariance (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::covariance()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return 1/(n-1) * (sum_xy - sum_y*sum_x/n);
}
T correlation (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::correlation()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = std::sqrt(variance_x()*variance_y());
if (temp != 0)
return covariance() / temp;
else
return 0; // just say it's zero if there isn't any variance in x or y.
}
T variance_x (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::variance_x()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1) * (sum_xx - sum_x*sum_x/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T variance_y (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::variance_y()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1) * (sum_yy - sum_y*sum_y/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T stddev_x (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::stddev_x()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance_x());
}
T stddev_y (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_scalar_covariance_decayed::stddev_y()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance_y());
}
private:
T sum_xy;
T sum_x;
T sum_y;
T sum_xx;
T sum_yy;
T n;
T forget;
};
// ----------------------------------------------------------------------------------------
template <
typename T
>
class running_stats_decayed
{
public:
explicit running_stats_decayed(
T decay_halflife = 1000
)
{
DLIB_ASSERT(decay_halflife > 0);
sum_x = 0;
sum_xx = 0;
forget = std::pow(0.5, 1/decay_halflife);
n = 0;
COMPILE_TIME_ASSERT ((
is_same_type<float,T>::value ||
is_same_type<double,T>::value ||
is_same_type<long double,T>::value
));
}
T forget_factor (
) const
{
return forget;
}
void add (
const T& x
)
{
sum_xx = sum_xx*forget + x*x;
sum_x = sum_x*forget + x;
n = n*forget + 1;
}
T current_n (
) const
{
return n;
}
T mean (
) const
{
if (n != 0)
return sum_x/n;
else
return 0;
}
T variance (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_stats_decayed::variance()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
T temp = 1/(n-1) * (sum_xx - sum_x*sum_x/n);
// make sure the variance is never negative. This might
// happen due to numerical errors.
if (temp >= 0)
return temp;
else
return 0;
}
T stddev (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(current_n() > 1,
"\tT running_stats_decayed::stddev()"
<< "\n\tyou have to add some numbers to this object first"
<< "\n\tthis: " << this
);
return std::sqrt(variance());
}
template <typename U>
friend void serialize (
const running_stats_decayed<U>& item,
std::ostream& out
);
template <typename U>
friend void deserialize (
running_stats_decayed<U>& item,
std::istream& in
);
private:
T sum_x;
T sum_xx;
T n;
T forget;
};
template <typename T>
void serialize (
const running_stats_decayed<T>& item,
std::ostream& out
)
{
int version = 1;
serialize(version, out);
serialize(item.sum_x, out);
serialize(item.sum_xx, out);
serialize(item.n, out);
serialize(item.forget, out);
}
template <typename T>
void deserialize (
running_stats_decayed<T>& item,
std::istream& in
)
{
int version = 0;
deserialize(version, in);
if (version != 1)
throw dlib::serialization_error("Unexpected version number found while deserializing dlib::running_stats_decayed object.");
deserialize(item.sum_x, in);
deserialize(item.sum_xx, in);
deserialize(item.n, in);
deserialize(item.forget, in);
}
// ----------------------------------------------------------------------------------------
template <
typename T,
typename alloc
>
double mean_sign_agreement (
const std::vector<T,alloc>& a,
const std::vector<T,alloc>& b
)
{
// make sure requires clause is not broken
DLIB_ASSERT(a.size() == b.size(),
"\t double mean_sign_agreement(a,b)"
<< "\n\t a and b must be the same length."
<< "\n\t a.size(): " << a.size()
<< "\n\t b.size(): " << b.size()
);
double temp = 0;
for (unsigned long i = 0; i < a.size(); ++i)
{
if ((a[i] >= 0 && b[i] >= 0) ||
(a[i] < 0 && b[i] < 0))
{
temp += 1;
}
}
return temp/a.size();
}
// ----------------------------------------------------------------------------------------
template <
typename T,
typename alloc
>
double correlation (
const std::vector<T,alloc>& a,
const std::vector<T,alloc>& b
)
{
// make sure requires clause is not broken
DLIB_ASSERT(a.size() == b.size() && a.size() > 1,
"\t double correlation(a,b)"
<< "\n\t a and b must be the same length and have more than one element."
<< "\n\t a.size(): " << a.size()
<< "\n\t b.size(): " << b.size()
);
running_scalar_covariance<double> rs;
for (unsigned long i = 0; i < a.size(); ++i)
{
rs.add(a[i], b[i]);
}
return rs.correlation();
}
// ----------------------------------------------------------------------------------------
template <
typename T,
typename alloc
>
double covariance (
const std::vector<T,alloc>& a,
const std::vector<T,alloc>& b
)
{
// make sure requires clause is not broken
DLIB_ASSERT(a.size() == b.size() && a.size() > 1,
"\t double covariance(a,b)"
<< "\n\t a and b must be the same length and have more than one element."
<< "\n\t a.size(): " << a.size()
<< "\n\t b.size(): " << b.size()
);
running_scalar_covariance<double> rs;
for (unsigned long i = 0; i < a.size(); ++i)
{
rs.add(a[i], b[i]);
}
return rs.covariance();
}
// ----------------------------------------------------------------------------------------
template <
typename T,
typename alloc
>
double r_squared (
const std::vector<T,alloc>& a,
const std::vector<T,alloc>& b
)
{
// make sure requires clause is not broken
DLIB_ASSERT(a.size() == b.size() && a.size() > 1,
"\t double r_squared(a,b)"
<< "\n\t a and b must be the same length and have more than one element."
<< "\n\t a.size(): " << a.size()
<< "\n\t b.size(): " << b.size()
);
return std::pow(correlation(a,b),2.0);
}
// ----------------------------------------------------------------------------------------
template <
typename T,
typename alloc
>
double mean_squared_error (
const std::vector<T,alloc>& a,
const std::vector<T,alloc>& b
)
{
// make sure requires clause is not broken
DLIB_ASSERT(a.size() == b.size(),
"\t double mean_squared_error(a,b)"
<< "\n\t a and b must be the same length."
<< "\n\t a.size(): " << a.size()
<< "\n\t b.size(): " << b.size()
);
return mean(squared(matrix_cast<double>(mat(a))-matrix_cast<double>(mat(b))));
}
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
class running_covariance
{
/*!
INITIAL VALUE
- vect_size == 0
- total_count == 0
CONVENTION
- vect_size == in_vector_size()
- total_count == current_n()
- if (total_count != 0)
- total_sum == the sum of all vectors given to add()
- the covariance of all the elements given to add() is given
by:
- let avg == total_sum/total_count
- covariance == total_cov/total_count - avg*trans(avg)
!*/
public:
typedef typename matrix_type::mem_manager_type mem_manager_type;
typedef typename matrix_type::type scalar_type;
typedef typename matrix_type::layout_type layout_type;
typedef matrix<scalar_type,0,0,mem_manager_type,layout_type> general_matrix;
typedef matrix<scalar_type,0,1,mem_manager_type,layout_type> column_matrix;
running_covariance(
)
{
clear();
}
void clear(
)
{
total_count = 0;
vect_size = 0;
total_sum.set_size(0);
total_cov.set_size(0,0);
}
long in_vector_size (
) const
{
return vect_size;
}
long current_n (
) const
{
return static_cast<long>(total_count);
}
void set_dimension (
long size
)
{
// make sure requires clause is not broken
DLIB_ASSERT( size > 0,
"\t void running_covariance::set_dimension()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t size: " << size
<< "\n\t this: " << this
);
clear();
vect_size = size;
total_sum.set_size(size);
total_cov.set_size(size,size);
total_sum = 0;
total_cov = 0;
}
template <typename T>
typename disable_if<is_matrix<T> >::type add (
const T& val
)
{
// make sure requires clause is not broken
DLIB_ASSERT(((long)max_index_plus_one(val) <= in_vector_size() && in_vector_size() > 0),
"\t void running_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t max_index_plus_one(val): " << max_index_plus_one(val)
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t this: " << this
);
for (typename T::const_iterator i = val.begin(); i != val.end(); ++i)
{
total_sum(i->first) += i->second;
for (typename T::const_iterator j = val.begin(); j != val.end(); ++j)
{
total_cov(i->first, j->first) += i->second*j->second;
}
}
++total_count;
}
template <typename T>
typename enable_if<is_matrix<T> >::type add (
const T& val
)
{
// make sure requires clause is not broken
DLIB_ASSERT(is_col_vector(val) && (in_vector_size() == 0 || val.size() == in_vector_size()),
"\t void running_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t is_col_vector(val): " << is_col_vector(val)
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t val.size(): " << val.size()
<< "\n\t this: " << this
);
vect_size = val.size();
if (total_count == 0)
{
total_cov = val*trans(val);
total_sum = val;
}
else
{
total_cov += val*trans(val);
total_sum += val;
}
++total_count;
}
const column_matrix mean (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT( in_vector_size() != 0,
"\t running_covariance::mean()"
<< "\n\t This object can not execute this function in its current state."
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t current_n(): " << current_n()
<< "\n\t this: " << this
);
return total_sum/total_count;
}
const general_matrix covariance (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT( in_vector_size() != 0 && current_n() > 1,
"\t running_covariance::covariance()"
<< "\n\t This object can not execute this function in its current state."
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t current_n(): " << current_n()
<< "\n\t this: " << this
);
return (total_cov - total_sum*trans(total_sum)/total_count)/(total_count-1);
}
const running_covariance operator+ (
const running_covariance& item
) const
{
// make sure requires clause is not broken
DLIB_ASSERT((in_vector_size() == 0 || item.in_vector_size() == 0 || in_vector_size() == item.in_vector_size()),
"\t running_covariance running_covariance::operator+()"
<< "\n\t The two running_covariance objects being added must have compatible parameters"
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t item.in_vector_size(): " << item.in_vector_size()
<< "\n\t this: " << this
);
running_covariance temp(item);
// make sure we ignore empty matrices
if (total_count != 0 && temp.total_count != 0)
{
temp.total_cov += total_cov;
temp.total_sum += total_sum;
temp.total_count += total_count;
}
else if (total_count != 0)
{
temp.total_cov = total_cov;
temp.total_sum = total_sum;
temp.total_count = total_count;
}
return temp;
}
private:
general_matrix total_cov;
column_matrix total_sum;
scalar_type total_count;
long vect_size;
};
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
class running_cross_covariance
{
/*!
INITIAL VALUE
- x_vect_size == 0
- y_vect_size == 0
- total_count == 0
CONVENTION
- x_vect_size == x_vector_size()
- y_vect_size == y_vector_size()
- total_count == current_n()
- if (total_count != 0)
- sum_x == the sum of all x vectors given to add()
- sum_y == the sum of all y vectors given to add()
- total_cov == sum of all x*trans(y) given to add()
!*/
public:
typedef typename matrix_type::mem_manager_type mem_manager_type;
typedef typename matrix_type::type scalar_type;
typedef typename matrix_type::layout_type layout_type;
typedef matrix<scalar_type,0,0,mem_manager_type,layout_type> general_matrix;
typedef matrix<scalar_type,0,1,mem_manager_type,layout_type> column_matrix;
running_cross_covariance(
)
{
clear();
}
void clear(
)
{
total_count = 0;
x_vect_size = 0;
y_vect_size = 0;
sum_x.set_size(0);
sum_y.set_size(0);
total_cov.set_size(0,0);
}
long x_vector_size (
) const
{
return x_vect_size;
}
long y_vector_size (
) const
{
return y_vect_size;
}
void set_dimensions (
long x_size,
long y_size
)
{
// make sure requires clause is not broken
DLIB_ASSERT( x_size > 0 && y_size > 0,
"\t void running_cross_covariance::set_dimensions()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t x_size: " << x_size
<< "\n\t y_size: " << y_size
<< "\n\t this: " << this
);
clear();
x_vect_size = x_size;
y_vect_size = y_size;
sum_x.set_size(x_size);
sum_y.set_size(y_size);
total_cov.set_size(x_size,y_size);
sum_x = 0;
sum_y = 0;
total_cov = 0;
}
long current_n (
) const
{
return static_cast<long>(total_count);
}
template <typename T, typename U>
typename enable_if_c<!is_matrix<T>::value && !is_matrix<U>::value>::type add (
const T& x,
const U& y
)
{
// make sure requires clause is not broken
DLIB_ASSERT( ((long)max_index_plus_one(x) <= x_vector_size() && x_vector_size() > 0) &&
((long)max_index_plus_one(y) <= y_vector_size() && y_vector_size() > 0) ,
"\t void running_cross_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t max_index_plus_one(x): " << max_index_plus_one(x)
<< "\n\t max_index_plus_one(y): " << max_index_plus_one(y)
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t this: " << this
);
for (typename T::const_iterator i = x.begin(); i != x.end(); ++i)
{
sum_x(i->first) += i->second;
for (typename U::const_iterator j = y.begin(); j != y.end(); ++j)
{
total_cov(i->first, j->first) += i->second*j->second;
}
}
// do sum_y += y
for (typename U::const_iterator j = y.begin(); j != y.end(); ++j)
{
sum_y(j->first) += j->second;
}
++total_count;
}
template <typename T, typename U>
typename enable_if_c<is_matrix<T>::value && !is_matrix<U>::value>::type add (
const T& x,
const U& y
)
{
// make sure requires clause is not broken
DLIB_ASSERT( (is_col_vector(x) && x.size() == x_vector_size() && x_vector_size() > 0) &&
((long)max_index_plus_one(y) <= y_vector_size() && y_vector_size() > 0) ,
"\t void running_cross_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t is_col_vector(x): " << is_col_vector(x)
<< "\n\t x.size(): " << x.size()
<< "\n\t max_index_plus_one(y): " << max_index_plus_one(y)
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t this: " << this
);
sum_x += x;
for (long i = 0; i < x.size(); ++i)
{
for (typename U::const_iterator j = y.begin(); j != y.end(); ++j)
{
total_cov(i, j->first) += x(i)*j->second;
}
}
// do sum_y += y
for (typename U::const_iterator j = y.begin(); j != y.end(); ++j)
{
sum_y(j->first) += j->second;
}
++total_count;
}
template <typename T, typename U>
typename enable_if_c<!is_matrix<T>::value && is_matrix<U>::value>::type add (
const T& x,
const U& y
)
{
// make sure requires clause is not broken
DLIB_ASSERT( ((long)max_index_plus_one(x) <= x_vector_size() && x_vector_size() > 0) &&
(is_col_vector(y) && y.size() == (long)y_vector_size() && y_vector_size() > 0) ,
"\t void running_cross_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t max_index_plus_one(x): " << max_index_plus_one(x)
<< "\n\t is_col_vector(y): " << is_col_vector(y)
<< "\n\t y.size(): " << y.size()
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t this: " << this
);
for (typename T::const_iterator i = x.begin(); i != x.end(); ++i)
{
sum_x(i->first) += i->second;
for (long j = 0; j < y.size(); ++j)
{
total_cov(i->first, j) += i->second*y(j);
}
}
sum_y += y;
++total_count;
}
template <typename T, typename U>
typename enable_if_c<is_matrix<T>::value && is_matrix<U>::value>::type add (
const T& x,
const U& y
)
{
// make sure requires clause is not broken
DLIB_ASSERT(is_col_vector(x) && (x_vector_size() == 0 || x.size() == x_vector_size()) &&
is_col_vector(y) && (y_vector_size() == 0 || y.size() == y_vector_size()) &&
x.size() != 0 &&
y.size() != 0,
"\t void running_cross_covariance::add()"
<< "\n\t Invalid inputs were given to this function"
<< "\n\t is_col_vector(x): " << is_col_vector(x)
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t x.size(): " << x.size()
<< "\n\t is_col_vector(y): " << is_col_vector(y)
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t y.size(): " << y.size()
<< "\n\t this: " << this
);
x_vect_size = x.size();
y_vect_size = y.size();
if (total_count == 0)
{
total_cov = x*trans(y);
sum_x = x;
sum_y = y;
}
else
{
total_cov += x*trans(y);
sum_x += x;
sum_y += y;
}
++total_count;
}
const column_matrix mean_x (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT( current_n() != 0,
"\t running_cross_covariance::mean()"
<< "\n\t This object can not execute this function in its current state."
<< "\n\t current_n(): " << current_n()
<< "\n\t this: " << this
);
return sum_x/total_count;
}
const column_matrix mean_y (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT( current_n() != 0,
"\t running_cross_covariance::mean()"
<< "\n\t This object can not execute this function in its current state."
<< "\n\t current_n(): " << current_n()
<< "\n\t this: " << this
);
return sum_y/total_count;
}
const general_matrix covariance_xy (
) const
{
// make sure requires clause is not broken
DLIB_ASSERT( current_n() > 1,
"\t running_cross_covariance::covariance()"
<< "\n\t This object can not execute this function in its current state."
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t current_n(): " << current_n()
<< "\n\t this: " << this
);
return (total_cov - sum_x*trans(sum_y)/total_count)/(total_count-1);
}
const running_cross_covariance operator+ (
const running_cross_covariance& item
) const
{
// make sure requires clause is not broken
DLIB_ASSERT((x_vector_size() == 0 || item.x_vector_size() == 0 || x_vector_size() == item.x_vector_size()) &&
(y_vector_size() == 0 || item.y_vector_size() == 0 || y_vector_size() == item.y_vector_size()),
"\t running_cross_covariance running_cross_covariance::operator+()"
<< "\n\t The two running_cross_covariance objects being added must have compatible parameters"
<< "\n\t x_vector_size(): " << x_vector_size()
<< "\n\t item.x_vector_size(): " << item.x_vector_size()
<< "\n\t y_vector_size(): " << y_vector_size()
<< "\n\t item.y_vector_size(): " << item.y_vector_size()
<< "\n\t this: " << this
);
running_cross_covariance temp(item);
// make sure we ignore empty matrices
if (total_count != 0 && temp.total_count != 0)
{
temp.total_cov += total_cov;
temp.sum_x += sum_x;
temp.sum_y += sum_y;
temp.total_count += total_count;
}
else if (total_count != 0)
{
temp.total_cov = total_cov;
temp.sum_x = sum_x;
temp.sum_y = sum_y;
temp.total_count = total_count;
}
return temp;
}
private:
general_matrix total_cov;
column_matrix sum_x;
column_matrix sum_y;
scalar_type total_count;
long x_vect_size;
long y_vect_size;
};
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
class vector_normalizer
{
public:
typedef typename matrix_type::mem_manager_type mem_manager_type;
typedef typename matrix_type::type scalar_type;
typedef matrix_type result_type;
template <typename vector_type>
void train (
const vector_type& samples
)
{
// make sure requires clause is not broken
DLIB_ASSERT(samples.size() > 0,
"\tvoid vector_normalizer::train()"
<< "\n\tyou have to give a nonempty set of samples to this function"
<< "\n\tthis: " << this
);
m = mean(mat(samples));
sd = reciprocal(sqrt(variance(mat(samples))));
DLIB_ASSERT(is_finite(m), "Some of the input vectors to vector_normalizer::train() have infinite or NaN values");
}
long in_vector_size (
) const
{
return m.nr();
}
long out_vector_size (
) const
{
return m.nr();
}
const matrix_type& means (
) const
{
return m;
}
const matrix_type& std_devs (
) const
{
return sd;
}
const result_type& operator() (
const matrix_type& x
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(x.nr() == in_vector_size() && x.nc() == 1,
"\tmatrix vector_normalizer::operator()"
<< "\n\t you have given invalid arguments to this function"
<< "\n\t x.nr(): " << x.nr()
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t x.nc(): " << x.nc()
<< "\n\t this: " << this
);
temp_out = pointwise_multiply(x-m, sd);
return temp_out;
}
void swap (
vector_normalizer& item
)
{
m.swap(item.m);
sd.swap(item.sd);
temp_out.swap(item.temp_out);
}
template <typename mt>
friend void deserialize (
vector_normalizer<mt>& item,
std::istream& in
);
template <typename mt>
friend void serialize (
const vector_normalizer<mt>& item,
std::ostream& out
);
private:
// ------------------- private data members -------------------
matrix_type m, sd;
// This is just a temporary variable that doesn't contribute to the
// state of this object.
mutable matrix_type temp_out;
};
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
inline void swap (
vector_normalizer<matrix_type>& a,
vector_normalizer<matrix_type>& b
) { a.swap(b); }
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
void deserialize (
vector_normalizer<matrix_type>& item,
std::istream& in
)
{
deserialize(item.m, in);
deserialize(item.sd, in);
// Keep deserializing the pca matrix for backwards compatibility.
matrix<double> pca;
deserialize(pca, in);
if (pca.size() != 0)
throw serialization_error("Error deserializing object of type vector_normalizer\n"
"It looks like a serialized vector_normalizer_pca was accidentally deserialized into \n"
"a vector_normalizer object.");
}
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
void serialize (
const vector_normalizer<matrix_type>& item,
std::ostream& out
)
{
serialize(item.m, out);
serialize(item.sd, out);
// Keep serializing the pca matrix for backwards compatibility.
matrix<double> pca;
serialize(pca, out);
}
// ----------------------------------------------------------------------------------------
// ----------------------------------------------------------------------------------------
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
class vector_normalizer_pca
{
public:
typedef typename matrix_type::mem_manager_type mem_manager_type;
typedef typename matrix_type::type scalar_type;
typedef matrix<scalar_type,0,1,mem_manager_type> result_type;
template <typename vector_type>
void train (
const vector_type& samples,
const double eps = 0.99
)
{
// You are getting an error here because you are trying to apply PCA
// to a vector of fixed length. But PCA is going to try and do
// dimensionality reduction so you can't use a vector with a fixed dimension.
COMPILE_TIME_ASSERT(matrix_type::NR == 0);
// make sure requires clause is not broken
DLIB_ASSERT(samples.size() > 0,
"\tvoid vector_normalizer_pca::train_pca()"
<< "\n\tyou have to give a nonempty set of samples to this function"
<< "\n\tthis: " << this
);
DLIB_ASSERT(0 < eps && eps <= 1,
"\tvoid vector_normalizer_pca::train_pca()"
<< "\n\tyou have to give a nonempty set of samples to this function"
<< "\n\tthis: " << this
);
train_pca_impl(mat(samples),eps);
DLIB_ASSERT(is_finite(m), "Some of the input vectors to vector_normalizer_pca::train() have infinite or NaN values");
}
long in_vector_size (
) const
{
return m.nr();
}
long out_vector_size (
) const
{
return pca.nr();
}
const matrix<scalar_type,0,1,mem_manager_type>& means (
) const
{
return m;
}
const matrix<scalar_type,0,1,mem_manager_type>& std_devs (
) const
{
return sd;
}
const matrix<scalar_type,0,0,mem_manager_type>& pca_matrix (
) const
{
return pca;
}
const result_type& operator() (
const matrix_type& x
) const
{
// make sure requires clause is not broken
DLIB_ASSERT(x.nr() == in_vector_size() && x.nc() == 1,
"\tmatrix vector_normalizer_pca::operator()"
<< "\n\t you have given invalid arguments to this function"
<< "\n\t x.nr(): " << x.nr()
<< "\n\t in_vector_size(): " << in_vector_size()
<< "\n\t x.nc(): " << x.nc()
<< "\n\t this: " << this
);
// If we have a pca transform matrix on hand then
// also apply that.
temp_out = pca*pointwise_multiply(x-m, sd);
return temp_out;
}
void swap (
vector_normalizer_pca& item
)
{
m.swap(item.m);
sd.swap(item.sd);
pca.swap(item.pca);
temp_out.swap(item.temp_out);
}
template <typename T>
friend void deserialize (
vector_normalizer_pca<T>& item,
std::istream& in
);
template <typename T>
friend void serialize (
const vector_normalizer_pca<T>& item,
std::ostream& out
);
private:
template <typename mat_type>
void train_pca_impl (
const mat_type& samples,
const double eps
)
{
m = mean(samples);
sd = reciprocal(sqrt(variance(samples)));
// fill x with the normalized version of the input samples
matrix<typename mat_type::type,0,1,mem_manager_type> x(samples);
for (long r = 0; r < x.size(); ++r)
x(r) = pointwise_multiply(x(r)-m, sd);
matrix<scalar_type,0,0,mem_manager_type> temp, eigen;
matrix<scalar_type,0,1,mem_manager_type> eigenvalues;
// Compute the svd of the covariance matrix of the normalized inputs
svd(covariance(x), temp, eigen, pca);
eigenvalues = diag(eigen);
rsort_columns(pca, eigenvalues);
// figure out how many eigenvectors we want in our pca matrix
const double thresh = sum(eigenvalues)*eps;
long num_vectors = 0;
double total = 0;
for (long r = 0; r < eigenvalues.size() && total < thresh; ++r)
{
++num_vectors;
total += eigenvalues(r);
}
// So now we know we want to use num_vectors of the first eigenvectors. So
// pull those out and discard the rest.
pca = trans(colm(pca,range(0,num_vectors-1)));
// Apply the pca transform to the data in x. Then we will normalize the
// pca matrix below.
for (long r = 0; r < x.nr(); ++r)
{
x(r) = pca*x(r);
}
// Here we just scale the output features from the pca transform so
// that the variance of each feature is 1. So this doesn't really change
// what the pca is doing, it just makes sure the output features are
// normalized.
pca = trans(scale_columns(trans(pca), reciprocal(sqrt(variance(x)))));
}
// ------------------- private data members -------------------
matrix<scalar_type,0,1,mem_manager_type> m, sd;
matrix<scalar_type,0,0,mem_manager_type> pca;
// This is just a temporary variable that doesn't contribute to the
// state of this object.
mutable result_type temp_out;
};
template <
typename matrix_type
>
inline void swap (
vector_normalizer_pca<matrix_type>& a,
vector_normalizer_pca<matrix_type>& b
) { a.swap(b); }
// ----------------------------------------------------------------------------------------
template <
typename matrix_type
>
void deserialize (
vector_normalizer_pca<matrix_type>& item,
std::istream& in
)
{
deserialize(item.m, in);
deserialize(item.sd, in);
deserialize(item.pca, in);
if (item.pca.nc() != item.m.nr())
throw serialization_error("Error deserializing object of type vector_normalizer_pca\n"
"It looks like a serialized vector_normalizer was accidentally deserialized into \n"
"a vector_normalizer_pca object.");
}
template <
typename matrix_type
>
void serialize (
const vector_normalizer_pca<matrix_type>& item,
std::ostream& out
)
{
serialize(item.m, out);
serialize(item.sd, out);
serialize(item.pca, out);
}
// ----------------------------------------------------------------------------------------
inline double binomial_random_vars_are_different (
uint64_t k1,
uint64_t n1,
uint64_t k2,
uint64_t n2
)
{
DLIB_ASSERT(k1 <= n1, "k1: "<< k1 << " n1: "<< n1);
DLIB_ASSERT(k2 <= n2, "k2: "<< k2 << " n2: "<< n2);
const double p1 = k1/(double)n1;
const double p2 = k2/(double)n2;
const double p = (k1+k2)/(double)(n1+n2);
auto ll = [](double p, uint64_t k, uint64_t n) {
if (p == 0 || p == 1)
return 0.0;
return k*std::log(p) + (n-k)*std::log(1-p);
};
auto logll = ll(p1,k1,n1) + ll(p2,k2,n2) - ll(p,k1,n1) - ll(p,k2,n2);
// The basic statistic only tells you if the random variables are different. But
// it's nice to know which way they are different, i.e., which one is bigger. So
// stuff that information into the sign bit of the return value.
if (p1>=p2)
return logll;
else
return -logll;
}
// ----------------------------------------------------------------------------------------
inline double event_correlation (
uint64_t A_count,
uint64_t B_count,
uint64_t AB_count,
uint64_t total_num_observations
)
{
DLIB_ASSERT(AB_count <= A_count && A_count <= total_num_observations,
"AB_count: " << AB_count << ", A_count: "<< A_count << ", total_num_observations: " << total_num_observations);
DLIB_ASSERT(AB_count <= B_count && B_count <= total_num_observations,
"AB_count: " << AB_count << ", B_count: "<< B_count << ", total_num_observations: " << total_num_observations);
if (total_num_observations == 0)
return 0;
DLIB_ASSERT(A_count + B_count - AB_count <= total_num_observations,
"AB_count: " << AB_count << " A_count: " << A_count << ", B_count: "<< B_count << ", total_num_observations: " << total_num_observations);
const auto AnotB_count = A_count - AB_count;
const auto notB_count = total_num_observations - B_count;
// How likely is it that the odds of A happening is different when conditioned on
// whether or not B happened?
return binomial_random_vars_are_different(
AB_count, B_count, // A conditional on the presence of B
AnotB_count, notB_count // A conditional on the absence of B
);
}
// ----------------------------------------------------------------------------------------
}
#endif // DLIB_STATISTICs_