Source code for KDEpy.FFTKDE

#!/usr/bin/env python3
# -*- coding: utf-8 -*-
Module for the FFTKDE.
import numbers
import warnings
import numpy as np
from KDEpy.BaseKDE import BaseKDE
from KDEpy.binning import linear_binning, grid_is_sorted
from scipy.signal import convolve
from KDEpy.utils import cartesian

[docs]class FFTKDE(BaseKDE): r""" This class implements a convolution (FFT) based computation of a KDE. While this implementation is very fast, there are some limitations: (1) the bandwidth must be constant, (2) the KDE must be evaluated on an equidistant grid and (3) the grid must encompass every data point. The finer the grid, the smaller the error. The evaluation step is split into two phases. First the :math:`N` data points are binned using a linear binning routine on an equidistant grid `x` with :math:`n` grid points. This runs in :math:`O(N 2^d)` time. Then the kernel is evaluated once on :math:`\leq n` points and the result of the kernel evaluation and the binned data is convolved. Using the convolution theorem, this step runs in :math:`O(n \log n)` time. While :math:`N` may be millions, :math:`n` is typically 2**10. The total running time of the algorithm is :math:`O(N 2^d + n \log n)`. See references for more information. The implementation is reminiscent of the one found in statsmodels. However, unlike the statsmodels implementation every kernel is available for FFT computation, weighted data is available for FFT computation, and no large temporary arrays are created. Parameters ---------- kernel : str The kernel function. See cls._available_kernels.keys() for choices. bw : float or str Bandwidth or bandwidth selection method. If a float is passed, it is the standard deviation of the kernel. If a string it passed, it is the bandwidth selection method, see cls._bw_methods.keys() for choices. Examples -------- >>> data = np.random.randn(2**10) >>> # (1) Automatic bw selection using Improved Sheather Jones (ISJ) >>> x, y = FFTKDE(bw='ISJ').fit(data).evaluate() >>> # (2) Explicit choice of kernel and bw (standard deviation of kernel) >>> x, y = FFTKDE(kernel='triweight', bw=0.5).fit(data).evaluate() >>> weights = data + 10 >>> # (3) Using a grid and weights for the data >>> y = FFTKDE(kernel='epa', bw=0.5).fit(data, weights).evaluate(x) >>> # (4) If you supply your own grid, it must be equidistant >>> y = FFTKDE().fit(data)(np.linspace(-10, 10, num=2**12)) References ---------- - Wand, M. P., and M. C. Jones. Kernel Smoothing. London ; New York: Chapman and Hall/CRC, 1995. Pages 182-192. - Statsmodels implementation, at ``statsmodels.nonparametric.kde.KDEUnivariate``. """ def __init__(self, kernel="gaussian", bw=1, norm=2): self.norm = norm super().__init__(kernel, bw) assert isinstance(self.norm, numbers.Number) and self.norm > 0
[docs] def fit(self, data, weights=None): """ Fit the KDE to the data. This validates the data and stores it. Computations are performed upon evaluation on a specific grid. Parameters ---------- data: array-like The data points. weights: array-like One weight per data point. Must have same shape as the data. Returns ------- self Returns the instance. Examples -------- >>> data = [1, 3, 4, 7] >>> weights = [3, 4, 2, 1] >>> kde = FFTKDE().fit(data, weights=None) >>> kde = FFTKDE().fit(data, weights=weights) >>> x, y = kde.evaluate() """ # Sets super().fit(data, weights) return self
[docs] def evaluate(self, grid_points=None): """ Evaluate on equidistant grid points. Parameters ---------- grid_points: array-like, int, tuple or None A grid (mesh) to evaluate on. High dimensional grids must have shape (obs, dims). If an integer is passed, it's the number of grid points on an equidistant grid. If a tuple is passed, it's the number of grid points in each dimension. If None, a grid will be automatically created. Returns ------- y: array-like If a grid is supplied, `y` is returned. If no grid is supplied, a tuple (`x`, `y`) is returned. Examples -------- >>> kde = FFTKDE().fit([1, 3, 4, 7]) >>> # Three ways to evaluate a fitted KDE object: >>> x, y = kde.evaluate() # (1) Auto grid >>> x, y = kde.evaluate(256) # (2) Auto grid with 256 points >>> # (3) Use a custom grid (make sure it's wider than the data) >>> x_grid = np.linspace(-10, 25, num=2**10) # <- Must be equidistant >>> y = kde.evaluate(x_grid) # Notice that only y is returned """ # This method sets self.grid_points and verifies it super().evaluate(grid_points) # Extra verification for FFTKDE (checking the sorting property) if not grid_is_sorted(self.grid_points): raise ValueError("The grid must be sorted.") if isinstance(, numbers.Number) and > 0: bw = else: raise ValueError("The bw must be a number.") = bw # Step 0 - Make sure data points are inside of the grid min_grid = np.min(self.grid_points, axis=0) max_grid = np.max(self.grid_points, axis=0) min_data = np.min(, axis=0) max_data = np.max(, axis=0) if not ((min_grid < min_data).all() and (max_grid > max_data).all()): raise ValueError("Every data point must be inside of the grid.") # Step 1 - Obtaining the grid counts # TODO: Consider moving this to the fitting phase instead data = linear_binning(, grid_points=self.grid_points, weights=self.weights) # Step 2 - Computing kernel weights g_shape = self.grid_points.shape[1] num_grid_points = np.array(list(len(np.unique(self.grid_points[:, i])) for i in range(g_shape))) num_intervals = num_grid_points - 1 dx = (max_grid - min_grid) / num_intervals # Find the real bandwidth, the support times the desired bw factor if self.kernel.finite_support: real_bw = * else: # The parent class should compute this already. If not, compute # it again. This optimization only dominates a little bit with # few data points try: real_bw = self._kernel_practical_support except AttributeError: real_bw = self.kernel.practical_support( # Compute L, the number of dx'es to move out from 0 in kernel L = np.minimum(np.floor(real_bw / dx), num_intervals + 1) assert (dx * L <= real_bw).all() # Evaluate the kernel once grids = [np.linspace(-dx * L, dx * L, int(L * 2 + 1)) for (dx, L) in zip(dx, L)] kernel_grid = cartesian(grids) kernel_weights = self.kernel(kernel_grid,, norm=self.norm) # Reshape in preparation to kernel_weights = kernel_weights.reshape(*[int(k * 2 + 1) for k in L]) data = data.reshape(*tuple(num_grid_points)) # Step 3 - Performing the convolution # The following code block surpressed the warning: # anaconda3/lib/python3.6/site-packages/mkl_fft/ # FutureWarning: Using a non-tuple sequence for multidimensional ... # output = mkl_fft.rfftn_numpy(a, s, axes) with warnings.catch_warnings(): warnings.simplefilter("ignore") ans = convolve(data, kernel_weights, mode="same").reshape(-1, 1) return self._evalate_return_logic(ans, self.grid_points)
if __name__ == "__main__": import pytest # --durations=10 <- May be used to show potentially slow tests pytest.main(args=[".", "--doctest-modules", "-v", "--capture=sys"])