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Diffstat (limited to 'src/armadillo/include/armadillo_bits/glue_quantile_meat.hpp')
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diff --git a/src/armadillo/include/armadillo_bits/glue_quantile_meat.hpp b/src/armadillo/include/armadillo_bits/glue_quantile_meat.hpp new file mode 100644 index 0000000..370e432 --- /dev/null +++ b/src/armadillo/include/armadillo_bits/glue_quantile_meat.hpp @@ -0,0 +1,230 @@ +// SPDX-License-Identifier: Apache-2.0 +// +// Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au) +// Copyright 2008-2016 National ICT Australia (NICTA) +// +// Licensed 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. +// ------------------------------------------------------------------------ + + +//! \addtogroup glue_quantile +//! @{ + + +template<typename eTa, typename eTb> +inline +void +glue_quantile::worker(eTb* out_mem, Col<eTa>& Y, const Mat<eTb>& P) + { + arma_extra_debug_sigprint(); + + // NOTE: assuming out_mem is an array with P.n_elem elements + + // TODO: ignore non-finite values ? + + // algorithm based on "Definition 5" in: + // Rob J. Hyndman and Yanan Fan. + // Sample Quantiles in Statistical Packages. + // The American Statistician, Vol. 50, No. 4, pp. 361-365, 1996. + // http://doi.org/10.2307/2684934 + + const eTb* P_mem = P.memptr(); + const uword P_n_elem = P.n_elem; + + const eTb alpha = 0.5; + const eTb N = eTb(Y.n_elem); + const eTb P_min = (eTb(1) - alpha) / N; + const eTb P_max = (N - alpha) / N; + + for(uword i=0; i < P_n_elem; ++i) + { + const eTb P_i = P_mem[i]; + + eTb out_val = eTb(0); + + if(P_i < P_min) + { + out_val = (P_i < eTb(0)) ? eTb(-std::numeric_limits<eTb>::infinity()) : eTb(Y.min()); + } + else + if(P_i > P_max) + { + out_val = (P_i > eTb(1)) ? eTb( std::numeric_limits<eTb>::infinity()) : eTb(Y.max()); + } + else + { + const uword k = uword(std::floor(N * P_i + alpha)); + const eTb P_k = (eTb(k) - alpha) / N; + + const eTb w = (P_i - P_k) * N; + + eTa* Y_k_ptr = Y.begin() + uword(k); + std::nth_element( Y.begin(), Y_k_ptr, Y.end() ); + const eTa Y_k_val = (*Y_k_ptr); + + eTa* Y_km1_ptr = Y.begin() + uword(k-1); + // std::nth_element( Y.begin(), Y_km1_ptr, Y.end() ); + std::nth_element( Y.begin(), Y_km1_ptr, Y_k_ptr ); + const eTa Y_km1_val = (*Y_km1_ptr); + + out_val = ((eTb(1) - w) * Y_km1_val) + (w * Y_k_val); + } + + out_mem[i] = out_val; + } + } + + + +template<typename eTa, typename eTb> +inline +void +glue_quantile::apply_noalias(Mat<eTb>& out, const Mat<eTa>& X, const Mat<eTb>& P, const uword dim) + { + arma_extra_debug_sigprint(); + + arma_debug_check( ((P.is_vec() == false) && (P.is_empty() == false)), "quantile(): parameter 'P' must be a vector" ); + + if(X.is_empty()) { out.reset(); return; } + + const uword X_n_rows = X.n_rows; + const uword X_n_cols = X.n_cols; + + const uword P_n_elem = P.n_elem; + + if(dim == 0) + { + out.set_size(P_n_elem, X_n_cols); + + if(out.is_empty()) { return; } + + Col<eTa> Y(X_n_rows, arma_nozeros_indicator()); + + if(X_n_cols == 1) + { + arrayops::copy(Y.memptr(), X.memptr(), X_n_rows); + + glue_quantile::worker(out.memptr(), Y, P); + } + else + { + for(uword col=0; col < X_n_cols; ++col) + { + arrayops::copy(Y.memptr(), X.colptr(col), X_n_rows); + + glue_quantile::worker(out.colptr(col), Y, P); + } + } + } + else + if(dim == 1) + { + out.set_size(X_n_rows, P_n_elem); + + if(out.is_empty()) { return; } + + Col<eTa> Y(X_n_cols, arma_nozeros_indicator()); + + if(X_n_rows == 1) + { + arrayops::copy(Y.memptr(), X.memptr(), X_n_cols); + + glue_quantile::worker(out.memptr(), Y, P); + } + else + { + Col<eTb> tmp(P_n_elem, arma_nozeros_indicator()); + + eTb* tmp_mem = tmp.memptr(); + + for(uword row=0; row < X_n_rows; ++row) + { + eTa* Y_mem = Y.memptr(); + + for(uword col=0; col < X_n_cols; ++col) { Y_mem[col] = X.at(row,col); } + + glue_quantile::worker(tmp_mem, Y, P); + + for(uword i=0; i < P_n_elem; ++i) { out.at(row,i) = tmp_mem[i]; } + } + } + } + } + + + +template<typename T1, typename T2> +inline +void +glue_quantile::apply(Mat<typename T2::elem_type>& out, const mtGlue<typename T2::elem_type,T1,T2,glue_quantile>& expr) + { + arma_extra_debug_sigprint(); + + typedef typename T2::elem_type eTb; + + const uword dim = expr.aux_uword; + + arma_debug_check( (dim > 1), "quantile(): parameter 'dim' must be 0 or 1" ); + + const quasi_unwrap<T1> UA(expr.A); + const quasi_unwrap<T2> UB(expr.B); + + arma_debug_check((UA.M.internal_has_nan() || UB.M.internal_has_nan()), "quantile(): detected NaN"); + + if(UA.is_alias(out) || UB.is_alias(out)) + { + Mat<eTb> tmp; + + glue_quantile::apply_noalias(tmp, UA.M, UB.M, dim); + + out.steal_mem(tmp); + } + else + { + glue_quantile::apply_noalias(out, UA.M, UB.M, dim); + } + } + + + +template<typename T1, typename T2> +inline +void +glue_quantile_default::apply(Mat<typename T2::elem_type>& out, const mtGlue<typename T2::elem_type,T1,T2,glue_quantile_default>& expr) + { + arma_extra_debug_sigprint(); + + typedef typename T2::elem_type eTb; + + const quasi_unwrap<T1> UA(expr.A); + const quasi_unwrap<T2> UB(expr.B); + + const uword dim = (T1::is_xvec) ? uword(UA.M.is_rowvec() ? 1 : 0) : uword((T1::is_row) ? 1 : 0); + + arma_debug_check((UA.M.internal_has_nan() || UB.M.internal_has_nan()), "quantile(): detected NaN"); + + if(UA.is_alias(out) || UB.is_alias(out)) + { + Mat<eTb> tmp; + + glue_quantile::apply_noalias(tmp, UA.M, UB.M, dim); + + out.steal_mem(tmp); + } + else + { + glue_quantile::apply_noalias(out, UA.M, UB.M, dim); + } + } + + +//! @} |