1 | // $Id: KolmogorovSmirnov.cc 1600 2008-10-27 19:10:49Z peter $ |
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2 | |
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3 | /* |
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4 | Copyright (C) 2008 Peter Johansson |
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5 | |
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6 | This file is part of the yat library, http://dev.thep.lu.se/yat |
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7 | |
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8 | The yat library is free software; you can redistribute it and/or |
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9 | modify it under the terms of the GNU General Public License as |
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10 | published by the Free Software Foundation; either version 3 of the |
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11 | License, or (at your option) any later version. |
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12 | |
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13 | The yat library is distributed in the hope that it will be useful, |
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14 | but WITHOUT ANY WARRANTY; without even the implied warranty of |
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15 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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16 | General Public License for more details. |
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17 | |
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18 | You should have received a copy of the GNU General Public License |
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19 | along with yat. If not, see <http://www.gnu.org/licenses/>. |
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20 | */ |
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21 | |
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22 | #include "KolmogorovSmirnov.h" |
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23 | #include "yat/random/random.h" |
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24 | #include "yat/utility/stl_utility.h" |
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25 | |
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26 | #include <algorithm> |
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27 | #include <cassert> |
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28 | #include <cmath> |
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29 | #include <deque> |
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30 | #include <functional> |
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31 | |
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32 | namespace theplu { |
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33 | namespace yat { |
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34 | namespace statistics { |
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35 | |
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36 | |
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37 | KolmogorovSmirnov::KolmogorovSmirnov(void) |
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38 | : cached_(true), score_(0.0), sum_w1_(0.0), sum_w2_(0.0) |
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39 | { |
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40 | } |
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41 | |
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42 | |
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43 | void KolmogorovSmirnov::add(double x, bool target, double w) |
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44 | { |
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45 | if (w==0) // ignoring zero weight data |
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46 | return; |
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47 | |
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48 | data_.insert(std::make_pair(std::make_pair(x,w),target)); |
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49 | if (target){ |
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50 | sum_w1_+=w; |
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51 | } |
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52 | else { |
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53 | sum_w2_+=w; |
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54 | } |
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55 | cached_=false; |
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56 | } |
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57 | |
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58 | |
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59 | double KolmogorovSmirnov::p_value(void) const |
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60 | { |
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61 | double res=0; |
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62 | double res2=0; |
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63 | double s2 = score() * score() * sum_w1_*sum_w2_/(sum_w1_+sum_w2_); |
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64 | int sign = 1; |
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65 | for (size_t k = 1; k<100; ++k) { |
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66 | res += sign * 2 * exp(-2.0 * k * k * s2); |
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67 | sign *= -1; |
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68 | // ignore remaining terms as they are small |
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69 | if (res==res2) |
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70 | return res; |
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71 | res2 = res; |
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72 | } |
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73 | |
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74 | return res; |
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75 | } |
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76 | |
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77 | |
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78 | double KolmogorovSmirnov::p_value(size_t perm) const |
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79 | { |
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80 | size_t count=0; |
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81 | std::deque<bool> targets; |
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82 | typedef data_w::const_iterator const_iter; |
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83 | for (const_iter i(data_.begin()); i!=data_.end(); ++i) |
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84 | targets.push_back(i->second); |
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85 | |
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86 | for (size_t i=0; i<perm; ++i){ |
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87 | random::random_shuffle(targets.begin(), targets.end()); |
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88 | KolmogorovSmirnov ks; |
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89 | std::deque<bool>::const_iterator target_i(targets.begin()); |
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90 | const_iter end(data_.end()); |
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91 | for (const_iter i(data_.begin()); i!=end; ++i, ++target_i) |
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92 | ks.add(i->first.first, *target_i, i->first.second); |
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93 | |
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94 | if (ks.score()>=score()) |
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95 | ++count; |
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96 | } |
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97 | return static_cast<double>(count)/perm; |
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98 | } |
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99 | |
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100 | |
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101 | double KolmogorovSmirnov::score(void) const |
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102 | { |
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103 | return std::abs(signed_score()); |
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104 | } |
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105 | |
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106 | |
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107 | double KolmogorovSmirnov::signed_score(void) const |
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108 | { |
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109 | if (cached_) |
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110 | return score_; |
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111 | if (!sum_w1_ || !sum_w2_) |
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112 | return 0.0; |
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113 | score_=0; |
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114 | std::vector<double> v; |
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115 | scores(v); |
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116 | std::less<double> l; |
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117 | utility::abs<double> a; |
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118 | using utility::make_compose_f_gx_hy; |
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119 | score_ = *std::max_element(v.begin(), v.end(), |
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120 | make_compose_f_gx_hy(l, a, a)); |
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121 | cached_=true; |
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122 | return score_; |
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123 | } |
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124 | |
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125 | |
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126 | void KolmogorovSmirnov::scores(std::vector<double>& res) const |
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127 | { |
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128 | res.clear(); |
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129 | res.reserve(data_.size()); |
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130 | data_w::const_iterator iter(data_.begin()); |
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131 | double f1=0; |
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132 | double f2=0; |
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133 | // Peter, we should take care of ties! |
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134 | while(iter!=data_.end()){ |
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135 | if (iter->second) |
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136 | f1 += iter->first.second; |
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137 | else |
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138 | f2 += iter->first.second; |
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139 | res.push_back(f1/sum_w1_-f2/sum_w2_); |
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140 | ++iter; |
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141 | } |
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142 | } |
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143 | |
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144 | |
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145 | void KolmogorovSmirnov::reset(void) |
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146 | { |
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147 | cached_=false; |
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148 | sum_w1_=0; |
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149 | sum_w2_=0; |
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150 | } |
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151 | |
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152 | |
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153 | std::ostream& operator<<(std::ostream& os, const KolmogorovSmirnov& ks) |
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154 | { |
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155 | std::vector<double> s; |
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156 | ks.scores(s); |
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157 | for (size_t i=0; i<s.size(); ++i) |
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158 | os << i << "\t" << s[i] << "\n"; |
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159 | return os; |
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160 | } |
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161 | |
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162 | |
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163 | }}} // of namespace theplu yat statistics |
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