/** * @license Apache-2.0 * * Copyright (c) 2018 The Stdlib Authors. * * 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. */ 'use strict'; // MODULES // var isPositiveInteger = require( '@stdlib/assert/is-positive-integer' ).isPrimitive; var isSquareMatrix = require( '@stdlib/assert/is-square-matrix' ); var isVectorLike = require( '@stdlib/assert/is-vector-like' ); var Float64Array = require( '@stdlib/array/float64' ); var ctor = require( '@stdlib/ndarray/ctor' ); var bctor = require( '@stdlib/ndarray/base/ctor' ); var numel = require( '@stdlib/ndarray/base/numel' ); // FUNCTIONS // /** * Returns a matrix. * * @private * @param {PositiveInteger} n - matrix order * @param {boolean} bool - boolean indicating whether to create a low-level ndarray * @returns {ndarray} matrix */ function createMatrix( n, bool ) { var strides; var buffer; var shape; var f; if ( bool ) { f = bctor; } else { f = ctor; } buffer = new Float64Array( n*n ); shape = [ n, n ]; strides = [ n, 1 ]; return f( 'float64', buffer, shape, strides, 0, 'row-major' ); } /** * Returns a vector. * * @private * @param {PositiveInteger} N - number of elements * @returns {ndarray} vector */ function createVector( N ) { var strides; var buffer; var shape; buffer = new Float64Array( N ); shape = [ N ]; strides = [ 1 ]; return bctor( 'float64', buffer, shape, strides, 0, 'row-major' ); } // MAIN // /** * Returns an accumulator function which incrementally computes an unbiased sample covariance matrix. * * ## Method * * - For each unbiased sample covariance, we begin by defining the co-moment \\(C_{jn}\\) * * ```tex * C_n = \sum_{i=1}^{n} ( x_i - \bar{x}_n ) ( y_i - \bar{y}_n ) * ``` * * where \\(\bar{x}_n\\) and \\(\bar{y}_n\\) are the sample means for \\(x\\) and \\(y\\), respectively. * * - Based on Welford's method, we know the update formulas for the sample means are given by * * ```tex * \bar{x}_n = \bar{x}_{n-1} + \frac{x_n - \bar{x}_{n-1}}{n} * ``` * * and * * ```tex * \bar{y}_n = \bar{y}_{n-1} + \frac{y_n - \bar{y}_{n-1}}{n} * ``` * * - Substituting into the equation for \\(C_n\\) and rearranging terms * * ```tex * C_n = C_{n-1} + (x_n - \bar{x}_n) (y_n - \bar{y}_{n-1}) * ``` * * where the apparent asymmetry arises from * * ```tex * x_n - \bar{x}_n = \frac{n-1}{n} (x_n - \bar{x}_{n-1}) * ``` * * and, hence, the update term can be equivalently expressed * * ```tex * \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1}) * ``` * * - The covariance can be defined * * ```tex * \begin{align*} * \operatorname{cov}_n(x,y) &= \frac{C_n}{n} \\ * &= \frac{C_{n-1} + \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n} \\ * &= \frac{(n-1)\operatorname{cov}_{n-1}(x,y) + \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n} * \end{align*} * ``` * * - Applying Bessel's correction, we arrive at an update formula for calculating an unbiased sample covariance * * ```tex * \begin{align*} * \operatorname{cov}_n(x,y) &= \frac{n}{n-1}\cdot\frac{(n-1)\operatorname{cov}_{n-1}(x,y) + \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n} \\ * &= \operatorname{cov}_{n-1}(x,y) + \frac{(x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n} \\ * &= \frac{C_{n-1}}{n-1} + \frac{(x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n} * &= \frac{C_{n-1} + \frac{n-1}{n} (x_n - \bar{x}_{n-1}) (y_n - \bar{y}_{n-1})}{n-1} * \end{align*} * ``` * * @param {(PositiveInteger|ndarray)} out - order of the covariance matrix or a square 2-dimensional output ndarray for storing the covariance matrix * @param {ndarray} [means] - mean values * @throws {TypeError} first argument must be either a positive integer or a 2-dimensional ndarray having equal dimensions * @throws {TypeError} second argument must be a 1-dimensional ndarray * @throws {Error} number of means must match covariance matrix dimensions * @returns {Function} accumulator function * * @example * var Float64Array = require( '@stdlib/array/float64' ); * var ndarray = require( '@stdlib/ndarray/ctor' ); * * // Create an output covariance matrix: * var buffer = new Float64Array( 4 ); * var shape = [ 2, 2 ]; * var strides = [ 2, 1 ]; * var offset = 0; * var order = 'row-major'; * * var cov = ndarray( 'float64', buffer, shape, strides, offset, order ); * * // Create a covariance matrix accumulator: * var accumulator = incrcovmat( cov ); * * var out = accumulator(); * // returns null * * // Create a data vector: * buffer = new Float64Array( 2 ); * shape = [ 2 ]; * strides = [ 1 ]; * * var vec = ndarray( 'float64', buffer, shape, strides, offset, order ); * * // Provide data to the accumulator: * vec.set( 0, 2.0 ); * vec.set( 1, 1.0 ); * * out = accumulator( vec ); * // returns * * var bool = ( out === cov ); * // returns true * * vec.set( 0, -5.0 ); * vec.set( 1, 3.14 ); * * out = accumulator( vec ); * // returns * * // Retrieve the covariance matrix: * out = accumulator(); * // returns */ function incrcovmat( out, means ) { var order; var cov; var mu; var C; var d; var N; N = 0; if ( isPositiveInteger( out ) ) { order = out; cov = createMatrix( order, false ); } else if ( isSquareMatrix( out ) ) { order = out.shape[ 0 ]; cov = out; } else { throw new TypeError( 'invalid argument. First argument must either specify the order of the covariance matrix or be a square 2-dimensional ndarray for storing the covariance matrix. Value: `' + out + '`.' ); } // Create a scratch array for storing residuals (i.e., `x_i - xbar_{i-1}`): d = new Float64Array( order ); // Create a low-level scratch matrix for storing co-moments: C = createMatrix( order, true ); if ( arguments.length > 1 ) { if ( !isVectorLike( means ) ) { throw new TypeError( 'invalid argument. Second argument must be a 1-dimensional ndarray. Value: `' + means + '`.' ); } if ( numel( means.shape ) !== order ) { throw new Error( 'invalid argument. The number of elements (means) in the second argument must match covariance matrix dimensions. Expected: '+order+'. Actual: '+numel( means.shape )+'.' ); } mu = means; // TODO: should we copy this? Otherwise, internal state could be "corrupted" due to mutation outside the accumulator return accumulator2; } // Create an ndarray vector for storing sample means (note: an ndarray interface is not necessary, but it reduces implementation complexity by ensuring a consistent abstraction for accessing and updating sample means): mu = createVector( order ); return accumulator1; /** * If provided a data vector, the accumulator function returns an updated unbiased sample covariance matrix. If not provided a data vector, the accumulator function returns the current unbiased sample covariance matrix. * * @private * @param {ndarray} [v] - data vector * @throws {TypeError} must provide a 1-dimensional ndarray * @throws {Error} vector length must match covariance matrix dimensions * @returns {(ndarray|null)} unbiased sample covariance matrix or null */ function accumulator1( v ) { var covij; var denom; var rdx; var cij; var m; var n; var r; var i; var j; if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } return cov; } if ( !isVectorLike( v ) ) { throw new TypeError( 'invalid argument. Must provide a 1-dimensional ndarray. Value: `' + v + '`.' ); } if ( v.shape[ 0 ] !== order ) { throw new Error( 'invalid argument. Vector length must match covariance matrix dimensions. Expected: '+order+'. Actual: '+v.shape[ 0 ]+'.' ); } n = N; N += 1; r = n / N; denom = n || 1; // Bessel's correction (avoiding divide-by-zero below) for ( i = 0; i < order; i++ ) { m = mu.get( i ); // Compute the residual: d[ i ] = v.get( i ) - m; // Update the sample mean: m += d[ i ] / N; mu.set( i, m ); // Update the co-moments and covariance matrix, recognizing that the covariance matrix is symmetric... rdx = r * d[ i ]; // if `n=0`, `r=0.0` for ( j = 0; j <= i; j++ ) { cij = C.get( i, j ) + ( rdx*d[j] ); C.set( i, j, cij ); C.set( j, i, cij ); // via symmetry covij = cij / denom; cov.set( i, j, covij ); cov.set( j, i, covij ); // via symmetry } } return cov; } /** * If provided a data vector, the accumulator function returns an updated unbiased sample covariance matrix. If not provided a data vector, the accumulator function returns the current unbiased sample covariance matrix. * * @private * @param {ndarray} [v] - data vector * @throws {TypeError} must provide a 1-dimensional ndarray * @throws {Error} vector length must match covariance matrix dimensions * @returns {(ndarray|null)} unbiased sample covariance matrix or null */ function accumulator2( v ) { var covij; var cij; var di; var i; var j; if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } return cov; } if ( !isVectorLike( v ) ) { throw new TypeError( 'invalid argument. Must provide a 1-dimensional ndarray. Value: `' + v + '`.' ); } if ( v.shape[ 0 ] !== order ) { throw new Error( 'invalid argument. Vector length must match covariance matrix dimensions. Expected: '+order+'. Actual: '+v.shape[ 0 ]+'.' ); } N += 1; for ( i = 0; i < order; i++ ) { // Compute the residual: d[ i ] = v.get( i ) - mu.get( i ); // Update the co-moments and covariance matrix, recognizing that the covariance matrix is symmetric... di = d[ i ]; for ( j = 0; j <= i; j++ ) { cij = C.get( i, j ) + ( di*d[j] ); C.set( i, j, cij ); C.set( j, i, cij ); // via symmetry covij = cij / N; cov.set( i, j, covij ); cov.set( j, i, covij ); // via symmetry } } return cov; } } // EXPORTS // module.exports = incrcovmat;