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annotate jmedcouple.c++ @ 37:4fb3b87b8610

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Add GPL'ed header
author Jordi Gutiérrez Hermoso <jordigh@octave.org>
date Mon, 06 Apr 2015 08:43:43 -0400
parents 6c264f2053bc
children 4c8b4c1e851e
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1 // jmedcouple.c++ ---
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2
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3 // Copyright © 2015 Jordi Gutiérrez Hermoso <jordigh@octave.org>
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4
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5 // Author: Jordi Gutiérrez Hermoso
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6
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7 // This program is free software; you can redistribute it and/or
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8 // modify it under the terms of the GNU General Public License
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9 // as published by the Free Software Foundation; either version 3
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10 // of the License, or (at your option) any later version.
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11
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12 // This program is distributed in the hope that it will be useful,
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13 // but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 // GNU General Public License for more details.
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16
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17 // You should have received a copy of the GNU General Public License
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18 // along with this program. If not, see <http://www.gnu.org/licenses/>.
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19
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20 #include <vector>
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21 #include <limits>
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22 #include <iostream>
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23 #include <string>
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24 #include <fstream>
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25 #include <iomanip>
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26 #include <algorithm>
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27 #include <utility>
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28
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29 using namespace std;
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30
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31 template <typename T>
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32 int signum(T val) {
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33 return (T(0) < val) - (val < T(0));
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34 }
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35
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36 template <typename Container, typename Out = typename Container::value_type>
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37 Out sum(const Container& C) {
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38 return accumulate(C.begin(), C.end(), Out());
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39 }
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40
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41 /*
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42 This computes the weighted median of array A with corresponding
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43 weights W.
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44 */
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45 double wmedian(const vector<double>& A,
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46 const vector<long>& W)
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47 {
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48 typedef pair<double, long> aw_t;
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49
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50 long n = A.size();
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51 vector<aw_t> AW(n);
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52 for (long i = 0; i < n; i ++)
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53 AW[i] = make_pair(A[i], W[i]);
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54
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55 long wtot = sum(W);
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56
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57 long beg = 0;
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58 long end = n - 1;
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59
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60 while (true) {
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61 long mid = (beg + end)/2;
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62 nth_element(AW.begin(), AW.begin() + mid, AW.end(),
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63 [](const aw_t& l, const aw_t& r){return l.first > r.first;});
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64 double trial = AW[mid].first;
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65 long wleft = 0, wright = 0;
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66
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67 for (aw_t& aw: AW ) {
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68 double a;
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69 long w;
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70 tie(a, w) = move(aw);
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71 if (a > trial)
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72 wleft += w;
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73 else
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74 // This also includes a == trial, i.e. the "middle" weight.
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75 wright += w;
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76 }
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77
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78 if (2*wleft > wtot)
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79 end = mid;
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80 else if (2*wright < wtot)
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81 beg = mid;
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82 else
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83 return trial;
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84 }
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85
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86 return 0;
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87 }
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88
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89 double medcouple(const std::vector<double>& X,
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90 double eps1 = numeric_limits<double>::epsilon(),
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91 double eps2 = numeric_limits<double>::min())
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92 {
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93 long n = X.size(), n2 = (n - 1)/2;
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94
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95 if (n < 3)
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96 return 0;
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97
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98 vector<double> Z = X;
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99 sort(Z.begin(), Z.end(), std::greater<double>());
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100
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101 double Zmed;
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102 if (n % 2 == 1)
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103 Zmed = Z[n2];
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104 else
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105 Zmed = (Z[n2] + Z[n2 + 1])/2;
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106
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107 // Check if the median is at the edges up to relative epsilon
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108 if (abs(Z[0] - Zmed) < eps1*(eps1 + abs(Zmed)))
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109 return -1.0;
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110 if (abs(Z[n - 1] - Zmed) < eps1*(eps1 + abs(Zmed)))
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111 return 1.0;
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112
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113 // Centre Z wrt median, so that median(Z) = 0.
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114 for_each(Z.begin(), Z.end(), [&](double& z){ z -= Zmed;});
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115
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116 // Scale inside [-0.5, 0.5], for greater numerical stability.
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117 double Zden = 2*max(Z[0], -Z[n - 1]);
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118 for_each(Z.begin(), Z.end(), [&](double& z){z /= Zden;});
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119 Zmed /= Zden;
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120
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121 double Zeps = eps1*(eps1 + abs(Zmed));
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122
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123 // These overlap on the entries that are tied with the median
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124 vector<double> Zplus, Zminus;
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125 copy_if(Z.begin(), Z.end(), back_inserter(Zplus),
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126 [=](double z){return z >= -Zeps;});
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127 copy_if(Z.begin(), Z.end(), back_inserter(Zminus),
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128 [=](double z){return Zeps >= z;});
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129
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130 long
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131 n_plus = Zplus.size(),
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132 n_minus = Zminus.size();
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133
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134 /*
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135 Kernel function h for the medcouple, closing over the values of
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136 Zplus and Zminus just defined above.
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137
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138 In case a and be are within epsilon of the median, the kernel
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139 is the signum of their position.
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140 */
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141 auto h_kern = [&](long i, long j) {
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142 double a = Zplus[i];
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143 double b = Zminus[j];
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144
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145 double h;
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146 if (abs(a - b) <= 2*eps2)
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147 h = signum(n_plus - 1 - i - j);
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148 else
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149 h = (a + b)/(a - b);
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150
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151 return h;
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152 };
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153
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154 // Init left and right borders
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155 vector<long> L(n_plus, 0);
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156 vector<long> R(n_plus, n_minus - 1);
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157
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158 long Ltot = 0;
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159 long Rtot = n_minus*n_plus;
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160 long medc_idx = Rtot/2;
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161
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162 // kth pair algorithm (Johnson & Mizoguchi)
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163 while (Rtot - Ltot > n_plus) {
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164
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165 // First, compute the median inside the given bounds
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166 vector<double> A;
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167 vector<long> W;
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168 for (long i = 0; i < n_plus; i++) {
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169 if (L[i] <= R[i]) {
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170 A.push_back(h_kern(i, (L[i] + R[i])/2));
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171 W.push_back(R[i] - L[i] + 1);
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172 }
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173 }
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174 double Am = wmedian(A, W);
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175
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176 double Am_eps = eps1*(eps1 + abs(Am));
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177
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178 // Compute new left and right boundaries, based on the weighted
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179 // median
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180 vector<long> P(n_plus), Q(n_plus);
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181
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182 {
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183 long j = 0;
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184 for (long i = n_plus - 1; i >= 0; i--) {
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185 while (j < n_minus and h_kern(i, j) - Am > Am_eps)
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186 j++;
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187 P[i] = j - 1;
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188 }
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189 }
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190
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191 {
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192 long j = n_minus - 1;
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193 for (long i = 0; i < n_plus; i++) {
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194 while (j >= 0 and h_kern(i, j) - Am < -Am_eps)
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195 j--;
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196 Q[i] = j + 1;
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197 }
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198 }
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199
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200 long
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201 sumP = sum(P) + n_plus,
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202 sumQ = sum(Q);
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203
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204 if (medc_idx <= sumP - 1) {
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205 R = P;
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206 Rtot = sumP;
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207 }
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208 else {
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209 if (medc_idx > sumQ - 1) {
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210 L = Q;
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211 Ltot = sumQ;
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212 }
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213 else
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214 return Am;
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215 }
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216 }
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217
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218 // Didn't find the median, but now we have a very small search space
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219 // to find it in, just between the left and right boundaries. This
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220 // space is of size Rtot - Ltot which is <= n_plus
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221 vector<double> A;
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222 for (long i = 0; i < n_plus; i++) {
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223 for (long j = L[i]; j <= R[i]; j++)
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224 A.push_back(h_kern(i, j));
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225 }
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226 nth_element(A.begin(), A.begin() + medc_idx - Ltot, A.end(),
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227 [](double x, double y) {return x > y;});
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228
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229 double Am = A[medc_idx - Ltot];
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230 return Am;
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231 }
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232
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233
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234 int main(int argc, char** argv) {
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235 double
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236 eps1 = numeric_limits<double>::epsilon(),
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237 eps2 = numeric_limits<double>::min();
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238
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239 string fname;
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240 if (argc > 1) {
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241 fname = argv[1];
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242 }
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243 else {
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244 cerr << "Please provide input file." << endl;
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245 return 1;
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246 }
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247
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248 ifstream ifs(fname);
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249 if (not ifs) {
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250 cerr << "File " << fname << " not found." << endl;
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251 return 1;
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252 }
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253
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254 vector<double> data;
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255 double datum;
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256 while (ifs >> datum) {
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257 data.push_back(datum);
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258 }
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259
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260 cout << setprecision(16)
28
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261 << medcouple(data, eps1, eps2) << endl;
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262
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263 return 0;
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264 }