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Provides functions for fast matrix inversion, creation of empirical CDF from sample data including handling of asymmetric errors, and fitting to a funtion using chi-squared. The fitting procedure return the full covariance matrix describing the fitted parameters.
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lib/utilities.ex
defmodule Chi2fit.Utilities do
# Copyright 2015-2017 Pieter Rijken
#
# 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.
@moduledoc """
Provides various utilities:
* Bootstrapping
* Derivatives
* Creating Cumulative Distribution Functions / Histograms from sample data
* Solving linear, quadratic, and cubic equations
* Autocorrelation coefficients
"""
import Chi2fit.FFT
alias Chi2fit.Distribution, as: D
alias Chi2fit.Fit, as: F
alias Chi2fit.Matrix, as: M
@typedoc "Cumulative Distribution Function"
@type cdf :: ((number)->{number,number,number})
@typedoc "Binned data with error bounds specified through low and high values"
@type ecdf :: [{float,float,float,float}]
@typedoc "Algorithm used to assign errors to frequencey data: Wald score and Wilson score."
@type algorithm :: :wilson | :wald
@typedoc "Supported numerical integration methods"
@type method :: :gauss | :gauss2 | :gauss3 | :romberg | :romberg2 | :romberg3
@typedoc "Average and standard deviationm (error)"
@type avgsd :: {avg :: float, sd :: float}
@doc """
Converts a list of numbers to frequency data.
The data is divided into bins of size `binsize` and the number of data points inside a bin are counted. A map
is returned with the bin's index as a key and as value the number of data points in that bin.
## Examples
iex> make_histogram [1,2,3]
[{1, 1}, {2, 1}, {3, 1}]
iex> make_histogram [1,2,3], 1.0, 0
[{1, 1}, {2, 1}, {3, 1}]
iex> make_histogram [1,2,3,4,5,6,5,4,3,4,5,6,7,8,9]
[{1, 1}, {2, 1}, {3, 2}, {4, 3}, {5, 3}, {6, 2}, {7, 1}, {8, 1}, {9, 1}]
iex> make_histogram [1,2,3,4,5,6,5,4,3,4,5,6,7,8,9], 3, 1.5
[{0, 1}, {1, 6}, {2, 6}, {3, 2}]
"""
@spec make_histogram([number],number,number) :: [{non_neg_integer,pos_integer}]
def make_histogram(list,binsize \\ 1.0,offset \\ 0.5)
def make_histogram(list,binsize,offset) when binsize>offset do
Enum.reduce(list, %{}, fn
(number,acc) ->
acc |> Map.update(if(number<=offset,do: 0, else: trunc(Float.ceil((number-offset)/binsize))),1,&(1+&1))
end) |> Enum.reduce([], fn (pair,acc)->[pair|acc] end) |> Enum.sort_by(fn ({k,_v})->k end)
end
def make_histogram(_list,_binsize,_offset), do: raise ArgumentError, message: "binsize must be larger than bin offset"
defmodule UnknownSampleErrorAlgorithmError do
defexception message: "unknown sample error algorithm"
end
@doc """
Generates an empirical Cumulative Distribution Function from sample data.
Three parameters determine the resulting empirical distribution:
1) algorithm for assigning errors,
2) the size of the bins,
3) a correction for limiting the bounds on the 'y' values
When e.g. task effort/duration is modeled, some tasks measured have 0 time. In practice
what is actually is meant, is that the task effort is between 0 and 1 hour. This is where
binning of the data happens. Specify a size of the bins to control how this is done. A bin
size of 1 means that 0 effort will be mapped to 1/2 effort (at the middle of the bin).
This also prevents problems when the fited distribution cannot cope with an effort os zero.
Supports two ways of assigning errors: Wald score or Wilson score. See [1]. Valie values for the `algorithm`
argument are `:wald` or `:wilson`.
In the handbook of MCMC [1] a cumulative distribution is constructed. For the largest 'x' value
in the sample, the 'y' value is exactly one (1). In combination with the Wald score this
gives zero errors on the value '1'. If the resulting distribution is used to fit a curve
this may give an infinite contribution to the maximum likelihood function.
Use the correction number to have a 'y' value of slightly less than 1 to prevent this from
happening.
Especially the combination of 0 correction, algorithm `:wald`, and 'linear' model for
handling asymmetric errors gives problems.
The algorithm parameter determines how the errors onthe 'y' value are determined. Currently
supported values include `:wald` and `:wilson`.
## References
[1] "Handbook of Monte Carlo Methods" by Kroese, Taimre, and Botev, section 8.4
[2] See https://en.wikipedia.org/wiki/Cumulative_frequency_analysis
[3] https://arxiv.org/pdf/1112.2593v3.pdf
[4] See https://en.wikipedia.org/wiki/Student%27s_t-distribution:
90% confidence ==> t = 1.645 for many data points (> 120)
70% confidence ==> t = 1.000
"""
@spec empirical_cdf([{float,number}],{number,number},algorithm,integer) :: {cdf,bins :: [float], numbins :: pos_integer, sum :: float}
def empirical_cdf(data,bin \\ {1.0,0.5},algorithm \\ :wilson,correction \\ 0)
def empirical_cdf(data,{binsize,offset},algorithm,correction) do
{bins,sum} = data
|> Enum.sort(fn ({x1,_},{x2,_})->x1<x2 end)
|> Enum.reduce({[],0}, fn ({n,y},{acc,sum}) -> {[{offset+binsize*n,y+sum}|acc],sum+y} end)
normbins = bins
|> Enum.reverse
|> Enum.map(fn ({x,y})->{x,y/(sum+correction),y} end)
{normbins |> to_cdf_fun(sum,algorithm),
normbins,
length(bins),
sum}
end
@doc """
Calculates the empirical CDF from a sample.
Convenience function that chains `make_histogram/2` and `empirical_cdf/3`.
"""
@spec get_cdf([number], number|{number,number}, algorithm, integer) :: {cdf,bins :: [float], numbins :: pos_integer, sum :: float}
def get_cdf(data, binsize \\ {1.0,0.5},algorithm \\ :wilson, correction \\ 0)
def get_cdf(data, {binsize,offset},algorithm, correction) do
data
|> make_histogram(binsize,offset)
|> empirical_cdf({binsize,offset},algorithm,correction)
end
@doc """
Converts a CDF function to a list of data points.
## Example
iex> convert_cdf {fn x->{:math.exp(-x),:math.exp(-x)/16,:math.exp(-x)/4} end, {1,4}}
[{1, 0.36787944117144233, 0.022992465073215146, 0.09196986029286058},
{2, 0.1353352832366127, 0.008458455202288294, 0.033833820809153176},
{3, 0.049787068367863944, 0.0031116917729914965, 0.012446767091965986},
{4, 0.01831563888873418, 0.0011447274305458862, 0.004578909722183545}]
"""
@type range :: {float,float} | [float,...]
@spec convert_cdf({cdf,range}) :: [{float,float,float,float}]
def convert_cdf({cdf,{mindur,maxdur}}), do: round(mindur)..round(maxdur) |> y_with_errors(cdf)
def convert_cdf({cdf,categories}) when is_list(categories), do: categories |> y_with_errors(cdf)
defp y_with_errors(list,cdf), do: list |> Enum.map(&Tuple.insert_at(cdf.(&1),0,&1))
@doc """
Converts raw data to binned data with (asymmetrical) errors.
"""
@spec to_bins(data :: [number], binsize :: {number,number}) :: ecdf()
def to_bins(data,binsize \\ {1.0,0.5}) do
# Convert the raw data to binned data (histogram or frequency data):
{cdf,bins,_,_} = get_cdf data, binsize
# Add the errors based on the binomial distribution (Wilson score):
convert_cdf {cdf,bins|>Enum.map(&elem(&1,0))}
end
@doc """
Calculates the nth moment of the sample.
## Example
iex> moment [1,2,3,4,5,6], 1
3.5
"""
@spec moment(sample::[number],n::pos_integer) :: float
def moment(sample,n) when length(sample)>0 and is_integer(n) and n>0 do
(sample |> Stream.map(fn x-> :math.pow(x,n) end) |> Enum.sum)/length(sample)
end
@doc """
Calculates the nth centralized moment of the sample.
## Example
iex> momentc [1,2,3,4,5,6], 1
0.0
iex> momentc [1,2,3,4,5,6], 2
2.9166666666666665
"""
@spec momentc(sample::[number],n::pos_integer) :: float
def momentc(sample,n) when length(sample)>0 and is_integer(n) and n>0 do
mean = sample |> moment(1)
sample |> momentc(n,mean)
end
@doc """
Calculates the nth centralized moment of the sample.
## Example
iex> momentc [1,2,3,4,5,6], 2, 3.5
2.9166666666666665
"""
@spec momentc(sample::[number],n::pos_integer,mu::float) :: float
def momentc(sample,n,mu) when length(sample)>0 and is_integer(n) and n>0 do
(sample |> Stream.map(fn x-> :math.pow(x-mu,n) end) |> Enum.sum)/length(sample)
end
@doc """
Calculates the nth normalized moment of the sample.
## Example
iex> momentn [1,2,3,4,5,6], 1
0.0
iex> momentn [1,2,3,4,5,6], 2
1.0
iex> momentn [1,2,3,4,5,6], 4
1.7314285714285718
"""
@spec momentn(sample::[number],n::pos_integer) :: float
def momentn(sample,n) when length(sample)>0 and is_integer(n) and n>0 do
mean = sample |> moment(1)
sample |> momentn(n,mean)
end
@doc """
Calculates the nth normalized moment of the sample.
## Example
iex> momentn [1,2,3,4,5,6], 4, 3.5
1.7314285714285718
"""
@spec momentn(sample::[number],n::pos_integer,mu::float) :: float
def momentn(sample,n,mu) when length(sample)>0 and is_integer(n) and n>0 do
sigma = :math.sqrt(sample |> momentc(2,mu))
(sample |> momentc(n,mu))/:math.pow(sigma,n)
end
@doc """
Calculates the nth normalized moment of the sample.
"""
@spec momentn(sample::[number],n::pos_integer,mu::float,sigma::float) :: float
def momentn(sample,n,mu,sigma) when length(sample)>0 and is_integer(n) and n>0 and sigma>0.0 do
(sample |> momentc(n,mu))/:math.pow(sigma,n)
end
@type cullenfrey :: [{squared_skewness::float,kurtosis::float}|nil]
@doc """
Generates a Cullen & Frey plot for the sample data.
The kurtosis returned is the 'excess kurtosis'.
"""
@spec cullen_frey(sample::[number], n::integer) :: cullenfrey
def cullen_frey(sample,n \\ 100) do
bootstrap(n,sample,
fn
data,_i ->
mean = data |> moment(1)
sigma = :math.sqrt(data |> momentc(2))
skewness = data |> momentn(3,mean,sigma)
kurtosis = data |> momentn(4,mean,sigma)
{skewness*skewness,kurtosis-3.0}
end)
end
@doc """
Extracts data point with standard deviation from Cullen & Frey plot data.
"""
@spec cullen_frey_point(data::cullenfrey) :: {{x::float,dx::float},{y::float,dy::float}}
def cullen_frey_point(data) do
{skew,kurt} = data |> Stream.filter(fn x -> x end) |> Enum.unzip
{
{moment(skew,1),momentc(skew,2)},
{moment(kurt,1),momentc(kurt,2)}
}
end
@doc """
Calculates the partial derivative of a function and returns the value.
## Examples
The function value at a point:
iex> der([3.0], fn [x]-> x*x end) |> Float.round(3)
9.0
The first derivative of a function at a point:
iex> der([{3.0,1}], fn [x]-> x*x end) |> Float.round(3)
6.0
The second derivative of a function at a point:
iex> der([{3.0,2}], fn [x]-> x*x end) |> Float.round(3)
2.0
Partial derivatives with respect to two variables:
iex> der([{2.0,1},{3.0,1}], fn [x,y] -> 3*x*x*y end) |> Float.round(3)
12.0
"""
@default_h 0.001
@spec der([float|{float,integer}], (([float])->float), Keyword.t) :: float
def der(parameters, fun, options \\ []) do
richardson(fn acc ->
result = parameters
|> expand_pars(acc)
|> reduce_pars
|> Enum.reduce(0.0, fn ({x,n,dx},sum) when is_list(x) -> sum+n*fun.(x)/dx end)
{result,acc/2.0}
end,
@default_h,4.0,options)
end
@doc """
Calculates the jacobian of the function at the point `x`.
## Examples
iex> jacobian([2.0,3.0], fn [x,y] -> x*y end) |> Enum.map(&Float.round(&1))
[3.0, 2.0]
"""
@spec jacobian(x :: [float], (([float])->float)) :: [float]
def jacobian(x, fun, options \\ []) do
jacfun = &(jacobian(x, &1, fun, options))
Enum.reduce(length(x)..1, [], fn (k,acc) -> [jacfun.(k)|acc] end)
end
@doc """
Converts the input so that the result is a Puiseaux diagram, that is a strict convex shape.
## Examples
iex> puiseaux [1]
[1]
iex> puiseaux [5,3,3,2]
[5, 3, 2.5, 2]
"""
@h 1.0e-10
@spec puiseaux([number],[number],boolean) :: [number]
def puiseaux(list,result \\ [],flag \\ false)
def puiseaux([x],result,false), do: Enum.reverse [x|result]
def puiseaux([x,y],result,false), do: Enum.reverse [y,x|result]
def puiseaux([x,y],result,true), do: Enum.reverse([y,x|result]) |> puiseaux
def puiseaux([x,y,z|rest],result,flag) do
if y>(x+z)/2+@h do
[(x+z)/2,z|rest] |> puiseaux([x|result],true)
else
[y,z|rest] |> puiseaux([x|result],flag)
end
end
@doc """
Calculates the autocorrelation coefficient of a list of observations.
The implementation uses the discrete Fast Fourier Transform to calculate the autocorrelation.
For available options see `Chi2fit.FFT.fft/2`. Returns a list of the autocorrelation coefficients.
## Example
iex> auto [1,2,3]
[14.0, 7.999999999999999, 2.999999999999997]
"""
@spec auto([number],Keyword.t) :: [number]
def auto(list,opts \\ [nproc: 1])
def auto([],_opts), do: []
def auto([x],_opts), do: [x*x]
def auto(list,opts) do
n = length(list)
List.duplicate(0,n)
|> Enum.concat(list)
|> fft(opts) |> normv |> ifft(opts)
|> Stream.take(n)
|> Stream.map(&(elem(&1,0)))
|> Enum.to_list
end
@doc """
Calculates and returns the error associated with a list of observables.
Usually these are the result of a Markov Chain Monte Carlo simulation run.
The only supported method is the so-called `Initial Sequence Method`. See section 1.10.2 (Initial sequence method)
of [1].
Input is a list of autocorrelation coefficients. This may be the output of `auto/2`.
## References
[1] 'Handbook of Markov Chain Monte Carlo'
"""
@spec error([{gamma :: number,k :: pos_integer}], :initial_sequence_method) :: {var :: number, lag :: number}
def error(nauto, :initial_sequence_method) do
## For reversible Markov Chains
gamma = nauto |> Stream.chunk_every(2) |> Stream.map(fn ([{x,k},{y,_}])->{k/2,x+y} end) |> Enum.to_list
gamma0 = nauto |> Stream.take(1) |> Enum.to_list |> (&(elem(hd(&1),0))).()
m = gamma |> Stream.take_while(fn ({_k,x})->x>0 end) |> Enum.count
gammap = gamma |> Stream.take_while(fn ({_k,x})->x>0 end) |> Stream.map(fn {_,x}->x end) |> Stream.concat([0.0]) |> Enum.to_list
gammap = gammap |> puiseaux
var = -gamma0 + 2.0*(gammap |> Enum.sum)
if var < 0, do: throw {:negative_variance, var, 2*m}
{var,2*m}
end
@doc """
Implements bootstrapping procedure as resampling with replacement.
It supports saving intermediate results to a file using `:dets`. Use the options `:safe` and `:filename` (see below)
## Arguments:
`total` - Total number resamplings to perform
`data` - The sample data
`fun` - The function to evaluate
`options` - A keyword list of options, see below.
## Options
`:safe` - Whether to safe intermediate results to a file, so as to support continuation when it is interrupted.
Valid values are `:safe` and `:cont`.
`:filename` - The filename to use for storing intermediate results
"""
@spec bootstrap(total :: integer, data :: [number], fun :: (([number],integer)->number), options :: Keyword.t) :: [any]
def bootstrap(total, data, fun, options \\ []) do
safe = options |> Keyword.get(:safe, false)
{start,continuation} = case safe do
:safe ->
file = options |> Keyword.fetch!(:filename)
{:ok,:storage} = :dets.open_file :storage, type: :set, file: file, auto_save: 1000, estimated_no_objects: total
:ok = :dets.delete_all_objects :storage
{1,[]}
:cont ->
file = options |> Keyword.fetch!(:filename)
{:ok,:storage} = :dets.open_file :storage, type: :set, file: file, auto_save: 1000, estimated_no_objects: total
objects = :dets.select(:storage, [{{:_,:'$1'},[],[:'$1']}])
{length(objects)+1,objects}
_ ->
{1,[]}
end
if start>total, do: raise ArgumentError, message: "start cannot be larger than the total"
1..total |> Enum.reduce(continuation, fn (k,acc) ->
try do
## Evaluate the function
result = data |> Enum.map(fn _ -> Enum.random(data) end) |> fun.(k)
if safe, do: true = :dets.insert_new :storage, {k,result}
[result|acc]
rescue
_error ->
[nil|acc]
end
end)
end
@doc """
Reamples the subsequences of numbers contained in the list as determined by `analyze/2`
"""
@spec resample(data :: [number], options :: Keyword.t) :: [number]
def resample(data,options) do
data
|> analyze(fn dat,opt ->
F.find_all(dat,opt) |> Enum.flat_map(fn {_,_,d}->resample(d) end)
end,
options)
end
defp resample(data), do: Enum.map(data,fn _ -> Enum.random(data) end)
@doc """
Reads data from a file specified by `filename` and returns a stream with the data parsed as floats.
It expects a single data point on a separate line and removes entries that:
* are not floats, and
* smaller than zero (0)
"""
@spec read_data(filename::String.t) :: Stream.t
def read_data(filename) do
filename
|> File.stream!([],:line)
|> Stream.flat_map(&String.split(&1,"\r",trim: true))
|> Stream.filter(&is_tuple(Float.parse(&1)))
|> Stream.map(&elem(Float.parse(&1),0))
|> Stream.filter(&(&1 >= 0.0))
end
## TODO: implement gauss-kronrad integration (progressive gauss)
@doc """
Numerical integration providing Gauss and Romberg types.
"""
@default_points 32
@spec integrate(method, ((float)->float), a::float, b::float, options::Keyword.t) :: float
def integrate(method, func, a, b, options \\ [])
def integrate(:gauss, func, a, b, options) do
npoints = options[:points] || @default_points
factor_min = (b-a)/2.0
factor_plus = (b+a)/2.0
{weights,abscissa} = case npoints do
4 ->
{
[ 0.6521451548625461,0.3478548451374538 ],
[ 0.3399810435848563,0.8611363115940526 ]
}
8 ->
{
[ 0.3626837833783620,0.3137066458778873,0.2223810344533745,0.1012285362903763 ],
[ 0.1834346424956498,0.5255324099163290,0.7966664774136267,0.9602898564975363 ]
}
32 ->
{
[ 0.0965400885147278,0.0956387200792749,0.0938443990808046,0.0911738786957639,0.0876520930044038,0.0833119242269467,0.0781938957870703,0.0723457941088485,0.0658222227763618,0.0586840934785355,0.0509980592623762,0.0428358980222267,0.0342738629130214,0.0253920653092621,0.0162743947309057,0.0070186100094701 ],
[ 0.0483076656877383,0.1444719615827965,0.2392873622521371,0.3318686022821277,0.4213512761306353,0.5068999089322294,0.5877157572407623,0.6630442669302152,0.7321821187402897,0.7944837959679424,0.8493676137325700,0.8963211557660521,0.9349060759377397,0.9647622555875064,0.9856115115452684,0.9972638618494816 ]
}
end
factor_min * (Enum.zip(abscissa,weights) |> Enum.map(fn {x,w} -> w*( func.(factor_min*x+factor_plus) + func.(-factor_min*x+factor_plus) ) end) |> Enum.sum)
end
def integrate(:gauss2, func, a, :infinity, options) do
fac = 500.0 ## t = tanh(x/fac)
fac*integrate(:gauss, fn t -> (func.(fac*:math.atanh(t)))/(1.0-t*t) end, :math.tanh(a/fac), 1.0, options)
end
def integrate(:gauss2, func, a, b, options) do
fac = 500.0 ## t = tanh(x/fac)
fac*integrate(:gauss, fn t -> (func.(fac*:math.atanh(t)))/(1.0-t*t) end, :math.tanh(a/fac), :math.tanh(b/fac), options)
end
def integrate(:gauss3, func, a, :infinity, options) do
## x = t/(1-t) = -1 + 1/(1-t), dx = dt/(1-t)^2
integrate(:gauss, fn t -> (func.(t/(1.0-t)))/(1.0-t)/(1.0-t) end, a/(a+1.0), 1.0, options)
end
def integrate(:gauss3, func, a, b, options) do
## x = t/(1-t) = -1 + 1/(1-t), dx = dt/(1-t)^2
integrate(:gauss, fn t -> (func.(t/(1.0-t)))/(1.0-t)/(1.0-t) end, a/(a+1.0), b/(b+1.0), options)
end
@default_tolerance 1.0e-6
def integrate(:romberg, func, a, b, options) do
richardson(fn acc ->
case acc do
[] ->
f1 = try do func.(a) rescue _e -> 0.0 end
f2 = try do func.(b) rescue _e -> 0.0 end
result = (b-a) * ( f1 + f2 )/2.0
{result,[{a,f1},{b,f2}]}
values ->
vals = values
|> Stream.transform(nil, fn
{x2,f},nil -> {[{x2,f}],x2}
{x2,f},x1 -> {[{(x2+x1)/2.0,func.((x2+x1)/2.0)},{x2,f}],x2}
end)
|> Enum.to_list
result = vals
|> Stream.chunk_every(2,1,:discard)
|> Stream.map(fn [{x1,f1},{x2,f2}] -> (x2-x1)*( f1 + f2 )/2.0 end)
|> Enum.sum
{result,vals}
end
end, [], 4.0, options)
end
def integrate(:romberg2, func, a, :infinity, options) do
fac = 500.0 ## t = tanh(x/fac)
integrate(:romberg, fn t -> (func.(fac*:math.atanh(t)))*fac/(1.0-t*t) end, :math.tanh(a/fac), 1.0, options)
end
def integrate(:romberg2, func, a, b, options) do
fac = 500.0 ## t = tanh(x/fac)
integrate(:romberg, fn t -> (func.(fac*:math.atanh(t)))*fac/(1.0-t*t) end, :math.tanh(a/fac), :math.tanh(b/fac), options)
end
def integrate(:romberg3, func, a, :infinity, options) do
## x = t/(1-t) = -1 + 1/(1-t), dx = dt/(1-t)^2
integrate(:romberg, fn t -> (func.(t/(1.0-t)))/(1.0-t)/(1.0-t) end, a/(a+1.0), 1.0, options)
end
def integrate(:romberg3, func, a, b, options) do
## x = t/(1-t) = -1 + 1/(1-t), dx = dt/(1-t)^2
integrate(:romberg, fn t -> (func.(t/(1.0-t)))/(1.0-t)/(1.0-t) end, a/(a+1.0), b/(b+1.0), options)
end
@doc """
Richardson extrapolation.
"""
@default_tolerance 1.0e-6
@spec richardson(func::((term)->{float,term}), init::term, factor::float, results::[float], options::Keyword.t) :: float
def richardson(func, init, factor, results \\ [], options)
def richardson(func, init, factor, results, options) do
tolerance = options[:tolerance] || @default_tolerance
max = options[:itermax]
{result,acc} = func.(init)
{new,last,error,_} = results |> Enum.reduce({[],result,nil,factor}, fn
_prev,{acc,item,0.0,order} ->
{acc,item,0.0,order}
prev,{acc,item,_,order} ->
diff = (order*item - prev)/(order-1.0)
{[diff|acc],diff,if(diff==0, do: 0.0, else: abs((diff-item)/diff)),order*factor}
end)
cond do
max && (length(new) > max) ->
last
error < tolerance ->
last
true ->
richardson(func, acc, factor, [result|Enum.reverse(new)], options)
end
end
@doc """
Newton-Fourier method for locating roots and returning the interval where the root is located.
See [https://en.wikipedia.org/wiki/Newton%27s_method#Newton.E2.80.93Fourier_method]
"""
@spec newton(a::float,b::float,func::((x::float)->float),maxiter::non_neg_integer,options::Keyword.t) :: {float, {float,float}, {float,float}}
def newton(a,b,func,maxiter \\ 10, options), do: newton(a,b,func,maxiter,{(a+b)/2,{a,b},{nil,nil}},options)
@doc """
Unzips lists of 1-, 2-, 3-, 4-, and 5-tuples.
"""
@spec unzip(list::[tuple]) :: tuple
def unzip([]), do: {}
def unzip(list=[{_}|_]), do: {Enum.map(list,fn {x}->x end)}
def unzip(list=[{_,_}|_]), do: Enum.unzip(list)
def unzip(list=[{_,_,_}|_]) do
{
list |> Enum.map(&elem(&1,0)),
list |> Enum.map(&elem(&1,1)),
list |> Enum.map(&elem(&1,2))
}
end
def unzip(list=[{_,_,_,_}|_]) do
{
list |> Enum.map(&elem(&1,0)),
list |> Enum.map(&elem(&1,1)),
list |> Enum.map(&elem(&1,2)),
list |> Enum.map(&elem(&1,3))
}
end
def unzip(list=[{_,_,_,_,_}|_]) do
{
list |> Enum.map(&elem(&1,0)),
list |> Enum.map(&elem(&1,1)),
list |> Enum.map(&elem(&1,2)),
list |> Enum.map(&elem(&1,3)),
list |> Enum.map(&elem(&1,4))
}
end
##
## Local functions
##
@spec to_cdf_fun([{x::number,y::number,n::integer}],pos_integer,algorithm) :: cdf
defp to_cdf_fun(data,numpoints,algorithm) do
fn (x) ->
y = data |> Enum.reverse |> Enum.find({nil,0.0}, fn ({xx,_,_})-> xx<=x end) |> elem(1)
# t = 1.96
t = 1.00
case algorithm do
:wald ->
sd = :math.sqrt(y*(1.0-y)/numpoints)
ylow = y - 2*y*t*sd
yhigh = y + 2*(1.0-y)*t*sd
{y,ylow,yhigh}
:wilson ->
ylow = if y > 0 do
splus = t*t - 1/numpoints + 4*numpoints*y*(1-y) + (4*y - 2)
if splus < 0.0 do
0.0
else
srtplus = 1.0 + t*:math.sqrt(splus)
max(0.0, (2*numpoints*y + t*t - srtplus)/2/(numpoints + t*t))
end
else
0.0
end
yhigh = if y < 1 do
smin = t*t - 1/numpoints + 4*numpoints*y*(1-y) - (4*y - 2)
if smin < 0.0 do
1.0
else
srtmin = 1.0 + t*:math.sqrt(smin)
min(1.0, (2*numpoints*y + t*t + srtmin )/2/(numpoints + t*t))
end
else
1.0
end
{y,ylow,yhigh}
other ->
raise UnknownSampleErrorAlgorithmError, message: "unknown algorithm '#{inspect other}'"
end
end
end
defp expand_pars(list,h) do
list |> Enum.map(
fn
({{x,0,factor}}) -> {{x,0,factor}}
({{x,0}}) -> {{x,0,1.0}}
({{x,n,factor}}) when n>0 ->
xplus = x*(1.0+h)
xmin = x*(1.0-h)
dx = xplus-xmin
[{{xplus,n-1,factor*dx}},{xmin,n-1,factor*dx}] |> expand_pars(h) |> List.flatten
({{x,n}}) when n>0 ->
xplus = x*(1.0+h)
xmin = x*(1.0-h)
dx = xplus-xmin
[{{xplus,n-1,dx}},{xmin,n-1,dx}] |> expand_pars(h) |> List.flatten
({x,0,factor}) -> {x,0,factor}
({x,0}) -> {x,0,1.0}
({x,n,factor}) when n>0 ->
xplus = x*(1.0+h)
xmin = x*(1.0-h)
dx = xplus-xmin
[{xplus,n-1,factor*dx},{{xmin,n-1,factor*dx}}] |> expand_pars(h) |> List.flatten
({x,n}) when n>0 ->
xplus = x*(1.0+h)
xmin = x*(1.0-h)
dx = xplus-xmin
[{xplus,n-1,dx},{{xmin,n-1,dx}}] |> expand_pars(h) |> List.flatten
(x) when is_number(x) -> {x,0,1.0}
end)
end
defp reduce_pars(list) do
list |> Enum.reduce([{[],1,1.0}],
fn
(list,acc) when is_list(list) ->
Enum.flat_map(list,
fn
({{x,0,dx1}}) -> Enum.map(acc, fn ({y,n,dx2})->{[x|y],-n,dx1*dx2} end)
({x,0,dx1}) -> Enum.map(acc, fn ({y,n,dx2})->{[x|y],n,dx1*dx2} end)
end)
({x,0,dx1},acc) -> Enum.map(acc, fn ({y,n,dx2})->{[x|y],n,dx1*dx2} end)
end)
|> Enum.map(fn ({l,n,dx}) -> {Enum.reverse(l),n,dx} end)
end
defp jacobian(x=[_|_], k, fun, options) when k>0 and k<=length(x) and is_function(fun,1) do
x |> List.update_at(k-1, fn (val) -> {val,1} end) |> der(fun,options)
end
@default_rel_tolerance 1.0e-6
defp newton(_a,_b,func,0,{root,{l,r},_},_options), do: {root,{l,r},{func.(l),func.(r)}}
defp newton(a,b,func,maxiter,{prev,{left,right},{vleft,vright}},options) do
tolerance = options[:tolerance] || @default_rel_tolerance
x0 = func.(right)
z0 = func.(left)
if x0*z0 > 0 do
raise ArgumentError, message: "Interval does not contain root"
end
derx0 = der([{right,1}], fn [x]->func.(x) end, options)
if derx0 == 0 do
raise ArithmeticError,
message: "Interval contains local minimum/maximum [left/z0=#{left}/#{z0}; right/x0=#{right}/#{x0}; der=#{derx0}]"
end
x1 = right - x0/derx0
z1 = left - z0/derx0
root = (x1+z1)/2.0
cond do
z1 < left ->
newton(a,b,func,0,{prev,{left,right},{vleft,vright}},options)
x1 > right ->
newton(a,b,func,0,{prev,{left,right},{vleft,vright}},options)
z1 < x1 and abs(x1-z1) < tolerance ->
newton(a,b,func,0,{root,{z1,x1},{z0,x0}},options)
z1 > x1 and abs(x1-z1) < tolerance ->
newton(a,b,func,0,{root,{x1,z1},{z0,x0}},options)
z1 > x1 ->
newton(a,b,func,maxiter-1,{prev,{x1,z1},{z0,x0}},options)
true ->
newton(a,b,func,maxiter-1,{root,{z1,x1},{z0,x0}},options)
end
end
@doc """
Outputs and formats the errors that result from a call to `Chi2fit.Fit.chi2/4`
Errors are tuples of length 2 and larger: `{[min1,max1], [min2,max2], ...}`.
"""
@spec puts_errors(device :: IO.device(), errors :: tuple()) :: none()
def puts_errors(device \\ :stdio, errors) do
errors
|> Tuple.to_list
|> Enum.with_index
|> Enum.each(fn
{[mn,mx],0} -> IO.puts device, "\t\t\tchi2:\t\t#{mn}\t-\t#{mx}"
{[mn,mx],_} -> IO.puts device, "\t\t\tparameter:\t#{mn}\t-\t#{mx}"
end)
end
@doc """
Forecasts how many time periods are needed to complete `size` items
Related functions: `forecast_duration/2` and `forecast_items/2`.
"""
@spec forecast(fun :: (() -> non_neg_integer),size :: pos_integer, tries :: pos_integer, update :: (() -> number)) :: number
def forecast(fun, size, tries \\ 0,update \\ fn -> 1 end)
def forecast(fun, size, tries, update) when size>0 do
forecast(fun, size-fun.(),tries+update.(),update)
end
def forecast(_fun,_size,tries,_update), do: tries
@doc """
Returns a function for forecasting the duration to complete a number of items.
This function is a wrapper for `forecast/4`.
## Arguments
`data` - either a data set to base the forecasting on, or a function that returns (random) numbers
`size` - the number of items to complete
"""
@spec forecast_duration(data :: [number] | (()->number), size :: pos_integer) :: (() -> number)
def forecast_duration(data, size) when is_list(data) do
fn -> forecast(fn -> Enum.random(data) end, size) end
end
def forecast_duration(fun, size) when is_function(fun,0) do
fn -> forecast(fun, size) end
end
@doc """
Returns a function for forecasting the number of completed items in a number periods.
This function is a wrapper for `forecast/4`.
## Arguments
`data` - either a data set to base the forecasting on, or a function that returns (random) numbers
`periods` - the number of periods to forecast the number of completed items for
"""
@spec forecast_items(data :: [number] | (()->number), periods :: pos_integer) :: (() -> number)
def forecast_items(data, periods) when is_list(data) do
fn -> forecast(fn -> 1 end, periods, 0, fn -> Enum.random(data) end) end
end
def forecast_items(fun, periods) when is_function(fun,0) do
fn -> forecast(fn -> 1 end, periods, 0, fun) end
end
@doc """
Basic Monte Carlo simulation to repeatedly run a simulation multiple times.
## Options
`:collect_all?` - If true, collects data from each individual simulation run and returns this an the third element of the result tuple
"""
@spec mc(iterations :: pos_integer, fun :: ((pos_integer) -> float), options :: Keyword.t) :: {avg :: float, sd :: float, tries :: [float]} | {avg :: float, sd :: float}
def mc(iterations,fun,options \\ []) do
all? = options[:collect_all?] || false
tries = 1..iterations |> Enum.map(fn _ -> fun.() end)
avg = moment tries, 1
sd = :math.sqrt momentc(tries,2,avg)
if all?, do: {avg,sd,tries}, else: {avg,sd}
end
@hours 24.0
@default_workday {8.0,18.0}
@default_epoch ~D[1970-01-01]
@doc ~s"""
Adjusts the times to working hours and/or work days.
## Options
`workhours` - a 2-tuple containing the starting and ending hours of the work day (defaults
to #{inspect @default_workday})
`epoch` - the epoch to which all data elements are relative (defaults to #{@default_epoch})
`saturday` - number of days since the epoch that corresponds to a Saturday (defaults
to #{13 - Date.day_of_week(@default_epoch)})
`correct` - whether to correct the times for working hours and weekdays; possible values
`:worktime`, `:weekday`, `:"weekday+worktime"` (defaults to `false`)
"""
@spec adjust_times(Enumerable.t, options :: Keyword.t) :: Enumerable.t
def adjust_times(data, options) do
{startofday,endofday} = options[:workhours] || @default_workday
correct = options[:correct] || false
epoch = options[:epoch] || @default_epoch
sat = 13 - Date.day_of_week(epoch)
saturday = options[:saturday] || sat
data
|> Stream.map(fn x ->
case correct do
:worktime -> map2workhours(x, startofday, endofday)
:weekday -> map2weekdays(x, saturday)
:"weekday+worktime" -> x |> map2workhours(startofday, endofday) |> map2weekdays(saturday)
_ -> x
end
end)
|> Enum.sort(&(&1>&2)) # Sort on new delivery times
end
@default_cutoff 0.01
@doc """
Returns a list of time differences (assumes an ordered list as input)
## Options
`cutoff` - time differences below the cutoff are changed to the cutoff value (defaults to `#{@default_cutoff}`)
`drop?` - whether to drop time differences below the cutoff (defaults to `false`)
"""
@spec time_diff(data :: Enumrable.t, options :: Keyword.t) :: Enumerable.t
def time_diff(data, options) do
cutoff = options[:cutoff] || @default_cutoff
drop? = options[:drop] || false
data
|> Stream.chunk_every(2,1,:discard)
|> Stream.map(fn [x,y]->x-y end)
|> Stream.transform(nil,fn x,_acc ->
{
cond do
x < cutoff and drop? -> []
x < cutoff -> [cutoff]
true -> [x]
end,
nil
}
end)
|> (& if is_function(data, 2), do: &1, else: Enum.into(&1, [])).()
end
@doc """
Calculates the systematic errors for bins due to uncertainty in assigning data to bins.
## Options
`bin` - the size of bins to use (defaults to 1)
`iterations` - the number of iterations to use to estimate the error due to noise (defatuls to 100)
"""
@spec binerror(data :: [number], noise_fun :: ((Enumerable.t) -> Enumerable.t), options :: Keyword.t) :: [{bin :: number, avg :: number, error :: number}]
def binerror(data, noise_fun, options \\ []) do
binsize = options[:bin] || 1
iterations = options[:iterations] || 100
1..iterations
|> Stream.map(fn _ ->
data
|> noise_fun.()
|> to_bins({binsize,0})
|> Stream.map(fn {x,y,low,high}->{x,[{y,low,high}]} end)
|> Map.new()
end)
|> Enum.reduce(%{}, fn map,acc -> Map.merge(map,acc, fn _k, v1,v2 -> v1++v2 end) end)
|> Stream.map(fn {k,list} ->
{ys,lows,highs} = unzip list
avg = moment ys,1
avg_low = moment lows,1
avg_high = moment highs,1
sd = :math.sqrt momentc ys,2,avg
{k,avg,avg_low,avg_high,sd}
end)
|> Stream.map(fn {x,y,ylow,yhigh,err} ->
{
x,
y,
max(0.0,y-:math.sqrt((y-ylow)*(y-ylow)+err*err)),
min(1.0,y+:math.sqrt((yhigh-y)*(yhigh-y)+err*err))
}
end)
|> Enum.sort(fn t1,t2 -> elem(t1,0)<elem(t2,0) end)
end
@doc """
Displays results of the function `Chi2fit.Fit.chi2probe/4`
"""
@spec display(device :: IO.device(), F.chi2probe() | avgsd()) :: none()
def display(device \\ :stdio, results)
def display(device,{chi2, parameters,errors,_saved}) do
IO.puts device,"Initial guess:"
IO.puts device," chi2:\t\t#{chi2}"
IO.puts device," pars:\t\t#{inspect parameters}"
IO.puts device," ranges:\t\t#{inspect errors}\n"
end
def display(device,{avg,sd,direction}) do
op = case direction do
:+ -> &Kernel.+/2
:- -> &Kernel.-/2
end
IO.puts device,"50% => #{:math.ceil(avg)} units"
IO.puts device,"84% => #{:math.ceil(op.(avg,sd))} units"
IO.puts device,"97.5% => #{:math.ceil(op.(avg,2*sd))} units"
IO.puts device,"99.85% => #{:math.ceil(op.(avg,3*sd))} units"
end
@doc """
Displays results of the function `Chi2fit.Fit.chi2fit/4`
"""
@spec display(device :: IO.device(),hdata :: ecdf(),model :: D.model(),F.chi2fit(),options :: Keyword.t) :: none()
def display(device \\ :stdio,hdata,model,{chi2, cov, parameters, errors},options) do
param_errors = cov |> M.diagonal |> Enum.map(fn x->x|>abs|>:math.sqrt end)
IO.puts device,"Final:"
IO.puts device," chi2:\t\t#{chi2}"
IO.puts device," Degrees of freedom:\t#{length(hdata)-Distribution.size(model)}"
IO.puts device," gradient:\t\t#{inspect jacobian(parameters,&F.chi2(hdata,fn x->Distribution.cdf(model).(x,&1) end,fn _->0.0 end,options),options)}"
IO.puts device," parameters:\t\t#{inspect parameters}"
IO.puts device," errors:\t\t#{inspect param_errors}"
IO.puts device," ranges:"
puts_errors device,errors
end
@doc """
Pretty prints subsequences.
"""
@spec display_subsequences(device :: IO.device(), trends :: list(), intervals :: [NaiveDateTime.t]) :: none()
def display_subsequences(device \\ :stdio, trends, intervals) do
trends
|> Stream.transform(1, fn arg={_,_,data}, index -> { [{arg, Enum.at(intervals,index)}], index+length(data)} end)
|> Stream.each(fn
{{chimin, [rate], subdata},date} ->
IO.puts device, "Subsequence ending @#{Timex.format!(date,~S({Mshort}, {D} {YYYY}))}"
IO.puts device, "----------------------------------"
IO.puts device, " chi2@minimum: #{Float.round(chimin,1)}"
IO.puts device, " delivery rate: #{Float.round(rate,1)}"
IO.puts device, " subsequence: #{inspect(subdata, charlists: :as_lists)}"
IO.puts device, ""
end)
|> Stream.run()
end
@doc """
Maps the time of a day into the working hour period
Scales the resulting part of the day between 0..1.
## Arguments
`t` - date and time of day as a float; the integer part specifies the day and the fractional part the hour of the day
`startofday` - start of the work day in hours
`endofday` - end of the working day in hours
## Example
iex> map2workhours(43568.1, 8, 18)
43568.0
iex> map2workhours(43568.5, 8, 18)
43568.4
"""
@spec map2workhours(t :: number, startofday :: number, endofday :: number) :: number
def map2workhours(t,startofday,endofday)
when startofday>0 and startofday<endofday and endofday<@hours do
frac = t - trunc(t)
hours = endofday - startofday
trunc(t) + min(max(0.0,frac - startofday/@hours),hours/@hours) * @hours/hours
end
@doc """
Maps the date to weekdays such that weekends are eliminated; it does so with respect to a given Saturday
## Example
iex> map2weekdays(43568.123,43566)
43566.123
iex> map2weekdays(43574.123,43566)
43571.123
"""
@spec map2weekdays(t :: number, sat :: pos_integer) :: number
def map2weekdays(t, sat) when is_integer(sat) do
offset = rem trunc(t)-sat, 7
weeks = div trunc(t)-sat, 7
part_of_day = t - trunc(t)
sat + 5*weeks + max(0.0,offset-2.0) + part_of_day
end
@doc """
Walks a map structure while applying the function `fun`.
"""
@spec analyze(map :: %{}, fun :: (([number],Keyword.t) -> Keyword.t), options :: Keyword.t) :: Keyword.t
def analyze(map = %{}, fun, options) do
map |> Enum.reduce(%{}, fn {k,v},acc -> Map.put(acc,k,analyze(v,fun,options)) end)
end
def analyze(data, fun, options) when is_list(data) do
cond do
Keyword.keyword?(data) ->
Keyword.merge(data, fun.(data,Keyword.put(options,:bin,data[:bin])))
true ->
analyze([throughput: data, bin: options[:bin]], fun, options)
end
end
@doc """
Pretty-prints a nested array-like structure (list or tuple) as a table.
"""
@spec as_table(rows :: [any], header :: list() | tuple()) :: list()
def as_table(rows, header) do
map = 1..tuple_size(header) |> Enum.map(&{&1,0}) |> Enum.into(%{})
table = [header|rows] |> _to_string()
map = Enum.reduce(table, map, fn row,acc ->
row
|> Enum.with_index(1)
|> Enum.reduce(acc, fn {str,i},acc2 -> Map.update!(acc2, i, fn v -> max(v,String.length(str)) end) end)
end)
table
|> Enum.with_index()
|> Enum.each(fn
{row, 0} ->
IO.puts row |> Enum.with_index(1) |> Enum.map(fn {str,i} -> String.pad_trailing(str, map[i]) end) |> Enum.join("|")
IO.puts row |> Enum.with_index(1) |> Enum.map(fn {_,i} -> String.duplicate("-",map[i]) end) |> Enum.join("|")
{row, _} ->
IO.puts row |> Enum.with_index(1) |> Enum.map(fn {str,i} -> String.pad_trailing(str, map[i]) end) |> Enum.join("|")
end)
rows
end
defp _to_string(list) when is_list(list), do: list |> Enum.map(&_to_string/1)
defp _to_string(tuple) when is_tuple(tuple), do: tuple |> Tuple.to_list |> _to_string()
defp _to_string(string) when is_binary(string), do: string
defp _to_string(float) when is_float(float), do: "#{float}"
defp _to_string(integer) when is_integer(integer), do: "#{integer}"
@doc """
Reads CSV data, extracts one column, and returns it as a list of `NaiveDateTime`.
"""
@spec csv_to_list(csvcata :: Enumerable.t, key :: String.t, options :: Keyword.t) :: [NaiveDateTime.t]
def csv_to_list(csvdata, key, options \\ []) do
header? = options[:header?] || false
format = options[:format] || "{YYYY}/{0M}/{0D}"
csvdata
|> CSV.decode!(headers: header?)
|> Stream.filter(& Map.fetch!(&1, key) != "")
|> Stream.map(& Map.fetch!(&1, key))
|> Stream.map(& Timex.parse(&1, format) |> elem(1))
|> Enum.sort(& NaiveDateTime.compare(&1,&2) === :gt)
end
@doc """
Returns a `Stream` that generates a stream of dates.
"""
@spec intervals(options :: Keyword.t) :: Stream.t
def intervals(options \\ []) do
recent = case (options[:end] || Date.utc_today()) do
date = %Date{day: day} when day > 15 -> %Date{date | day: 1, month: date.month+1}
date = %Date{day: day} when day > 0 -> %Date{date | day: 16}
end
type = options[:type] || :half_month
case type do
:half_month ->
recent |> Stream.iterate(fn
previous = %Date{day: 16} -> Timex.shift previous, days: -15
previous = %Date{day: 1} -> Timex.shift previous, days: +15, months: -1
end)
end
end
@doc """
Counts the number of dates (`datelist`) that is between consecutive dates in `intervals` and returns the result as a list of numbers.
"""
@spec throughput(intervals :: Enumerable.t, datelist :: [NaiveDateTime.t]) :: [number]
def throughput(intervals, datelist) do
intervals
|> Stream.chunk_every(2, 1, :discard)
|> Stream.transform(datelist, fn
_, [] ->
{:halt, []}
[d1,d2], acc ->
{left,right} = Enum.split_with(acc, fn d -> Timex.between?(d,d2,d1) end)
{[{d1,Enum.count(left)}],right}
end)
|> Enum.map(fn {_d,count} -> count end)
end
@doc ~S"""
## Examples
iex> subsequences []
[]
iex> subsequences [:a, :b]
[[:a], [:a, :b]]
iex> Stream.cycle([1,2,3]) |> subsequences |> Enum.take(4)
[[1], [1, 2], [1, 2, 3], [1, 2, 3, 1]]
"""
@spec subsequences(Enumerable.t) :: Enumerable.t
def subsequences(stream) when is_function(stream, 2) do
stream
|> Stream.transform([], fn x,acc -> {[Enum.reverse([x|acc])], [x|acc]} end)
end
def subsequences(list) do
{result, _} = list
|> Enum.reduce({[],[]}, fn x, {res,acc} -> {[Enum.reverse([x|acc])|res], [x|acc]} end)
Enum.reverse(result)
end
end