72 lines
2.2 KiB
Cython
72 lines
2.2 KiB
Cython
# Author: Nelle Varoquaux, Andrew Tulloch
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# Uses the pool adjacent violators algorithm (PAVA), with the
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# enhancement of searching for the longest decreasing subsequence to
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# pool at each step.
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import numpy as np
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cimport numpy as np
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cimport cython
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ctypedef np.float64_t DOUBLE
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np.import_array()
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@cython.boundscheck(False)
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@cython.wraparound(False)
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@cython.cdivision(True)
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def _isotonic_regression(np.ndarray[DOUBLE, ndim=1] y,
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np.ndarray[DOUBLE, ndim=1] weight,
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np.ndarray[DOUBLE, ndim=1] solution):
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cdef:
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DOUBLE numerator, denominator, ratio
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Py_ssize_t i, pooled, n, k
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n = y.shape[0]
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# The algorithm proceeds by iteratively updating the solution
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# array.
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# TODO - should we just pass in a pre-copied solution
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# array and mutate that?
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for i in range(n):
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solution[i] = y[i]
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if n <= 1:
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return solution
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n -= 1
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while 1:
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# repeat until there are no more adjacent violators.
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i = 0
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pooled = 0
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while i < n:
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k = i
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while k < n and solution[k] >= solution[k + 1]:
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k += 1
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if solution[i] != solution[k]:
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# solution[i:k + 1] is a decreasing subsequence, so
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# replace each point in the subsequence with the
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# weighted average of the subsequence.
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# TODO: explore replacing each subsequence with a
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# _single_ weighted point, and reconstruct the whole
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# sequence from the sequence of collapsed points.
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# Theoretically should reduce running time, though
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# initial experiments weren't promising.
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numerator = 0.0
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denominator = 0.0
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for j in range(i, k + 1):
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numerator += solution[j] * weight[j]
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denominator += weight[j]
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ratio = numerator / denominator
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for j in range(i, k + 1):
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solution[j] = ratio
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pooled = 1
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i = k + 1
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# Check for convergence
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if pooled == 0:
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break
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return solution
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