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Added MAX_CORR_AIS_AND_TE embedding to univariate KSG TE calculator.

This commit is contained in:
Pedro Martinez Mediano 2018-04-22 22:25:05 +01:00
parent f8bca3275d
commit df8eec27cd
1 changed files with 75 additions and 6 deletions
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81
java/source/infodynamics/measures/continuous/kraskov/TransferEntropyCalculatorKraskov.java
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@ -19,6 +19,7 @@
package infodynamics.measures.continuous.kraskov;
import java.util.Hashtable;
import java.util.Iterator;
import infodynamics.measures.continuous.ActiveInfoStorageCalculator;
import infodynamics.measures.continuous.ConditionalMutualInfoCalculatorMultiVariate;
@ -125,8 +126,8 @@ public class TransferEntropyCalculatorKraskov
/**
* Property name for specifying which (if any) auto-embedding method to use.
* Valid values include {@link #AUTO_EMBED_METHOD_RAGWITZ}, {@link #AUTO_EMBED_METHOD_RAGWITZ_DEST_ONLY},
* {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS}, {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY}
* and {@link #AUTO_EMBED_METHOD_NONE}.
* {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS}, {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY},
* {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS_AND_TE} and {@link #AUTO_EMBED_METHOD_NONE}.
* Defaults to {@link #AUTO_EMBED_METHOD_NONE}
*/
public static final String PROP_AUTO_EMBED_METHOD = "AUTO_EMBED_METHOD";
@ -153,6 +154,13 @@ public class TransferEntropyCalculatorKraskov
* AIS, for both source and destination time series
*/
public static final String AUTO_EMBED_METHOD_MAX_CORR_AIS = "MAX_CORR_AIS";
/**
* Valid value for the property {@link #PROP_AUTO_EMBED_METHOD} indicating that
* the automatic embedding should be done by maximising the bias corrected
* AIS for the target and subsequently maximising the TE over source embeddings,
* given a fixed source-target delay.
*/
public static final String AUTO_EMBED_METHOD_MAX_CORR_AIS_AND_TE = "MAX_CORR_AIS_AND_TE";
/**
* Valid value for the property {@link #PROP_AUTO_EMBED_METHOD} indicating that
* the automatic embedding should be done by maximising the bias corrected
@ -288,10 +296,11 @@ public class TransferEntropyCalculatorKraskov
* of the Ragwitz criteria for both source and destination (searching up to {@link #PROP_K_SEARCH_MAX} and
* {@link #PROP_TAU_SEARCH_MAX}), and {@link #AUTO_EMBED_METHOD_RAGWITZ_DEST_ONLY} for use
* of the Ragwitz criteria for the destination only;
* {@link AUTO_EMBED_METHOD_MAX_CORR_AIS} for use of the max bias corrected AIS criteria
* {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS} for use of the max bias corrected AIS criteria
* for both source and destination (searching up to {@link #PROP_K_SEARCH_MAX} and
* {@link #PROP_TAU_SEARCH_MAX}) and {@link AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY} for use of
* this criteria for the destination only.
* {@link #PROP_TAU_SEARCH_MAX}), {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY} for use of
* this criteria for the destination only and {@link #AUTO_EMBED_METHOD_MAX_CORR_AIS_AND_TE} for
* use of this criteria for the target, plus the max bias corrected TE for source embeddings.
* Use of any value other than {@link #AUTO_EMBED_METHOD_NONE}
* will lead to previous settings for embedding lengths and delays (via e.g. {@link #initialise(int, int)} or
* auto-embedding during previous calculations) for the destination and perhaps source to
@ -392,7 +401,8 @@ public class TransferEntropyCalculatorKraskov
if (autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_RAGWITZ) ||
autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_RAGWITZ_DEST_ONLY) ||
autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_MAX_CORR_AIS) ||
autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY)) {
autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_MAX_CORR_AIS_DEST_ONLY) ||
autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_MAX_CORR_AIS_AND_TE)) {
// Use a Kraskov AIS calculator to embed both time-series individually:
ActiveInfoStorageCalculatorKraskov aisCalc = new ActiveInfoStorageCalculatorKraskov();
@ -457,6 +467,65 @@ public class TransferEntropyCalculatorKraskov
System.out.printf("Embedding parameters for source set to l=%d,l_tau=%d\n",
l, l_tau);
}
} else if (autoEmbeddingMethod.equalsIgnoreCase(AUTO_EMBED_METHOD_MAX_CORR_AIS_AND_TE)) {
if (debug) {
System.out.println("Starting embedding of source:");
}
// Instantiate a new calculator to optimize the embedding parameters
TransferEntropyCalculatorKraskov teEmbeddingCalc =
new TransferEntropyCalculatorKraskov();
// Set all properties of the current calculator except embedding method
for (String key : props.keySet()) {
teEmbeddingCalc.setProperty(key, props.get(key));
}
teEmbeddingCalc.setProperty(PROP_AUTO_EMBED_METHOD, AUTO_EMBED_METHOD_NONE);
double bestTE = Double.NEGATIVE_INFINITY;
int l_candidate_best = 1;
int l_tau_candidate_best = 1;
// Iterate over all possible embeddings
for (int l_candidate = 1; l_candidate <= k_search_max; l_candidate++) {
for (int l_tau_candidate = 1; l_tau_candidate <= tau_search_max; l_tau_candidate++) {
teEmbeddingCalc.initialise(k, k_tau, l_candidate, l_tau_candidate, delay);
teEmbeddingCalc.startAddObservations();
Iterator<double[]> destIterator = vectorOfDestinationTimeSeries.iterator();
for (double[] source : vectorOfSourceTimeSeries) {
double[] dest = destIterator.next();
teEmbeddingCalc.addObservations(source, dest);
}
teEmbeddingCalc.finaliseAddObservations();
double thisTE = teEmbeddingCalc.computeAverageLocalOfObservations();
if (debug) {
System.out.printf("TE for l=%d, l_tau=%d is %.3f\n",
l_candidate, l_tau_candidate, thisTE);
}
if (thisTE > bestTE) {
// This parameter setting is the best so far:
bestTE = thisTE;
l_candidate_best = l_candidate;
l_tau_candidate_best = l_tau_candidate;
}
if (l_candidate == 1) {
// tau is irrelevant, so no point testing other values
break;
}
}
}
l = l_candidate_best;
l_tau = l_tau_candidate_best;
if (debug) {
System.out.printf("Embedding parameters for source set to l=%d,l_tau=%d\n",
l, l_tau);
}
}
// Now that embedding parameters are finalised: