SHOGUN
4.2.0
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This class implements the Hilbert Schmidtd Independence Criterion based independence test as described in [1].
Given samples \(Z=\{(x_i,y_i)\}_{i=1}^m\) from the joint distribution \(\textbf{P}_{xy}\), does the joint distribution factorize as \(\textbf{P}_{xy}=\textbf{P}_x\textbf{P}_y\)?
The HSIC is a kernel based independence criterion, which is based on the largest singular value of a Cross-Covariance Operator in a reproducing kernel Hilbert space (RKHS). Its population expression is zero if and only if the two underlying distributions are independent.
This class can compute empirical biased estimates:
\[ m\text{HSIC}(Z)[,p,q]^2)=\frac{1}{m^2}\text{trace}\textbf{KHLH} \]
where \(\textbf{H}=\textbf{I}-\frac{1}{m}\textbf{11}^T\) is a centering matrix and \(\textbf{K}, \textbf{L}\) are kernel matrices of both sets of samples.
Note that computing the statistic returns m*MMD; same holds for the null distribution samples.
Along with the statistic comes a method to compute a p-value based on different methods. Sampling from null is also possible. If unsure which one to use, sampling with 250 iterations always is correct (but slow).
To choose, use set_null_approximation_method() and choose from
HSIC_GAMMA: for a very fast, but not consistent test based on moment matching of a Gamma distribution, as described in [1].
PERMUTATION: For permuting available samples to sample null-distribution. This is done on precomputed kernel matrices, since they have to be stored anyway when the statistic is computed.
A very basic method for kernel selection when using CGaussianKernel is to use the median distance of the underlying data. See examples how to do that. More advanced methods will follow in the near future. However, the median heuristic works in quite some cases. See [1].
[1]: Gretton, A., Fukumizu, K., Teo, C., & Song, L. (2008). A kernel statistical test of independence. Advances in Neural Information Processing Systems, 1-8.
Public Member Functions | |
CHSIC () | |
CHSIC (CKernel *kernel_p, CKernel *kernel_q, CFeatures *p, CFeatures *q) | |
virtual | ~CHSIC () |
virtual float64_t | compute_statistic () |
virtual float64_t | compute_p_value (float64_t statistic) |
virtual float64_t | compute_threshold (float64_t alpha) |
virtual const char * | get_name () const |
virtual EStatisticType | get_statistic_type () const |
virtual void | set_p (CFeatures *p) |
virtual void | set_q (CFeatures *q) |
SGVector< float64_t > | fit_null_gamma () |
virtual SGVector< float64_t > | sample_null () |
virtual void | set_kernel_p (CKernel *kernel_p) |
virtual void | set_kernel_q (CKernel *kernel_q) |
virtual CKernel * | get_kernel_p () |
virtual CKernel * | get_kernel_q () |
virtual CFeatures * | get_p () |
virtual CFeatures * | get_q () |
virtual float64_t | perform_test () |
bool | perform_test (float64_t alpha) |
virtual void | set_num_null_samples (index_t num_null_samples) |
virtual void | set_null_approximation_method (ENullApproximationMethod null_approximation_method) |
virtual CSGObject * | shallow_copy () const |
virtual CSGObject * | deep_copy () const |
virtual bool | is_generic (EPrimitiveType *generic) const |
template<class T > | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
template<> | |
void | set_generic () |
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void | set_generic () |
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void | set_generic () |
void | unset_generic () |
virtual void | print_serializable (const char *prefix="") |
virtual bool | save_serializable (CSerializableFile *file, const char *prefix="") |
virtual bool | load_serializable (CSerializableFile *file, const char *prefix="") |
void | set_global_io (SGIO *io) |
SGIO * | get_global_io () |
void | set_global_parallel (Parallel *parallel) |
Parallel * | get_global_parallel () |
void | set_global_version (Version *version) |
Version * | get_global_version () |
SGStringList< char > | get_modelsel_names () |
void | print_modsel_params () |
char * | get_modsel_param_descr (const char *param_name) |
index_t | get_modsel_param_index (const char *param_name) |
void | build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict) |
bool | has (const std::string &name) const |
template<typename T > | |
bool | has (const Tag< T > &tag) const |
template<typename T , typename U = void> | |
bool | has (const std::string &name) const |
template<typename T > | |
void | set (const Tag< T > &_tag, const T &value) |
template<typename T , typename U = void> | |
void | set (const std::string &name, const T &value) |
template<typename T > | |
T | get (const Tag< T > &_tag) const |
template<typename T , typename U = void> | |
T | get (const std::string &name) const |
virtual void | update_parameter_hash () |
virtual bool | parameter_hash_changed () |
virtual bool | equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false) |
virtual CSGObject * | clone () |
Public Attributes | |
SGIO * | io |
Parallel * | parallel |
Version * | version |
Parameter * | m_parameters |
Parameter * | m_model_selection_parameters |
Parameter * | m_gradient_parameters |
uint32_t | m_hash |
Protected Member Functions | |
SGMatrix< float64_t > | get_kernel_matrix_K () |
SGMatrix< float64_t > | get_kernel_matrix_L () |
virtual void | load_serializable_pre () throw (ShogunException) |
virtual void | load_serializable_post () throw (ShogunException) |
virtual void | save_serializable_pre () throw (ShogunException) |
virtual void | save_serializable_post () throw (ShogunException) |
template<typename T > | |
void | register_param (Tag< T > &_tag, const T &value) |
template<typename T > | |
void | register_param (const std::string &name, const T &value) |
Protected Attributes | |
CKernel * | m_kernel_p |
CKernel * | m_kernel_q |
CFeatures * | m_p |
CFeatures * | m_q |
index_t | m_num_null_samples |
ENullApproximationMethod | m_null_approximation_method |
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inherited |
Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.
dict | dictionary of parameters to be built. |
Definition at line 630 of file SGObject.cpp.
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virtualinherited |
Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.
Definition at line 747 of file SGObject.cpp.
computes a p-value based on current method for approximating the null-distribution. The p-value is the 1-p quantile of the null- distribution where the given statistic lies in.
statistic | statistic value to compute the p-value for |
Reimplemented from CHypothesisTest.
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Computes the HSIC statistic (see class description) for underlying kernels and data. Note that it is multiplied by the number of used samples. It is a biased estimator. Note that it is m*HSIC_b.
Note that since kernel matrices have to be stored, it has quadratic space costs.
Implements CHypothesisTest.
computes a threshold based on current method for approximating the null-distribution. The threshold is the value that a statistic has to have in ordner to reject the null-hypothesis.
alpha | test level to reject null-hypothesis |
Reimplemented from CHypothesisTest.
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virtualinherited |
A deep copy. All the instance variables will also be copied.
Definition at line 231 of file SGObject.cpp.
Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!
May be overwritten but please do with care! Should not be necessary in most cases.
other | object to compare with |
accuracy | accuracy to use for comparison (optional) |
tolerant | allows linient check on float equality (within accuracy) |
Definition at line 651 of file SGObject.cpp.
Approximates the null-distribution by a two parameter gamma distribution. Returns parameters.
NOTE: the gamma distribution is fitted to m*HSIC_b. But since compute_statistic() returnes the biased estimate, you can safely call this with values from compute_statistic(). However, the attached features have to be the SAME size, as these, the statistic was computed on. If compute_threshold() or compute_p_value() are used, this is ensured automatically. Note that m*Null-distribution is fitted, which is fine since the statistic is also m*HSIC.
Has quadratic computational costs in terms of samples.
Called by compute_p_value() if null approximation method is set to MMD2_GAMMA.
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Getter for a class parameter, identified by a Tag. Throws an exception if the class does not have such a parameter.
_tag | name and type information of parameter |
Definition at line 367 of file SGObject.h.
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Getter for a class parameter, identified by a name. Throws an exception if the class does not have such a parameter.
name | name of the parameter |
Definition at line 388 of file SGObject.h.
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Definition at line 158 of file KernelIndependenceTest.cpp.
Definition at line 184 of file KernelIndependenceTest.cpp.
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Getter for kernel for features from p, SG_REF'ed
Definition at line 146 of file KernelIndependenceTest.cpp.
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Getter for kernel for features from q, SG_REF'ed
Definition at line 152 of file KernelIndependenceTest.cpp.
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Definition at line 531 of file SGObject.cpp.
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Returns description of a given parameter string, if it exists. SG_ERROR otherwise
param_name | name of the parameter |
Definition at line 555 of file SGObject.cpp.
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Returns index of model selection parameter with provided index
param_name | name of model selection parameter |
Definition at line 568 of file SGObject.cpp.
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virtual |
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Getter for features from p, SG_REF'ed
Definition at line 121 of file IndependenceTest.cpp.
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Getter for features from q, SG_REF'ed
Definition at line 127 of file IndependenceTest.cpp.
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returns the statistic type of this test statistic
Implements CHypothesisTest.
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Checks if object has a class parameter identified by a name.
name | name of the parameter |
Definition at line 289 of file SGObject.h.
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Checks if object has a class parameter identified by a Tag.
tag | tag of the parameter containing name and type information |
Definition at line 301 of file SGObject.h.
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inherited |
Checks if a type exists for a class parameter identified by a name.
name | name of the parameter |
Definition at line 312 of file SGObject.h.
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virtualinherited |
If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.
generic | set to the type of the generic if returning TRUE |
Definition at line 329 of file SGObject.cpp.
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virtualinherited |
Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!
file | where to load from |
prefix | prefix for members |
Definition at line 402 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.
Definition at line 459 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 454 of file SGObject.cpp.
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virtualinherited |
Definition at line 295 of file SGObject.cpp.
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virtualinherited |
Performs the complete two-sample test on current data and returns a p-value.
This is a wrapper that calls compute_statistic first and then calls compute_p_value using the obtained statistic. In some statistic classes, it might be possible to compute statistic and p-value in one single run which is more efficient. Therefore, this method might be overwritten in subclasses.
The method for computing the p-value can be set via set_null_approximation_method().
Reimplemented in CStreamingMMD.
Definition at line 113 of file HypothesisTest.cpp.
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inherited |
Performs the complete two-sample test on current data and returns a binary answer wheter null hypothesis is rejected or not.
This is just a wrapper for the above perform_test() method that returns a p-value. If this p-value lies below the test level alpha, the null hypothesis is rejected.
Should not be overwritten in subclasses. (Therefore not virtual)
alpha | test level alpha. |
Definition at line 121 of file HypothesisTest.cpp.
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prints all parameter registered for model selection and their type
Definition at line 507 of file SGObject.cpp.
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virtualinherited |
prints registered parameters out
prefix | prefix for members |
Definition at line 341 of file SGObject.cpp.
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protectedinherited |
Registers a class parameter which is identified by a tag. This enables the parameter to be modified by set() and retrieved by get(). Parameters can be registered in the constructor of the class.
_tag | name and type information of parameter |
value | value of the parameter |
Definition at line 439 of file SGObject.h.
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protectedinherited |
Registers a class parameter which is identified by a name. This enables the parameter to be modified by set() and retrieved by get(). Parameters can be registered in the constructor of the class.
name | name of the parameter |
value | value of the parameter along with type information |
Definition at line 452 of file SGObject.h.
merges both sets of samples and computes the test statistic m_num_null_sample times. This version precomputes the kenrel matrix once by hand, then samples using this one. The matrix has to be stored anyway when statistic is computed.
Reimplemented from CKernelIndependenceTest.
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Save this object to file.
file | where to save the object; will be closed during returning if PREFIX is an empty string. |
prefix | prefix for members |
Definition at line 347 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel.
Definition at line 469 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 464 of file SGObject.cpp.
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Setter for a class parameter, identified by a Tag. Throws an exception if the class does not have such a parameter.
_tag | name and type information of parameter |
value | value of the parameter |
Definition at line 328 of file SGObject.h.
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Setter for a class parameter, identified by a name. Throws an exception if the class does not have such a parameter.
name | name of the parameter |
value | value of the parameter along with type information |
Definition at line 354 of file SGObject.h.
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Definition at line 74 of file SGObject.cpp.
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Definition at line 79 of file SGObject.cpp.
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Definition at line 84 of file SGObject.cpp.
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Definition at line 89 of file SGObject.cpp.
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Definition at line 94 of file SGObject.cpp.
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Definition at line 99 of file SGObject.cpp.
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Definition at line 104 of file SGObject.cpp.
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Definition at line 109 of file SGObject.cpp.
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Definition at line 114 of file SGObject.cpp.
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Definition at line 119 of file SGObject.cpp.
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Definition at line 124 of file SGObject.cpp.
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Definition at line 129 of file SGObject.cpp.
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Definition at line 134 of file SGObject.cpp.
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Definition at line 139 of file SGObject.cpp.
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Definition at line 144 of file SGObject.cpp.
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set generic type to T
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set the parallel object
parallel | parallel object to use |
Definition at line 274 of file SGObject.cpp.
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set the version object
version | version object to use |
Definition at line 316 of file SGObject.cpp.
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Setter for kernel for features from distribution p, SG_REFs it
kernel_p | kernel for features from p |
Definition at line 130 of file KernelIndependenceTest.cpp.
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Setter for kernel for features from distribution q, SG_REFs it
kernel_q | kernel for features from q |
Definition at line 138 of file KernelIndependenceTest.cpp.
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sets the method how to approximate the null-distribution
null_approximation_method | method to use |
Definition at line 61 of file HypothesisTest.cpp.
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sets the number of permutation iterations for sample_null()
num_null_samples | how often permutation shall be done |
Definition at line 67 of file HypothesisTest.cpp.
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Setter for features from distribution p, SG_REFs it
p | features from p |
Reimplemented from CIndependenceTest.
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Setter for features from distribution q, SG_REFs it
q | features from q |
Reimplemented from CIndependenceTest.
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virtualinherited |
A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.
Reimplemented in CGaussianKernel.
Definition at line 225 of file SGObject.cpp.
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unset generic type
this has to be called in classes specializing a template class
Definition at line 336 of file SGObject.cpp.
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Updates the hash of current parameter combination
Definition at line 281 of file SGObject.cpp.
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io
Definition at line 537 of file SGObject.h.
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parameters wrt which we can compute gradients
Definition at line 552 of file SGObject.h.
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Hash of parameter values
Definition at line 555 of file SGObject.h.
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underlying kernel for p
Definition at line 137 of file KernelIndependenceTest.h.
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underlying kernel for q
Definition at line 140 of file KernelIndependenceTest.h.
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model selection parameters
Definition at line 549 of file SGObject.h.
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Defines how the the null distribution is approximated
Definition at line 177 of file HypothesisTest.h.
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number of iterations for sampling from null-distributions
Definition at line 174 of file HypothesisTest.h.
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samples of the distribution p
Definition at line 116 of file IndependenceTest.h.
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parameters
Definition at line 546 of file SGObject.h.
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samples of the distribution q
Definition at line 119 of file IndependenceTest.h.
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parallel
Definition at line 540 of file SGObject.h.
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version
Definition at line 543 of file SGObject.h.