def _smooth(self, z, s):
auto_smooth = self.auto_smooth
norm = linalg.norm
y = self.y
Wtot = self.Wtot
gamma_s = self.gamma(s)
# "amount" of weights (see the function GCVscore)
aow = Wtot.sum() / y.size # 0 < aow <= 1
for nit in range(self.maxiter):
DCTy = dctn(Wtot * (y - z) + z)
if auto_smooth and not np.remainder(np.log2(nit + 1), 1):
# The generalized cross-validation (GCV) method is used.
# We seek the smoothing parameter s that minimizes the GCV
# score i.e. s = Argmin(GCVscore).
# Because this process is time-consuming, it is performed from
# time to time (when nit is a power of 2)
log10s = optimize.fminbound(self.gcv,
np.log10(self.s_min),
np.log10(self.s_max),
args=(aow, DCTy, y, Wtot),
xtol=self.errp,
full_output=False,
disp=False)
s = 10**log10s
gamma_s = self.gamma(s)
z0 = z
z = self.RF * idctn(gamma_s * DCTy) + (1 - self.RF) * z
# if no weighted/missing data => tol=0 (no iteration)
tol = norm(z0.ravel() - z.ravel()) / norm(z.ravel())
converged = tol <= self.tolz or not self.is_weighted
if converged:
break
return z, s, converged
def test_dct_and_dctn(self):
a = np.arange(12).reshape((3, -1))
y = wd.dct(a)
x = wd.idct(y)
assert_array_almost_equal(x, a)
yn = wd.dctn(a) # , shape=(10,), axes=(1,))
xn = wd.idctn(yn) # , axes=(1,))
assert_array_almost_equal(xn, a)
def _initial_guess(y, I):
# Initial Guess with weighted/missing data
# nearest neighbor interpolation (in case of missing values)
z = y
if (1 - I).any():
notI = ~I
z, L = distance_transform_edt(notI, return_indices=True)
z[notI] = y[L.flat[notI]]
# coarse fast smoothing using one-tenth of the DCT coefficients
shape = z.shape
d = z.ndim
z = dctn(z)
for k in range(d):
z[int((shape[k] + 0.5) / 10) + 1::, ...] = 0
z = z.reshape(np.roll(shape, -k))
z = z.transpose(np.roll(range(d), -1))
# z = shiftdim(z,1);
return idctn(z)
def test_dct3(self):
a = np.array([[[0.51699637, 0.42946223, 0.89843545],
[0.27853391, 0.8931508, 0.34319118],
[0.51984431, 0.09217771, 0.78764716]],
[[0.25019845, 0.92622331, 0.06111409],
[0.81363641, 0.06093368, 0.13123373],
[0.47268657, 0.39635091, 0.77978269]],
[[0.86098829, 0.07901332, 0.82169182],
[0.12560088, 0.78210188, 0.69805434],
[0.33544628, 0.81540172, 0.9393219]]])
dct = wd.dct
d = dct(dct(dct(a).transpose(0, 2, 1)).transpose(2, 1, 0)
).transpose(2, 1, 0).transpose(0, 2, 1)
d0 = wd.dctn(a)
idct = wd.idct
e = idct(idct(idct(d).transpose(0, 2, 1)).transpose(2, 1, 0)
).transpose(2, 1, 0).transpose(0, 2, 1)
assert_array_almost_equal(d, d0)
assert_array_almost_equal(a, e)
def InitialGuess(y, I):
# Initial Guess with weighted/missing data
# nearest neighbor interpolation (in case of missing values)
z = y
if (1 - I).any():
notI = ~I
z, L = distance_transform_edt(notI, return_indices=True)
z[notI] = y[L.flat[notI]]
# coarse fast smoothing using one-tenth of the DCT coefficients
siz = z.shape
d = z.ndim
z = dctn(z)
for k in range(d):
z[int((siz[k] + 0.5) / 10) + 1::, ...] = 0
z = z.reshape(np.roll(siz, -k))
z = z.transpose(np.roll(range(z.ndim), -1))
# z = shiftdim(z,1);
z = idctn(z)
return z
def evar(y):
"""Noise variance estimation. Assuming that the deterministic function Y
has additive Gaussian noise, EVAR(Y) returns an estimated variance of this
noise.
Note:
----
A thin-plate smoothing spline model is used to smooth Y. It is assumed
that the model whose generalized cross-validation score is minimum can
provide the variance of the additive noise. A few tests showed that
EVAR works very well with "not too irregular" functions.
Examples:
--------
1D signal
>>> n = 1e6
>>> x = np.linspace(0,100,n);
>>> y = np.cos(x/10)+(x/50)
>>> var0 = 0.02 # noise variance
>>> yn = y + sqrt(var0)*np.random.randn(*y.shape)
>>> s = evar(yn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(n)
True
2D function
>>> xp = np.linspace(0,1,50)
>>> x, y = np.meshgrid(xp,xp)
>>> f = np.exp(x+y) + np.sin((x-2*y)*3)
>>> var0 = 0.04 # noise variance
>>> fn = f + sqrt(var0)*np.random.randn(*f.shape)
>>> s = evar(fn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(50)
True
3D function
>>> yp = np.linspace(-2,2,50)
>>> [x,y,z] = np.meshgrid(yp, yp, yp, sparse=True)
>>> f = x*np.exp(-x**2-y**2-z**2)
>>> var0 = 0.5 # noise variance
>>> fn = f + np.sqrt(var0)*np.random.randn(*f.shape)
>>> s = evar(fn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(50)
True
Other example
-------------
http://www.biomecardio.com/matlab/evar.html
Note:
----
EVAR is only adapted to evenly-gridded 1-D to N-D data.
See also
--------
VAR, STD, SMOOTHN
"""
# Damien Garcia -- 2008/04, revised 2009/10
y = np.atleast_1d(y)
d = y.ndim
sh0 = y.shape
S = np.zeros(sh0)
sh1 = np.ones((d, ), dtype=np.int64)
cos = np.cos
for i in range(d):
ni = sh0[i]
sh1[i] = ni
t = np.arange(ni).reshape(sh1) / ni
S += cos(pi * t)
sh1[i] = 1
S2 = 2 * (d - S).ravel()
# N-D Discrete Cosine Transform of Y
dcty2 = dctn(y).ravel()**2
def score_fun(L, S2, dcty2):
# Generalized cross validation score
M = 1 - 1. / (1 + 10**L * S2)
noisevar = (dcty2 * M**2).mean()
return noisevar / M.mean()**2
# fun = lambda x : score_fun(x, S2, dcty2)
Lopt = optimize.fminbound(score_fun, -38, 38, args=(S2, dcty2))
M = 1.0 - 1.0 / (1 + 10**Lopt * S2)
noisevar = (dcty2 * M**2).mean()
return noisevar
def smoothn(data, s=None, weight=None, robust=False, z0=None, tolz=1e-3,
maxiter=100, fulloutput=False):
'''
SMOOTHN fast and robust spline smoothing for 1-D to N-D data.
Parameters
----------
data : array like
uniformly-sampled data array to smooth. Non finite values (NaN or Inf)
are treated as missing values.
s : real positive scalar
smooting parameter. The larger S is, the smoother the output will be.
Default value is automatically determined using the generalized
cross-validation (GCV) method.
weight : string or array weights
weighting array of real positive values, that must have the same size
as DATA. Note that a zero weight corresponds to a missing value.
robust : bool
If true carry out a robust smoothing that minimizes the influence of
outlying data.
tolz : real positive scalar
Termination tolerance on Z (default = 1e-3)
maxiter : scalar integer
Maximum number of iterations allowed (default = 100)
z0 : array-like
Initial value for the iterative process (default = original data)
Returns
-------
z : array like
smoothed data
To be made
----------
Estimate the confidence bands (see Wahba 1983, Nychka 1988).
Reference
---------
Garcia D, Robust smoothing of gridded data in one and higher dimensions
with missing values. Computational Statistics & Data Analysis, 2010.
http://www.biomecardio.com/pageshtm/publi/csda10.pdf
Examples:
--------
1-D example
>>> import matplotlib.pyplot as plt
>>> x = np.linspace(0,100,2**8)
>>> y = np.cos(x/10)+(x/50)**2 + np.random.randn(*x.shape)/10
>>> y[np.r_[70, 75, 80]] = np.array([5.5, 5, 6])
>>> z = smoothn(y) # Regular smoothing
>>> zr = smoothn(y,robust=True) # Robust smoothing
>>> h=plt.subplot(121),
>>> h = plt.plot(x,y,'r.',x,z,'k',linewidth=2)
>>> h=plt.title('Regular smoothing')
>>> h=plt.subplot(122)
>>> h=plt.plot(x,y,'r.',x,zr,'k',linewidth=2)
>>> h=plt.title('Robust smoothing')
2-D example
>>> xp = np.r_[0:1:.02]
>>> [x,y] = np.meshgrid(xp,xp)
>>> f = np.exp(x+y) + np.sin((x-2*y)*3);
>>> fn = f + np.random.randn(*f.shape)*0.5;
>>> fs = smoothn(fn);
>>> h=plt.subplot(121),
>>> h=plt.contourf(xp,xp,fn)
>>> h=plt.subplot(122)
>>> h=plt.contourf(xp,xp,fs)
2-D example with missing data
n = 256;
y0 = peaks(n);
y = y0 + rand(size(y0))*2;
I = randperm(n^2);
y(I(1:n^2*0.5)) = NaN; lose 1/2 of data
y(40:90,140:190) = NaN; create a hole
z = smoothn(y); smooth data
subplot(2,2,1:2), imagesc(y), axis equal off
title('Noisy corrupt data')
subplot(223), imagesc(z), axis equal off
title('Recovered data ...')
subplot(224), imagesc(y0), axis equal off
title('... compared with original data')
3-D example
[x,y,z] = meshgrid(-2:.2:2);
xslice = [-0.8,1]; yslice = 2; zslice = [-2,0];
vn = x.*exp(-x.^2-y.^2-z.^2) + randn(size(x))*0.06;
subplot(121), slice(x,y,z,vn,xslice,yslice,zslice,'cubic')
title('Noisy data')
v = smoothn(vn);
subplot(122), slice(x,y,z,v,xslice,yslice,zslice,'cubic')
title('Smoothed data')
Cardioid
t = linspace(0,2*pi,1000);
x = 2*cos(t).*(1-cos(t)) + randn(size(t))*0.1;
y = 2*sin(t).*(1-cos(t)) + randn(size(t))*0.1;
z = smoothn(complex(x,y));
plot(x,y,'r.',real(z),imag(z),'k','linewidth',2)
axis equal tight
Cellular vortical flow
[x,y] = meshgrid(linspace(0,1,24));
Vx = cos(2*pi*x+pi/2).*cos(2*pi*y);
Vy = sin(2*pi*x+pi/2).*sin(2*pi*y);
Vx = Vx + sqrt(0.05)*randn(24,24); adding Gaussian noise
Vy = Vy + sqrt(0.05)*randn(24,24); adding Gaussian noise
I = randperm(numel(Vx));
Vx(I(1:30)) = (rand(30,1)-0.5)*5; adding outliers
Vy(I(1:30)) = (rand(30,1)-0.5)*5; adding outliers
Vx(I(31:60)) = NaN; missing values
Vy(I(31:60)) = NaN; missing values
Vs = smoothn(complex(Vx,Vy),'robust'); automatic smoothing
subplot(121), quiver(x,y,Vx,Vy,2.5), axis square
title('Noisy velocity field')
subplot(122), quiver(x,y,real(Vs),imag(Vs)), axis square
title('Smoothed velocity field')
See also SMOOTH, SMOOTH3, DCTN, IDCTN.
-- Damien Garcia -- 2009/03, revised 2010/11
Visit
http://www.biomecardio.com/matlab/smoothn.html
for more details about SMOOTHN
'''
y = np.atleast_1d(data)
sizy = y.shape
noe = y.size
if noe < 2:
return data
weightstr = 'bisquare'
W = np.ones(sizy)
# Smoothness parameter and weights
if weight is None:
pass
elif isinstance(weight, str):
weightstr = weight.lower()
else:
W = weight
# Weights. Zero weights are assigned to not finite values (Inf or NaN),
# (Inf/NaN values = missing data).
IsFinite = np.isfinite(y)
nof = IsFinite.sum() # number of finite elements
W = W * IsFinite
if (W < 0).any():
raise ValueError('Weights must all be >=0')
else:
W = W / W.max()
isweighted = (W < 1).any() # Weighted or missing data?
isauto = s is None # Automatic smoothing?
# Creation of the Lambda tensor
# Lambda contains the eingenvalues of the difference matrix used in this
# penalized least squares process.
d = y.ndim
Lambda = np.zeros(sizy)
siz0 = [1, ] * d
for i in range(d):
siz0[i] = sizy[i]
Lambda = Lambda + \
np.cos(pi * np.arange(sizy[i]) / sizy[i]).reshape(siz0)
siz0[i] = 1
Lambda = -2 * (d - Lambda)
if not isauto:
Gamma = 1. / (1 + s * Lambda ** 2)
# Upper and lower bound for the smoothness parameter
# The average leverage (h) is by definition in [0 1]. Weak smoothing occurs
# if h is close to 1, while over-smoothing appears when h is near 0. Upper
# and lower bounds for h are given to avoid under- or over-smoothing. See
# equation relating h to the smoothness parameter (Equation #12 in the
# referenced CSDA paper).
N = (np.array(sizy) != 1).sum() # tensor rank of the y-array
hMin = 1e-6
hMax = 0.99
sMinBnd = (((1 + sqrt(1 + 8 * hMax ** (2. / N))) / 4. /
hMax ** (2. / N)) ** 2 - 1) / 16
sMaxBnd = (((1 + sqrt(1 + 8 * hMin ** (2. / N))) / 4. /
hMin ** (2. / N)) ** 2 - 1) / 16
# Initialize before iterating
Wtot = W
# Initial conditions for z
if isweighted:
# With weighted/missing data
# An initial guess is provided to ensure faster convergence. For that
# purpose, a nearest neighbor interpolation followed by a coarse
# smoothing are performed.
if z0 is None:
z = InitialGuess(y, IsFinite)
else:
# an initial guess (z0) has been provided
z = z0
else:
z = np.zeros(sizy)
z0 = z
y[~IsFinite] = 0 # arbitrary values for missing y-data
tol = 1
RobustIterativeProcess = True
RobustStep = 1
# Error on p. Smoothness parameter s = 10^p
errp = 0.1
# Relaxation factor RF: to speedup convergence
RF = 1.75 if isweighted else 1.0
norm = linalg.norm
# Main iterative process
while RobustIterativeProcess:
# "amount" of weights (see the function GCVscore)
aow = Wtot.sum() / noe # 0 < aow <= 1
exitflag = True
for nit in range(1, maxiter + 1):
DCTy = dctn(Wtot * (y - z) + z)
if isauto and not np.remainder(np.log2(nit), 1):
# The generalized cross-validation (GCV) method is used.
# We seek the smoothing parameter s that minimizes the GCV
# score i.e. s = Argmin(GCVscore).
# Because this process is time-consuming, it is performed from
# time to time (when nit is a power of 2)
log10s = optimize.fminbound(
gcv, np.log10(sMinBnd), np.log10(sMaxBnd),
args=(aow, Lambda, DCTy, y, Wtot, IsFinite, nof, noe),
xtol=errp, full_output=False, disp=False)
s = 10 ** log10s
Gamma = 1.0 / (1 + s * Lambda ** 2)
z = RF * idctn(Gamma * DCTy) + (1 - RF) * z
# if no weighted/missing data => tol=0 (no iteration)
tol = norm(z0.ravel() - z.ravel()) / norm(
z.ravel()) if isweighted else 0.0
if tol <= tolz:
break
z0 = z # re-initialization
else:
exitflag = False # nit<MaxIter;
if robust:
# -- Robust Smoothing: iteratively re-weighted process
# --- average leverage
h = sqrt(1 + 16 * s)
h = sqrt(1 + h) / sqrt(2) / h
h = h ** N
# take robust weights into account
Wtot = W * RobustWeights(y - z, IsFinite, h, weightstr)
# re-initialize for another iterative weighted process
isweighted = True
tol = 1
RobustStep = RobustStep + 1
# 3 robust steps are enough.
RobustIterativeProcess = RobustStep < 4
else:
RobustIterativeProcess = False # stop the whole process
# Warning messages
if isauto:
if abs(np.log10(s) - np.log10(sMinBnd)) < errp:
warnings.warn('''s = %g: the lower bound for s has been reached.
Put s as an input variable if required.''' % s)
elif abs(np.log10(s) - np.log10(sMaxBnd)) < errp:
warnings.warn('''s = %g: the Upper bound for s has been reached.
Put s as an input variable if required.''' % s)
if not exitflag:
warnings.warn('''Maximum number of iterations (%d) has been exceeded.
Increase MaxIter option or decrease TolZ value.''' % (maxiter))
if fulloutput:
return z, s
else:
return z
def evar(y):
"""Noise variance estimation. Assuming that the deterministic function Y
has additive Gaussian noise, EVAR(Y) returns an estimated variance of this
noise.
Note:
----
A thin-plate smoothing spline model is used to smooth Y. It is assumed
that the model whose generalized cross-validation score is minimum can
provide the variance of the additive noise. A few tests showed that
EVAR works very well with "not too irregular" functions.
Examples:
--------
1D signal
>>> n = 1e6
>>> x = np.linspace(0,100,n);
>>> y = np.cos(x/10)+(x/50)
>>> var0 = 0.02 # noise variance
>>> yn = y + sqrt(var0)*np.random.randn(*y.shape)
>>> s = evar(yn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(n)
True
2D function
>>> xp = np.linspace(0,1,50)
>>> x, y = np.meshgrid(xp,xp)
>>> f = np.exp(x+y) + np.sin((x-2*y)*3)
>>> var0 = 0.04 # noise variance
>>> fn = f + sqrt(var0)*np.random.randn(*f.shape)
>>> s = evar(fn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(50)
True
3D function
>>> yp = np.linspace(-2,2,50)
>>> [x,y,z] = meshgrid(yp,yp,yp, sparse=True)
>>> f = x*exp(-x**2-y**2-z**2)
>>> var0 = 0.5 # noise variance
>>> fn = f + sqrt(var0)*np.random.randn(*f.shape)
>>> s = evar(fn) # estimated variance
>>> np.abs(s-var0)/var0 < 3.5/np.sqrt(50)
True
Other example
-------------
http://www.biomecardio.com/matlab/evar.html
Note:
----
EVAR is only adapted to evenly-gridded 1-D to N-D data.
See also
--------
VAR, STD, SMOOTHN
"""
# Damien Garcia -- 2008/04, revised 2009/10
y = np.atleast_1d(y)
d = y.ndim
sh0 = y.shape
S = np.zeros(sh0)
sh1 = np.ones((d,))
cos = np.cos
pi = np.pi
for i in range(d):
ni = sh0[i]
sh1[i] = ni
t = np.arange(ni).reshape(sh1) / ni
S += cos(pi * t)
sh1[i] = 1
S2 = 2 * (d - S).ravel()
# N-D Discrete Cosine Transform of Y
dcty2 = dctn(y).ravel() ** 2
def score_fun(L, S2, dcty2):
# Generalized cross validation score
M = 1 - 1. / (1 + 10 ** L * S2)
noisevar = (dcty2 * M ** 2).mean()
return noisevar / M.mean() ** 2
# fun = lambda x : score_fun(x, S2, dcty2)
Lopt = optimize.fminbound(score_fun, -38, 38, args=(S2, dcty2))
M = 1.0 - 1.0 / (1 + 10 ** Lopt * S2)
noisevar = (dcty2 * M ** 2).mean()
return noisevar
