Kernel Density Estimate with product approximation using multiscale Gibbs sampling
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
examples
src
test
.travis.yml
LICENSE
README.md
REQUIRE

README.md

KernelDensityEstimate.jl

Build Status codecov.io

KernelDensityEstimate KernelDensityEstimate KernelDensityEstimate

Kernel Density Estimation with product approximation using multiscale Gibbs sampling.

All code is implemented in native Julia, including plotting which uses Gadfly. The main focus of this module is the ability to take the product between multiple KDEs, and makes this module unique from other KDE implementations. This package also supports n-dimensional KDEs. Please see examples below for details. The implementation is already fairly optimized from a symbolic standpoint and is based on work by:

Sudderth, Erik B.; Ihler, Alexander, et al. "Nonparametric belief propagation." Communications of the ACM 53.10 (2010): 95-103.

The package has built in plotting functionality, using Gadfly. This package is heavily used by IncrementalInference. Comments welcome.

Installation

Pkg.add("KernelDensityEstimate")

Newest stuff:

Pkg.checkout("KernelDensityEstimate")

Plotting Functions

The plotting fucntions for this library have been separated into KernelDensityEstimatePlotting.jl.

Examples

Bring the module into the workspace

using KernelDensityEstimate
# Basic one dimensional examples
# using leave-one-out likelihood cross validation for bandwidth estimation
p100 = kde!([randn(50);10.0+2*randn(50)])
p2 = kde!([0.0;10.0],[1.0]) # multibandwidth still to be added
p75 = resample(p2,75)

# bring in the plotting functions
using KernelDensityEstimatePlotting
plot([p100;p2;p75],c=["red";"green";"blue"]) # using Gadfly under the hood

alt tag

Multidimensional example

pd2 = kde!(randn(3,100));
@time pd2 = kde!(randn(3,100)); # defaults to loocv
pm12 = marginal(pd2,[1;2]);
pm2 = marginal(pm12,[2]);
plot(pm2);

Multiscale Gibbs product approximation example

p = kde!(randn(2,100))
q = kde!(2.0+randn(2,100))
dummy = kde!(rand(2,100),[1.0]);
mcmciters = 5
pGM, = prodAppxMSGibbsS(dummy, [p;q], Union{}, Union{}, mcmciters)
pq = kde!(pGM)
pq1 = marginal(pq,[1])
Pl1 = plot([marginal(p,[1]);marginal(q,[1]);marginal(pq,[1])],c=["red";"green";"black"])

Direct histogram of points from the product

using Gadfly
Pl2 = Gadfly.plot(x=pGM[1,:],y=pGM[2,:],Geom.histogram2d);
draw(PDF("product.pdf",15cm,8cm),hstack(Pl1,Pl2))

alt tag

KDE product between non-gaussian distributions

using Distributions
p = kde!(rand(Beta(1.0,0.45),300));
q = kde!(rand(Rayleigh(0.5),100)-0.5);
dummy = kde!(rand(1,100),[1.0]);
pGM, = prodAppxMSGibbsS(dummy, [p;q], Union{}, Union{}, 5)
pq = kde!(pGM)
plot([p;q;pq],c=["red";"green";"black"])

alt tag

Draw multidimensional distributions as marginalized 2D contour plots

axis=[[-5.0;5]';[-2.0;2.0]';[-10.0;10]';[-5.0;5]']
draw(PDF("test.pdf",30cm,20cm),
 plot( kde!(randn(4,200)) ) )

N=200;
pts = [2*randn(1,N)+3;
 [2*randn(1,round(Int,N/2))'+3.0;2*randn(1,round(Int,N/2))'-3.0]';
 2*randn(2,N)+3];
p, q = kde!(randn(4,100)), kde!(pts);
draw(PNG("MultidimPlot.png",15cm,10cm),
 plot( [p*q;p;q],c=["red";"black";"blue"], axis=axis, dims=2:4,dimLbls=["w";"x";"y";"z"], levels=4) )

alt tag

# or draw product natively
draw(PNG("MultidimPlotProd.png",10cm,7cm),
 plot( p*q, axis=axis, dims=[2;4],dimLbls=["w";"x";"y";"z"]) )

alt tag

Contributors

The original C++ kde package was written by Alex Ihler and Mike Mandel in 2003, and has be rewritten in Julia and continuously modified by Dehann Fourie since.

Thank you to contributors and users alike, comments and improvements welcome according to JuliaLang and JuliaRobotics standards.