Merge f813bd0 into 1a871a3

docs/make.jl

@@ -8,7 +8,11 @@ makedocs(
     sitename = "MultivariateStats.jl",
     modules = [MultivariateStats],
     pages = ["Home"=>"index.md",
-             "whiten.md", "lda.md", "pca.md", "mds.md",
+             "whiten.md",
+             "lreg.md",
+             "lda.md",
+             "pca.md",
+             "mds.md",
              "Development"=>"api.md"]
 )
 

docs/src/index.md

@@ -11,7 +11,7 @@ end
 [MultivariateStats.jl](https://github.com/JuliaStats/MultivariateStats.jl) is a Julia package for multivariate statistical analysis. It provides a rich set of useful analysis techniques, such as PCA, CCA, LDA, ICA, etc.
 
 ```@contents
-Pages = ["whiten.md", "lda.md", "pca.md", "mds.md", "api.md"]
+Pages = ["whiten.md", "lreg.md", "lda.md", "pca.md", "mda.md", "api.md"]
 Depth = 2
 ```
 

docs/src/lreg.md

@@ -0,0 +1,167 @@
+# Regression
+
+The package provides functions to perform *Linear Least Square*, *Ridge*, and *Isotonic Regression*.
+
+## Examples
+
+```@setup REGex
+using Plots
+gr(fmt=:svg)
+```
+
+Performing [`llsq`](@ref) regression on *cars* data set:
+
+```@example REGex
+using MultivariateStats, RDatasets, Plots
+
+# load cars dataset
+cars = dataset("datasets", "cars")
+
+# calculate regression models
+a = llsq(cars[!,:Speed], cars[!, :Dist])
+b = isotonic(cars[!,:Speed], cars[!, :Dist])
+
+# plot results
+p = scatter(cars[!,:Speed], cars[!,:Dist], xlab="Speed", ylab="Distance",
+            leg=:topleft, lab="data")
+let xs = cars[!,:Speed]
+    plot!(p, xs, map(x->a[1]*x+a[2], xs), lab="llsq")
+    plot!(p, xs, b, lab="isotonic")
+end
+```
+
+For a single response vector `y` (without using bias):
+
+```julia
+# prepare data
+X = rand(1000, 3)               # feature matrix
+a0 = rand(3)                    # ground truths
+y = X * a0 + 0.1 * randn(1000)  # generate response
+
+# solve using llsq
+a = llsq(X, y; bias=false)
+
+# do prediction
+yp = X * a
+
+# measure the error
+rmse = sqrt(mean(abs2.(y - yp)))
+print("rmse = $rmse")
+```
+
+For a single response vector `y` (using bias):
+
+```julia
+# prepare data
+X = rand(1000, 3)
+a0, b0 = rand(3), rand()
+y = X * a0 .+ b0 .+ 0.1 * randn(1000)
+
+# solve using llsq
+sol = llsq(X, y)
+
+# extract results
+a, b = sol[1:end-1], sol[end]
+
+# do prediction
+yp = X * a .+ b'
+```
+
+For a matrix of column-stored regressors `X` and a matrix comprised of multiple columns of dependent variables `Y`:
+
+```julia
+# prepare data
+X = rand(3, 1000)
+A0, b0 = rand(3, 5), rand(1, 5)
+Y = (X' * A0 .+ b0) + 0.1 * randn(1000, 5)
+
+# solve using llsq
+sol = llsq(X, Y, dims=2)
+
+# extract results
+A, b = sol[1:end-1,:], sol[end,:]
+
+# do prediction
+Yp = X'*A .+ b'
+```
+
+## Linear Least Square
+
+[Linear Least Square](http://en.wikipedia.org/wiki/Linear_least_squares_(mathematics))
+is to find linear combination(s) of given variables to fit the responses by
+minimizing the squared error between them.
+This can be formulated as an optimization as follows:
+
+```math
+\mathop{\mathrm{minimize}}_{(\mathbf{a}, b)} \
+    \frac{1}{2} \|\mathbf{y} - (\mathbf{X} \mathbf{a} + b)\|^2
+```
+
+Sometimes, the coefficient matrix is given in a transposed form, in which case,
+the optimization is modified as:
+
+```math
+\mathop{\mathrm{minimize}}_{(\mathbf{a}, b)} \
+    \frac{1}{2} \|\mathbf{y} - (\mathbf{X}^T \mathbf{a} + b)\|^2
+```
+
+The package provides following functions to solve the above problems:
+
+```@docs
+llsq
+```
+
+## Ridge Regression
+
+Compared to linear least square, [Ridge Regression](http://en.wikipedia.org/wiki/Tikhonov_regularization>)
+uses an additional quadratic term to regularize the problem:
+
+```math
+\mathop{\mathrm{minimize}}_{(\mathbf{a}, b)} \
+    \frac{1}{2} \|\mathbf{y} - (\mathbf{X} \mathbf{a} + b)\|^2 +
+    \frac{1}{2} \mathbf{a}^T \mathbf{Q} \mathbf{a}
+```
+
+The transposed form:
+
+```math
+    \mathop{\mathrm{minimize}}_{(\mathbf{a}, b)} \
+    \frac{1}{2} \|\mathbf{y} - (\mathbf{X}^T \mathbf{a} + b)\|^2 +
+    \frac{1}{2} \mathbf{a}^T \mathbf{Q} \mathbf{a}
+```
+
+The package provides following functions to solve the above problems:
+
+```@docs
+ridge
+```
+
+## Isotonic Regression
+
+[Isotonic regression](https://en.wikipedia.org/wiki/Isotonic_regression) or
+monotonic regression fits a sequence of observations into a fitted line that is
+non-decreasing (or non-increasing) everywhere. The problem defined as a weighted
+least-squares fit ``{\hat {y}}_{i} \approx y_{i}`` for all ``i``, subject to
+the constraint that ``{\hat {y}}_{i} \leq {\hat {y}}_{j}`` whenever
+``x_{i} \leq x_{j}``.
+This gives the following quadratic program:
+
+```math
+\min \sum_{i=1}^{n} w_{i}({\hat {y}}_{i}-y_{i})^{2}
+\text{  subject to  } {\hat {y}}_{i} \leq {\hat {y}}_{j}
+\text{ for all } (i,j) \in E
+```
+where ``E=\{(i,j):x_{i}\leq x_{j}\}`` specifies the partial ordering of
+the observed inputs ``x_{i}``.
+
+The package provides following functions to solve the above problems:
+```@docs
+isotonic
+```
+
+---
+
+### References
+
+[^1] Best, M.J., Chakravarti, N. Active set algorithms for isotonic regression; A unifying framework. Mathematical Programming 47, 425–439 (1990).
+

src/MultivariateStats.jl

@@ -26,6 +26,7 @@ module MultivariateStats
     # lreg
     llsq,               # Linear Least Square regression
     ridge,              # Ridge regression
+    isotonic,           # Isotonic regression
 
     # whiten
     Whitening,          # Type: Whitening transformation

src/lreg.jl

@@ -1,6 +1,6 @@
-# Ridge Regression (Tikhonov regularization)
+# Regression
 
-#### auxiliary
+## Auxiliary
 
 function lreg_chkdims(X::AbstractMatrix, Y::AbstractVecOrMat, trans::Bool)
     mX, nX = size(X)
@@ -17,8 +17,23 @@ _vaug(X::AbstractMatrix{T}) where T = vcat(X, ones(T, 1, size(X,2)))::Matrix{T}
 _haug(X::AbstractMatrix{T}) where T = hcat(X, ones(T, size(X,1), 1))::Matrix{T}
 
 
-## linear least square
+## Linear Least Square Regression
 
+
+"""
+    llsq(X, y; ...)
+
+Solve the linear least square problem.
+
+Here, `y` can be either a vector, or a matrix where each column is a response vector.
+
+This function accepts two keyword arguments:
+
+- `dims`: whether input observations are stored as rows (`1`) or columns (`2`). (default is `1`)
+- `bias`: whether to include the bias term `b`. (default is `true`)
+
+The function results the solution `a`. In particular, when `y` is a vector (matrix), `a` is also a vector (matrix). If `bias` is true, then the returned array is augmented as `[a; b]`.
+"""
 function llsq(X::AbstractMatrix{T}, Y::AbstractVecOrMat{T};
               trans::Bool=false, bias::Bool=true,
               dims::Union{Integer,Nothing}=nothing) where {T<:Real}
@@ -37,9 +52,32 @@ function llsq(X::AbstractMatrix{T}, Y::AbstractVecOrMat{T};
     end
     _ridge(X, Y, zero(T), dims == 2, bias)
 end
+llsq(x::AbstractVector{T}, y::AbstractVector{T}; kwargs...) where {T<:Real} =
+    llsq(x[:,:], y; dims=1, kwargs...)
+
+## Ridge Regression (Tikhonov regularization)
+
+"""
+
+    ridge(X, y, r; ...)
+
+Solve the ridge regression problem.
+
+Here, ``y`` can be either a vector, or a matrix where each column is a response vector.
+
+The argument `r` gives the quadratic regularization matrix ``Q``, which can be in either of the following forms:
+
+- `r` is a real scalar, then ``Q`` is considered to be `r * eye(n)`, where `n` is the dimension of `a`.
+- `r` is a real vector, then ``Q`` is considered to be `diagm(r)`.
+- `r` is a real symmetric matrix, then ``Q`` is simply considered to be `r`.
 
-## ridge regression
+This function accepts two keyword arguments:
 
+- `dims`: whether input observations are stored as rows (`1`) or columns (`2`). (default is `1`)
+- `bias`: whether to include the bias term `b`. (default is `true`)
+
+The function results the solution `a`. In particular, when `y` is a vector (matrix), `a` is also a vector (matrix). If `bias` is true, then the returned array is augmented as `[a; b]`.
+"""
 function ridge(X::AbstractMatrix{T}, Y::AbstractVecOrMat{T}, r::Union{Real, AbstractVecOrMat};
                trans::Bool=false, bias::Bool=true,
                dims::Union{Integer,Nothing}=nothing) where {T<:Real}
@@ -50,19 +88,24 @@ function ridge(X::AbstractMatrix{T}, Y::AbstractVecOrMat{T}, r::Union{Real, Abst
     d = lreg_chkdims(X, Y, dims == 2)
     if isa(r, Real)
         r >= zero(r) || error("r must be non-negative.")
-        r = convert(T, r)
+        r = convert(T <: AbstractFloat ? T : Float64, r)
     elseif isa(r, AbstractVector)
         length(r) == d || throw(DimensionMismatch("Incorrect length of r."))
     elseif isa(r, AbstractMatrix)
         size(r) == (d, d) || throw(DimensionMismatch("Incorrect size of r."))
     end
     _ridge(X, Y, r, dims == 2, bias)
 end
+ridge(x::AbstractVector{T}, y::AbstractVector{T}, r::Union{Real, AbstractVecOrMat};
+      kwargs...) where {T<:Real} = ridge(x[:,:], y, r; dims=1, kwargs...)
 
-## implementation
+### implementation
 
-function _ridge(X::AbstractMatrix{T}, Y::AbstractVecOrMat{T},
+function _ridge(_X::AbstractMatrix{T}, _Y::AbstractVecOrMat{T},
                 r::Union{Real, AbstractVecOrMat}, trans::Bool, bias::Bool) where {T<:Real}
+    # convert integer data to Float64
+    X = T <: AbstractFloat ? _X : convert(Array{Float64}, _X)
+    Y = T <: AbstractFloat ? _Y : convert(Array{Float64}, _Y)
     if bias
         if trans
             X_ = _vaug(X)
@@ -108,3 +151,53 @@ function _ridge_reg!(Q::AbstractMatrix, r::AbstractMatrix, bias::Bool)
     end
     return Q
 end
+
+## Isotonic Regression
+
+"""
+    isotonic(x, y[, w])
+
+Solve the isotonic regression problem using the pool adjacent violators algorithm[^1].
+
+Here `x` is the regressor vector, `y` is response vector, and `w` is an optional
+weights vector.
+
+The function returns a prediction vector of the same size as the regressor vector `x`.
+"""
+function isotonic(x::AbstractVector{T}, y::AbstractVector{T},
+                  w::AbstractVector{T} = ones(T, length(y))) where {T<:Real}
+    n = length(x)
+    n == length(y) || throw(DimensionMismatch("Dimensions of x and y mismatch."))
+
+    idx = sortperm(x)
+
+    # PVA algorithm
+    J = map(i->(Float64(y[i]*w[i]), w[i], [i]), idx)
+    i = 1
+    B₀ = J[i]
+    while i < length(J)
+        B₊ = J[i+1]
+        if B₀[1] <= B₊[1] # step 1
+            B₀ = B₊
+            i += 1
+        else # step 2
+            ww = B₀[2] + B₊[2]
+            J[i] = ((B₀[1]*B₀[2]+B₊[1]*B₊[2])/ww, ww, append!(B₀[3], B₊[3]))
+            deleteat!(J, i+1)
+            B₀ = J[i]
+            while i > 1 # step 2.1
+                B₋ = J[i-1]
+                if B₀[1] <= B₋[1]
+                    ww = B₀[2] + B₋[2]
+                    J[i] = ((B₀[1]*B₀[2]+B₋[1]*B₋[2])/ww, ww, append!(B₀[3], B₋[3]))
+                    deleteat!(J, i-1)
+                    i-=1
+                else
+                    break
+                end
+            end
+        end
+    end
+    [y for (y,w,ii) in J for i in sort(ii)]
+end
+

test/lreg.jl

@@ -3,7 +3,7 @@ using Test
 using LinearAlgebra
 using StableRNGs
 
-@testset "Ridge Regression" begin
+@testset "Regression" begin
 
     rng = StableRNG(34568)
 
@@ -184,4 +184,21 @@ using StableRNGs
     aa = ridge(Xt, y1, r; dims=2, bias=true)
     @test aa ≈ Aa[:,1]
 
+
+    ## isotonic
+    xx = [3.3, 3.3, 3.3, 6, 7.5, 7.5]
+    yy = [4, 5, 1, 6, 8, 7.0]
+    a = isotonic(xx, yy)
+    b = [[1,2,3],[4],[5,6]]
+    @test a ≈ xx atol=0.1
+
+    ## using various types
+    @testset for (T, TR) in [(Int,Float64), (Float32, Float32)]
+        X, y = rand(T, 10, 3), rand(T, 10)
+        a = llsq(X, y)
+        @test eltype(a) == TR
+        a = ridge(X, y, one(T))
+        @test eltype(a) == TR
+    end
+
 end