# bigmlcom/histogram

### Subversion checkout URL

You can clone with
or
.
Fetching contributors…
Cannot retrieve contributors at this time
390 lines (329 sloc) 12.7 KB

# Overview

This project is an implementation of the streaming, one-pass histograms described in Ben-Haim's Streaming Parallel Decision Trees. Inspired by Tyree's Parallel Boosted Regression Trees, the histograms are extended to track multiple values.

The histograms act as an approximation of the underlying dataset. They can be used for learning, visualization, discretization, or analysis. The histograms may be built independently and merged, convenient for parallel and distributed algorithms.

# Building

1. Make sure you have Java 1.6 or newer
2. Install leiningen
3. Checkout the histogram project with git
4. Run `lein jar`

# Basics

In the following examples we use Incanter to generate data and for charting.

The simplest way to use a histogram is to `create` one and then `insert!` points. In the example below, `ex/normal-data` refers to a sequence of 100K samples from a normal distribution (mean 0, variance 1).

```user> (ns examples
(:use [histogram.core])
(:require (histogram.test [examples :as ex])))
examples> (def hist (reduce insert! (create) ex/normal-data))```

You can use the `sum` fn to find the approximate number of points less than a given threshold:

```examples> (sum hist 0)
50044.02331```

The `density` fn gives us an estimate of the point density at the given location:

```examples> (density hist 0)
39687.56279```

The `uniform` fn returns a list of points that separate the distribution into equal population areas. Here's an example that produces quartiles:

```examples> (uniform hist 4)
(-0.67234 -0.00111 0.67133)```

We can plot the sums and density estimates as functions. The red line represents the sum, the blue line represents the density. If we normalized the values (dividing by 100K), these lines approximate the cumulative distribution function and the probability distribution function for the normal distribution.

`examples> (ex/sum-density-chart hist) ;; also see (ex/cdf-pdf-chart hist)`

The histogram approximates distributions using a constant number of bins. This bin limit is a parameter when creating a histogram (`:bins`, defaults to 64). A bin contains a `:count` of the points within the bin along with the `:mean` for the values in the bin. The edges of the bin aren't captured. Instead the histogram assumes that points are distributed evenly with half the points less than the mean and half greater. This explains the fraction sum in the example below:

```examples> (def hist (-> (create :bins 3)
(insert! 1)
(insert! 2)
(insert! 3)))
examples> (bins hist)
({:mean 1.0, :count 1} {:mean 2.0, :count 1} {:mean 3.0, :count 1})
examples> (sum hist 2)
1.5```

As mentioned earlier, the bin limit constrains the number of unique bins a histogram can use to capture a distribution. The histogram above was created with a limit of just three bins. When we add a fourth unique value it will create a fourth bin and then merge the nearest two.

```examples> (bins (insert! hist 0.5))
({:mean 0.75, :count 2} {:mean 2.0, :count 1} {:mean 3.0, :count 1})```

A larger bin limit means a higher quality picture of the distribution, but it also means a larger memory footprint. In the chart below, the red line represents a histogram with 16 bins and the blue line represents 64 bins.

```examples> (ex/multi-pdf-chart
[(reduce insert! (create :bins 16) ex/normal-data)
(reduce insert! (create :bins 64) ex/normal-data)])```

Another option when creating a histogram is to use gap weighting. When `:gap-weighted?` is true, the histogram is encouraged to spend more of its bins capturing the densest areas of the distribution. For the normal distribution that means better resolution near the mean and less resolution near the tails. The chart below shows a histogram without gap weighting in blue and with gap weighting in red. Near the center of the distribution, red uses six bins in roughly the same space that blue uses three.

```examples> (ex/multi-pdf-chart
[(reduce insert! (create :bins 16 :gap-weighted? true)
ex/normal-data)
(reduce insert! (create :bins 16 :gap-weighted? false)
ex/normal-data)])```

# Merging

A strength of the histograms is their ability to merge with one another. Histograms can be built on separate data streams and then combined to give a better overall picture.

```examples> (let [samples (partition 1000 ex/normal-data)
hist1 (reduce insert! (create :bins 16) (first samples))
hist2 (reduce insert! (create :bins 16) (second samples))
merged (-> (create :bins 16)
(merge! hist1)
(merge! hist2))]
(ex/multi-density-chart [hist1 hist2 merged]))```

# Targets

While a simple histogram is nice for capturing the distribution of a single variable, it's often important to capture the correlation between variables. To that end, the histograms can track a second variable called the target.

The target may be either numeric or categorical. The `insert!` fn is overloaded to accept either type of target. Each histogram bin will contain information summarizing the target. For numeric targets the sum and sum-of-squares are tracked. For categoricals, a map of counts is maintained.

```examples> (-> (create)
(insert! 1 9)
(insert! 2 8)
(insert! 3 7)
(insert! 3 6)
(bins))
({:target {:sum 9.0, :sum-squares 81.0, :missing-count 0.0},
:mean 1.0,
:count 1}
{:target {:sum 8.0, :sum-squares 64.0, :missing-count 0.0},
:mean 2.0,
:count 1}
{:target {:sum 13.0, :sum-squares 85.0, :missing-count 0.0},
:mean 3.0,
:count 2})
examples> (-> (create)
(insert! 1 :a)
(insert! 2 :b)
(insert! 3 :c)
(insert! 3 :d)
(bins))
({:target {:counts {:a 1.0}, :missing-count 0.0},
:mean 1.0,
:count 1}
{:target {:counts {:b 1.0}, :missing-count 0.0},
:mean 2.0,
:count 1}
{:target {:counts {:d 1.0, :c 1.0}, :missing-count 0.0},
:mean 3.0,
:count 2})```

Mixing target types isn't allowed:

```examples> (-> (create)
(insert! 1 :a)
(insert! 2 999))
Can't mix insert types
[Thrown class com.bigml.histogram.MixedInsertException]```

`insert-numeric!` and `insert-categorical!` allow target types to be set explicitly:

```examples> (-> (create)
(insert-categorical! 1 1)
(insert-categorical! 1 2)
(bins))
({:target {:counts {2 1.0, 1 1.0}, :missing-count 0.0}, :mean 1.0, :count 2})```

The `extended-sum` fn works similarly to `sum`, but returns a result that includes the target information:

```examples> (-> (create)
(insert! 1 :a)
(insert! 2 :b)
(insert! 3 :c)
(extended-sum 2))
{:sum 1.5, :target {:counts {:c 0.0, :b 0.5, :a 1.0}, :missing-count 0.0}}```

The `average-target` fn returns the average target value given a point. To illustrate, the following histogram captures a dataset where the input field is a sample from the normal distribution while the target value is the sine of the input (but scaled and shifted to make plotting easier). The density is in red and the average target value is in blue:

```examples> (def make-y (fn [x] (Math/sin x)))
examples> (def hist (let [target-data (map (fn [x] [x (make-y x)])
ex/normal-data)]
(reduce (fn [h [x y]] (insert! h x y))
(create)
target-data)))
examples> (ex/pdf-target-chart hist)```

Continuing with the same histogram, we can see that `average-target` produces values close to original target:

```examples> (def view-target (fn [x] {:actual (make-y x)
:approx (:sum (average-target hist x))}))
{:actual 0.0, :approx -0.04261679840707788}
examples> (view-target 0)
{:actual 0.0, :approx -0.04261679840707788}
examples>  (view-target (/ Math/PI 2))
{:actual 1.0, :approx 0.9968169965429206}
examples> (view-target Math/PI)
{:actual 0.0, :approx 0.021364059655214544}```

# Missing Values

Information about missing values is captured whenever the input field or the target is `nil`. The `missing-bin` fn retrieves information summarizing the instances with a missing input. For a basic histogram, that is simply the count:

```examples> (-> (create)
(insert! nil)
(insert! 7)
(insert! nil)
(missing-bin))
{:count 2}```

For a histogram with a target, the `missing-bin` includes target information:

```examples> (-> (create)
(insert! nil :a)
(insert! 7 :b)
(insert! nil :c)
(missing-bin))
{:target {:counts {:a 1.0, :c 1.0}, :missing-count 0.0}, :count 2}```

Targets can also be missing, in which case the target `missing-count` is incremented:

```examples> (-> (create)
(insert! nil :a)
(insert! 7 :b)
(insert! nil nil)
(missing-bin))
{:target {:counts {:a 1.0}, :missing-count 1.0}, :count 2}```

# Array-backed Categorical Targets

By default a histogram with categorical targets stores the category counts as Java HashMaps. Building and merging HashMaps can be expensive. Alternatively the category counts can be backed by an array. This can give better performance but requires the set of possible categories to be declared when the histogram is created. To do this, set the `:categories` parameter:

```examples> (def categories (map (partial str "c") (range 50)))
examples> (def data (vec (repeatedly 100000
#(vector (rand) (str "c" (rand-int 50))))))
examples> (doseq [hist [(create) (create :categories categories)]]
(time (reduce (fn [h [x y]] (insert! h x y))
hist
data)))
"Elapsed time: 1295.402 msecs"
"Elapsed time: 516.72 msecs"```

# Group Targets

Group targets allow the histogram to track multiple targets at the same time. Each bin contains a sequence of target information. Optionally, the target types in the group can be declared when creating the histogram. Declaring the types on creation allows the targets to be missing in the first insert:

```examples> (-> (create :group-types [:categorical :numeric])
(insert! 1 [:a nil])
(insert! 2 [:b 8])
(insert! 3 [:c 7])
(insert! 1 [:d 6])
(bins))
({:target
({:counts {:d 1.0, :a 1.0}, :missing-count 0.0}
{:sum 6.0, :sum-squares 36.0, :missing-count 1.0}),
:mean 1.0,
:count 2}
{:target
({:counts {:b 1.0}, :missing-count 0.0}
{:sum 8.0, :sum-squares 64.0, :missing-count 0.0}),
:mean 2.0,
:count 1}
{:target
({:counts {:c 1.0}, :missing-count 0.0}
{:sum 7.0, :sum-squares 49.0, :missing-count 0.0}),
:mean 3.0,
:count 1})```

# Freezing a Histogram

While the ability to adapt to non-stationary data streams is a strength of the histograms, it is also computationally expensive. If your data stream is stationary, you can increase the histogram's performance by setting the `:freeze` parameter. After the number of inserts into the histogram have exceeded the `:freeze` parameter, the histogram bins are locked into place. As the bin means no longer shift, inserts become computationally cheap. However the quality of the histogram can suffer if the `:freeze` parameter is too small.

```examples> (time (reduce insert! (create) ex/normal-data))
"Elapsed time: 391.857 msecs"
examples> (time (reduce insert! (create :freeze 1024) ex/normal-data))
"Elapsed time: 99.92 msecs"```

# Performance

Insert time scales `log(n)` with respect to the number of bins in the histogram.

Something went wrong with that request. Please try again.