Source code for astroML.density_estimation.bayesian_blocks

"""
Bayesian Block implementation
=============================

Dynamic programming algorithm for finding the optimal adaptive-width histogram.

Based on Scargle et al 2012 [1]_

References
----------
.. [1] http://adsabs.harvard.edu/abs/2012arXiv1207.5578S
"""
import numpy as np
# TODO: implement other fitness functions from appendix B of Scargle 2012

from astroML.utils import deprecated
from astroML.utils.exceptions import AstroMLDeprecationWarning


@deprecated('0.4', alternative='astropy.stats.FitnessFunc',
            warning_type=AstroMLDeprecationWarning)
class FitnessFunc:
    """Base class for fitness functions

    Each fitness function class has the following:
    - fitness(...) : compute fitness function.
       Arguments accepted by fitness must be among [T_k, N_k, a_k, b_k, c_k]
    - prior(N, Ntot) : compute prior on N given a total number of points Ntot
    """
    def __init__(self, p0=0.05, gamma=None):
        self.p0 = p0
        self.gamma = gamma

    def validate_input(self, t, x, sigma):
        """Check that input is valid"""
        pass

    def fitness(**kwargs):
        raise NotImplementedError()

    def prior(self, N, Ntot):
        if self.gamma is None:
            return self.p0_prior(N, Ntot)
        else:
            return self.gamma_prior(N, Ntot)

    def p0_prior(self, N, Ntot):
        # eq. 21 from Scargle 2012
        return 4 - np.log(73.53 * self.p0 * (N ** -0.478))

    def gamma_prior(self, N, Ntot):
        """Basic prior, parametrized by gamma (eq. 3 in Scargle 2012)"""
        if self.gamma == 1:
            return 0
        else:
            return (np.log(1 - self.gamma)
                    - np.log(1 - self.gamma ** (Ntot + 1))
                    + N * np.log(self.gamma))

    # the fitness_args property will return the list of arguments accepted by
    # the method fitness().  This allows more efficient computation below.
    @property
    def args(self):
        try:
            # Python 2
            return self.fitness.func_code.co_varnames[1:]
        except AttributeError:
            return self.fitness.__code__.co_varnames[1:]


@deprecated('0.4', alternative='astropy.stats.Events',
            warning_type=AstroMLDeprecationWarning)
class Events(FitnessFunc):
    """Fitness for binned or unbinned events

    Parameters
    ----------
    p0 : float
        False alarm probability, used to compute the prior on N
        (see eq. 21 of Scargle 2012).  Default prior is for p0 = 0.
    gamma : float or None
        If specified, then use this gamma to compute the general prior form,
        p ~ gamma^N.  If gamma is specified, p0 is ignored.
    """
    def fitness(self, N_k, T_k):
        # eq. 19 from Scargle 2012
        return N_k * (np.log(N_k) - np.log(T_k))

    def prior(self, N, Ntot):
        if self.gamma is not None:
            return self.gamma_prior(N, Ntot)
        else:
            # eq. 21 from Scargle 2012
            return 4 - np.log(73.53 * self.p0 * (N ** -0.478))


@deprecated('0.4', alternative='astropy.stats.RegularEvents',
            warning_type=AstroMLDeprecationWarning)
class RegularEvents(FitnessFunc):
    """Fitness for regular events

    This is for data which has a fundamental "tick" length, so that all
    measured values are multiples of this tick length.  In each tick, there
    are either zero or one counts.

    Parameters
    ----------
    dt : float
        tick rate for data
    gamma : float
        specifies the prior on the number of bins: p ~ gamma^N
    """
    def __init__(self, dt, p0=0.05, gamma=None):
        self.dt = dt
        self.p0 = p0
        self.gamma = gamma

    def validate_input(self, t, x, sigma):
        unique_x = np.unique(x)
        if list(unique_x) not in ([0], [1], [0, 1]):
            raise ValueError("Regular events must have only 0 and 1 in x")

    def fitness(self, T_k, N_k):
        # Eq. 75 of Scargle 2012
        M_k = T_k / self.dt
        N_over_M = N_k * 1. / M_k

        eps = 1E-8
        if np.any(N_over_M > 1 + eps):
            import warnings
            warnings.warn('regular events: N/M > 1.  '
                          'Is the time step correct?')

        one_m_NM = 1 - N_over_M
        N_over_M[N_over_M <= 0] = 1
        one_m_NM[one_m_NM <= 0] = 1

        return N_k * np.log(N_over_M) + (M_k - N_k) * np.log(one_m_NM)


@deprecated('0.4', alternative='astropy.stats.PointMeasures',
            warning_type=AstroMLDeprecationWarning)
class PointMeasures(FitnessFunc):
    """Fitness for point measures

    Parameters
    ----------
    gamma : float
        specifies the prior on the number of bins: p ~ gamma^N
        if gamma is not specified, then a prior based on simulations
        will be used (see sec 3.3 of Scargle 2012)
    """
    def __init__(self, p0=None, gamma=None):
        self.p0 = p0
        self.gamma = gamma

    def fitness(self, a_k, b_k):
        # eq. 41 from Scargle 2012
        return (b_k * b_k) / (4 * a_k)

    def prior(self, N, Ntot):
        if self.gamma is not None:
            return self.gamma_prior(N, Ntot)
        elif self.p0 is not None:
            return self.p0_prior(N, Ntot)
        else:
            # eq. at end of sec 3.3 in Scargle 2012
            return 1.32 + 0.577 * np.log10(N)


[docs]@deprecated('0.4', alternative='astropy.stats.bayesian_blocks', warning_type=AstroMLDeprecationWarning) def bayesian_blocks(t, x=None, sigma=None, fitness='events', **kwargs): """Bayesian Blocks Implementation This is a flexible implementation of the Bayesian Blocks algorithm described in Scargle 2012 [1]_ Parameters ---------- t : array_like data times (one dimensional, length N) x : array_like (optional) data values sigma : array_like or float (optional) data errors fitness : str or object the fitness function to use. If a string, the following options are supported: - 'events' : binned or unbinned event data extra arguments are `p0`, which gives the false alarm probability to compute the prior, or `gamma` which gives the slope of the prior on the number of bins. - 'regular_events' : non-overlapping events measured at multiples of a fundamental tick rate, `dt`, which must be specified as an additional argument. The prior can be specified through `gamma`, which gives the slope of the prior on the number of bins. - 'measures' : fitness for a measured sequence with Gaussian errors The prior can be specified using `gamma`, which gives the slope of the prior on the number of bins. If `gamma` is not specified, then a simulation-derived prior will be used. Alternatively, the fitness can be a user-specified object of type derived from the FitnessFunc class. Returns ------- edges : ndarray array containing the (N+1) bin edges Examples -------- Event data: >>> t = np.random.normal(size=100) >>> bins = bayesian_blocks(t, fitness='events', p0=0.01) Event data with repeats: >>> t = np.random.normal(size=100) >>> t[80:] = t[:20] >>> bins = bayesian_blocks(t, fitness='events', p0=0.01) Regular event data: >>> dt = 0.01 >>> t = dt * np.arange(1000) >>> x = np.zeros(len(t)) >>> x[np.random.randint(0, len(t), int(len(t) / 10))] = 1 >>> bins = bayesian_blocks(t, x, fitness='regular_events', dt=dt, gamma=0.9) Measured point data with errors: >>> t = 100 * np.random.random(100) >>> x = np.exp(-0.5 * (t - 50) ** 2) >>> sigma = 0.1 >>> x_obs = np.random.normal(x, sigma) >>> bins = bayesian_blocks(t, x=x_obs, fitness='measures') References ---------- .. [1] Scargle, J `et al.` (2012) http://adsabs.harvard.edu/abs/2012arXiv1207.5578S See Also -------- astroML.plotting.hist : histogram plotting function which can make use of bayesian blocks. """ # validate array input t = np.asarray(t, dtype=float) if x is not None: x = np.asarray(x) if sigma is not None: sigma = np.asarray(sigma) # verify the fitness function if fitness == 'events': if x is not None and np.any(x % 1 > 0): raise ValueError("x must be integer counts for fitness='events'") fitfunc = Events(**kwargs) elif fitness == 'regular_events': if x is not None and (np.any(x % 1 > 0) or np.any(x > 1)): raise ValueError("x must be 0 or 1 for fitness='regular_events'") fitfunc = RegularEvents(**kwargs) elif fitness == 'measures': if x is None: raise ValueError("x must be specified for fitness='measures'") fitfunc = PointMeasures(**kwargs) else: if not (hasattr(fitness, 'args') and hasattr(fitness, 'fitness') and hasattr(fitness, 'prior')): raise ValueError("fitness not understood") fitfunc = fitness # find unique values of t t = np.array(t, dtype=float) assert t.ndim == 1 unq_t, unq_ind, unq_inv = np.unique(t, return_index=True, return_inverse=True) # if x is not specified, x will be counts at each time if x is None: if sigma is not None: raise ValueError("If sigma is specified, x must be specified") if len(unq_t) == len(t): x = np.ones_like(t) else: x = np.bincount(unq_inv) t = unq_t sigma = 1 # if x is specified, then we need to sort t and x together else: x = np.asarray(x) if len(t) != len(x): raise ValueError("Size of t and x does not match") if len(unq_t) != len(t): raise ValueError("Repeated values in t not supported when " "x is specified") t = unq_t x = x[unq_ind] # verify the given sigma value N = t.size if sigma is not None: sigma = np.asarray(sigma) if sigma.shape not in [(), (1,), (N,)]: raise ValueError('sigma does not match the shape of x') else: sigma = 1 # validate the input fitfunc.validate_input(t, x, sigma) # compute values needed for computation, below if 'a_k' in fitfunc.args: ak_raw = np.ones_like(x) / sigma / sigma if 'b_k' in fitfunc.args: bk_raw = x / sigma / sigma if 'c_k' in fitfunc.args: ck_raw = x * x / sigma / sigma # create length-(N + 1) array of cell edges edges = np.concatenate([t[:1], 0.5 * (t[1:] + t[:-1]), t[-1:]]) block_length = t[-1] - edges # arrays to store the best configuration best = np.zeros(N, dtype=float) last = np.zeros(N, dtype=int) # ----------------------------------------------------------------- # Start with first data cell; add one cell at each iteration # ----------------------------------------------------------------- for R in range(N): # Compute fit_vec : fitness of putative last block (end at R) kwds = {} # T_k: width/duration of each block if 'T_k' in fitfunc.args: kwds['T_k'] = block_length[:R + 1] - block_length[R + 1] # N_k: number of elements in each block if 'N_k' in fitfunc.args: kwds['N_k'] = np.cumsum(x[:R + 1][::-1])[::-1] # a_k: eq. 31 if 'a_k' in fitfunc.args: kwds['a_k'] = 0.5 * np.cumsum(ak_raw[:R + 1][::-1])[::-1] # b_k: eq. 32 if 'b_k' in fitfunc.args: kwds['b_k'] = - np.cumsum(bk_raw[:R + 1][::-1])[::-1] # c_k: eq. 33 if 'c_k' in fitfunc.args: kwds['c_k'] = 0.5 * np.cumsum(ck_raw[:R + 1][::-1])[::-1] # evaluate fitness function fit_vec = fitfunc.fitness(**kwds) A_R = fit_vec - fitfunc.prior(R + 1, N) A_R[1:] += best[:R] i_max = np.argmax(A_R) last[R] = i_max best[R] = A_R[i_max] # ----------------------------------------------------------------- # Now find changepoints by iteratively peeling off the last block # ----------------------------------------------------------------- change_points = np.zeros(N, dtype=int) i_cp = N ind = N while True: i_cp -= 1 change_points[i_cp] = ind if ind == 0: break ind = last[ind - 1] change_points = change_points[i_cp:] return edges[change_points]