Version 1.4.0, major improvement of CDFt

SBCK/__CDFt.py

@@ -1,6 +1,6 @@
 # -*- coding: utf-8 -*-
 
-## Copyright(c) 2021 Yoann Robin
+## Copyright(c) 2021 / 2023 Yoann Robin
 ## 
 ## This file is part of SBCK.
 ## 
@@ -97,6 +97,8 @@ def __init__( self , **kwargs ):##{{{
 			if X0 and Y0 are not None.
 		tol : float
 			Numerical tolerance, default 1e-6
+		version: int, optional
+			...
 		scale_left_tail: float, optional
 			Scale applied on the left support (min to median) between
 			calibration and projection period. If None (default), it is
@@ -115,9 +117,11 @@ def __init__( self , **kwargs ):##{{{
 		
 		"""
 		self.n_features  = kwargs.get("n_features")
-		self._tol        = kwargs.get("tol") if kwargs.get("tol") is not None else 1e-6
-		self._dsupp      = kwargs.get("dsupp") if kwargs.get("dsupp") is not None else 1000
-		self._samples_Y1 = kwargs.get("samples_Y1") if kwargs.get("samples_Y1") is not None else 10000
+		self._tol        = kwargs.get( "tol"       , 1e-6  )
+		self._dsupp      = kwargs.get( "dsupp"     , 1000  )
+		self._samples_Y1 = kwargs.get("samples_Y1" , 10000 )
+		self._version    = kwargs.get("version"    , 3     )
+		self._v3_e       = kwargs.get("v3_e"       , "auto"  )
 
 		self._distY0 = _Dist( dist = kwargs.get("distY0") , kwargs = kwargs.get("kwargsY0") )
 		self._distY1 = _Dist( dist = kwargs.get("distY1") , kwargs = kwargs.get("kwargsY1") )
@@ -235,20 +239,19 @@ def predict( self , X1 , X0 = None ):##{{{
 		return Z1
 	##}}}
 
-	def _infer_Y1( self , Y0_ , X0_ , X1_ , idist ):##{{{
-
-		Y0 = Y0_
-		X0 = X0_
-		X1 = X1_
-#		Y0 = np.sort(Y0_.squeeze())[5:-5]
-#		X0 = np.sort(X0_.squeeze())[5:-5]
-#		X1 = np.sort(X1_.squeeze())[5:-5]
-#		qY0 = np.quantile( Y0_ , [0.05,0.95] ).squeeze()
-#		qX0 = np.quantile( X0_ , [0.05,0.95] ).squeeze()
-#		qX1 = np.quantile( X1_ , [0.05,0.95] ).squeeze()
-#		Y0 = Y0_[ (Y0_ > qY0[0]) & (Y0_ < qY0[1]) ]
-#		X0 = X0_[ (X0_ > qX0[0]) & (X0_ < qX0[1]) ]
-#		X1 = X1_[ (X1_ > qX1[0]) & (X1_ < qX1[1]) ]
+	def _CDFt_V1( self , Y0 , X0 , X1 , idist ):##{{{
+
+		## CDF
+		rvY0 = self._distY0.law[idist]
+		rvX0 = self._distX0.dist[idist]( *self._distX0.dist[idist].fit( X0.squeeze()) , **self._distX0.kwargs )
+		rvX1 = self._distX1.dist[idist]( *self._distX1.dist[idist].fit( X1.squeeze()) , **self._distX1.kwargs )
+
+		hY1 = rvX1.ppf( rvX0.cdf( rvY0.ppf( rvX1.cdf( X1 ) ) ) )
+
+		return hY1
+	##}}}
+
+	def _CDFt_V2( self , Y0 , X0 , X1 , idist ):##{{{
 
 		dsupp = self._dsupp
 
@@ -419,13 +422,49 @@ def support_test( rv , x ):
 #		print(cdfY1[-1])
 
 		## Draw hY1
-		hY1 = icdfY1( np.random.uniform( size = self._samples_Y1 , low = 0 , high = 1 ) )
-#		hY1 = icdfY1( np.random.uniform( size = self._samples_Y1 , low = p_min , high = p_max ) )
-#		rvX1 = self._distX1.dist[idist]( *self._distX1.dist[idist].fit( X1.squeeze()) , **self._distX1.kwargs )
-#		hY1  = icdfY1( rvX1.cdf(X1) )
+		rvX1 = self._distX1.dist[idist]( *self._distX1.dist[idist].fit( X1.squeeze()) , **self._distX1.kwargs )
+		hY1  = icdfY1( rvX1.cdf(X1) )
+
+		return hY1
+	##}}}
+
+	def _CDFt_V3( self , Y0 , X0 , X1 , idist ):##{{{
+
+		if (X0.min() <= Y0.min()) and (X0.max() >= Y0.max()):
+			return self._CDFt_V1( Y0 , X0 , X1 , idist )
+
+		if not type(self._v3_e) is float:
+			self._v3_e = 5 * max( 1 / Y0.size , 1 / X0.size , 1 / X1.size )
+		e   = self._v3_e
 
+		lX0 = np.quantile( X0 , e )
+		lY0 = np.quantile( Y0 , e )
+		lX1 = np.quantile( X1 , e )
+
+		uX0 = np.quantile( X0 , 1 - e )
+		uY0 = np.quantile( Y0 , 1 - e )
+		uX1 = np.quantile( X1 , 1 - e )
+
+		X0s = ( X0 - lX0 ) / ( uX0 - lX0 ) * ( uY0 - lY0 ) + lY0 
+		X1s = ( X1 - lX1 ) / ( uX0 - lX0 ) * ( uY0 - lY0 ) + lY0 + lX1 - lX0
+
+		rvY0  = self._distY0.law[idist]
+		rvX0s = self._distX0.dist[idist]( *self._distX0.dist[idist].fit( X0s.squeeze()) , **self._distX0.kwargs )
+		rvX1s = self._distX1.dist[idist]( *self._distX1.dist[idist].fit( X1s.squeeze()) , **self._distX1.kwargs )
+
+		hY1 = rvX1s.ppf( rvX0s.cdf( rvY0.ppf( rvX1s.cdf( X1s ) ) ) )
 
 		return hY1
 	##}}}
-
+
+	def _infer_Y1( self , Y0 , X0 , X1 , idist ):##{{{
+
+		if self._version == 1:
+			return self._CDFt_V1( Y0 , X0 , X1 , idist )
+		elif self._version == 2:
+			return self._CDFt_V2( Y0 , X0 , X1 , idist )
+		else:
+			return self._CDFt_V3( Y0 , X0 , X1 , idist )
+	##}}}
+
 

SBCK/__release.py

@@ -18,8 +18,8 @@
 
 
 version_major = 1
-version_minor = 3
-version_patch = 2
+version_minor = 4
+version_patch = 0
 version_extra = ""
 version       = "{}.{}.{}{}".format(version_major,version_minor,version_patch,version_extra)