miller/c/mapping/mapper_stats2.c

#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <math.h>
#include "lib/mlrutil.h"
#include "lib/mlrstat.h"
#include "containers/sllv.h"
#include "containers/slls.h"
#include "containers/lhmslv.h"
#include "containers/lhms2v.h"
#include "containers/lhmsv.h"
#include "containers/mixutil.h"
#include "mapping/mappers.h"
#include "cli/argparse.h"

#define DO_CORR 0x11
#define DO_COV  0x22
#define DO_COVX 0x33

// ----------------------------------------------------------------
typedef void stats2_put_func_t(void* pvstate, double x, double y);
typedef void stats2_get_func_t(void* pvstate, char* name1, char* name2, lrec_t* poutrec);

typedef struct _stats2_t {
	void* pvstate;
	stats2_put_func_t* pput_func;
	stats2_get_func_t* pget_func;
} stats2_t;

typedef stats2_t* stats2_alloc_func_t(static_context_t* pstatx);

// ----------------------------------------------------------------
// Univariate linear regression
// ----------------------------------------------------------------
// There are N (xi, yi) pairs.
//
// E = sum (yi - m xi - b)^2
//
// DE/Dm = sum 2 (yi - m xi - b) (-xi) = 0
// DE/Db = sum 2 (yi - m xi - b) (-1)  = 0
//
// sum (yi - m xi - b) (xi) = 0
// sum (yi - m xi - b)      = 0
//
// sum (xi yi - m xi^2 - b xi) = 0
// sum (yi - m xi - b)         = 0
//
// m sum(xi^2) + b sum(xi) = sum(xi yi)
// m sum(xi)   + b N       = sum(yi)
//
// [ sum(xi^2)   sum(xi) ] [ m ] = [ sum(xi yi) ]
// [ sum(xi)     N       ] [ b ] = [ sum(yi)    ]
//
// [ m ] = [ sum(xi^2) sum(xi) ]^-1  [ sum(xi yi) ]
// [ b ]   [ sum(xi)   N       ]     [ sum(yi)    ]
//
//       = [ N         -sum(xi)  ]  [ sum(xi yi) ] * 1/D
//         [ -sum(xi)   sum(xi^2)]  [ sum(yi)    ]
//
// where
//
//   D = N sum(xi^2) - sum(xi)^2.
//
// So
//
//      N sum(xi yi) - sum(xi) sum(yi)
// m = --------------------------------
//                   D
//
//      -sum(xi)sum(xi yi) + sum(xi^2) sum(yi)
// b = ----------------------------------------
//                   D

typedef struct _stats2_linreg_state_t {
	unsigned long long count;
	double sumx;
	double sumy;
	double sumx2;
	double sumxy;
	static_context_t* pstatx;
} stats2_linreg_state_t;
void stats2_linreg_put(void* pvstate, double x, double y) {
	stats2_linreg_state_t* pstate = pvstate;
	pstate->count++;
	pstate->sumx  += x;
	pstate->sumy  += y;
	pstate->sumx2 += x*x;
	pstate->sumxy += x*y;
}
void stats2_linreg_get(void* pvstate, char* name1, char* name2, lrec_t* poutrec) {
	stats2_linreg_state_t* pstate = pvstate;
	int n = pstate->count;
	double sumx  = pstate->sumx;
	double sumy  = pstate->sumy;
	double sumx2 = pstate->sumx2;
	double sumxy = pstate->sumxy;
	double D =  n * sumx2 - sumx*sumx;
	double m = (n * sumxy - sumx * sumy) / D;
	double b = (-sumx * sumxy + sumx2 * sumy) / D;
	// xxx gah ... need a 2nd pass through the data to get the error-bars.

	// xxx make a 2nd filter to compute the error-bars given the data & the m & the b?
	//
	//	# Young 1962, pp. 122-124.  Compute sample variance of linear
	//	# approximations, then variances of m and b.
	//	var_z = 0.0
	//	for i in range(0, N):
	//		var_z += (m * xs[i] + b - ys[i])**2
	//	var_z /= N
	//
	//	var_m = (N * var_z) / D
	//	var_b = (var_z * sumx2) / D
	//
	//	return [m, b, math.sqrt(var_m), math.sqrt(var_b)]

	char* key = mlr_paste_4_strings(name1, "_", name2, "_m");
	char* val = mlr_alloc_string_from_double(m, pstate->pstatx->ofmt);
	lrec_put(poutrec, key, val, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);

	key = mlr_paste_4_strings(name1, "_", name2, "_b");
	val = mlr_alloc_string_from_double(b, pstate->pstatx->ofmt);
	lrec_put(poutrec, key, val, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
}
stats2_t* stats2_linreg_alloc(static_context_t* pstatx) {
	stats2_t* pstats2 = mlr_malloc_or_die(sizeof(stats2_t));
	stats2_linreg_state_t* pstate = mlr_malloc_or_die(sizeof(stats2_linreg_state_t));
	pstate->count = 0LL;
	pstate->sumx  = 0.0;
	pstate->sumy  = 0.0;
	pstate->sumx2 = 0.0;
	pstate->sumxy = 0.0;
	pstate->pstatx = pstatx;
	pstats2->pvstate = (void*)pstate;
	pstats2->pput_func = &stats2_linreg_put;
	pstats2->pget_func = &stats2_linreg_get;
	return pstats2;
}

// ----------------------------------------------------------------
// http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient
// Alternatively, just use sqrt(corr) as defined above.

typedef struct _stats2_r2_state_t {
	unsigned long long count;
	double sumx;
	double sumy;
	double sumx2;
	double sumxy;
	double sumy2;
	static_context_t* pstatx;
} stats2_r2_state_t;
void stats2_r2_put(void* pvstate, double x, double y) {
	stats2_r2_state_t* pstate = pvstate;
	pstate->count++;
	pstate->sumx  += x;
	pstate->sumy  += y;
	pstate->sumx2 += x*x;
	pstate->sumxy += x*y;
	pstate->sumy2 += y*y;
}
void stats2_r2_get(void* pvstate, char* name1, char* name2, lrec_t* poutrec) {
	stats2_r2_state_t* pstate = pvstate;
	char* suffix = "r2";
	char* key = mlr_paste_5_strings(name1, "_", name2, "_", suffix);
	if (pstate->count < 2LL) {
		lrec_put(poutrec, key, "", LREC_FREE_ENTRY_KEY);
	} else {
		unsigned long long n = pstate->count;
		double sumx  = pstate->sumx;
		double sumy  = pstate->sumy;
		double sumx2 = pstate->sumx2;
		double sumy2 = pstate->sumy2;
		double sumxy = pstate->sumxy;
		double numerator = n*sumxy - sumx*sumy;
		numerator = numerator * numerator;
		double denominator = (n*sumx2 - sumx*sumx) * (n*sumy2 - sumy*sumy);
		double output = numerator/denominator;
		char* val = mlr_alloc_string_from_double(output, pstate->pstatx->ofmt);
		lrec_put(poutrec, key, val, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
	}
}
stats2_t* stats2_r2_alloc(static_context_t* pstatx) {
	stats2_t* pstats2 = mlr_malloc_or_die(sizeof(stats2_t));
	stats2_r2_state_t* pstate = mlr_malloc_or_die(sizeof(stats2_r2_state_t));
	pstate->count     = 0LL;
	pstate->sumx      = 0.0;
	pstate->sumy      = 0.0;
	pstate->sumx2     = 0.0;
	pstate->sumxy     = 0.0;
	pstate->sumy2     = 0.0;
	pstate->pstatx = pstatx;
	pstats2->pvstate   = (void*)pstate;
	pstats2->pput_func = &stats2_r2_put;
	pstats2->pget_func = &stats2_r2_get;
	return pstats2;
}

// ----------------------------------------------------------------
// def find_sample_covariance(xs, ys):
//      N = len(xs)
//      mean_x = find_mean(xs)
//      mean_y = find_mean(ys)
//
//      sum = 0.0
//      for k in range(0, N):
//              sum += (xs[k] - mean_x) * (ys[k] - mean_y)
//
//      return sum / (N-1.0)

// Corr(X,Y) = Cov(X,Y) / sigma_X sigma_Y.
typedef struct _stats2_corr_cov_state_t {
	unsigned long long count;
	double sumx;
	double sumy;
	double sumx2;
	double sumxy;
	double sumy2;
	int    do_which;
	static_context_t* pstatx;
} stats2_corr_cov_state_t;
void stats2_corr_cov_put(void* pvstate, double x, double y) {
	stats2_corr_cov_state_t* pstate = pvstate;
	pstate->count++;
	pstate->sumx  += x;
	pstate->sumy  += y;
	pstate->sumx2 += x*x;
	pstate->sumxy += x*y;
	pstate->sumy2 += y*y;
}

void stats2_corr_cov_get(void* pvstate, char* name1, char* name2, lrec_t* poutrec) {
	stats2_corr_cov_state_t* pstate = pvstate;
	if (pstate->do_which == DO_COVX) {
		char* key00 = mlr_paste_4_strings(name1, "_", name1, "_covx");
		char* key01 = mlr_paste_4_strings(name1, "_", name2, "_covx");
		char* key10 = mlr_paste_4_strings(name2, "_", name1, "_covx");
		char* key11 = mlr_paste_4_strings(name2, "_", name2, "_covx");
		if (pstate->count < 2LL) {
			lrec_put(poutrec, key00, "", LREC_FREE_ENTRY_KEY);
			lrec_put(poutrec, key01, "", LREC_FREE_ENTRY_KEY);
			lrec_put(poutrec, key10, "", LREC_FREE_ENTRY_KEY);
			lrec_put(poutrec, key11, "", LREC_FREE_ENTRY_KEY);
		} else {
			double q00, q01, q10, q11;
			mlr_get_cov_matrix(pstate->count,
				pstate->sumx, pstate->sumx2, pstate->sumy, pstate->sumy2, pstate->sumxy,
				&q00, &q01, &q10, &q11);
			char* val00 = mlr_alloc_string_from_double(q00, pstate->pstatx->ofmt);
			char* val01 = mlr_alloc_string_from_double(q01, pstate->pstatx->ofmt);
			char* val10 = mlr_alloc_string_from_double(q10, pstate->pstatx->ofmt);
			char* val11 = mlr_alloc_string_from_double(q11, pstate->pstatx->ofmt);
			lrec_put(poutrec, key00, val00, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
			lrec_put(poutrec, key01, val01, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
			lrec_put(poutrec, key10, val10, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
			lrec_put(poutrec, key11, val11, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
		}
	} else {
		char* suffix = (pstate->do_which == DO_CORR) ? "corr" : "cov";
		char* key = mlr_paste_5_strings(name1, "_", name2, "_", suffix);
		if (pstate->count < 2LL) {
			lrec_put(poutrec, key, "", LREC_FREE_ENTRY_KEY);
		} else {
			double output = mlr_get_cov(pstate->count, pstate->sumx, pstate->sumy, pstate->sumxy);
			if (pstate->do_which == DO_CORR) {
				double sigmax = mlr_get_stddev(pstate->count, pstate->sumx, pstate->sumx2);
				double sigmay = mlr_get_stddev(pstate->count, pstate->sumy, pstate->sumy2);
				output = output / sigmax / sigmay;
			}
			char* val = mlr_alloc_string_from_double(output, pstate->pstatx->ofmt);
			lrec_put(poutrec, key, val, LREC_FREE_ENTRY_KEY|LREC_FREE_ENTRY_VALUE);
		}
	}
}
stats2_t* stats2_corr_cov_alloc(int do_which, static_context_t* pstatx) {
	stats2_t* pstats2 = mlr_malloc_or_die(sizeof(stats2_t));
	stats2_corr_cov_state_t* pstate = mlr_malloc_or_die(sizeof(stats2_corr_cov_state_t));
	pstate->count      = 0LL;
	pstate->sumx       = 0.0;
	pstate->sumy       = 0.0;
	pstate->sumx2      = 0.0;
	pstate->sumxy      = 0.0;
	pstate->sumy2      = 0.0;
	pstate->do_which   = do_which;
	pstate->pstatx     = pstatx;
	pstats2->pvstate   = (void*)pstate;
	pstats2->pput_func = &stats2_corr_cov_put;
	pstats2->pget_func = &stats2_corr_cov_get;
	return pstats2;
}
stats2_t* stats2_corr_alloc(static_context_t* pstatx) {
	return stats2_corr_cov_alloc(DO_CORR, pstatx);
}
stats2_t* stats2_cov_alloc(static_context_t* pstatx) {
	return stats2_corr_cov_alloc(DO_COV, pstatx);
}
stats2_t* stats2_covx_alloc(static_context_t* pstatx) {
	return stats2_corr_cov_alloc(DO_COVX, pstatx);
}

// ----------------------------------------------------------------
typedef struct _stats2_lookup_t {
	char* name;
	stats2_alloc_func_t* pnew_func;
	static_context_t* pstatx;
} stats2_lookup_t;
static stats2_lookup_t stats2_lookup_table[] = {
	{"linreg", stats2_linreg_alloc},
	{"r2",     stats2_r2_alloc},
	{"corr",   stats2_corr_alloc},
	{"cov",    stats2_cov_alloc},
	{"covx",   stats2_covx_alloc},
};
static int stats2_lookup_table_length = sizeof(stats2_lookup_table) / sizeof(stats2_lookup_table[0]);

static stats2_t* make_stats2(char* stats2_name, static_context_t* pstatx) {
	for (int i = 0; i < stats2_lookup_table_length; i++)
		if (streq(stats2_name, stats2_lookup_table[i].name))
			return stats2_lookup_table[i].pnew_func(pstatx);
	return NULL;
}

// ================================================================
typedef struct _mapper_stats2_state_t {
	slls_t* paccumulator_names;
	slls_t* pvalue_field_name_pairs;
	slls_t* pgroup_by_field_names;

	lhmslv_t* pmaps_level_1;

} mapper_stats2_state_t;

// given: accumulate count,sum on values x,y group by a,b
// example input:       example output:
//   a b x y            a b x_count x_sum y_count y_sum
//   s t 1 2            s t 2       6     2       8
//   u v 3 4            u v 1       3     1       4
//   s t 5 6            u w 1       7     1       9
//   u w 7 9

// ["s","t"] |--> "x","y" |--> "corr" |--> stats2_corr_t* (as void*)
// level 1        level 2      level 3
// lhmslv_t       lhms2v_t     lhmsv_t
// stats2_sum_t implements interface:
//   void  init();
//   void  dacc(double dval);
//   void  sacc(char*  sval);
//   char* get();

// ----------------------------------------------------------------
sllv_t* mapper_stats2_func(lrec_t* pinrec, context_t* pctx, void* pvstate) {
	mapper_stats2_state_t* pstate = pvstate;
	if (pinrec != NULL) {

		slls_t* pgroup_by_field_values = mlr_selected_values_from_record(pinrec, pstate->pgroup_by_field_names);
		if (pgroup_by_field_values->length != pstate->pgroup_by_field_names->length) {
			lrec_free(pinrec);
			slls_free(pgroup_by_field_values);
			return NULL;
		}

		lhms2v_t* pmaps_level_2 = lhmslv_get(pstate->pmaps_level_1, pgroup_by_field_values);
		if (pmaps_level_2 == NULL) {
			pmaps_level_2 = lhms2v_alloc();
			lhmslv_put(pstate->pmaps_level_1, slls_copy(pgroup_by_field_values), pmaps_level_2);
		}

		for (sllse_t* pa = pstate->pvalue_field_name_pairs->phead; pa != NULL; pa = pa->pnext->pnext) {
			char* value_field_name_1 = pa->value;
			char* value_field_name_2 = pa->pnext->value;

			lhmsv_t* pmaps_level_3 = lhms2v_get(pmaps_level_2, value_field_name_1, value_field_name_2);
			if (pmaps_level_3 == NULL) {
				pmaps_level_3 = lhmsv_alloc();
				lhms2v_put(pmaps_level_2, value_field_name_1, value_field_name_2, pmaps_level_3);
			}

			char* sval1 = lrec_get(pinrec, value_field_name_1);
			if (sval1 == NULL)
				continue;

			char* sval2 = lrec_get(pinrec, value_field_name_2);
			if (sval2 == NULL)
				continue;

			sllse_t* pc = pstate->paccumulator_names->phead;
			for ( ; pc != NULL; pc = pc->pnext) {
				char* stats2_name = pc->value;
				stats2_t* pstats2 = lhmsv_get(pmaps_level_3, stats2_name);
				if (pstats2 == NULL) {
					pstats2 = make_stats2(stats2_name, &pctx->statx);
					if (pstats2 == NULL) {
						fprintf(stderr, "mlr stats2: accumulator \"%s\" not found.\n",
							stats2_name);
						exit(1);
					}
					lhmsv_put(pmaps_level_3, stats2_name, pstats2);
				}

				double dval1 = mlr_double_from_string_or_die(sval1);
				double dval2 = mlr_double_from_string_or_die(sval2);
				pstats2->pput_func(pstats2->pvstate, dval1, dval2);
			}
		}

		slls_free(pgroup_by_field_values);
		lrec_free(pinrec);
		return NULL;
	}
	else {
		sllv_t* poutrecs = sllv_alloc();

		for (lhmslve_t* pa = pstate->pmaps_level_1->phead; pa != NULL; pa = pa->pnext) {
			lrec_t* poutrec = lrec_unbacked_alloc();

			// Add in a=s,b=t fields:
			slls_t* pgroup_by_field_values = pa->key;
			sllse_t* pb = pstate->pgroup_by_field_names->phead;
			sllse_t* pc =         pgroup_by_field_values->phead;
			for ( ; pb != NULL && pc != NULL; pb = pb->pnext, pc = pc->pnext) {
				lrec_put(poutrec, pb->value, pc->value, 0);
			}

			// Add in fields such as x_y_corr, etc.
			lhms2v_t* pmaps_level_2 = pa->value;

			// For "x","y"
			for (lhms2ve_t* pd = pmaps_level_2->phead; pd != NULL; pd = pd->pnext) {
				char*    value_field_name_1 = pd->key1;
				char*    value_field_name_2 = pd->key2;
				lhmsv_t* pmaps_level_3      = pd->value;

				// For "corr", "linreg"
				for (lhmsve_t* pe = pmaps_level_3->phead; pe != NULL; pe = pe->pnext) {
					stats2_t* pstats2  = pe->value;
					pstats2->pget_func(pstats2->pvstate, value_field_name_1, value_field_name_2, poutrec);
				}
			}

			sllv_add(poutrecs, poutrec);
		}
		sllv_add(poutrecs, NULL);
		return poutrecs;
	}
}

// ----------------------------------------------------------------
static void mapper_stats2_free(void* pvstate) {
	mapper_stats2_state_t* pstate = pvstate;
	slls_free(pstate->paccumulator_names);
	slls_free(pstate->pvalue_field_name_pairs);
	slls_free(pstate->pgroup_by_field_names);
	// xxx free the level-2's 1st
	lhmslv_free(pstate->pmaps_level_1);
}

mapper_t* mapper_stats2_alloc(slls_t* paccumulator_names, slls_t* pvalue_field_name_pairs,
	slls_t* pgroup_by_field_names)
{
	mapper_t* pmapper = mlr_malloc_or_die(sizeof(mapper_t));

	mapper_stats2_state_t* pstate   = mlr_malloc_or_die(sizeof(mapper_stats2_state_t));
	pstate->paccumulator_names      = paccumulator_names;
	pstate->pvalue_field_name_pairs = pvalue_field_name_pairs; // xxx validate length is even
	pstate->pgroup_by_field_names   = pgroup_by_field_names;
	pstate->pmaps_level_1           = lhmslv_alloc();

	pmapper->pvstate                = pstate;
	pmapper->pmapper_process_func   = mapper_stats2_func;
	pmapper->pmapper_free_func      = mapper_stats2_free;

	return pmapper;
}

// ----------------------------------------------------------------
void mapper_stats2_usage(char* argv0, char* verb) {
	fprintf(stdout, "Usage: %s %s [options]\n", argv0, verb);
	fprintf(stdout, "-a {linreg,corr,...}    Names of accumulators: one or more of\n");
	fprintf(stdout, "                     ");
	for (int i = 0; i < stats2_lookup_table_length; i++) {
		fprintf(stdout, " %s", stats2_lookup_table[i].name);
	}
	fprintf(stdout, "\n");
	fprintf(stdout, "-f {a,b,c,d}          Value-field names on which to compute statistics.\n");
	fprintf(stdout, "                      There must be an even number of these.\n");
	fprintf(stdout, "-g {d,e,f}            Group-by-field names\n");
}

mapper_t* mapper_stats2_parse_cli(int* pargi, int argc, char** argv) {
	slls_t* paccumulator_names    = NULL;
	slls_t* pvalue_field_names    = NULL;
	slls_t* pgroup_by_field_names = slls_alloc();

	char* verb = argv[(*pargi)++];

	ap_state_t* pstate = ap_alloc();
	ap_define_string_list_flag(pstate, "-a", &paccumulator_names);
	ap_define_string_list_flag(pstate, "-f", &pvalue_field_names);
	ap_define_string_list_flag(pstate, "-g", &pgroup_by_field_names);

	if (!ap_parse(pstate, verb, pargi, argc, argv)) {
		mapper_stats2_usage(argv[0], verb);
		return NULL;
	}

	if (paccumulator_names == NULL || pvalue_field_names == NULL) {
		mapper_stats2_usage(argv[0], verb);
		return NULL;
	}
	if ((pvalue_field_names->length % 2) != 0) {
		mapper_stats2_usage(argv[0], verb);
		return NULL;
	}

	return mapper_stats2_alloc(paccumulator_names, pvalue_field_names, pgroup_by_field_names);
}

// ----------------------------------------------------------------
mapper_setup_t mapper_stats2_setup = {
	.verb = "stats2",
	.pusage_func = mapper_stats2_usage,
	.pparse_func = mapper_stats2_parse_cli
};

// 1/(n-1) sumx2 - sumx**2 / n
// 1/(n-1) sumxy - sumx*sumy / n