sklearn/utils/stats.py - main - githubmirror/scikit-learn

sklearn/utils/stats.py
245 строк11 KB
Arthur Lacote
PRF: Optimize binning in HGBT (#34248)
24 июн 2026, 22:28
24 июн 2026, 22:28c8f2a90
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause

import numpy as np

from sklearn.utils._array_api import (
    _find_matching_floating_dtype,
    get_namespace_and_device,
)


def _weighted_percentile(
    array, sample_weight, percentile_rank=50, average=False, xp=None
):
    """Compute the weighted percentile.

    Implement an array API compatible (weighted version) of NumPy's 'inverted_cdf'
    method when `average=False` (default) and 'averaged_inverted_cdf' when
    `average=True`.

    For an array ordered by increasing values, when the percentile lies exactly on a
    data point:

    * 'inverted_cdf' takes the exact data point.
    * 'averaged_inverted_cdf' takes the average of the exact data point and the one
      above it (this means it gives the same result as `median` for unit weights).

    E.g., for the array [1, 2, 3, 4] the percentile rank at each data point would
    be [25, 50, 75, 100]. Percentile rank 50 lies on '2'. 'average_inverted_cdf'
    computes the average of '2' and '3', making it 'symmetrical' because if you
    reverse the array, rank 50 would fall on '3'. It also matches 'median'.
    On the other hand, 'inverted_cdf', which does not satisfy the symmetry property,
    would give '2'.

    When the requested percentile lies between two data points, both methods return
    the higher data point.
    E.g., for the array [1, 2, 3, 4, 5] the percentile rank at each data point would
    be [20, 40, 60, 80, 100]. Percentile rank 50, lies between '2' and '3'. Taking the
    higher data point is symmetrical because if you reverse the array, 50 would lie
    between '4' and '3'. Both methods match median in this case.

    If `array` is a 2D array, the `values` are selected along axis 0.

    `NaN` values are ignored by setting their weights to 0. If `array` is 2D, this
    is done in a column-isolated manner: a `NaN` in the second column, does not impact
    the percentile computed for the first column even if `sample_weight` is 1D.

        .. versionchanged:: 0.24
            Accepts 2D `array`.

        .. versionchanged:: 1.7
            Supports handling of `NaN` values.

        .. versionchanged:: 1.8
            Supports `average`, which calculates percentile using the
            "averaged_inverted_cdf" method.

    Parameters
    ----------
    array : 1D or 2D array
        Values to take the weighted percentile of.

    sample_weight: 1D or 2D array
        Weights for each value in `array`. Must be same shape as `array` or of shape
        `(array.shape[0],)`.

    percentile_rank: scalar or 1D array, default=50
        The probability level(s) of the percentile(s) to compute, in percent. Must be
        between 0 and 100. If a 1D array, computes all percentiles (along each
        axis 0 if `array` is 2D).

    average : bool, default=False
        If `True`, uses the "averaged_inverted_cdf" quantile method, otherwise
        defaults to "inverted_cdf". "averaged_inverted_cdf" is symmetrical with
        unit `sample_weight`, such that the total of `sample_weight` below or equal to
        `_weighted_percentile(percentile_rank)` is the same as the total of
        `sample_weight` above or equal to `_weighted_percentile(100-percentile_rank)`.
        This symmetry is not guaranteed with non-unit weights.

    xp : array_namespace, default=None
        The standard-compatible namespace for `array`. Default: infer.

    Returns
    -------
    percentile : scalar, 1D array, or 2D array
        Weighted percentile at the requested probability level(s).
        If `array` is 1D and `percentile_rank` is scalar, returns a scalar.
        If `array` is 2D and `percentile_rank` is scalar, returns a 1D array
            of shape `(array.shape[1],)`
        If `array` is 1D and `percentile_rank` is 1D, returns a 1D array
            of shape `(percentile_rank.shape[0],)`
        If `array` is 2D and `percentile_rank` is 1D, returns a 2D array
            of shape `(array.shape[1], percentile_rank.shape[0])`
    """
    xp, _, device = get_namespace_and_device(array)
    # `sample_weight` should follow `array` for dtypes
    floating_dtype = _find_matching_floating_dtype(array, xp=xp)
    array = xp.asarray(array, dtype=floating_dtype, device=device)
    sample_weight = xp.asarray(sample_weight, dtype=floating_dtype, device=device)
    percentile_rank = xp.asarray(percentile_rank, dtype=floating_dtype, device=device)

    if xp.all(sample_weight == 0):
        return xp.nan

    n_dim = array.ndim
    if n_dim == 0:
        return array
    if array.ndim == 1:
        array = xp.reshape(array, (-1, 1))
    # When sample_weight 1D, repeat for each array.shape[1]
    if array.shape != sample_weight.shape and array.shape[0] == sample_weight.shape[0]:
        sample_weight = xp.tile(sample_weight, (array.shape[1], 1)).T

    n_dim_percentile = percentile_rank.ndim
    if n_dim_percentile == 0:
        percentile_rank = xp.reshape(percentile_rank, (1,))

    # Sort `array` and `sample_weight` along axis=0:
    sorted_idx = xp.argsort(array, axis=0, stable=False)
    sorted_weights = xp.take_along_axis(sample_weight, sorted_idx, axis=0)

    # Set NaN values in `sample_weight` to 0. Only perform this operation if NaN
    # values present to avoid temporary allocations of size `(n_samples, n_features)`.
    n_features = array.shape[1]
    largest_value_per_column = array[
        sorted_idx[-1, ...], xp.arange(n_features, device=device)
    ]
    # NaN values get sorted to end (largest value)
    if xp.any(xp.isnan(largest_value_per_column)):
        sorted_nan_mask = xp.take_along_axis(xp.isnan(array), sorted_idx, axis=0)
        sorted_weights[sorted_nan_mask] = 0

    # Compute the weighted cumulative distribution function (CDF) based on
    # `sample_weight` and scale `percentile_rank` along it.
    #
    # Note: we call `xp.cumulative_sum` on the transposed `sorted_weights` to
    # ensure that the result is of shape `(n_features, n_samples)` so
    # `xp.searchsorted` calls take contiguous inputs as a result (for
    # performance reasons).
    weight_cdf = xp.cumulative_sum(sorted_weights.T, axis=1)

    n_percentiles = percentile_rank.shape[0]
    result = xp.empty((n_features, n_percentiles), dtype=floating_dtype, device=device)

    for p_idx, p_rank in enumerate(percentile_rank):
        adjusted_percentile_rank = p_rank / 100 * weight_cdf[..., -1]

        # Ignore leading `sample_weight=0` observations
        # when `percentile_rank=0` (#20528)
        mask = adjusted_percentile_rank == 0
        adjusted_percentile_rank[mask] = xp.nextafter(
            adjusted_percentile_rank[mask], adjusted_percentile_rank[mask] + 1
        )
        # For each feature with index j, find sample index i of the scalar value
        # `adjusted_percentile_rank[j]` in 1D array `weight_cdf[j]`, such that:
        # weight_cdf[j, i-1] < adjusted_percentile_rank[j] <= weight_cdf[j, i].
        # Note `searchsorted` defaults to equality on the right, whereas Hyndman and Fan
        # reference equation has equality on the left.
        percentile_indices = xp.stack(
            [
                xp.searchsorted(
                    weight_cdf[feature_idx, ...], adjusted_percentile_rank[feature_idx]
                )
                for feature_idx in range(weight_cdf.shape[0])
            ],
        )
        # `percentile_indices` may be equal to `sorted_idx.shape[0]` due to floating
        # point error (see #11813)
        max_idx = sorted_idx.shape[0] - 1
        percentile_indices = xp.clip(percentile_indices, 0, max_idx)

        col_indices = xp.arange(array.shape[1], device=device)
        percentile_in_sorted = sorted_idx[percentile_indices, col_indices]

        if average:
            # From Hyndman and Fan (1996), `fraction_above` is `g`
            fraction_above = (
                weight_cdf[col_indices, percentile_indices] - adjusted_percentile_rank
            )
            is_fraction_above = fraction_above > xp.finfo(floating_dtype).eps
            percentile_plus_one_indices = xp.clip(percentile_indices + 1, 0, max_idx)
            percentile_plus_one_in_sorted = sorted_idx[
                percentile_plus_one_indices, col_indices
            ]
            # Handle case when next index ('plus one') has sample weight of 0
            zero_weight_cols = col_indices[
                sample_weight[percentile_plus_one_in_sorted, col_indices] == 0
            ]
            for col_idx in zero_weight_cols:
                cdf_val = weight_cdf[col_idx, percentile_indices[col_idx]]
                # Search for next index where `weighted_cdf` is greater
                next_index = xp.searchsorted(
                    weight_cdf[col_idx, ...], cdf_val, side="right"
                )
                # Handle case where there are trailing 0 sample weight samples
                # and `percentile_indices` is already max index
                if next_index > max_idx:
                    # use original `percentile_indices` again
                    next_index = percentile_indices[col_idx]

                percentile_plus_one_in_sorted[col_idx] = sorted_idx[next_index, col_idx]

            result[..., p_idx] = xp.where(
                is_fraction_above,
                array[percentile_in_sorted, col_indices],
                (
                    array[percentile_in_sorted, col_indices]
                    + array[percentile_plus_one_in_sorted, col_indices]
                )
                / 2,
            )
        else:
            result[..., p_idx] = array[percentile_in_sorted, col_indices]

    if n_dim_percentile == 0:
        result = result[..., 0]

    return result[0, ...] if n_dim == 1 else result


def _weighted_percentile_1d_sorted(array, sample_weight, percentile_rank):
    """Compute weighted percentiles for sorted 1D data and percentile ranks.

    This implements the "averaged_inverted_cdf" method as computed by
    `_weighted_percentile(..., average=True)`, but it expects:
    - `array` is sorted
    - `array` has no NaN values
    - `sample_weight` has strictly positive values
    - `percentile_rank` is a 1D array
    """
    weight_cdf = np.cumsum(sample_weight, dtype=array.dtype)
    adjusted_percentile_rank = percentile_rank / 100 * weight_cdf[-1]

    percentile_indices = np.searchsorted(weight_cdf, adjusted_percentile_rank)
    percentile_indices = np.clip(percentile_indices, 0, array.shape[0] - 1)

    fraction_above = weight_cdf[percentile_indices] - adjusted_percentile_rank
    is_fraction_above = fraction_above > np.finfo(array.dtype).eps
    percentile_plus_one_indices = np.clip(percentile_indices + 1, 0, array.shape[0] - 1)

    return np.where(
        is_fraction_above,
        array[percentile_indices],
        (array[percentile_indices] + array[percentile_plus_one_indices]) / 2,
    )