regimes

distribs.py

@@ -4,6 +4,8 @@ from config_manager import ConfigReader
 import pandas
 import numpy as np
 from sklearn.covariance import GraphicalLassoCV, LedoitWolf
+from sklearn import cluster, covariance, manifold
+from math import *
 import dill
 import sys
 if not sys.warnoptions:
@@ -17,6 +19,44 @@ class DistList:
         self._covlist = covlist
         self._ilist = ilist    
         self._index = None
+        
+    def hellinger(self,n,x,y,smooth,**kwargs):        
+        x1 = x.reshape(n,n+1)
+        x2 = y.reshape(n,n+1)
+        mu1,sigma1=x1[:,0],x1[:,1:]
+        mu2,sigma2=x2[:,0],x2[:,1:]
+       
+        sign1, ld1 = np.linalg.slogdet(sigma1)
+        sign2, ld2 = np.linalg.slogdet(sigma2)
+       
+        dd = 0.5*(sigma1+sigma2)
+        
+        signdd, ldd = np.linalg.slogdet(dd)
+        
+        signt = (sign1 * sign2)/signdd
+        if signt <= 0:
+            print ('negative')
+        s_1 = np.linalg.inv(dd)
+        e = -0.125*(mu1-mu2).T.dot(s_1).dot(mu1-mu2)
+        #d = pow(d1,.25)*pow(d2,.25)/pow(det1,.5)
+        d = .25*(ld1+ld2-2*ldd)
+        d = exp(d)
+        es = 1-d*exp(e)
+        #if es <=0:
+        #    es = 0
+        if smooth:
+            r = atanh(es)
+        else:
+            r = sqrt(es)
+        return r    
+     
+    def vdist(self,x,centroids,sm):
+        n = self._covlist.shape[1]
+        V = np.full((len(centroids)),0.)
+        for i,u in enumerate(centroids):
+            V[i] = self.hellinger(n,x,self._covlist[u[1]],sm)    
+        return V         
+
 
 class Distributions:
     def __init__(self,varfact=1.1,eps=.2, window=90, overlap=60): 

makeclusters.py

@@ -11,6 +11,7 @@ from math import *
 import matplotlib.pyplot as plt
 from matplotlib.pyplot import cm
 from sklearn import cluster, covariance, manifold
+from tabulate import tabulate
 
 
 
@@ -23,23 +24,24 @@ class Clusters:
         distfile = conf.mastercovlist()
         with open(distfile,'rb') as f:
             self._distlist = dill.load(f)
-            
-    def spectral_centroids(self):
-        self._centroids=[]
-        for i in range(self._clabels.max()+1):
-            idx=self._clabels==i
+    
+   
+    def spectral_centroids(self, labels):
+        centroids=[]
+        for i in range(labels.max()+1):
+            idx=labels==i
             mu = self._embedding[:,idx].mean(axis=1).reshape(2,1)
                 #find the closest point to mu
             dist = np.square(self._embedding-mu).sum(axis=0)
             i2 = np.argmin(dist)
             covs = self._distlist._covlist
-            self._centroids.append((self._embedding[:,i2],i2, self._embedding[:,idx].shape[1], covs[i2]))
-          
-    def graph_clusters(self):
-        t = 'clusters'
+            centroids.append((self._embedding[:,i2],i2, self._embedding[:,idx].shape[1], covs[i2]))
+        return centroids
+    
+    def graph_(self,centroids, labels,t = 'clusters'):
+        
         embedding = self._embedding
-        centroids = self._centroids
-        L = self._clabels
+        L = labels
        
         colormap = [cm.gnuplot2(i) for i in np.linspace(0.,1.,max(L)+2)]
         colorms = [colormap[i] for i in L]
@@ -63,38 +65,11 @@ class Clusters:
             plt.scatter(z[0][0],z[0][1],s=50,c=[colormap[i]],alpha=1.0)   
 
         plt.title(t)    
+        plt.show()
         plt.savefig('clusters')
         plt.close(fig)
         
-    def hellinger(self,n,x,y,smooth,**kwargs):        
-        x1 = x.reshape(n,n+1)
-        x2 = y.reshape(n,n+1)
-        mu1,sigma1=x1[:,0],x1[:,1:]
-        mu2,sigma2=x2[:,0],x2[:,1:]
-       
-        sign1, ld1 = np.linalg.slogdet(sigma1)
-        sign2, ld2 = np.linalg.slogdet(sigma2)
-       
-        dd = 0.5*(sigma1+sigma2)
-        
-        signdd, ldd = np.linalg.slogdet(dd)
-        
-        signt = (sign1 * sign2)/signdd
-        if signt <= 0:
-            print ('negative')
-        s_1 = np.linalg.inv(dd)
-        e = -0.125*(mu1-mu2).T.dot(s_1).dot(mu1-mu2)
-        #d = pow(d1,.25)*pow(d2,.25)/pow(det1,.5)
-        d = .25*(ld1+ld2-2*ldd)
-        d = exp(d)
-        es = 1-d*exp(e)
-        #if es <=0:
-        #    es = 0
-        if smooth:
-            r = atanh(es)
-        else:
-            r = sqrt(es)
-        return r
+   
         
     
     def compute_clusters(self): 
@@ -114,7 +89,7 @@ class Clusters:
             dill.dump(self._clabels,f)
         with open('clusterengine.plk','wb') as f:
             dill.dump(self._agg,f)
-        self.spectral_centroids()          
+        self._centroids = self.spectral_centroids(self._clabels)          
   
     def cal_affinity_matrix(self):
         if (os.path.isfile('hellinger.plk')):
@@ -129,7 +104,7 @@ class Clusters:
             for v in cind:
                 br.iterate()
                 if hellingerd[v,u] == 0:
-                    hellingerd[u,v] = self.hellinger(n,covs[u],covs[v],self._conf.smooth_hellinger())
+                    hellingerd[u,v] = self._distlist.hellinger(n,covs[u],covs[v],self._conf.smooth_hellinger())
                 else:
                     hellingerd[u,v] = hellingerd[v,u]
        
@@ -137,6 +112,123 @@ class Clusters:
         with open('hellinger.plk','wb') as f:
             dill.dump(hellingerd,f)
        
+ 
+class Regimes:
+    def __init__(self, clusters):
+        self._clusters = clusters
+        self._reg_threshold = clusters._conf.reg_threshold()
+    
+    def printout_centroids(self,prefix):
+        #distances
+        D = np.full((len(self._rcentroids),len(self._rcentroids)),0.)
+        rows=[]
+        sm = self._clusters._conf.smooth_hellinger()
+        hellinger = self._clusters._distlist.hellinger
+        n = self._clusters._distlist._covlist.shape[1]
+        data = self._clusters._distlist._covlist
+        for i,x in enumerate(self._rcentroids):
+            print (prefix +'#',i,':',x[2],'elements')
+            row=[prefix + '#%d'%i]
+            for j,y in enumerate(self._rcentroids):
+                h = hellinger(n,data[x[1]],data[y[1]],sm)
+                row.append(h)
+            rows.append(row)
+        headers=[prefix + '#%d'%r for r in range(len(self._rcentroids))]
+        table = tabulate(rows,headers= headers,tablefmt='orgtbl',floatfmt='.3f')
+        print (table)    
+        
+    def merge_regimes(self,s,t):
+        idx = np.where(self._regimes==s)
+        self._regimes[idx]=t
+        idx = np.where(self._regimes > s)
+        self._regimes[idx] =  self._regimes[idx]-1  
+        for k,x in self._rdates.items():
+            if x == s:
+                self._rdates[k] = t
+            elif x > s:
+                self._rdates[k] = x-1
+        
+    def delete_centroid(self,s):
+        for k in range(s,len(self._rcentroids)-1):
+            self._rcentroids[k]=self._rcentroids[k+1]
+        del self._rcentroids[len(self._rcentroids)-1]
+    
+    def compute_inter(self):
+        dist = self._clusters._distlist
+        K = 0
+        lk = 0
+        dlabels = dict()
+        rlabels = np.array(self._clusters._clabels)
+        vregimes = []
+        for x,dt in enumerate(dist._index):
+            for l, kitem in enumerate(dist._ilist[K:]):
+                if x < kitem[0]:
+                    break
+                if x >= kitem[1]:
+                    lk += 1
+                    continue
+                if not dt in dlabels.keys():
+                    dlabels[dt] = set([rlabels[l+K]])
+                else:
+                    dlabels[dt].add(rlabels[l+K])
+               
+            K += lk  
+            lk = 0
+        self._dlabels = dlabels
+        
+    def label_regimes(self):
+        self._rcounts = dict()
+        self._rdates = dict()
+        self._reflabel = dict()
+        x = 0
+        regimes = []
+        indlist = list(self._clusters._distlist._ilist)
+        
+        for k,v in self._dlabels.items():
+            key = tuple(sorted(v))
+            if key in self._rcounts.keys():
+                self._rcounts[key] += 1
+            else:
+                self._rcounts[key] = 1
+                self._reflabel[key]= len(self._reflabel)
+            self._rdates[k]=self._reflabel[key]
+            if (indlist and x == indlist[0][0]):
+                indlist = indlist[1:]
+                regimes.append(self._reflabel[key])
+            x += 1      
+        
+        self._regimes = np.array(regimes)   
+        self._rcentroids = self._clusters.spectral_centroids(self._regimes)
+       
+        
+    def filter_small(self):
+        cont=True
+        s = 0
+        t = 1
+        data = self._clusters._distlist._covlist
+        
+        while cont :
+            if self._rcentroids[s][2] > self._reg_threshold:
+                s+=1
+                t=0
+                if s >= len(self._rcentroids):
+                    cont=False
+                continue
+            distarget = data[self._rcentroids[s][1]]
+            v = self._clusters._distlist.vdist(distarget, self._rcentroids, self._clusters._conf.smooth_hellinger())
+            v[s]=100.
+            t = np.argmin(v)
+            self.merge_regimes(s,t)
+            if len(self._rcentroids) > 1:
+                self.delete_centroid(s)
+                if s >= len(self._rcentroids):
+                    s-=1
+            else:
+                cont=False
+
+        #re-evaluate centroids
+        self._rcentroids = self._clusters.spectral_centroids(self._regimes)
+        #cl._dt2rg()        
         
         
 if __name__ == "__main__":
@@ -144,4 +236,11 @@ if __name__ == "__main__":
     cl = Clusters(conf)
     cl.cal_affinity_matrix()
     cl.compute_clusters()
-    cl.graph_clusters()
+    r = Regimes(cl)
\ No newline at end of file
+    r.compute_inter()
+    r.label_regimes()
+    r.printout_centroids('regimes')
+    r.filter_small()
+    r.printout_centroids('regimes')
+    r._clusters.graph_(r._rcentroids,r._regimes,'regimes')
+    
\ No newline at end of file

regimes.ini

@@ -21,4 +21,7 @@ eigen_solver=arpack
 spectraln_neighbors=6
 n_neighbors=10
 random_states=48
-smooth hellinger=True
+smooth hellinger=True
\ No newline at end of file
+
+[regimes]
+threshold = 4
\ No newline at end of file