Awesome

pyfigtree

A python ctypes wrapper of the figtree library for fast Gaussian summation by V. Morariu et al.

The main function for users is pyfigtree.figtree. It computes the improved fast Gauss transform

g(y) = \sum_{i=1}^N w_i \exp( -|x_i - y|^2 / h^2)

for N samples {x_i} at the target point y.

Kernel density estimation

For a properly normalized Gaussian kernel density estimation in 1D, the weight is

w_i = 1 / (N \sqrt{\pi h^2}),

where h is the bandwidth. Details about the algorithm and the parameters are given in the original paper.

Note that multidimensional input usually has to be transformed to avoid distortions if the variates are of different scales. The fastest strategy is to scale the samples to the unit hypercube. For example in 2D

for i in range(2):
    x[:, i] = (x[:, i] - x[:, i].min()) / (x[:, i].max() - x[:, i].min())

If that is not good enough (i.e., scales still too different), transform into almost principal components as suggested in Scott, Sain (1992), section 3.3.

Example

Sample from a unit Gaussian, and do kernel density estimation with figtree. The weights are adjusted such that the density is normalized correctly.

from figtree import figtree
import numpy as np

samples = np.random.normal(size=1000)
bandwidth = 0.5
weights = np.ones(len(samples)) / len(samples) / np.sqrt(np.pi) / bandwidth
target_points = np.linspace(-5, 5, 70)
target_densities = figtree(samples, target_points, weights, bandwidth=bandwidth)

from matplotlib import pyplot as plt

plt.plot(target_points, target_densities)
plt.hist(samples, histtype='stepfilled', normed=True)
plt.show()

Installation

This wrapper has been developed and tested only on linux. To use it, first install both the figtree and the ANN library following the instructions at https://github.com/vmorariu/figtree and make the libraries available to the loader at runtime. For example,

export FIGTREEDIR=/path/to/figtree
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:$FIGTREEDIR/lib
export PYTHONPATH=/path/to/pyfigtree:$PYTHONPATH

Then

add pyfigtree.py to your PYTHON_PATH;
make sure numpy is installed;
test the setup by executing python figtree.py to run a set of unit tests.

Historical note

I wrote this wrapper around 2011. In 2014, I figured I should clean it up and release it on github because it may be useful to others. When I notified Vlad Morariu, the author of figtree, he told me that he had in fact done the same so now there are two python wrappers.

What's the difference? Vlad uses cython and I use ctypes; the latter is included in a standard python installation, so I have one less dependency and I don't need to compile anything, the only requirement is to be able to load the figtree libraries at runtime.

License

Pyfigtree is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License version 2, as published by the Free Software Foundation.

This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA