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I would like to speed up the following calculation using SIMD:
[MethodImpl(MethodImplOptions.AggressiveInlining)]
static double Dot(double x1, double x2, double y1, double y2)
{
return x1 * y1 + x2 * y2;
}
I saw that there is Vector2.Dot but this is only for floats and not for doubles.
I cannot switch to .NET Core and therefor I cannot use Vector128 Create (double e0, double e1).
The above Dot method is used in the following code which computes a union of two sorted list (id arrays):
static void ChainRule(int x_n, int[] x_id, double[] x_jacobi, double x_diff,
int y_n, int[] y_id, double[] y_jacobi, double y_diff,
out int z_n, out int[] z_id, out double[] z_jacobi)
{
int n = x_n + y_n;
z_id = new int[n];
z_jacobi = new double[n];
int i = 0, ix = 0, iy = 0;
while (ix < x_n && iy < y_n)
{
if (x_id[ix] < y_id[iy])
{
z_id[i] = x_id[ix];
z_jacobi[i++] = x_diff * x_jacobi[ix++];
}
else if (y_id[iy] < x_id[ix])
{
z_id[i] = y_id[iy];
z_jacobi[i++] = y_diff * y_jacobi[iy++];
}
else
{
z_id[i] = x_id[ix];
z_jacobi[i++] = Dot(x_diff, y_diff, x_jacobi[ix++], y_jacobi[iy++]);
}
}
while (ix < x_n)
{
z_id[i] = x_id[ix];
z_jacobi[i++] = x_diff * x_jacobi[ix++];
}
while (iy < y_n)
{
z_id[i] = y_id[iy];
z_jacobi[i++] = y_diff * y_jacobi[iy++];
}
z_n = i;
}
I tried as well to precompute the product of x_diff and x_jacobi and the product of y_diff and y_jacobi with the following code:
double[] x_diff_jacobi = new double[x_n];
for (int i0 = 0; i0 < x_n; i0++)
x_diff_jacobi[i0] = x_diff * x_jacobi[i0];
double[] y_diff_jacobi = new double[y_n];
for (int i0 = 0; i0 < y_n; i0++)
y_diff_jacobi[i0] = y_diff * y_jacobi[i0];
This will simplify the calculation of z_jacobi, e.g.: z_jacobi[i++] = x_diff_jacobi[ix++] + y_diff_jacobi[iy++]. But this code is running slower than the one above. I think the problem is the initialization of the additional arrays x_diff_jacobi and y_diff_jacobi.
Any other ideas to speed up this code?
Well i've been doing some work with AI and object detection and have recently encounter somewhat of a problem with a model that i exported from CustomVision.
For the ones who know what i'm talking about, when you export a model from CustomVision you get a .cs file included that represents the class with everything you need to use the model.
And there starts all my problems.. first and most important one is that in one of the methods, specifically in the "ExtractBoxes" method receives a TensorFloat object and a float array of anchors.
Anyways.. inside this method there's 4 variables called "channels", "height" and "width" that come from a list inside of the TensorFloat object called "shape".
Given all this.. my question resides in the TensorFloat object, more specifically in how can i get the values for the variables "channels", "height" and "width" without having a TensorFloat object.
Below im going to include the code from the .cs file that im talking about.
Thanks in advance!
public async Task<IList<PredictionModel>> PredictImageAsync(VideoFrame image)
{
var imageWidth = image.SoftwareBitmap.PixelWidth;
var imageHeight = image.SoftwareBitmap.PixelHeight;
double ratio = Math.Sqrt((double)imageInputSize / (double)imageWidth / (double)imageHeight);
int targetWidth = 32 * (int)Math.Round(imageWidth * ratio / 32);
int targetHeight = 32 * (int)Math.Round(imageHeight * ratio / 32);
using (var resizedBitmap = await ResizeBitmap(image.SoftwareBitmap, targetWidth, targetHeight))
using (VideoFrame resizedVideoFrame = VideoFrame.CreateWithSoftwareBitmap(resizedBitmap))
{
var imageFeature = ImageFeatureValue.CreateFromVideoFrame(resizedVideoFrame);
var bindings = new LearningModelBinding(this.session);
bindings.Bind("input", imageFeature);
var result = await this.session.EvaluateAsync(bindings, "");
return Postprocess(result.Outputs["output"] as TensorFloat);
}
}
private List<PredictionModel> Postprocess(TensorFloat predictionOutputs)
{
var extractedBoxes = this.ExtractBoxes(predictionOutputs, ObjectDetection.Anchors);
return this.SuppressNonMaximum(extractedBoxes);
}
private ExtractedBoxes ExtractBoxes(TensorFloat predictionOutput, float[] anchors)
{
var shape = predictionOutput.Shape;
Debug.Assert(shape.Count == 4, "The model output has unexpected shape");
Debug.Assert(shape[0] == 1, "The batch size must be 1");
IReadOnlyList<float> outputs = predictionOutput.GetAsVectorView();
var numAnchor = anchors.Length / 2;
var channels = shape[1];
var height = shape[2];
var width = shape[3];
Debug.Assert(channels % numAnchor == 0);
var numClass = (channels / numAnchor) - 5;
Debug.Assert(numClass == this.labels.Count);
var boxes = new List<BoundingBox>();
var probs = new List<float[]>();
for (int gridY = 0; gridY < height; gridY++)
{
for (int gridX = 0; gridX < width; gridX++)
{
int offset = 0;
int stride = (int)(height * width);
int baseOffset = gridX + gridY * (int)width;
for (int i = 0; i < numAnchor; i++)
{
var x = (Logistic(outputs[baseOffset + (offset++ * stride)]) + gridX) / width;
var y = (Logistic(outputs[baseOffset + (offset++ * stride)]) + gridY) / height;
var w = (float)Math.Exp(outputs[baseOffset + (offset++ * stride)]) * anchors[i * 2] / width;
var h = (float)Math.Exp(outputs[baseOffset + (offset++ * stride)]) * anchors[i * 2 + 1] / height;
x = x - (w / 2);
y = y - (h / 2);
var objectness = Logistic(outputs[baseOffset + (offset++ * stride)]);
var classProbabilities = new float[numClass];
for (int j = 0; j < numClass; j++)
{
classProbabilities[j] = outputs[baseOffset + (offset++ * stride)];
}
var max = classProbabilities.Max();
for (int j = 0; j < numClass; j++)
{
classProbabilities[j] = (float)Math.Exp(classProbabilities[j] - max);
}
var sum = classProbabilities.Sum();
for (int j = 0; j < numClass; j++)
{
classProbabilities[j] *= objectness / sum;
}
if (classProbabilities.Max() > this.probabilityThreshold)
{
boxes.Add(new BoundingBox(x, y, w, h));
probs.Add(classProbabilities);
}
}
Debug.Assert(offset == channels);
}
}
Debug.Assert(boxes.Count == probs.Count);
return new ExtractedBoxes(boxes, probs);
}
Lets say a=x+y and b=2x-y and I want to plot a-b=0. I can manually rewrite this from (x+y)-(2x-y)=0 to y=.5x which makes it trivial to graph, but how do I rewrite it in code? Given x how do I calculate y if all I have is (x+y)-(2x-y)=0?
To be more specific, I am trying to graph the decision boundary of a neural network. I want to be able to change the layers and outputs at will, essentially changing the function I get as an output.
This is an example of an output I could get:
(x_1 w_2 + x_2 w_2 + b_1) w_7
+ (x_1 w_3 + x_2 w_4 + b_2) w_8
+ (x_1 w_5 + x_2 w_6 + b_3) w_9
+ b_4 (x_1 w_1 + x_2 w_2 + b_1) w_10
+ (x_1 w_3 + x_2 w_4 + b_2) w_11
+ (x_1 w_5 + x_2 w_6 + b_3) w_12
+ b_5
It's a 1 by 2 matrix and I know all values except x2 which is the y-axis. In order to draw the decision boundary I have to calculate a-b=0 where a and b both contain x and y. I can manually separate y to get y=... ,but that's not an option if the results in the output matrix change. How do I seperate/calculate the y?
I am using c# in Unity and passing the points on the graph into the LineRenderer.
Alright, I found the solution the same day of posting the question but had already been messing about for days. It turned out to be a math question after all.
Here's a link to the specific setup for the neural network using a linear activation: https://www.desmos.com/calculator/crmeebqnfb
I manually rewrote the matrix multiplication for this specific setup into a function and was looking for a way to do that for any size and number of invisible layers.
The solution I found is to separate the input matrix into x1 and x2 and separately do the matrix multiplication for them. The x1 value gets the biases added but the x2 doesn't and the first weight matrix has to be split in 2 so x1 can get multiplied with the first row and x2 with the second row.
If you then do the matrix multiplication from there you'll get two 2 matrices like this:
[firstx1answer secondx1answer] [firstx2answer secondx2answer]
And then you can put them into this function:
Edit for better clarification:
Maybe a bit confusing but here's my code. CreateDecisionBoundaryPoints is where this is implemented:
using System.Collections;
using System.Collections.Generic;
using UnityEngine;
using TMPro;
using System.IO;
using System;
[ExecuteAlways]
public class Controller : MonoBehaviour
{
public Transform LineRenderer;
public GameObject textPrefab;
public GameObject pointPrefab;
public Transform weightsUI;
public Transform biasesUI;
[Range(.001f, .1f)] public float delta;
public int numberOfHiddenLayers;
public bool debugWeightMatrices;
public bool debugBiasMatrices;
[HideInInspector] public string[] dataValues;
private void Start()
{
if (Application.isPlaying)
{
//read file
int numberOfLines;
dataValues = ReadData("D:\\Documents\\Unity Projects\\Learning Machine Learning\\Assets\\Data.csv", out numberOfLines);
int numOfOutputNeurons = CreatePointsUI(numberOfLines, dataValues);
//create layerSizes for example [2,3,2]
int[] layerSizes = new int[numberOfHiddenLayers + 2];
layerSizes[0] = (dataValues.Length / numberOfLines) - 1;
layerSizes[numberOfHiddenLayers + 1] = numOfOutputNeurons;
for (int i = 0; i < numberOfHiddenLayers; i++)
{
layerSizes[i+1] = Mathf.Max((dataValues.Length / numberOfLines) - 1, numOfOutputNeurons) + 1;
}
//create the actual matrices
List<float[,]> weights = new List<float[,]>();
List<float[]> biases = new List<float[]>();
MakeTheMatrices(layerSizes, out weights, out biases);
//fill weights with random values
RandomlyFillMatrices(weights);
//print matrices to make sure they're the right size and filled randomly
if (debugWeightMatrices)
Debug.Log(PrintMatrices(weights, "Weight Matrices"));
if (debugBiasMatrices)
Debug.Log(PrintMatrices(biases, "Bias Matrices"));
LineRenderer.GetComponent<DrawDecisionBoundary>().DrawLine(CreateDecisionBoundaryPoints(weights, biases, delta));
}
}
public struct OutputNeuronsAndColours
{
public string value;
public Color color;
public OutputNeuronsAndColours(string value, Color color)
{
this.value = value;
this.color = color;
}
}
public void DoTheWeightsStufUI(int weights)
{
int cwn = 0;
List<Transform> ws = new List<Transform>();
foreach (Transform child in weightsUI)
{
cwn++;
ws.Add(child);
}
int wta = weights - cwn;
for (int i = wta; i < 0; i++)
{
cwn--;
DestroyImmediate(ws[cwn].gameObject);
ws.RemoveAt(cwn);
}
for (int i = wta; i > 0; i--)
{
cwn++;
GameObject weight = Instantiate(textPrefab, weightsUI);
weight.GetComponentInChildren<TMP_Text>().SetText("W" + cwn.ToString());
}
}
public void DoTheBiasesStufUI(int biases)
{
int cbn = 0;
List<Transform> bs = new List<Transform>();
foreach (Transform child in biasesUI)
{
cbn++;
bs.Add(child);
}
int bta = biases - cbn;
for (int i = bta; i < 0; i++)
{
cbn--;
DestroyImmediate(bs[cbn].gameObject);
bs.RemoveAt(cbn);
}
for (int i = bta; i > 0; i--)
{
cbn++;
GameObject bias = Instantiate(textPrefab, biasesUI);
bias.GetComponentInChildren<TMP_Text>().SetText("B" + cbn.ToString());
}
}
string[] ReadData(string path, out int numberOfLines)
{
List<string> data_values = new List<string>();
StreamReader strReader = new StreamReader(path);
bool endOfFile = false;
int numOfLines = 0;
while (!endOfFile)
{
string data_string = strReader.ReadLine();
if (data_string == null)
{
endOfFile = true;
break;
}
else
numOfLines += 1;
data_values.AddRange(data_string.Split(','));
}
numberOfLines = numOfLines;
return data_values.ToArray();
}
int CreatePointsUI(int numberOfLines, string[] dataValues)
{
string[] possibleOutputs = new string[numberOfLines];
for (int i = 0; i < numberOfLines; i++)
{
possibleOutputs[i] = dataValues[(i * (dataValues.Length / numberOfLines)) + ((dataValues.Length / numberOfLines) - 1)];
}
List<OutputNeuronsAndColours> outputNeurons = new List<OutputNeuronsAndColours>(possibleOutputs.Length);
for (int i = 0; i < possibleOutputs.Length; i++)
{
bool contains = false;
for (int x = 0; x < outputNeurons.Count; x++)
{
if (possibleOutputs[i] == outputNeurons[x].value)
contains = true;
}
if (!contains)
outputNeurons.Add(new OutputNeuronsAndColours(possibleOutputs[i], new Color(UnityEngine.Random.Range(0f, 1f), UnityEngine.Random.Range(0f, 1f), UnityEngine.Random.Range(0f, 1f))));
}
for (int i = 0; i < numberOfLines; i++)
{
GameObject point = Instantiate(pointPrefab);
point.transform.position = new Vector2(float.Parse(dataValues[i * (dataValues.Length / numberOfLines)]), float.Parse(dataValues[(i * (dataValues.Length / numberOfLines)) + 1]));
foreach (OutputNeuronsAndColours value in outputNeurons)
{
if (value.value == dataValues[(i * (dataValues.Length / numberOfLines)) + ((dataValues.Length / numberOfLines) - 1)])
point.GetComponent<SpriteRenderer>().color = value.color;
}
}
return outputNeurons.Count;
}
public static void MakeTheMatrices(int[] layerSizes, out List<float[,]> weights, out List<float[]> biases)
{
List<float[,]> tempWeights = new List<float[,]>();
List<float[]> tempBiases = new List<float[]>();
for (int i = 0; i < layerSizes.Length - 1; i++)
{
tempWeights.Add(new float[layerSizes[i], layerSizes[i + 1]]);
}
for (int i = 1; i < layerSizes.Length; i++)
{
List<float> temp = new List<float>();
for (int x = 0; x < layerSizes[i]; x++)
temp.Add(0);
tempBiases.Add(temp.ToArray());
}
weights = tempWeights;
biases = tempBiases;
}
public static void RandomlyFillMatrices(List<float[,]> matrices)
{
foreach (float[,] matrix in matrices)
{
for (int i = 0; i < matrix.GetLength(0); i++)
{
for (int x = 0; x < matrix.GetLength(1); x++)
{
matrix[i, x] = UnityEngine.Random.Range(-3f, 3f);
}
}
}
}
public static string PrintMatrices(List<float[,]> matrices, string name = "Count")
{
string returnString = matrices.Count + " " + name;
foreach (float[,] matrix in matrices)
{
returnString += " (" + matrix.GetLength(0) + ", " + matrix.GetLength(1) + ")";
for (int i = 0; i < matrix.GetLength(0); i++)
{
string log = "";
if (i == 0)
log += "[";
else
log += " ";
for (int x = 0; x < matrix.GetLength(1); x++)
{
log += matrix[i, x];
if(x != matrix.GetLength(1) - 1)
log += " ";
}
if (i == matrix.GetLength(0) - 1)
log += "]";
Debug.Log(log);
}
}
return returnString;
}
public static string PrintMatrices(List<float[]> matrices, string name = "Count")
{
string returnString = matrices.Count + " " + name;
foreach (float[] matrix in matrices)
{
returnString += " (" + matrix.Length + ")";
string log = "[";
for (int i = 0; i < matrix.Length; i++)
{
log += matrix[i];
if (i != matrix.Length - 1)
log += " ";
}
log += "]";
Debug.Log(log);
}
return returnString;
}
private Vector3[] CreateDecisionBoundaryPoints(List<float[,]> weights, List<float[]> biases, float delta)
{
//check whether there are exactly 2 input neurons
if (weights[0].GetLength(0) != 2)
Debug.LogError("Not exactly 2 input neurons!");
//check whether there are exactly 2 output neurons
if (biases[biases.Count - 1].Length != 2)
Debug.LogError("Not exactly 2 output neurons!");
//create the values for the first layer
float[] weightsForFirstLayerX = new float[weights[0].GetLength(1)];
for (int i = 0; i < weights[0].GetLength(1); i++)
{
weightsForFirstLayerX[i] = weights[0][0, i];
}
float[] denominatorValuesFirstLayer = new float[weights[0].GetLength(1)];
for (int i = 0; i < weights[0].GetLength(1); i++)
{
denominatorValuesFirstLayer[i] = weights[0][1, i];
}
List<Vector3> pointsForGraph = new List<Vector3>();
//Calculate the y value(s) for each x with interval delta
for (float x = -.04f; x <= 1 + delta; x += delta)
{
float[] numeratorValuesFirstLayer = new float[weightsForFirstLayerX.Length];
for (int i = 0; i < weightsForFirstLayerX.Length; i++)
numeratorValuesFirstLayer[i] = x * weightsForFirstLayerX[i] + biases[0][i];
//get the row matrices for the decision boundary function
float[] numeratorResults = PassValuesThroughMatrices(numeratorValuesFirstLayer, weights, biases, true);
float[] denominatorResults = PassValuesThroughMatrices(denominatorValuesFirstLayer, weights, biases, false);
float y = (numeratorResults[1] - numeratorResults[0]) / (denominatorResults[0] - denominatorResults[1]);
pointsForGraph.Add(new Vector3(x, y, -1));
}
return pointsForGraph.ToArray();
}
private float[] PassValuesThroughMatrices(float[] values, List<float[,]> weights, List<float[]> biases, bool isNumerator)
{
float[] previousLayer = values;
//loop passing the previous layer values through the current layer: values = values * weights + biases
for (int i = 1; i < weights.Count; i++)
{
float[] temp = new float[weights[i].GetLength(1)];
//loop through the colums in the weight matrix
for (int v = 0; v < weights[i].GetLength(1); v++)
{
float value = 0;
//loop through the rows in the weight matrix
for (int b = 0; b < weights[i].GetLength(0); b++)
value += previousLayer[b] * weights[i][b, v];
if (isNumerator)
value += biases[i][v];
temp[v] = value;
}
previousLayer = temp;
}
//return the last itteration of values
return previousLayer;
}
}
I have to calculate the spectrum values of an audio.
I used aForge's FFT in Sources/Math/FourierTransform.cs and I used an example of sampling with 16 samples as used in this video to check the results with excel (I tested the results in a spreadsheet like in the video).
FFT:
public enum Direction
{
Forward = 1,
Backward = -1
};
private const int minLength = 2;
private const int maxLength = 16384;
private const int minBits = 1;
private const int maxBits = 14;
private static int[][] reversedBits = new int[maxBits][];
private static Complex[,][] complexRotation = new Complex[maxBits, 2][];
static void Main(string[] args)
{
var Data = new Complex[16];
Data[0] = new Complex(0, 0);
Data[1] = new Complex((float)0.998027, 0);
Data[2] = new Complex((float)0.125333, 0);
Data[3] = new Complex((float)-0.98229, 0);
Data[4] = new Complex((float)-0.24869, 0);
Data[5] = new Complex((float)0.951057, 0);
Data[6] = new Complex((float)0.368125, 0);
Data[7] = new Complex((float)-0.90483, 0);
Data[8] = new Complex((float)-0.48175, 0);
Data[9] = new Complex((float)0.844328, 0);
Data[10] = new Complex((float)0.587785, 0);
Data[11] = new Complex((float)-0.77051, 0);
Data[12] = new Complex((float)-0.68455, 0);
Data[13] = new Complex((float)0.684547, 0);
Data[14] = new Complex((float)0.770513, 0);
Data[15] = new Complex((float)-0.58779, 0);
FFT(Data, Direction.Forward);
for (int a = 0; a <= Data.Length - 1; a++)
{
Console.WriteLine(Data[a].Re.ToString());
}
Console.ReadLine();
}
public static void FFT(Complex[] data, Direction direction)
{
int n = data.Length;
int m = Tools.Log2(n);
// reorder data first
ReorderData(data);
// compute FFT
int tn = 1, tm;
for (int k = 1; k <= m; k++)
{
Complex[] rotation = GetComplexRotation(k, direction);
tm = tn;
tn <<= 1;
for (int i = 0; i < tm; i++)
{
Complex t = rotation[i];
for (int even = i; even < n; even += tn)
{
int odd = even + tm;
Complex ce = data[even];
Complex co = data[odd];
double tr = co.Re * t.Re - co.Im * t.Im;
double ti = co.Re * t.Im + co.Im * t.Re;
data[even].Re += tr;
data[even].Im += ti;
data[odd].Re = ce.Re - tr;
data[odd].Im = ce.Im - ti;
}
}
}
if (direction == Direction.Forward)
{
for (int i = 0; i < n; i++)
{
data[i].Re /= (double)n;
data[i].Im /= (double)n;
}
}
}
private static int[] GetReversedBits(int numberOfBits)
{
if ((numberOfBits < minBits) || (numberOfBits > maxBits))
throw new ArgumentOutOfRangeException();
// check if the array is already calculated
if (reversedBits[numberOfBits - 1] == null)
{
int n = Tools.Pow2(numberOfBits);
int[] rBits = new int[n];
// calculate the array
for (int i = 0; i < n; i++)
{
int oldBits = i;
int newBits = 0;
for (int j = 0; j < numberOfBits; j++)
{
newBits = (newBits << 1) | (oldBits & 1);
oldBits = (oldBits >> 1);
}
rBits[i] = newBits;
}
reversedBits[numberOfBits - 1] = rBits;
}
return reversedBits[numberOfBits - 1];
}
private static Complex[] GetComplexRotation(int numberOfBits, Direction direction)
{
int directionIndex = (direction == Direction.Forward) ? 0 : 1;
// check if the array is already calculated
if (complexRotation[numberOfBits - 1, directionIndex] == null)
{
int n = 1 << (numberOfBits - 1);
double uR = 1.0;
double uI = 0.0;
double angle = System.Math.PI / n * (int)direction;
double wR = System.Math.Cos(angle);
double wI = System.Math.Sin(angle);
double t;
Complex[] rotation = new Complex[n];
for (int i = 0; i < n; i++)
{
rotation[i] = new Complex(uR, uI);
t = uR * wI + uI * wR;
uR = uR * wR - uI * wI;
uI = t;
}
complexRotation[numberOfBits - 1, directionIndex] = rotation;
}
return complexRotation[numberOfBits - 1, directionIndex];
}
// Reorder data for FFT using
private static void ReorderData(Complex[] data)
{
int len = data.Length;
// check data length
if ((len < minLength) || (len > maxLength) || (!Tools.IsPowerOf2(len)))
throw new ArgumentException("Incorrect data length.");
int[] rBits = GetReversedBits(Tools.Log2(len));
for (int i = 0; i < len; i++)
{
int s = rBits[i];
if (s > i)
{
Complex t = data[i];
data[i] = data[s];
data[s] = t;
}
}
}
These are the results after the transformation:
Output FFT results: Excel FFT results:
0,0418315622955561 0,669305
0,0533257974328085 0,716163407
0,137615673627316 0,908647001
0,114642731070279 1,673453043
0,234673940537634 7,474988602
0,0811255020953362 0,880988382
0,138088891589122 0,406276784
0,0623766891658306 0,248854492
0,0272978749126196 0,204227
0,0124250144575261 0,248854492
0,053787064184711 0,406276784
0,00783331226557493 0,880988382
0,0884368745610118 7,474988602
0,0155431246384978 1,673453043
0,0301093757152557 0,908647001
0 0,716163407
The results are not at all similar. Where is it wrong?
Is the implementation of complex (Data) wrong or is the FFT method wrong or other?
Thanks in advance!
First, the resulting FFT is a complex function in general. You're only displaying the real parts in your code but the thing you're comparing to is displaying the magnitudes, so of course they're going to be different: you're comparing apples to oranges.
When you use magnitudes and compare apples to apples, you should get this:
for (int a = 0; a <= Data.Length - 1; a++)
{
Console.WriteLine(Data[a].Magnitude.ToString());
}
...
0.0418315622955561
0.0447602132472683
0.0567904388057513
0.104590813761862
0.46718679147454
0.0550617784710375
0.025392294285886
0.0155534081359397
0.0127641875296831
0.0155534081359397
0.025392294285886
0.0550617784710375
0.46718679147454
0.104590813761862
0.0567904388057513
0.0447602132472683
That looks a little better -- it has the same symmetry property as the Excel output and there appear to be peaks in the same locations.
It almost looks like the scale is off. If I divide each element by the corresponding element from the Excel output, I get:
16
16
16
16
16
16
16
16
16
16
16
16
16
16
16
16
So your results are pretty much correct, just off by a scaling factor.
You're dividing everything by n in the last step of your FFT:
if (direction == Direction.Forward)
{
for (int i = 0; i < n; i++)
{
data[i].Re /= (double)n;
data[i].Im /= (double)n;
}
}
This is conventionally done for the inverse transform, not the forward transform.
In summary, changing the output from Data[a].Re to Data[a].Magnitude and changing the condition at the end of FFT from if (direction == Direction.Forward) to if (direction == Direction.Backward), I get this output:
0.669304996728897
0.716163411956293
0.908647020892022
1.67345302018979
7.47498866359264
0.880988455536601
0.406276708574176
0.248854530175035
0.20422700047493
0.248854530175035
0.406276708574176
0.880988455536601
7.47498866359264
1.67345302018979
0.908647020892022
0.716163411956293
which matches the Excel output.
Having two arrays of double values, I want to compute correlation coefficient (single double value, just like the CORREL function in MS Excel). Is there some simple one-line solution in C#?
I already discovered math lib called Meta Numerics. According to this SO question, it should do the job. Here is docs for Meta Numerics correlation method, which I don't get.
Could pls somebody provide me with simple code snippet or example how to use the library?
Note: At the end, I was forced to use one of custom implementations.
But if someone reading this question knows good, well documented C#
math library/framework to do this, please don't hesitate and post a link in
answer.
You can have the values in separate lists at the same index and use a simple Zip.
var fitResult = new FitResult();
var values1 = new List<int>();
var values2 = new List<int>();
var correls = values1.Zip(values2, (v1, v2) =>
fitResult.CorrelationCoefficient(v1, v2));
A second way is to write your own custom implementation (mine isn't optimized for speed):
public double ComputeCoeff(double[] values1, double[] values2)
{
if(values1.Length != values2.Length)
throw new ArgumentException("values must be the same length");
var avg1 = values1.Average();
var avg2 = values2.Average();
var sum1 = values1.Zip(values2, (x1, y1) => (x1 - avg1) * (y1 - avg2)).Sum();
var sumSqr1 = values1.Sum(x => Math.Pow((x - avg1), 2.0));
var sumSqr2 = values2.Sum(y => Math.Pow((y - avg2), 2.0));
var result = sum1 / Math.Sqrt(sumSqr1 * sumSqr2);
return result;
}
Usage:
var values1 = new List<double> { 3, 2, 4, 5 ,6 };
var values2 = new List<double> { 9, 7, 12 ,15, 17 };
var result = ComputeCoeff(values1.ToArray(), values2.ToArray());
// 0.997054485501581
Debug.Assert(result.ToString("F6") == "0.997054");
Another way is to use the Excel function directly:
var values1 = new List<double> { 3, 2, 4, 5 ,6 };
var values2 = new List<double> { 9, 7, 12 ,15, 17 };
// Make sure to add a reference to Microsoft.Office.Interop.Excel.dll
// and use the namespace
var application = new Application();
var worksheetFunction = application.WorksheetFunction;
var result = worksheetFunction.Correl(values1.ToArray(), values2.ToArray());
Console.Write(result); // 0.997054485501581
Math.NET Numerics is a well-documented math library that contains a Correlation class. It calculates Pearson and Spearman ranked correlations: http://numerics.mathdotnet.com/api/MathNet.Numerics.Statistics/Correlation.htm
The library is available under the very liberal MIT/X11 license. Using it to calculate a correlation coefficient is as easy as follows:
using MathNet.Numerics.Statistics;
...
correlation = Correlation.Pearson(arrayOfValues1, arrayOfValues2);
Good luck!
In order to calculate Pearson product-moment correlation coefficient
http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient
You can use this simple code:
public static Double Correlation(Double[] Xs, Double[] Ys) {
Double sumX = 0;
Double sumX2 = 0;
Double sumY = 0;
Double sumY2 = 0;
Double sumXY = 0;
int n = Xs.Length < Ys.Length ? Xs.Length : Ys.Length;
for (int i = 0; i < n; ++i) {
Double x = Xs[i];
Double y = Ys[i];
sumX += x;
sumX2 += x * x;
sumY += y;
sumY2 += y * y;
sumXY += x * y;
}
Double stdX = Math.Sqrt(sumX2 / n - sumX * sumX / n / n);
Double stdY = Math.Sqrt(sumY2 / n - sumY * sumY / n / n);
Double covariance = (sumXY / n - sumX * sumY / n / n);
return covariance / stdX / stdY;
}
If you don't want to use a third party library, you can use the method from this post (posting code here for backup).
public double Correlation(double[] array1, double[] array2)
{
double[] array_xy = new double[array1.Length];
double[] array_xp2 = new double[array1.Length];
double[] array_yp2 = new double[array1.Length];
for (int i = 0; i < array1.Length; i++)
array_xy[i] = array1[i] * array2[i];
for (int i = 0; i < array1.Length; i++)
array_xp2[i] = Math.Pow(array1[i], 2.0);
for (int i = 0; i < array1.Length; i++)
array_yp2[i] = Math.Pow(array2[i], 2.0);
double sum_x = 0;
double sum_y = 0;
foreach (double n in array1)
sum_x += n;
foreach (double n in array2)
sum_y += n;
double sum_xy = 0;
foreach (double n in array_xy)
sum_xy += n;
double sum_xpow2 = 0;
foreach (double n in array_xp2)
sum_xpow2 += n;
double sum_ypow2 = 0;
foreach (double n in array_yp2)
sum_ypow2 += n;
double Ex2 = Math.Pow(sum_x, 2.00);
double Ey2 = Math.Pow(sum_y, 2.00);
return (array1.Length * sum_xy - sum_x * sum_y) /
Math.Sqrt((array1.Length * sum_xpow2 - Ex2) * (array1.Length * sum_ypow2 - Ey2));
}
In my tests, both #Dmitry Bychenko's and #keyboardP's code postings above resulted in generally the same correlations as Microsoft Excel over a handful of manual tests I did, and did not need any external libraries.
e.g. Running this once (data for this run listed at the bottom):
#Dmitry Bychenko: -0.00418479432051121
#keyboardP:______-0.00418479432051131
MS Excel:_________-0.004184794
Here is a test harness:
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
namespace TestCorrel {
class Program {
static void Main(string[] args) {
Random rand = new Random(DateTime.Now.Millisecond);
List<double> x = new List<double>();
List<double> y = new List<double>();
for (int i = 0; i < 100; i++) {
x.Add(rand.Next(1000) * rand.NextDouble());
y.Add(rand.Next(1000) * rand.NextDouble());
Console.WriteLine(x[i] + "," + y[i]);
}
Console.WriteLine("Correl1: " + Correl1(x, y));
Console.WriteLine("Correl2: " + Correl2(x, y));
}
public static double Correl1(List<double> x, List<double> y) {
//https://stackoverflow.com/questions/17447817/correlation-of-two-arrays-in-c-sharp
if (x.Count != y.Count)
return (double.NaN); //throw new ArgumentException("values must be the same length");
double sumX = 0;
double sumX2 = 0;
double sumY = 0;
double sumY2 = 0;
double sumXY = 0;
int n = x.Count < y.Count ? x.Count : y.Count;
for (int i = 0; i < n; ++i) {
Double xval = x[i];
Double yval = y[i];
sumX += xval;
sumX2 += xval * xval;
sumY += yval;
sumY2 += yval * yval;
sumXY += xval * yval;
}
Double stdX = Math.Sqrt(sumX2 / n - sumX * sumX / n / n);
Double stdY = Math.Sqrt(sumY2 / n - sumY * sumY / n / n);
Double covariance = (sumXY / n - sumX * sumY / n / n);
return covariance / stdX / stdY;
}
public static double Correl2(List<double> x, List<double> y) {
double[] array_xy = new double[x.Count];
double[] array_xp2 = new double[x.Count];
double[] array_yp2 = new double[x.Count];
for (int i = 0; i < x.Count; i++)
array_xy[i] = x[i] * y[i];
for (int i = 0; i < x.Count; i++)
array_xp2[i] = Math.Pow(x[i], 2.0);
for (int i = 0; i < x.Count; i++)
array_yp2[i] = Math.Pow(y[i], 2.0);
double sum_x = 0;
double sum_y = 0;
foreach (double n in x)
sum_x += n;
foreach (double n in y)
sum_y += n;
double sum_xy = 0;
foreach (double n in array_xy)
sum_xy += n;
double sum_xpow2 = 0;
foreach (double n in array_xp2)
sum_xpow2 += n;
double sum_ypow2 = 0;
foreach (double n in array_yp2)
sum_ypow2 += n;
double Ex2 = Math.Pow(sum_x, 2.00);
double Ey2 = Math.Pow(sum_y, 2.00);
double Correl =
(x.Count * sum_xy - sum_x * sum_y) /
Math.Sqrt((x.Count * sum_xpow2 - Ex2) * (x.Count * sum_ypow2 - Ey2));
return (Correl);
}
}
}
Data for the example numbers above:
287.688269702572,225.610842817282
618.9313498167,177.955550192835
25.7778882802361,27.6549569366756
140.847984766051,714.618547504125
438.618761728806,533.48764902702
481.347431274758,214.381256273194
21.6406916848573,393.559209519792
135.30397563209,158.419851317732
334.314685154853,814.275162949821
764.614904770914,50.1435267264692
42.8179292282173,47.8631582287434
237.216836650491,370.488416981179
388.849658539449,134.961087643151
305.903013161804,441.926902444068
10.6625048679591,369.567569480076
36.9316453891488,24.8947204607049
2.10067253471383,491.941975629861
7.94887068492774,573.037801189831
341.738006353722,653.497146697015
98.8424873439793,475.215988045193
272.248712629196,36.1088809138671
122.336823399801,169.158256422336
9.32281673202422,631.076001565473
201.118425176068,803.724831627554
415.514343714115,64.248651454341
227.791637123,230.512133914284
25.3438658925443,396.854282886188
596.238994411304,72.543763144195
230.239735877253,933.983901697669
796.060099040186,689.952468971234
9.30882684202344,269.22063744125
16.5005430148451,8.96549091859045
536.324005148524,358.829873788557
519.694526420764,17.3212184707267
552.628357889423,12.5541588051962
210.516099897454,388.57537739937
141.341571405689,268.082028986924
503.880356335491,753.447006912645
515.494990213539,444.451280259737
973.8670776076,168.922799013985
85.7111146094795,36.3784999169309
37.2147129193017,108.040356312432
504.590177939548,50.3934166889607
482.821039277511,888.984586256083
5.52549206350255,156.717087003271
405.833169031345,394.099059180868
459.249365587835,11.68776424494
429.421127440604,314.216759666901
126.908422469584,331.907062556551
62.1416232716952,3.19765723645578
4.16058817699579,604.04046284223
484.262182311277,220.177370167886
58.6774453314382,339.09660232677
463.482149892246,199.181594849183
344.128297473829,268.531428258182
0.883430369609702,209.346384477963
77.9462970131758,255.221325168955
583.629439312792,235.557751925922
358.409186083083,376.046612200349
81.2148325150902,10.7696774717279
53.7315618049966,274.171515094196
111.284646992239,130.174321939319
317.280491961763,338.077288461885
177.454564264722,7.53587801919127
69.2239431670047,233.693477620228
823.419546454875,0.111916855029723
23.7174749401014,200.989081544331
44.9598299125022,102.633862571155
74.1602278468945,292.485449988155
130.11182449251,23.4682153367755
243.088760058903,335.807090202722
13.3974915991526,436.983231269281
73.3900805168739,252.352352472186
592.144630201228,92.3395205570103
57.7306153447044,47.1416798900541
522.649018382024,584.427794722108
15.3662010204821,60.1693953262499
16.8335716728277,851.401980430541
33.9869734449251,0.930781653584345
116.66608504982,146.126050951949
92.8896130355492,711.765618208687
317.91980889529,322.186540377413
44.8574470732629,209.275617858058
751.201537871362,37.935519233316
161.817758424588,2.83156183493862
531.64078452142,79.1750782491523
114.803219681048,283.106988439852
123.472725123853,154.125248027558
89.9276725453919,63.4626924192825
105.623296753328,111.234188702067
435.72981759707,23.7058234576629
259.324810619152,69.3535200857341
719.885234421531,381.086239833891
24.2674900099018,198.408173349876
57.7761600361095,146.52277489124
77.4594609157459,710.746080866431
636.671781979814,538.894185951396
56.6035279932448,58.2563265684323
485.16099039333,427.849954283261
91.9552873247095,576.92944263617
Public Function Correlation(ByRef array1() As Double, ByRef array2() As Double) As Double
'siehe https://stackoverflow.com/questions/17447817/correlation-of-two-arrays-in-c-sharp
'der hier errechnete "Pearson correlation coefficient" muss noch quadriert werden, um R-Squared zu erhalten, siehe
'https://en.wikipedia.org/wiki/Coefficient_of_determination
Dim array_xy(array1.Length - 1) As Double
Dim array_xp2(array1.Length - 1) As Double
Dim array_yp2(array1.Length - 1) As Double
Dim i As Integer
For i = 0 To array1.Length - 1
array_xy(i) = array1(i) * array2(i)
Next i
For i = 0 To array1.Length - 1
array_xp2(i) = Math.Pow(array1(i), 2.0)
Next i
For i = 0 To array1.Length - 1
array_yp2(i) = Math.Pow(array2(i), 2.0)
Next i
Dim sum_x As Double = 0
Dim sum_y As Double = 0
Dim EinDouble As Double
For Each EinDouble In array1
sum_x += EinDouble
Next
For Each EinDouble In array2
sum_y += EinDouble
Next
Dim sum_xy As Double = 0
For Each EinDouble In array_xy
sum_xy += EinDouble
Next
Dim sum_xpow2 As Double = 0
For Each EinDouble In array_xp2
sum_xpow2 += EinDouble
Next
Dim sum_ypow2 As Double = 0
For Each EinDouble In array_yp2
sum_ypow2 += EinDouble
Next
Dim Ex2 As Double = Math.Pow(sum_x, 2.0)
Dim Ey2 As Double = Math.Pow(sum_y, 2.0)
Dim ReturnWert As Double
ReturnWert = (array1.Length * sum_xy - sum_x * sum_y) / Math.Sqrt((array1.Length * sum_xpow2 - Ex2) * (array1.Length * sum_ypow2 - Ey2))
Correlation = ReturnWert
End Function