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Sourcecode: octave-econometrics version File versions

kernel_density.m

# Copyright (C) 2006 Michael Creel <michael.creel@uab.es>
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program 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, see <http://www.gnu.org/licenses/>.

# kernel_density: multivariate kernel density estimator
#
# usage:
#     dens = kernel_density(eval_points, data, bandwidth)
#
# inputs:
#     eval_points: PxK matrix of points at which to calculate the density
#     data: NxK matrix of data points
#     bandwidth: positive scalar, the smoothing parameter. The fit
#           is more smooth as the bandwidth increases.
#     kernel (optional): string. Name of the kernel function. Default is
#           Gaussian kernel.
#     prewhiten bool (optional): default false. If true, rotate data
#           using Choleski decomposition of inverse of covariance,
#           to approximate independence after the transformation, which
#           makes a product kernel a reasonable choice.
#     do_cv: bool (optional). default false. If true, calculate leave-1-out
#            density for cross validation
#     computenodes: int (optional, default 0). Number of compute nodes for parallel evaluation
#     debug: bool (optional, default false). show results on compute nodes if doing
#           a parallel run
# outputs:
#     dens: Px1 vector: the fitted density value at each of the P evaluation points.
#
# References:
# Wand, M.P. and Jones, M.C. (1995), 'Kernel smoothing'.
# http://www.xplore-stat.de/ebooks/scripts/spm/html/spmhtmlframe73.html

function z = kernel_density(eval_points, data, bandwidth, kernel, prewhiten, do_cv, computenodes, debug)

      if nargin < 3; error("kernel_density: at least 3 arguments are required"); endif

      # set defaults for optional args
      if (nargin < 4) kernel = "__kernel_normal"; endif # what kernel?
      if (nargin < 5) prewhiten = false; endif  # automatic prewhitening?
      if (nargin < 6)   do_cv = false; endif          # ordinary or leave-1-out
      if (nargin < 7)   computenodes = 0; endif       # parallel?
      if (nargin < 8)   debug = false; endif;         # debug?

      nn = rows(eval_points);
      n = rows(data);
      if prewhiten
            H = bandwidth*chol(cov(data));
      else
            H = bandwidth;
      endif

      # Inverse bandwidth matrix H_inv
      H_inv = inv(H);

      # weight by inverse bandwidth matrix
      eval_points = eval_points*H_inv;
      data = data*H_inv;

      # check if doing this parallel or serial
      global PARALLEL NSLAVES NEWORLD NSLAVES TAG
      PARALLEL = 0;

      if computenodes > 0
            PARALLEL = 1;
            NSLAVES = computenodes;
            LAM_Init(computenodes, debug);
      endif

      if !PARALLEL # ordinary serial version
            points_per_node = nn; # do the all on this node
            z = kernel_density_nodes(eval_points, data, do_cv, kernel, points_per_node, computenodes, debug);
      else # parallel version
            z = zeros(nn,1);
            points_per_node = floor(nn/(NSLAVES + 1)); # number of obsns per slave
            # The command that the slave nodes will execute
            cmd=;

            # send items to slaves

            NumCmds_Send({"eval_points", "data", "do_cv", "kernel", "points_per_node", "computenodes", "debug","cmd"}, {eval_points, data, do_cv, kernel, points_per_node, computenodes, debug, cmd});

            # evaluate last block on master while slaves are busy
            z_on_node = kernel_density_nodes(eval_points, data, do_cv, kernel, points_per_node, computenodes, debug);
            startblock = NSLAVES*points_per_node + 1;
            endblock = nn;
            z(startblock:endblock,:) = z(startblock:endblock,:) + z_on_node;

            # collect slaves' results
            z_on_node = zeros(points_per_node,1); # size may differ between master and compute nodes - reset here
            for i = 1:NSLAVES
                  MPI_Recv(z_on_node,i,TAG,NEWORLD);
                  startblock = i*points_per_node - points_per_node + 1;
                  endblock = i*points_per_node;
                  z(startblock:endblock,:) = z(startblock:endblock,:) + z_on_node;
            endfor

            # clean up after parallel
            LAM_Finalize;
      endif
      z = z*det(H_inv);
endfunction

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