QuantileCalculator Class Reference

#include <JacknifeQuantile.h>

Classes
struct	point

Public Types
enum	Method { Simple, Sectioning, Jacknife }

Public Member Functions
std::pair< double, double >	quantileAndError (double quantile, Method method)
	QuantileCalculator ()
	QuantileCalculator (const std::vector< double > &values, const std::vector< double > &weights=std::vector< double >())
	QuantileCalculator (const std::vector< float > &values, const std::vector< float > &weights=std::vector< float >())
	QuantileCalculator (const RooAbsData &data, const char *varName, int firstEntry=0, int lastEntry=-1)
void	randomizePoints ()
	Randomize points before sectioning. More...
	~QuantileCalculator ()

Private Member Functions
int	guessPartitions (int size, double quantile)
template<typename T >
void	import (const std::vector< T > &values, const std::vector< T > &weights)
void	partition (int m, bool doJacknife)
void	quantiles (double quantile, bool doJacknife)

Private Attributes
std::vector< point >	points_
std::vector< float >	quantiles_
std::vector< double >	sumw_

Detailed Description

Definition at line 5 of file JacknifeQuantile.h.

Member Enumeration Documentation

enum QuantileCalculator::Method

Enumerator
Simple
Sectioning
Jacknife

Definition at line 7 of file JacknifeQuantile.h.

{ Simple, Sectioning, Jacknife };

Constructor & Destructor Documentation

QuantileCalculator::QuantileCalculator

(

)

Definition at line 10 of file JacknifeQuantile.cc.

{
}

QuantileCalculator::~QuantileCalculator

(

)

Definition at line 14 of file JacknifeQuantile.cc.

{
}

QuantileCalculator::QuantileCalculator	(	const std::vector< double > &	values,
		const std::vector< double > &	weights = std::vector<double>()
	)

Definition at line 18 of file JacknifeQuantile.cc.

References makeHLTPrescaleTable::values, and create_public_pileup_plots::weights.

{
   import<double>(values, weights); 
}

QuantileCalculator::QuantileCalculator	(	const std::vector< float > &	values,
		const std::vector< float > &	weights = std::vector<float>()
	)

Definition at line 23 of file JacknifeQuantile.cc.

References makeHLTPrescaleTable::values, and create_public_pileup_plots::weights.

{
   import<float>(values, weights); 
}

QuantileCalculator::QuantileCalculator	(	const RooAbsData &	data,
		const char *	varName,
		int	firstEntry = 0,
		int	lastEntry = -1
	)

Definition at line 28 of file JacknifeQuantile.cc.

References i, j, points_, runtimedef::set(), sumw_, and x.

{
    if (lastEntry == -1) lastEntry = data.numEntries();
    const RooArgSet  *set = data.get();
    const RooRealVar *x   = dynamic_cast<const RooRealVar *>(set->find(varName)); 
    if (x == 0) {
     set->Print("V");
     throw std::logic_error("Parameter of interest not in the idataset");
    }
    sumw_.resize(1, 0.0);
    if (firstEntry < lastEntry) {
        points_.resize(lastEntry - firstEntry);
        for (int i = firstEntry, j = 0; i < lastEntry; ++i, ++j) {
            data.get(i); 
            points_[j].x = x->getVal(); 
            points_[j].w = data.weight();
            sumw_[0] += points_[j].w;
        }
    }
}

Member Function Documentation

int QuantileCalculator::guessPartitions ( int  size, double  quantile  )

private

Definition at line 81 of file JacknifeQuantile.cc.

References gather_cfg::cout, min, and n.

Referenced by quantileAndError().

{
    // number of events on the small side of the quantile for m=1
    double smallnum = size * std::min(quantile, 1-quantile); 
    // now the naive idea is that err(q) ~ 1/sqrt(smallnum/m), while the error from averaging does as ~1/sqrt(m)
    // so you want m ~ sqrt(smallnum)
    int n = 5; //std::min(std::max(3., sqrt(smallnum)), 5.);
    std::cout << "   .....  will split the " << size << " events in " << n << " subsets, smallnum is " << smallnum << std::endl;
    return n;
}

template<typename T >

void QuantileCalculator::import ( const std::vector< T > &  values, const std::vector< T > &  weights  )

private

Definition at line 93 of file JacknifeQuantile.cc.

References i, n, points_, and sumw_.

{
    int n = values.size();
    points_.resize(values.size());
    sumw_.resize(1); sumw_[0] = 0.0;
    for (int i = 0; i < n; ++i) {
        points_[i].x = values[i];
        points_[i].w = weights.empty() ? 1 : weights[i];
        points_[i].set = 0;
        sumw_[0] += points_[i].w;
    }
}

void QuantileCalculator::partition ( int  m, bool  doJacknife  )

private

Definition at line 107 of file JacknifeQuantile.cc.

References alpha, lumiContext::fill, i, j, m, n, points_, and sumw_.

Referenced by quantileAndError().

{
    int n = points_.size();
    sumw_.resize(m+1);
    std::fill(sumw_.begin(), sumw_.end(), 0.0);
    double alpha = double(m)/n;
    for (int i = 0, j = 0; i < n; ++i) {
        j = floor(i*alpha); 
        points_[i].set = j;
        sumw_[j] += points_[i].w;
    }
    if (doJacknife) {
        // at this point sumw[j] has the weights of j... 
        // now I have to get the weights of everyhing else
        // start with all weights
        for (int j = 0; j < m; ++j) sumw_[m] += sumw_[j];
        // and then subtract
        for (int j = 0; j < m; ++j) sumw_[j] = (sumw_[m] - sumw_[j]);
    }
}

std::pair< double, double > QuantileCalculator::quantileAndError	(	double	quantile,
		Method	method
	)

Definition at line 54 of file JacknifeQuantile.cc.

References guessPartitions(), i, Jacknife, m, partition(), points_, quantiles(), quantiles_, plotscripts::rms(), Sectioning, Simple, python.multivaluedict::sort(), and mathSSE::sqrt().

Referenced by MarkovChainMC::limitAndError(), and MarkovChainMC::limitFromChain().

{
    if (method == Simple) {
        std::sort(points_.begin(), points_.end());
        quantiles(quantile, false);
        return std::pair<double,double>(quantiles_[0], 0);
    } else if (method == Sectioning || method == Jacknife) {
        int m = guessPartitions(points_.size(), quantile);
        partition(m, (method == Jacknife));
        std::sort(points_.begin(), points_.end());
        quantiles(quantile, (method == Jacknife));
        double avg = 0;
        for (int i = 0; i < m; ++i) {
            avg += quantiles_[i];
        }
        avg /= m;
        double rms = 0;
        for (int i = 0; i < m; ++i) {
            rms += (quantiles_[i] - avg)*(quantiles_[i] - avg);
        }
        rms = sqrt(rms/(m*(m-1)));
        double onesigma = ROOT::Math::tdistribution_quantile_c(0.16, m-1);
        return std::pair<double,double>(avg, rms * onesigma);
    }
    return std::pair<double,double>(0,-1);
}

void QuantileCalculator::quantiles ( double  quantile, bool  doJacknife  )

private

Definition at line 128 of file JacknifeQuantile.cc.

References i, j, m, n, points_, quantiles_, runtimedef::set(), sumw_, dtDQMClient_cfg::threshold, and w().

Referenced by quantileAndError().

{
    int m = sumw_.size()-1;
    int n = points_.size();
    quantiles_.resize(m+1);
    for (int j = 0; j <= m; ++j) {
        double runningSum = 0;
        double threshold  = quantile * sumw_[j];
        int ilow = 0, ihigh = n-1;
        for (int i = 0; i < n; ++i) {
            if ((points_[i].set == j) == doJacknife) continue; // if jacknife, cut away just one piece, otherwise cut away everthing else
            //std::cout << "\t\t\t" << points_[i].x << std::endl;;
            if (runningSum + points_[i].w <= threshold) { 
                runningSum += points_[i].w;
                ilow = i;
            } else {
                ihigh = i;
                break;
            }
        }
        if (runningSum == threshold) { // possible if all unit weights
            quantiles_[j] = points_[ilow].x;
        } else {
            quantiles_[j] = 0.5*(points_[ilow].x + points_[ihigh].x);
        }
    }
    for (int j = 0; j <= m; ++j) {  
        //printf("   ... quantile of section %d: %6.3f\n", j, quantiles_[j]);
    }
    if (doJacknife) {
        // now compute the pseudo-values alpha_[j] = m * quantile[m] - (m-1) * quantile[j]
        for (int j = 0; j < m; ++j) {
            quantiles_[j] = m * quantiles_[m] - (m-1) * quantiles_[j];
            printf("   ... jacknife quantile of section %d: %6.3f\n", j, quantiles_[j]);
        }
    }
}

void QuantileCalculator::randomizePoints

(

)

Randomize points before sectioning.

Definition at line 49 of file JacknifeQuantile.cc.

References points_.

{
    std::random_shuffle(points_.begin(), points_.end());
}

Member Data Documentation

std::vector<point> QuantileCalculator::points_

private

Definition at line 23 of file JacknifeQuantile.h.

Referenced by import(), partition(), quantileAndError(), QuantileCalculator(), quantiles(), and randomizePoints().

std::vector<float> QuantileCalculator::quantiles_

private

Definition at line 25 of file JacknifeQuantile.h.

Referenced by quantileAndError(), and quantiles().

std::vector<double> QuantileCalculator::sumw_

private

Definition at line 24 of file JacknifeQuantile.h.

Referenced by import(), partition(), QuantileCalculator(), and quantiles().