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Source code for ding.torch_utils.math_helper

from typing import Optional
import torch


[docs]def cov( x: torch.Tensor, rowvar: bool = False, bias: bool = False, ddof: Optional[int] = None, aweights: Optional[torch.Tensor] = None ) -> torch.Tensor: """ Overview: Estimates covariance matrix like ``numpy.cov``. Arguments: - x (:obj:`torch.Tensor`): A 1-D or 2-D tensor containing multiple variables and observations. Each row of \ ``x`` represents a variable, and each column a single observation of all those variables. - rowvar (:obj:`bool`): If ``rowvar`` is True by default, and each column is a single observation of all those \ variables. Otherwise, each column represents a variable, while the rows contain observations. - bias (:obj:`bool`): Default normalization (False) is by dividing ``N - 1``, where ``N`` is the number of \ observations given (unbiased estimate). If ``bias`` is ``True``, then normalization is by ``N``. - ddof (:obj:`Optional[int]`): If ``ddof`` is not ``None``, it implies that the argument ``bias`` is \ overridden. Note that ``ddof=1`` will return the unbiased estimate (equals to ``bias=False``), and \ ``ddof=0`` will return the biased estimation (equals to ``bias=True``). - aweights (:obj:`Optional[torch.Tensor]`): 1-D tensor of observation vector weights. These relative weights \ are typically large for observations considered “important” and smaller for observations considered less \ “important”. If ``ddof=0``, the tensor of weights can be used to assign weights to observation vectors. Returns: - cov_mat (:obj:`torch.Tensor`): Covariance matrix calculated. """ if x.dim() == 1 and rowvar: raise NotImplementedError # ensure at least 2D if x.dim() == 1: x = x.view(-1, 1) # treat each column as a data point, each row as a variable if rowvar and x.shape[0] != 1: x = x.t() if ddof is None: if bias == 0: ddof = 1 else: ddof = 0 w = aweights if w is not None: if not torch.is_tensor(w): w = torch.tensor(w, dtype=torch.float) w_sum = torch.sum(w) avg = torch.sum(x * (w / w_sum)[:, None], 0) else: avg = torch.mean(x, 0) # Determine the normalization if w is None: fact = x.shape[0] - ddof elif ddof == 0: fact = w_sum # elif aweights is None: # fact = w_sum - ddof else: fact = w_sum - ddof * torch.sum(w * w) / w_sum xm = x.sub(avg.expand_as(x)) if w is None: X_T = xm.t() else: X_T = torch.mm(torch.diag(w), xm).t() c = torch.mm(X_T, xm) c = c / fact return c.squeeze()