add parallel mean and variance

pdeyhim · Apr 10, 2014 · cc65810 · cc65810
1 parent 9af2e95
commit cc65810
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diff --git a/mllib/src/main/scala/org/apache/spark/mllib/rdd/VectorRDDFunctions.scala b/mllib/src/main/scala/org/apache/spark/mllib/rdd/VectorRDDFunctions.scala
@@ -21,6 +21,7 @@ import breeze.linalg.{Vector => BV, DenseVector => BDV}
 import org.apache.spark.mllib.linalg.{Vector, Vectors}
 import org.apache.spark.mllib.util.MLUtils._
 import org.apache.spark.rdd.RDD
+import breeze.numerics._
 
 /**
  * Extra functions available on RDDs of [[org.apache.spark.mllib.linalg.Vector Vector]] through an
@@ -161,4 +162,24 @@ class VectorRDDFunctions(self: RDD[Vector]) extends Serializable {
         }
     }
   }
+
+  def parallelMeanAndVar(size: Int): (Vector, Vector) = {
+    val statistics = self.map(_.toBreeze).aggregate((BV.zeros[Double](size), BV.zeros[Double](size), 0.0))(
+      seqOp = (c, v) => (c, v) match {
+        case ((prevMean, prevM2n, cnt), currData) =>
+          val currMean = ((prevMean :* cnt) + currData) :/ (cnt + 1.0)
+          (currMean, prevM2n + ((currData - prevMean) :* (currData - currMean)), cnt + 1.0)
+      },
+      combOp = (lhs, rhs) => (lhs, rhs) match {
+        case ((lhsMean, lhsM2n, lhsCnt), (rhsMean, rhsM2n, rhsCnt)) =>
+          val totalCnt = lhsCnt + rhsCnt
+          val totalMean = (lhsMean :* lhsCnt) + (rhsMean :* rhsCnt) :/ totalCnt
+          val deltaMean = rhsMean - lhsMean
+          val totalM2n = lhsM2n + rhsM2n + (((deltaMean :* deltaMean) :* (lhsCnt * rhsCnt)) :/ totalCnt)
+          (totalMean, totalM2n, totalCnt)
+      }
+    )
+
+    (Vectors.fromBreeze(statistics._1), Vectors.fromBreeze(statistics._2 :/ statistics._3))
+  }
 }
diff --git a/mllib/src/test/scala/org/apache/spark/mllib/rdd/VectorRDDFunctionsSuite.scala b/mllib/src/test/scala/org/apache/spark/mllib/rdd/VectorRDDFunctionsSuite.scala
@@ -38,6 +38,7 @@ class VectorRDDFunctionsSuite extends FunSuite with LocalSparkContext {
   val colMeans = Array(4.0, 5.0, 6.0)
   val colNorm2 = Array(math.sqrt(66.0), math.sqrt(93.0), math.sqrt(126.0))
   val colSDs = Array(math.sqrt(6.0), math.sqrt(6.0), math.sqrt(6.0))
+  val colVar = Array(6.0, 6.0, 6.0)
 
   val maxVec = Array(7.0, 8.0, 9.0)
   val minVec = Array(1.0, 2.0, 3.0)
@@ -128,6 +129,13 @@ class VectorRDDFunctionsSuite extends FunSuite with LocalSparkContext {
       assert(equivVector(lhs, rhs), "Column shrink error.")
     }
   }
+
+  test("meanAndVar") {
+    val data = sc.parallelize(localData, 2)
+    val (mean, sd) = data.parallelMeanAndVar(3)
+    assert(equivVector(mean, Vectors.dense(colMeans)), "Column means do not match.")
+    assert(equivVector(sd, Vectors.dense(colVar)), "Column SD do not match.")
+  }
 }
 
 object VectorRDDFunctionsSuite {