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Fix smoother imputing polynomial order #490

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Merged
merged 4 commits into from
Nov 11, 2020
Merged

Fix smoother imputing polynomial order #490

merged 4 commits into from
Nov 11, 2020

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dshemetov
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@dshemetov dshemetov commented Nov 10, 2020 •
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Description

Update the smoother's imputation function to perform better. Depends on #478 .

Changelog

  • Changes the smoother imputation function to have its own polynomial order than the smoother's
  • The default value for the imputer is also set to 2.

Fixes

  • Arguably the imputer should interpolate values instead of smoothing them. Hence we avoid situation like this:
>>> signal = np.array([i if i % 3 else np.nan for i in range(1, 40)])
>>> Smoother().impute(signal, impute_order=0)
array([ 1.        ,  2.        ,  1.50520814,  4.        ,  5.        ,
        2.77986492,  7.        ,  8.        ,  4.19921816, 10.        ,
       11.        ,  5.82790041, 13.        , 14.        ,  7.70752267,
       16.        , 17.        ,  9.84727107, 19.        , 20.        ,
       12.22315472, 22.        , 23.        , 14.78905031, 25.        ,
       26.        , 17.4936213 , 28.        , 29.        , 20.29881603,
       31.        , 32.        , 23.17118576, 34.        , 35.        ,
       26.08145499, 37.        , 38.        , 29.01928305])
>>> Smoother().impute(signal, impute_order=2)
array([ 1.,  2.,  3.,  4.,  5.,  6.,  7.,  8.,  9., 10., 11., 12., 13.,
       14., 15., 16., 17., 18., 19., 20., 21., 22., 23., 24., 25., 26.,
       27., 28., 29., 30., 31., 32., 33., 34., 35., 36., 37., 38., 39.])

Without this change, using poly_fit_degree=0 would use this setting in the imputer and introduce the poor performance above.

@dshemetov dshemetov requested a review from chinandrew November 10, 2020 23:10
chinandrew
chinandrew reviewed Nov 10, 2020
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_delphi_utils_python/delphi_utils/smooth.py Outdated
)
# Otherwise, use savgol fitting on the largest window prior
# Otherwise, use savgol fitting on the largest window prior,
# reduce the polynomial degree if needed
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add a note why the reduction of the polynomial degree is needed.

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Done

chinandrew
chinandrew reviewed Nov 10, 2020
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just one comment otherwise lgtm

@dshemetov
Updated the smoother to remove a non-invertible design matrix bug
a5f81ba
@dshemetov
Update smoother to gracefully handle nans:
4ad4c39 
* entire array of nans is handled
* left-padded nans are now ignored
* a few other edge cases
* add tests to match
@dshemetov
Fixes the bug where the smoother drops the pandas series index:
ad01388 
* restore the index after smoothing
* test to match
@dshemetov dshemetov force-pushed the fix_smoother_imputing_polyorder branch from a5c18a1 to 45ab905 Compare November 11, 2020 00:20
@dshemetov
Update smoother imputer:
fa0b6e2 
* separate out the smoother's polynomial fit degree from the imputer's
* default the imputer's fit degree to 2
* add tests
@dshemetov dshemetov force-pushed the fix_smoother_imputing_polyorder branch from 45ab905 to fa0b6e2 Compare November 11, 2020 00:23
chinandrew
chinandrew approved these changes Nov 11, 2020
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:shipit: :shipit: :shipit:

@chinandrew
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This depends on #476 -8 right? maybe should add a section for that on the pr template....

@dshemetov
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Oops, meant to do that

@krivard krivard merged commit 95ece40 into main Nov 11, 2020
@krivard krivard deleted the fix_smoother_imputing_polyorder branch November 11, 2020 14:38
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@chinandrew chinandrew chinandrew approved these changes

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@dshemetov @chinandrew @krivard