[SPARK-2359][MLlib] Correlations

Implementation for Pearson and Spearman's correlation.

Author: Doris Xin <doris.s.xin@gmail.com>

Closes #1367 from dorx/correlation and squashes the following commits:

c0dd7dc [Doris Xin] here we go
32d83a3 [Doris Xin] Reviewer comments
4db0da1 [Doris Xin] added private[stat] to Spearman
b716f70 [Doris Xin] minor fixes
6e1b42a [Doris Xin] More comments addressed. Still some open questions
8104f44 [Doris Xin] addressed comments. some open questions still
39387c2 [Doris Xin] added missing header
bd3cf19 [Doris Xin] Merge branch 'master' into correlation
6341884 [Doris Xin] race condition bug squished
bd2bacf [Doris Xin] Race condition bug
b775ff9 [Doris Xin] old wrong impl
534ebf2 [Doris Xin] Merge branch 'master' into correlation
818fa31 [Doris Xin] wip units
9d808ee [Doris Xin] wip units
b843a13 [Doris Xin] revert change in stat counter
28561b6 [Doris Xin] wip
bb2e977 [Doris Xin] minor fix
8e02c63 [Doris Xin] Merge branch 'master' into correlation
2a40aa1 [Doris Xin] initial, untested implementation of Pearson
dfc4854 [Doris Xin] WIP

mllib/src/main/scala/org/apache/spark/mllib/stat/Statistics.scala

@@ -0,0 +1,78 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat
+
+import org.apache.spark.annotation.Experimental
+import org.apache.spark.mllib.linalg.{Matrix, Vector}
+import org.apache.spark.mllib.stat.correlation.Correlations
+import org.apache.spark.rdd.RDD
+
+/**
+ * API for statistical functions in MLlib
+ */
+@Experimental
+object Statistics {
+
+  /**
+   * Compute the Pearson correlation matrix for the input RDD of Vectors.
+   * Returns NaN if either vector has 0 variance.
+   *
+   * @param X an RDD[Vector] for which the correlation matrix is to be computed.
+   * @return Pearson correlation matrix comparing columns in X.
+   */
+  def corr(X: RDD[Vector]): Matrix = Correlations.corrMatrix(X)
+
+  /**
+   * Compute the correlation matrix for the input RDD of Vectors using the specified method.
+   * Methods currently supported: `pearson` (default), `spearman`
+   *
+   * Note that for Spearman, a rank correlation, we need to create an RDD[Double] for each column
+   * and sort it in order to retrieve the ranks and then join the columns back into an RDD[Vector],
+   * which is fairly costly. Cache the input RDD before calling corr with `method = "spearman"` to
+   * avoid recomputing the common lineage.
+   *
+   * @param X an RDD[Vector] for which the correlation matrix is to be computed.
+   * @param method String specifying the method to use for computing correlation.
+   *               Supported: `pearson` (default), `spearman`
+   * @return Correlation matrix comparing columns in X.
+   */
+  def corr(X: RDD[Vector], method: String): Matrix = Correlations.corrMatrix(X, method)
+
+  /**
+   * Compute the Pearson correlation for the input RDDs.
+   * Columns with 0 covariance produce NaN entries in the correlation matrix.
+   *
+   * @param x RDD[Double] of the same cardinality as y
+   * @param y RDD[Double] of the same cardinality as x
+   * @return A Double containing the Pearson correlation between the two input RDD[Double]s
+   */
+  def corr(x: RDD[Double], y: RDD[Double]): Double = Correlations.corr(x, y)
+
+  /**
+   * Compute the correlation for the input RDDs using the specified method.
+   * Methods currently supported: pearson (default), spearman
+   *
+   * @param x RDD[Double] of the same cardinality as y
+   * @param y RDD[Double] of the same cardinality as x
+   * @param method String specifying the method to use for computing correlation.
+   *               Supported: `pearson` (default), `spearman`
+   *@return A Double containing the correlation between the two input RDD[Double]s using the
+   *         specified method.
+   */
+  def corr(x: RDD[Double], y: RDD[Double], method: String): Double = Correlations.corr(x, y, method)
+}

mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/Correlation.scala

@@ -0,0 +1,91 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat.correlation
+
+import org.apache.spark.mllib.linalg.{DenseVector, Matrix, Vector}
+import org.apache.spark.rdd.RDD
+
+/**
+ * Trait for correlation algorithms.
+ */
+private[stat] trait Correlation {
+
+  /**
+   * Compute correlation for two datasets.
+   */
+  def computeCorrelation(x: RDD[Double], y: RDD[Double]): Double
+
+  /**
+   * Compute the correlation matrix S, for the input matrix, where S(i, j) is the correlation
+   * between column i and j. S(i, j) can be NaN if the correlation is undefined for column i and j.
+   */
+  def computeCorrelationMatrix(X: RDD[Vector]): Matrix
+
+  /**
+   * Combine the two input RDD[Double]s into an RDD[Vector] and compute the correlation using the
+   * correlation implementation for RDD[Vector]. Can be NaN if correlation is undefined for the
+   * input vectors.
+   */
+  def computeCorrelationWithMatrixImpl(x: RDD[Double], y: RDD[Double]): Double = {
+    val mat: RDD[Vector] = x.zip(y).map { case (xi, yi) => new DenseVector(Array(xi, yi)) }
+    computeCorrelationMatrix(mat)(0, 1)
+  }
+
+}
+
+/**
+ * Delegates computation to the specific correlation object based on the input method name
+ *
+ * Currently supported correlations: pearson, spearman.
+ * After new correlation algorithms are added, please update the documentation here and in
+ * Statistics.scala for the correlation APIs.
+ *
+ * Maintains the default correlation type, pearson
+ */
+private[stat] object Correlations {
+
+  // Note: after new types of correlations are implemented, please update this map
+  val nameToObjectMap = Map(("pearson", PearsonCorrelation), ("spearman", SpearmanCorrelation))
+  val defaultCorrName: String = "pearson"
+  val defaultCorr: Correlation = nameToObjectMap(defaultCorrName)
+
+  def corr(x: RDD[Double], y: RDD[Double], method: String = defaultCorrName): Double = {
+    val correlation = getCorrelationFromName(method)
+    correlation.computeCorrelation(x, y)
+  }
+
+  def corrMatrix(X: RDD[Vector], method: String = defaultCorrName): Matrix = {
+    val correlation = getCorrelationFromName(method)
+    correlation.computeCorrelationMatrix(X)
+  }
+
+  /**
+   * Match input correlation name with a known name via simple string matching
+   *
+   * private to stat for ease of unit testing
+   */
+  private[stat] def getCorrelationFromName(method: String): Correlation = {
+    try {
+      nameToObjectMap(method)
+    } catch {
+      case nse: NoSuchElementException =>
+        throw new IllegalArgumentException("Unrecognized method name. Supported correlations: "
+          + nameToObjectMap.keys.mkString(", "))
+    }
+  }
+}

mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/PearsonCorrelation.scala

@@ -0,0 +1,107 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat.correlation
+
+import breeze.linalg.{DenseMatrix => BDM}
+
+import org.apache.spark.Logging
+import org.apache.spark.mllib.linalg.{Matrices, Matrix, Vector}
+import org.apache.spark.mllib.linalg.distributed.RowMatrix
+import org.apache.spark.rdd.RDD
+
+/**
+ * Compute Pearson correlation for two RDDs of the type RDD[Double] or the correlation matrix
+ * for an RDD of the type RDD[Vector].
+ *
+ * Definition of Pearson correlation can be found at
+ * http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient
+ */
+private[stat] object PearsonCorrelation extends Correlation with Logging {
+
+  /**
+   * Compute the Pearson correlation for two datasets. NaN if either vector has 0 variance.
+   */
+  override def computeCorrelation(x: RDD[Double], y: RDD[Double]): Double = {
+    computeCorrelationWithMatrixImpl(x, y)
+  }
+
+  /**
+   * Compute the Pearson correlation matrix S, for the input matrix, where S(i, j) is the
+   * correlation between column i and j. 0 covariance results in a correlation value of Double.NaN.
+   */
+  override def computeCorrelationMatrix(X: RDD[Vector]): Matrix = {
+    val rowMatrix = new RowMatrix(X)
+    val cov = rowMatrix.computeCovariance()
+    computeCorrelationMatrixFromCovariance(cov)
+  }
+
+  /**
+   * Compute the Pearson correlation matrix from the covariance matrix.
+   * 0 covariance results in a correlation value of Double.NaN.
+   */
+  def computeCorrelationMatrixFromCovariance(covarianceMatrix: Matrix): Matrix = {
+    val cov = covarianceMatrix.toBreeze.asInstanceOf[BDM[Double]]
+    val n = cov.cols
+
+    // Compute the standard deviation on the diagonals first
+    var i = 0
+    while (i < n) {
+      // TODO remove once covariance numerical issue resolved.
+      cov(i, i) = if (closeToZero(cov(i, i))) 0.0 else math.sqrt(cov(i, i))
+      i +=1
+    }
+
+    // Loop through columns since cov is column major
+    var j = 0
+    var sigma = 0.0
+    var containNaN = false
+    while (j < n) {
+      sigma = cov(j, j)
+      i = 0
+      while (i < j) {
+        val corr = if (sigma == 0.0 || cov(i, i) == 0.0) {
+          containNaN = true
+          Double.NaN
+        } else {
+          cov(i, j) / (sigma * cov(i, i))
+        }
+        cov(i, j) = corr
+        cov(j, i) = corr
+        i += 1
+      }
+      j += 1
+    }
+
+    // put 1.0 on the diagonals
+    i = 0
+    while (i < n) {
+      cov(i, i) = 1.0
+      i +=1
+    }
+
+    if (containNaN) {
+      logWarning("Pearson correlation matrix contains NaN values.")
+    }
+
+    Matrices.fromBreeze(cov)
+  }
+
+  private def closeToZero(value: Double, threshhold: Double = 1e-12): Boolean = {
+    math.abs(value) <= threshhold
+  }
+}

mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala

@@ -0,0 +1,127 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat.correlation
+
+import scala.collection.mutable.ArrayBuffer
+
+import org.apache.spark.{Logging, HashPartitioner}
+import org.apache.spark.SparkContext._
+import org.apache.spark.mllib.linalg.{DenseVector, Matrix, Vector}
+import org.apache.spark.rdd.{CoGroupedRDD, RDD}
+
+/**
+ * Compute Spearman's correlation for two RDDs of the type RDD[Double] or the correlation matrix
+ * for an RDD of the type RDD[Vector].
+ *
+ * Definition of Spearman's correlation can be found at
+ * http://en.wikipedia.org/wiki/Spearman's_rank_correlation_coefficient
+ */
+private[stat] object SpearmanCorrelation extends Correlation with Logging {
+
+  /**
+   * Compute Spearman's correlation for two datasets.
+   */
+  override def computeCorrelation(x: RDD[Double], y: RDD[Double]): Double = {
+    computeCorrelationWithMatrixImpl(x, y)
+  }
+
+  /**
+   * Compute Spearman's correlation matrix S, for the input matrix, where S(i, j) is the
+   * correlation between column i and j.
+   *
+   * Input RDD[Vector] should be cached or checkpointed if possible since it would be split into
+   * numCol RDD[Double]s, each of which sorted, and the joined back into a single RDD[Vector].
+   */
+  override def computeCorrelationMatrix(X: RDD[Vector]): Matrix = {
+    val indexed = X.zipWithUniqueId()
+
+    val numCols = X.first.size
+    if (numCols > 50) {
+      logWarning("Computing the Spearman correlation matrix can be slow for large RDDs with more"
+        + " than 50 columns.")
+    }
+    val ranks = new Array[RDD[(Long, Double)]](numCols)
+
+    // Note: we use a for loop here instead of a while loop with a single index variable
+    // to avoid race condition caused by closure serialization
+    for (k <- 0 until numCols) {
+      val column = indexed.map { case (vector, index) => (vector(k), index) }
+      ranks(k) = getRanks(column)
+    }
+
+    val ranksMat: RDD[Vector] = makeRankMatrix(ranks, X)
+    PearsonCorrelation.computeCorrelationMatrix(ranksMat)
+  }
+
+  /**
+   * Compute the ranks for elements in the input RDD, using the average method for ties.
+   *
+   * With the average method, elements with the same value receive the same rank that's computed
+   * by taking the average of their positions in the sorted list.
+   * e.g. ranks([2, 1, 0, 2]) = [2.5, 1.0, 0.0, 2.5]
+   * Note that positions here are 0-indexed, instead of the 1-indexed as in the definition for
+   * ranks in the standard definition for Spearman's correlation. This does not affect the final
+   * results and is slightly more performant.
+   *
+   * @param indexed RDD[(Double, Long)] containing pairs of the format (originalValue, uniqueId)
+   * @return RDD[(Long, Double)] containing pairs of the format (uniqueId, rank), where uniqueId is
+   *         copied from the input RDD.
+   */
+  private def getRanks(indexed: RDD[(Double, Long)]): RDD[(Long, Double)] = {
+    // Get elements' positions in the sorted list for computing average rank for duplicate values
+    val sorted = indexed.sortByKey().zipWithIndex()
+
+    val ranks: RDD[(Long, Double)] = sorted.mapPartitions { iter =>
+      // add an extra element to signify the end of the list so that flatMap can flush the last
+      // batch of duplicates
+      val padded = iter ++
+        Iterator[((Double, Long), Long)](((Double.NaN, -1L), -1L))
+      var lastVal = 0.0
+      var firstRank = 0.0
+      val idBuffer = new ArrayBuffer[Long]()
+      padded.flatMap { case ((v, id), rank) =>
+        if (v  == lastVal && id != Long.MinValue) {
+          idBuffer += id
+          Iterator.empty
+        } else {
+          val entries = if (idBuffer.size == 0) {
+            // edge case for the first value matching the initial value of lastVal
+            Iterator.empty
+          } else if (idBuffer.size == 1) {
+            Iterator((idBuffer(0), firstRank))
+          } else {
+            val averageRank = firstRank + (idBuffer.size - 1.0) / 2.0
+            idBuffer.map(id => (id, averageRank))
+          }
+          lastVal = v
+          firstRank = rank
+          idBuffer.clear()
+          idBuffer += id
+          entries
+        }
+      }
+    }
+    ranks
+  }
+
+  private def makeRankMatrix(ranks: Array[RDD[(Long, Double)]], input: RDD[Vector]): RDD[Vector] = {
+    val partitioner = new HashPartitioner(input.partitions.size)
+    val cogrouped = new CoGroupedRDD[Long](ranks, partitioner)
+    cogrouped.map { case (_, values: Seq[Seq[Double]]) => new DenseVector(values.flatten.toArray) }
+  }
+}

mllib/src/test/scala/org/apache/spark/mllib/stat/CorrelationSuite.scala

@@ -0,0 +1,116 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat
+
+import org.scalatest.FunSuite
+
+import breeze.linalg.{DenseMatrix => BDM, Matrix => BM}
+
+import org.apache.spark.mllib.linalg.Vectors
+import org.apache.spark.mllib.stat.correlation.{Correlations, PearsonCorrelation,
+  SpearmanCorrelation}
+import org.apache.spark.mllib.util.LocalSparkContext
+
+class CorrelationSuite extends FunSuite with LocalSparkContext {
+
+  // test input data
+  val xData = Array(1.0, 0.0, -2.0)
+  val yData = Array(4.0, 5.0, 3.0)
+  val data = Seq(
+    Vectors.dense(1.0, 0.0, 0.0, -2.0),
+    Vectors.dense(4.0, 5.0, 0.0, 3.0),
+    Vectors.dense(6.0, 7.0, 0.0, 8.0),
+    Vectors.dense(9.0, 0.0, 0.0, 1.0)
+  )
+
+  test("corr(x, y) default, pearson") {
+    val x = sc.parallelize(xData)
+    val y = sc.parallelize(yData)
+    val expected = 0.6546537
+    val default = Statistics.corr(x, y)
+    val p1 = Statistics.corr(x, y, "pearson")
+    assert(approxEqual(expected, default))
+    assert(approxEqual(expected, p1))
+  }
+
+  test("corr(x, y) spearman") {
+    val x = sc.parallelize(xData)
+    val y = sc.parallelize(yData)
+    val expected = 0.5
+    val s1 = Statistics.corr(x, y, "spearman")
+    assert(approxEqual(expected, s1))
+  }
+
+  test("corr(X) default, pearson") {
+    val X = sc.parallelize(data)
+    val defaultMat = Statistics.corr(X)
+    val pearsonMat = Statistics.corr(X, "pearson")
+    val expected = BDM(
+      (1.00000000, 0.05564149, Double.NaN, 0.4004714),
+      (0.05564149, 1.00000000, Double.NaN, 0.9135959),
+      (Double.NaN, Double.NaN, 1.00000000, Double.NaN),
+      (0.40047142, 0.91359586, Double.NaN,1.0000000))
+    assert(matrixApproxEqual(defaultMat.toBreeze, expected))
+    assert(matrixApproxEqual(pearsonMat.toBreeze, expected))
+  }
+
+  test("corr(X) spearman") {
+    val X = sc.parallelize(data)
+    val spearmanMat = Statistics.corr(X, "spearman")
+    val expected = BDM(
+      (1.0000000,  0.1054093,  Double.NaN, 0.4000000),
+      (0.1054093,  1.0000000,  Double.NaN, 0.9486833),
+      (Double.NaN, Double.NaN, 1.00000000, Double.NaN),
+      (0.4000000,  0.9486833,  Double.NaN, 1.0000000))
+    assert(matrixApproxEqual(spearmanMat.toBreeze, expected))
+  }
+
+  test("method identification") {
+    val pearson = PearsonCorrelation
+    val spearman = SpearmanCorrelation
+
+    assert(Correlations.getCorrelationFromName("pearson") === pearson)
+    assert(Correlations.getCorrelationFromName("spearman") === spearman)
+
+    // Should throw IllegalArgumentException
+    try {
+      Correlations.getCorrelationFromName("kendall")
+      assert(false)
+    } catch {
+      case ie: IllegalArgumentException =>
+    }
+  }
+
+  def approxEqual(v1: Double, v2: Double, threshold: Double = 1e-6): Boolean = {
+    if (v1.isNaN) {
+      v2.isNaN
+    } else {
+      math.abs(v1 - v2) <= threshold
+    }
+  }
+
+  def matrixApproxEqual(A: BM[Double], B: BM[Double], threshold: Double = 1e-6): Boolean = {
+    for (i <- 0 until A.rows; j <- 0 until A.cols) {
+      if (!approxEqual(A(i, j), B(i, j), threshold)) {
+        println("i, j = " + i + ", " + j + " actual: " + A(i, j) + " expected:" + B(i, j))
+        return false
+      }
+    }
+    true
+  }
+}