# Copyright The Lightning team. # # Licensed 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. from collections.abc import Sequence from typing import Any, List, Optional, Union import torch from torch import Tensor from torchmetrics.functional.regression.pearson import _pearson_corrcoef_compute, _pearson_corrcoef_update from torchmetrics.metric import Metric from torchmetrics.utilities.imports import _MATPLOTLIB_AVAILABLE from torchmetrics.utilities.plot import _AX_TYPE, _PLOT_OUT_TYPE if not _MATPLOTLIB_AVAILABLE: __doctest_skip__ = ["PearsonCorrCoef.plot"] def _final_aggregation( means_x: torch.Tensor, means_y: torch.Tensor, maxs_abs_x: torch.Tensor, maxs_abs_y: torch.Tensor, vars_x: torch.Tensor, vars_y: torch.Tensor, corrs_xy: torch.Tensor, nbs: torch.Tensor, eps: float = 1e-10, ) -> tuple[ torch.Tensor, torch.Tensor, torch.Tensor, torch.Tensor, torch.Tensor, torch.Tensor, torch.Tensor, torch.Tensor ]: """Aggregate the statistics from multiple devices. Formula taken from here: `Parallel algorithm for calculating variance `_ We use `eps` to avoid division by zero when `n1` and `n2` are both zero. Generally, the value of `eps` should not matter, as if `n1` and `n2` are both zero, all the states will also be zero. """ if len(means_x) == 1: return means_x[0], means_y[0], maxs_abs_x[0], maxs_abs_y[0], vars_x[0], vars_y[0], corrs_xy[0], nbs[0] mx1 = means_x[0] my1 = means_y[0] max1 = maxs_abs_x[0] may1 = maxs_abs_y[0] vx1 = vars_x[0] vy1 = vars_y[0] cxy1 = corrs_xy[0] n1 = nbs[0] for i in range(1, len(means_x)): mx2 = means_x[i] my2 = means_y[i] max2 = maxs_abs_x[i] may2 = maxs_abs_y[i] vx2 = vars_x[i] vy2 = vars_y[i] cxy2 = corrs_xy[i] n2 = nbs[i] # count nb = torch.where(torch.logical_or(n1, n2), n1 + n2, eps) # mean_x mean_x = (n1 * mx1 + n2 * mx2) / nb # mean_y mean_y = (n1 * my1 + n2 * my2) / nb # intermediates for running variances n12_b = n1 * n2 / nb delta_x = mx2 - mx1 delta_y = my2 - my1 # var_x var_x = vx1 + vx2 + n12_b * delta_x**2 # var_y var_y = vy1 + vy2 + n12_b * delta_y**2 # corr_xy corr_xy = cxy1 + cxy2 + n12_b * delta_x * delta_y max_abs_dev_x = torch.maximum(max1, max2) max_abs_dev_y = torch.maximum(may1, may2) mx1 = mean_x my1 = mean_y max1 = max_abs_dev_x may1 = max_abs_dev_y vx1 = var_x vy1 = var_y cxy1 = corr_xy n1 = nb return mean_x, mean_y, max_abs_dev_x, max_abs_dev_y, var_x, var_y, corr_xy, nb class PearsonCorrCoef(Metric): r"""Compute `Pearson Correlation Coefficient`_. .. math:: P_{corr}(x,y) = \frac{cov(x,y)}{\sigma_x \sigma_y} Where :math:`y` is a tensor of target values, and :math:`x` is a tensor of predictions. As input to ``forward`` and ``update`` the metric accepts the following input: - ``preds`` (:class:`~torch.Tensor`): either single output float tensor with shape ``(N,)`` or multioutput float tensor of shape ``(N,d)`` - ``target`` (:class:`~torch.Tensor`): either single output tensor with shape ``(N,)`` or multioutput tensor of shape ``(N,d)`` As output of ``forward`` and ``compute`` the metric returns the following output: - ``pearson`` (:class:`~torch.Tensor`): A tensor with the Pearson Correlation Coefficient Args: num_outputs: Number of outputs in multioutput setting kwargs: Additional keyword arguments, see :ref:`Metric kwargs` for more info. Example (single output regression): >>> from torchmetrics.regression import PearsonCorrCoef >>> target = torch.tensor([3, -0.5, 2, 7]) >>> preds = torch.tensor([2.5, 0.0, 2, 8]) >>> pearson = PearsonCorrCoef() >>> pearson(preds, target) tensor(0.9849) Example (multi output regression): >>> from torchmetrics.regression import PearsonCorrCoef >>> target = torch.tensor([[3, -0.5], [2, 7]]) >>> preds = torch.tensor([[2.5, 0.0], [2, 8]]) >>> pearson = PearsonCorrCoef(num_outputs=2) >>> pearson(preds, target) tensor([1., 1.]) """ is_differentiable: bool = True higher_is_better: Optional[bool] = None # both -1 and 1 are optimal full_state_update: bool = True plot_lower_bound: float = -1.0 plot_upper_bound: float = 1.0 preds: List[Tensor] target: List[Tensor] mean_x: Tensor mean_y: Tensor max_abs_dev_x: Tensor max_abs_dev_y: Tensor var_x: Tensor var_y: Tensor corr_xy: Tensor n_total: Tensor def __init__( self, num_outputs: int = 1, **kwargs: Any, ) -> None: super().__init__(**kwargs) if not isinstance(num_outputs, int) and num_outputs < 1: raise ValueError("Expected argument `num_outputs` to be an int larger than 0, but got {num_outputs}") self.num_outputs = num_outputs self.add_state("mean_x", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("mean_y", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("max_abs_dev_x", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("max_abs_dev_y", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("var_x", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("var_y", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("corr_xy", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) self.add_state("n_total", default=torch.zeros(self.num_outputs), dist_reduce_fx=None) def update(self, preds: Tensor, target: Tensor) -> None: """Update state with predictions and targets.""" ( self.mean_x, self.mean_y, self.max_abs_dev_x, self.max_abs_dev_y, self.var_x, self.var_y, self.corr_xy, self.n_total, ) = _pearson_corrcoef_update( preds=preds, target=target, mean_x=self.mean_x, mean_y=self.mean_y, max_abs_dev_x=self.max_abs_dev_x, max_abs_dev_y=self.max_abs_dev_y, var_x=self.var_x, var_y=self.var_y, corr_xy=self.corr_xy, num_prior=self.n_total, num_outputs=self.num_outputs, ) def compute(self) -> Tensor: """Compute pearson correlation coefficient over state.""" if (self.num_outputs == 1 and self.mean_x.numel() > 1) or (self.num_outputs > 1 and self.mean_x.ndim > 1): # multiple devices, need further reduction _, _, max_abs_dev_x, max_abs_dev_y, var_x, var_y, corr_xy, n_total = _final_aggregation( means_x=self.mean_x, means_y=self.mean_y, maxs_abs_x=self.max_abs_dev_x, maxs_abs_y=self.max_abs_dev_y, vars_x=self.var_x, vars_y=self.var_y, corrs_xy=self.corr_xy, nbs=self.n_total, ) else: max_abs_dev_x = self.max_abs_dev_x max_abs_dev_y = self.max_abs_dev_y var_x = self.var_x var_y = self.var_y corr_xy = self.corr_xy n_total = self.n_total return _pearson_corrcoef_compute(max_abs_dev_x, max_abs_dev_y, var_x, var_y, corr_xy, n_total) def plot( self, val: Optional[Union[Tensor, Sequence[Tensor]]] = None, ax: Optional[_AX_TYPE] = None ) -> _PLOT_OUT_TYPE: """Plot a single or multiple values from the metric. Args: val: Either a single result from calling `metric.forward` or `metric.compute` or a list of these results. If no value is provided, will automatically call `metric.compute` and plot that result. ax: An matplotlib axis object. If provided will add plot to that axis Returns: Figure and Axes object Raises: ModuleNotFoundError: If `matplotlib` is not installed .. plot:: :scale: 75 >>> from torch import randn >>> # Example plotting a single value >>> from torchmetrics.regression import PearsonCorrCoef >>> metric = PearsonCorrCoef() >>> metric.update(randn(10,), randn(10,)) >>> fig_, ax_ = metric.plot() .. plot:: :scale: 75 >>> from torch import randn >>> # Example plotting multiple values >>> from torchmetrics.regression import PearsonCorrCoef >>> metric = PearsonCorrCoef() >>> values = [] >>> for _ in range(10): ... values.append(metric(randn(10,), randn(10,))) >>> fig, ax = metric.plot(values) """ return self._plot(val, ax)