Robust Scaler now added to the Normalizer catalog

src/Microsoft.ML.Data/Transforms/NormalizeColumn.cs

@@ -152,6 +152,9 @@ private static class Defaults
             public const bool LogMeanVarCdf = true;
             public const int NumBins = 1024;
             public const int MinBinSize = 10;
+            public const bool CenterData = true;
+            public const int QuantileMin = 25;
+            public const int QuantileMax = 75;
         }
 
         public abstract class ControlZeroArgumentsBase : ArgumentsBase
@@ -245,6 +248,18 @@ public sealed class SupervisedBinArguments : BinArgumentsBase
             public int MinBinSize = Defaults.MinBinSize;
         }
 
+        public sealed class RobustScalingArguments : AffineArgumentsBase
+        {
+            [Argument(ArgumentType.AtMostOnce, HelpText = "Should the data be centered around 0", Name = "CenterData", ShortName = "center", SortOrder = 1)]
+            public bool CenterData = Defaults.CenterData;
+
+            [Argument(ArgumentType.AtMostOnce, HelpText = "Minimum quantile value. Defaults to 25", Name = "QuantileMin", ShortName = "qmin", SortOrder = 2)]
+            public uint QuantileMin = Defaults.QuantileMin;
+
+            [Argument(ArgumentType.AtMostOnce, HelpText = "Maximum quantile value. Defaults to 75", Name = "QuantileMax", ShortName = "qmax", SortOrder = 3)]
+            public uint QuantileMax = Defaults.QuantileMax;
+        }
+
         internal const string MinMaxNormalizerSummary = "Normalizes the data based on the observed minimum and maximum values of the data.";
         internal const string MeanVarNormalizerSummary = "Normalizes the data based on the computed mean and variance of the data.";
         internal const string LogMeanVarNormalizerSummary = "Normalizes the data based on the computed mean and variance of the logarithm of the data.";
@@ -1145,6 +1160,46 @@ public static int GetLabelColumnId(IExceptionContext host, DataViewSchema schema
                 return labelColumnId;
             }
         }
+
+        internal static partial class RobustScaleUtils
+        {
+            public static IColumnFunctionBuilder CreateBuilder(RobustScalingArguments args, IHost host,
+                int icol, int srcIndex, DataViewType srcType, DataViewRowCursor cursor)
+            {
+                Contracts.AssertValue(host);
+                host.AssertValue(args);
+
+                return CreateBuilder(new NormalizingEstimator.RobustScalingColumnOptions(
+                    args.Columns[icol].Name,
+                    args.Columns[icol].Source ?? args.Columns[icol].Name,
+                    args.Columns[icol].MaximumExampleCount ?? args.MaximumExampleCount,
+                    args.CenterData,
+                    args.QuantileMin,
+                    args.QuantileMax), host, srcIndex, srcType, cursor);
+            }
+
+            public static IColumnFunctionBuilder CreateBuilder(NormalizingEstimator.RobustScalingColumnOptions column, IHost host,
+                int srcIndex, DataViewType srcType, DataViewRowCursor cursor)
+            {
+                var srcColumn = cursor.Schema[srcIndex];
+                if (srcType is NumberDataViewType)
+                {
+                    if (srcType == NumberDataViewType.Single)
+                        return Sng.RobustScalerOneColumnFunctionBuilder.Create(column, host, srcType, column.CenterData, column.QuantileMin, column.QuantileMax, cursor.GetGetter<Single>(srcColumn));
+                    if (srcType == NumberDataViewType.Double)
+                        return Dbl.RobustScalerOneColumnFunctionBuilder.Create(column, host, srcType, column.CenterData, column.QuantileMin, column.QuantileMax, cursor.GetGetter<double>(srcColumn));
+                }
+                if (srcType is VectorDataViewType vectorType && vectorType.IsKnownSize && vectorType.ItemType is NumberDataViewType)
+                {
+                    if (vectorType.ItemType == NumberDataViewType.Single)
+                        return Sng.RobustScalerVecFunctionBuilder.Create(column, host, srcType as VectorDataViewType, column.CenterData, column.QuantileMin, column.QuantileMax, cursor.GetGetter<VBuffer<float>>(srcColumn));
+                    if (vectorType.ItemType == NumberDataViewType.Double)
+                        return Dbl.RobustScalerVecFunctionBuilder.Create(column, host, srcType as VectorDataViewType, column.CenterData, column.QuantileMin, column.QuantileMax, cursor.GetGetter<VBuffer<double>>(srcColumn));
+                }
+
+                throw host.ExceptParam(nameof(srcType), "Wrong column type for input column. Expected: Single, Double, Vector of Single or Vector of Double. Got: {0}.", srcType.ToString());
+            }
+        }
     }
 
     internal static partial class AffineNormSerializationUtils

src/Microsoft.ML.Data/Transforms/NormalizeColumnDbl.cs

@@ -516,6 +516,117 @@ private void Update(int j, TFloat origVal)
         }
     }
 
+    [BestFriend]
+    internal static partial class MedianAggregatorUtils
+    {
+        /// <summary>
+        /// Based on the algorithm on GeeksForGeeks https://www.geeksforgeeks.org/median-of-stream-of-integers-running-integers/.
+        /// </summary>
+        /// <param name="num">The new number to account for in our median calculation.</param>
+        /// <param name="median">The current median.</param>
+        /// <param name="belowMedianHeap">The MaxHeap that has all the numbers below the median.</param>
+        /// <param name="aboveMedianHeap">The MinHeap that has all the numbers above the median.</param>
+        [BestFriend]
+        internal static void GetMedianSoFar(in double num, ref double median, ref MaxHeap<double> belowMedianHeap, ref MinHeap<double> aboveMedianHeap)
+        {
+            int comparison = belowMedianHeap.Count().CompareTo(aboveMedianHeap.Count());
+
+            if (comparison < 0)
+            { // More elements in aboveMedianHeap than belowMedianHeap.
+                if (num < median)
+                { // Current element belongs in the belowMedianHeap.
+                    // Insert new number into belowMedianHeap
+                    belowMedianHeap.Add(num);
+
+                }
+                else
+                { // Current element belongs in aboveMedianHeap.
+                    // Need to move one to belowMedianHeap to keep heeps balanced.
+                    belowMedianHeap.Add(aboveMedianHeap.Pop());
+
+                    aboveMedianHeap.Add(num);
+                }
+
+                // Both heaps are balanced so median is the average of the 2 heaps.
+                median = (aboveMedianHeap.Peek() + belowMedianHeap.Peek()) / 2;
+
+            }
+            else if (comparison == 0)
+            { // Both heaps have the same number of elements. Simple put the number where it belongs.
+                if (num < median)
+                { // Current element belongs in the belowMedianHeap.
+                    belowMedianHeap.Add(num);
+
+                    // Now we have an odd number of items, median is the new root of the belowMedianHeap
+                    median = belowMedianHeap.Peek();
+
+                }
+                else
+                { // Current element belongs in above median heap.
+                    aboveMedianHeap.Add(num);
+
+                    // Now we have an odd number of items, median is the new root of the aboveMedianHeap
+                    median = aboveMedianHeap.Peek();
+                }
+
+            }
+            else
+            { // More elements in belowMedianHeap than aboveMedianHeap.
+                if (num < median)
+                { // Current element belongs in the belowMedianHeap.
+                    // Need to move one to aboveMedianHeap to keep heeps balanced.
+                    aboveMedianHeap.Add(belowMedianHeap.Pop());
+
+                    // Insert new number into belowMedianHeap
+                    belowMedianHeap.Add(num);
+
+                }
+                else
+                { // Current element belongs in aboveMedianHeap.
+                    aboveMedianHeap.Add(num);
+                }
+
+                // Both heaps are balanced so median is the average of the 2 heaps.
+                median = (aboveMedianHeap.Peek() + belowMedianHeap.Peek()) / 2;
+            }
+        }
+    }
+
+    /// <summary>
+    /// Base class for tracking median values for a single valued column.
+    /// It tracks median values of non-sparse values (vCount).
+    /// NaNs are ignored when updating min and max.
+    /// </summary>
+    internal sealed class MedianDblAggregator : IColumnAggregator<double>
+    {
+        private MedianAggregatorUtils.MaxHeap<double> _belowMedianHeap;
+        private MedianAggregatorUtils.MinHeap<double> _aboveMedianHeap;
+        private double _median;
+
+        public MedianDblAggregator(int contatinerStartingSize = 1000)
+        {
+            Contracts.Check(contatinerStartingSize > 0);
+            _belowMedianHeap = new MedianAggregatorUtils.MaxHeap<double>(contatinerStartingSize);
+            _aboveMedianHeap = new MedianAggregatorUtils.MinHeap<double>(contatinerStartingSize);
+            _median = default;
+        }
+
+        public double Median
+        {
+            get { return _median; }
+        }
+
+        public void ProcessValue(in double value)
+        {
+            MedianAggregatorUtils.GetMedianSoFar(value, ref _median, ref _belowMedianHeap, ref _aboveMedianHeap);
+        }
+
+        public void Finish()
+        {
+            // Finish is a no-op because we are updating the median continually as we go
+        }
+    }
+
     internal sealed partial class NormalizeTransform
     {
         internal abstract partial class AffineColumnFunction
@@ -1912,6 +2023,144 @@ public static IColumnFunctionBuilder Create(NormalizingEstimator.SupervisedBinni
                     return new SupervisedBinVecColumnFunctionBuilder(host, lim, fix, numBins, column.MininimumBinSize, valueColumnId, labelColumnId, dataRow);
                 }
             }
+
+            public sealed class RobustScalerOneColumnFunctionBuilder : OneColumnFunctionBuilderBase<double>
+            {
+                private readonly MinMaxDblAggregator _minMaxAggregator;
+                private readonly MedianDblAggregator _medianAggregator;
+                private readonly bool _centerData;
+                private readonly uint _quantileMin;
+                private readonly uint _quantileMax;
+                private VBuffer<double> _buffer;
+
+                private RobustScalerOneColumnFunctionBuilder(IHost host, long lim, bool centerData, uint quantileMin, uint quantileMax, ValueGetter<double> getSrc)
+                    : base(host, lim, getSrc)
+                {
+                    // Using the MinMax aggregator since that is what needs to be found here as well.
+                    // The difference is how the min/max are used.
+                    _minMaxAggregator = new MinMaxDblAggregator(1);
+                    _medianAggregator = new MedianDblAggregator();
+                    _buffer = new VBuffer<double>(1, new double[1]);
+                    _centerData = centerData;
+                    _quantileMin = quantileMin;
+                    _quantileMax = quantileMax;
+                }
+
+                protected override bool ProcessValue(in double val)
+                {
+                    if (!base.ProcessValue(in val))
+                        return false;
+                    VBufferEditor.CreateFromBuffer(ref _buffer).Values[0] = val;
+                    _minMaxAggregator.ProcessValue(in _buffer);
+                    _medianAggregator.ProcessValue(in val);
+                    return true;
+                }
+
+                public static IColumnFunctionBuilder Create(NormalizingEstimator.RobustScalingColumnOptions column, IHost host, DataViewType srcType,
+                    bool centerData, uint quantileMin, uint quantileMax, ValueGetter<double> getter)
+                {
+                    host.CheckUserArg(column.MaximumExampleCount > 1, nameof(column.MaximumExampleCount), "Must be greater than 1");
+                    return new RobustScalerOneColumnFunctionBuilder(host, column.MaximumExampleCount, centerData, quantileMin, quantileMax, getter);
+                }
+
+                public override IColumnFunction CreateColumnFunction()
+                {
+                    _minMaxAggregator.Finish();
+                    _medianAggregator.Finish();
+
+                    double median = _medianAggregator.Median;
+                    double range = _minMaxAggregator.Max[0] - _minMaxAggregator.Min[0];
+                    // Divide the range by 100 because we need to make the number, i.e. 75, into a decimal, .75
+                    double quantileRange = (_quantileMax - _quantileMin) / 100f;
+                    double scale = 1 / (range * quantileRange);
+
+                    if (_centerData)
+                        return AffineColumnFunction.Create(Host, scale, median);
+                    else
+                        return AffineColumnFunction.Create(Host, scale, 0);
+                }
+            }
+
+            public sealed class RobustScalerVecFunctionBuilder : OneColumnFunctionBuilderBase<VBuffer<double>>
+            {
+                private readonly MinMaxDblAggregator _minMaxAggregator;
+                private readonly MedianDblAggregator[] _medianAggregators;
+                private readonly bool _centerData;
+                private readonly uint _quantileMin;
+                private readonly uint _quantileMax;
+
+                private RobustScalerVecFunctionBuilder(IHost host, long lim, int vectorSize, bool centerData, uint quantileMin, uint quantileMax, ValueGetter<VBuffer<double>> getSrc)
+                    : base(host, lim, getSrc)
+                {
+                    // Using the MinMax aggregator since that is what needs to be found here as well.
+                    // The difference is how the min/max are used.
+                    _minMaxAggregator = new MinMaxDblAggregator(vectorSize);
+
+                    // If we aren't centering data dont need the median.
+                    _medianAggregators = new MedianDblAggregator[vectorSize];
+
+                    for (int i = 0; i < vectorSize; i++)
+                    {
+                        _medianAggregators[i] = new MedianDblAggregator();
+                    }
+
+                    _centerData = centerData;
+                    _quantileMin = quantileMin;
+                    _quantileMax = quantileMax;
+                }
+
+                protected override bool ProcessValue(in VBuffer<double> val)
+                {
+                    if (!base.ProcessValue(in val))
+                        return false;
+                    _minMaxAggregator.ProcessValue(in val);
+
+                    // Have to calculate the median per slot
+                    var span = val.GetValues();
+                    for (int i = 0; i < _medianAggregators.Length; i++)
+                    {
+                        _medianAggregators[i].ProcessValue(span[i]);
+                    }
+
+                    return true;
+                }
+
+                public static IColumnFunctionBuilder Create(NormalizingEstimator.RobustScalingColumnOptions column, IHost host, VectorDataViewType srcType,
+                    bool centerData, uint quantileMin, uint quantileMax, ValueGetter<VBuffer<double>> getter)
+                {
+                    host.CheckUserArg(column.MaximumExampleCount > 1, nameof(column.MaximumExampleCount), "Must be greater than 1");
+                    var vectorSize = srcType.Size;
+                    return new RobustScalerVecFunctionBuilder(host, column.MaximumExampleCount, vectorSize, centerData, quantileMin, quantileMax, getter);
+                }
+
+                public override IColumnFunction CreateColumnFunction()
+                {
+                    _minMaxAggregator.Finish();
+
+                    double[] scale = new double[_medianAggregators.Length];
+                    double[] median = new double[_medianAggregators.Length];
+
+                    // Have to calculate the median per slot
+                    for (int i = 0; i < _medianAggregators.Length; i++)
+                    {
+                        _medianAggregators[i].Finish();
+                        median[i] = _medianAggregators[i].Median;
+
+                        double range = _minMaxAggregator.Max[i] - _minMaxAggregator.Min[i];
+
+                        // Divide the range by 100 because we need to make the number, i.e. 75, into a decimal, .75
+                        double quantileRange = (_quantileMax - _quantileMin) / 100f;
+                        scale[i] = 1 / (range * quantileRange);
+
+                    }
+
+                    if (_centerData)
+                        return AffineColumnFunction.Create(Host, scale, median, null);
+                    else
+                        return AffineColumnFunction.Create(Host, scale, null, null);
+
+                }
+            }
         }
     }
 }