isotree 0.2.2 → 0.3.0

data/vendor/isotree/src/instantiate_template_headers.hpp

@@ -0,0 +1,240 @@
+/*    Isolation forests and variations thereof, with adjustments for incorporation
+*     of categorical variables and missing values.
+*     Writen for C++11 standard and aimed at being used in R and Python.
+*     
+*     This library is based on the following works:
+*     [1] Liu, Fei Tony, Kai Ming Ting, and Zhi-Hua Zhou.
+*         "Isolation forest."
+*         2008 Eighth IEEE International Conference on Data Mining. IEEE, 2008.
+*     [2] Liu, Fei Tony, Kai Ming Ting, and Zhi-Hua Zhou.
+*         "Isolation-based anomaly detection."
+*         ACM Transactions on Knowledge Discovery from Data (TKDD) 6.1 (2012): 3.
+*     [3] Hariri, Sahand, Matias Carrasco Kind, and Robert J. Brunner.
+*         "Extended Isolation Forest."
+*         arXiv preprint arXiv:1811.02141 (2018).
+*     [4] Liu, Fei Tony, Kai Ming Ting, and Zhi-Hua Zhou.
+*         "On detecting clustered anomalies using SCiForest."
+*         Joint European Conference on Machine Learning and Knowledge Discovery in Databases. Springer, Berlin, Heidelberg, 2010.
+*     [5] https://sourceforge.net/projects/iforest/
+*     [6] https://math.stackexchange.com/questions/3388518/expected-number-of-paths-required-to-separate-elements-in-a-binary-tree
+*     [7] Quinlan, J. Ross. C4. 5: programs for machine learning. Elsevier, 2014.
+*     [8] Cortes, David.
+*         "Distance approximation using Isolation Forests."
+*         arXiv preprint arXiv:1910.12362 (2019).
+*     [9] Cortes, David.
+*         "Imputing missing values with unsupervised random trees."
+*         arXiv preprint arXiv:1911.06646 (2019).
+*     [10] https://math.stackexchange.com/questions/3333220/expected-average-depth-in-random-binary-tree-constructed-top-to-bottom
+*     [11] Cortes, David.
+*          "Revisiting randomized choices in isolation forests."
+*          arXiv preprint arXiv:2110.13402 (2021).
+*     [12] Guha, Sudipto, et al.
+*          "Robust random cut forest based anomaly detection on streams."
+*          International conference on machine learning. PMLR, 2016.
+*     [13] Cortes, David.
+*          "Isolation forests: looking beyond tree depth."
+*          arXiv preprint arXiv:2111.11639 (2021).
+*     [14] Ting, Kai Ming, Yue Zhu, and Zhi-Hua Zhou.
+*          "Isolation kernel and its effect on SVM"
+*          Proceedings of the 24th ACM SIGKDD
+*          International Conference on Knowledge Discovery & Data Mining. 2018.
+* 
+*     BSD 2-Clause License
+*     Copyright (c) 2019-2022, David Cortes
+*     All rights reserved.
+*     Redistribution and use in source and binary forms, with or without
+*     modification, are permitted provided that the following conditions are met:
+*     * Redistributions of source code must retain the above copyright notice, this
+*       list of conditions and the following disclaimer.
+*     * Redistributions in binary form must reproduce the above copyright notice,
+*       this list of conditions and the following disclaimer in the documentation
+*       and/or other materials provided with the distribution.
+*     THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+*     AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+*     IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+*     DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+*     FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+*     DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+*     SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+*     CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+*     OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+*     OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*/
+
+ISOTREE_EXPORTED int fit_iforest(IsoForest *model_outputs, ExtIsoForest *model_outputs_ext,
+                real_t numeric_data[],  size_t ncols_numeric,
+                int    categ_data[],    size_t ncols_categ,    int ncat[],
+                real_t Xc[], sparse_ix Xc_ind[], sparse_ix Xc_indptr[],
+                size_t ndim, size_t ntry, CoefType coef_type, bool coef_by_prop,
+                real_t sample_weights[], bool with_replacement, bool weight_as_sample,
+                size_t nrows, size_t sample_size, size_t ntrees,
+                size_t max_depth,   size_t ncols_per_tree,
+                bool   limit_depth, bool penalize_range, bool standardize_data,
+                ScoringMetric scoring_metric, bool fast_bratio,
+                bool   standardize_dist, double tmat[],
+                double output_depths[], bool standardize_depth,
+                real_t col_weights[], bool weigh_by_kurt,
+                double prob_pick_by_gain_pl, double prob_pick_by_gain_avg,
+                double prob_pick_by_full_gain, double prob_pick_by_dens,
+                double prob_pick_col_by_range, double prob_pick_col_by_var,
+                double prob_pick_col_by_kurt,
+                double min_gain, MissingAction missing_action,
+                CategSplit cat_split_type, NewCategAction new_cat_action,
+                bool   all_perm, Imputer *imputer, size_t min_imp_obs,
+                UseDepthImp depth_imp, WeighImpRows weigh_imp_rows, bool impute_at_fit,
+                uint64_t random_seed, bool use_long_double, int nthreads)
+{
+    return fit_iforest<real_t, sparse_ix>
+               (model_outputs, model_outputs_ext,
+                numeric_data,  ncols_numeric,
+                categ_data,    ncols_categ,    ncat,
+                Xc, Xc_ind, Xc_indptr,
+                ndim, ntry, coef_type, coef_by_prop,
+                sample_weights, with_replacement, weight_as_sample,
+                nrows, sample_size, ntrees,
+                max_depth,   ncols_per_tree,
+                limit_depth, penalize_range, standardize_data,
+                scoring_metric, fast_bratio,
+                standardize_dist, tmat,
+                output_depths, standardize_depth,
+                col_weights, weigh_by_kurt,
+                prob_pick_by_gain_pl, prob_pick_by_gain_avg,
+                prob_pick_by_full_gain, prob_pick_by_dens,
+                prob_pick_col_by_range, prob_pick_col_by_var,
+                prob_pick_col_by_kurt,
+                min_gain, missing_action,
+                cat_split_type, new_cat_action,
+                all_perm, imputer, min_imp_obs,
+                depth_imp, weigh_imp_rows, impute_at_fit,
+                random_seed, use_long_double, nthreads);
+}
+ISOTREE_EXPORTED int add_tree(IsoForest *model_outputs, ExtIsoForest *model_outputs_ext,
+             real_t numeric_data[],  size_t ncols_numeric,
+             int    categ_data[],    size_t ncols_categ,    int ncat[],
+             real_t Xc[], sparse_ix Xc_ind[], sparse_ix Xc_indptr[],
+             size_t ndim, size_t ntry, CoefType coef_type, bool coef_by_prop,
+             real_t sample_weights[], size_t nrows,
+             size_t max_depth,     size_t ncols_per_tree,
+             bool   limit_depth,   bool penalize_range, bool standardize_data,
+             bool   fast_bratio,
+             real_t col_weights[], bool weigh_by_kurt,
+             double prob_pick_by_gain_pl, double prob_pick_by_gain_avg,
+             double prob_pick_by_full_gain, double prob_pick_by_dens,
+             double prob_pick_col_by_range, double prob_pick_col_by_var,
+             double prob_pick_col_by_kurt,
+             double min_gain, MissingAction missing_action,
+             CategSplit cat_split_type, NewCategAction new_cat_action,
+             UseDepthImp depth_imp, WeighImpRows weigh_imp_rows,
+             bool   all_perm, Imputer *imputer, size_t min_imp_obs,
+             TreesIndexer *indexer,
+             real_t ref_numeric_data[], int ref_categ_data[],
+             bool ref_is_col_major, size_t ref_ld_numeric, size_t ref_ld_categ,
+             real_t ref_Xc[], sparse_ix ref_Xc_ind[], sparse_ix ref_Xc_indptr[],
+             uint64_t random_seed, bool use_long_double)
+{
+    return add_tree<real_t, sparse_ix>
+            (model_outputs, model_outputs_ext,
+             numeric_data,  ncols_numeric,
+             categ_data,    ncols_categ,    ncat,
+             Xc, Xc_ind, Xc_indptr,
+             ndim, ntry, coef_type, coef_by_prop,
+             sample_weights, nrows,
+             max_depth,     ncols_per_tree,
+             limit_depth,   penalize_range, standardize_data,
+             fast_bratio,
+             col_weights, weigh_by_kurt,
+             prob_pick_by_gain_pl, prob_pick_by_gain_avg,
+             prob_pick_by_full_gain, prob_pick_by_dens,
+             prob_pick_col_by_range, prob_pick_col_by_var,
+             prob_pick_col_by_kurt,
+             min_gain, missing_action,
+             cat_split_type, new_cat_action,
+             depth_imp, weigh_imp_rows,
+             all_perm, imputer, min_imp_obs,
+             indexer,
+             ref_numeric_data, ref_categ_data,
+             ref_is_col_major, ref_ld_numeric, ref_ld_categ,
+             ref_Xc, ref_Xc_ind, ref_Xc_indptr,
+             random_seed, use_long_double);
+}
+ISOTREE_EXPORTED void predict_iforest(real_t numeric_data[], int categ_data[],
+                     bool is_col_major, size_t ncols_numeric, size_t ncols_categ,
+                     real_t Xc[], sparse_ix Xc_ind[], sparse_ix Xc_indptr[],
+                     real_t Xr[], sparse_ix Xr_ind[], sparse_ix Xr_indptr[],
+                     size_t nrows, int nthreads, bool standardize,
+                     IsoForest *model_outputs, ExtIsoForest *model_outputs_ext,
+                     double output_depths[],   sparse_ix tree_num[],
+                     double per_tree_depths[],
+                     TreesIndexer *indexer)
+{
+    predict_iforest<real_t, sparse_ix>
+                    (numeric_data, categ_data,
+                     is_col_major, ncols_numeric, ncols_categ,
+                     Xc, Xc_ind, Xc_indptr,
+                     Xr, Xr_ind, Xr_indptr,
+                     nrows, nthreads, standardize,
+                     model_outputs, model_outputs_ext,
+                     output_depths,   tree_num,
+                     per_tree_depths,
+                     indexer);
+}
+ISOTREE_EXPORTED void calc_similarity(real_t numeric_data[], int categ_data[],
+                     real_t Xc[], sparse_ix Xc_ind[], sparse_ix Xc_indptr[],
+                     size_t nrows, bool use_long_double, int nthreads,
+                     bool assume_full_distr, bool standardize_dist, bool as_kernel,
+                     IsoForest *model_outputs, ExtIsoForest *model_outputs_ext,
+                     double tmat[], double rmat[], size_t n_from, bool use_indexed_references,
+                     TreesIndexer *indexer, bool is_col_major, size_t ld_numeric, size_t ld_categ)
+{
+    calc_similarity<real_t, sparse_ix>
+                    (numeric_data, categ_data,
+                     Xc, Xc_ind, Xc_indptr,
+                     nrows, use_long_double, nthreads,
+                     assume_full_distr, standardize_dist, as_kernel,
+                     model_outputs, model_outputs_ext,
+                     tmat, rmat, n_from, use_indexed_references,
+                     indexer, is_col_major, ld_numeric, ld_categ);
+}
+ISOTREE_EXPORTED void impute_missing_values(real_t numeric_data[], int categ_data[], bool is_col_major,
+                           real_t Xr[], sparse_ix Xr_ind[], sparse_ix Xr_indptr[],
+                           size_t nrows, bool use_long_double, int nthreads,
+                           IsoForest *model_outputs, ExtIsoForest *model_outputs_ext,
+                           Imputer &imputer)
+{
+    impute_missing_values<real_t, sparse_ix>
+                          (numeric_data, categ_data, is_col_major,
+                           Xr, Xr_ind, Xr_indptr,
+                           nrows, use_long_double, nthreads,
+                           model_outputs, model_outputs_ext,
+                           imputer);
+}
+
+ISOTREE_EXPORTED void set_reference_points(IsoForest *model_outputs, ExtIsoForest *model_outputs_ext, TreesIndexer *indexer,
+                          const bool with_distances,
+                          real_t *numeric_data, int *categ_data,
+                          bool is_col_major, size_t ld_numeric, size_t ld_categ,
+                          real_t *Xc, sparse_ix *Xc_ind, sparse_ix *Xc_indptr,
+                          real_t *Xr, sparse_ix *Xr_ind, sparse_ix *Xr_indptr,
+                          size_t nrows, int nthreads)
+{
+    set_reference_points<real_t, sparse_ix>
+                        (model_outputs, model_outputs_ext, indexer,
+                         with_distances,
+                         numeric_data, categ_data,
+                         is_col_major, ld_numeric, ld_categ,
+                         Xc, Xc_ind, Xc_indptr,
+                         Xr, Xr_ind, Xr_indptr,
+                         nrows, nthreads);
+}
+
+#ifndef _NO_REAL_T
+ISOTREE_EXPORTED void get_num_nodes(IsoForest &model_outputs, sparse_ix *n_nodes, sparse_ix *n_terminal, int nthreads) noexcept
+{
+    get_num_nodes<sparse_ix>(model_outputs, n_nodes, n_terminal, nthreads);
+}
+ISOTREE_EXPORTED void get_num_nodes(ExtIsoForest &model_outputs, sparse_ix *n_nodes, sparse_ix *n_terminal, int nthreads) noexcept
+{
+    get_num_nodes<sparse_ix>(model_outputs, n_nodes, n_terminal, nthreads);
+}
+#endif
+