mirror of
https://github.com/OPM/ResInsight.git
synced 2026-10-26 15:10:22 -05:00
Magne Sjaastad
97a87bee8d
When fewer than 9 valid realizations exist at a time step, the linear interpolation percentile formula has no valid result for P10 and P90. Previously HUGE_VAL (inf) was returned. Now clamp to min/max of the available sorted values instead, avoiding inf in plotted curves.
572 lines
20 KiB
C++
572 lines
20 KiB
C++
/////////////////////////////////////////////////////////////////////////////////
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//
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// Copyright (C) 2011-2012 Statoil ASA, Ceetron AS
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//
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// ResInsight is free software: you can redistribute it and/or modify
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// it under the terms of the GNU General Public License as published by
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// the Free Software Foundation, either version 3 of the License, or
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// (at your option) any later version.
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//
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// ResInsight is distributed in the hope that it will be useful, but WITHOUT ANY
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// WARRANTY; without even the implied warranty of MERCHANTABILITY or
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// FITNESS FOR A PARTICULAR PURPOSE.
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//
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// See the GNU General Public License at <http://www.gnu.org/licenses/gpl.html>
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// for more details.
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//
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/////////////////////////////////////////////////////////////////////////////////
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#include "RigStatisticsMath.h"
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#include "cvfMath.h"
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#include <algorithm>
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#include <cassert>
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#include <cmath>
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#include <expected>
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#include <numeric>
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namespace
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{
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bool isValidQuantile( double quantile )
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{
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return quantile >= 0.0 && quantile <= 1.0;
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}
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bool isValidPercentile( double percentile )
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{
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return percentile >= 0.0 && percentile <= 100.0;
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}
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bool areValidQuantiles( const std::vector<double>& quantiles )
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{
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return std::all_of( quantiles.begin(), quantiles.end(), isValidQuantile );
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}
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bool areValidPercentiles( const std::vector<double>& percentiles )
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{
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return std::all_of( percentiles.begin(), percentiles.end(), isValidPercentile );
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}
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} // namespace
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//--------------------------------------------------------------------------------------------------
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/// A function to do basic statistical calculations
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///
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/// Formulas:
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/// mean = sum(x) / n
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///
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/// Standard deviation (population):
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/// stdev = sqrt((n * sum(x^2) - (sum(x))^2)) / n
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///
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/// Which is equivalent to: sqrt(sum((x - mean)^2) / n)
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///
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/// range = max - min
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///
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/// References:
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/// Standard deviation: https://en.wikipedia.org/wiki/Standard_deviation
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/// Rapid calculation method: https://en.wikipedia.org/wiki/Standard_deviation#Rapid_calculation_methods
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//--------------------------------------------------------------------------------------------------
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void RigStatisticsMath::calculateBasicStatistics( const std::vector<double>& values,
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double* min,
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double* max,
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double* sum,
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double* range,
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double* mean,
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double* dev )
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{
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double m_min( HUGE_VAL );
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double m_max( -HUGE_VAL );
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double m_mean( HUGE_VAL );
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double m_dev( HUGE_VAL );
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double m_sum = 0.0;
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double sumSquared = 0.0;
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size_t validValueCount = 0;
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for ( size_t i = 0; i < values.size(); i++ )
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{
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double val = values[i];
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if ( RigStatisticsTools::isInvalidNumber<double>( val ) ) continue;
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validValueCount++;
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if ( val < m_min ) m_min = val;
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if ( val > m_max ) m_max = val;
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m_sum += val;
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sumSquared += ( val * val );
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}
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if ( validValueCount > 0 )
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{
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m_mean = m_sum / validValueCount;
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// http://en.wikipedia.org/wiki/Standard_deviation#Rapid_calculation_methods
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// Running standard deviation
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double s0 = static_cast<double>( validValueCount );
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double s1 = m_sum;
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double s2 = sumSquared;
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m_dev = sqrt( ( s0 * s2 ) - ( s1 * s1 ) ) / s0;
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}
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if ( min ) *min = m_min;
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if ( max ) *max = m_max;
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if ( sum ) *sum = m_sum;
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if ( range ) *range = m_max - m_min;
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if ( mean ) *mean = m_mean;
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if ( dev ) *dev = m_dev;
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}
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//--------------------------------------------------------------------------------------------------
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/// Calculate statistical curves (P10, P50, P90, mean)
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///
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/// Percentiles (P10, P50, P90) are calculated using linear interpolation:
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/// rank = percentile * (n + 1) - 1
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/// value = sorted[floor(rank)] + frac(rank) * (sorted[floor(rank)+1] - sorted[floor(rank)])
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///
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/// Mean is calculated as:
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/// mean = sum(x) / n
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///
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/// References:
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/// Percentiles: https://en.wikipedia.org/wiki/Percentile#Third_variant,_C_=_0
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/// P10/P50/P90: https://en.wikipedia.org/wiki/Percentile#Definitions
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//--------------------------------------------------------------------------------------------------
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void RigStatisticsMath::calculateStatisticsCurves( const std::vector<double>& values,
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double* p10,
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double* p50,
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double* p90,
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double* mean,
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PercentileStyle percentileStyle )
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{
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CVF_ASSERT( p10 && p50 && p90 && mean );
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if ( values.empty() ) return;
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// Use the vector-based implementation
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std::vector<double> percentiles = { 0.1, 0.5, 0.9 };
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auto results = calculatePercentiles( values, percentiles, percentileStyle );
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if ( results.has_value() && results->size() == 3 )
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{
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*p10 = ( *results )[0];
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*p50 = ( *results )[1];
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*p90 = ( *results )[2];
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}
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else
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{
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*p10 = HUGE_VAL;
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*p50 = HUGE_VAL;
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*p90 = HUGE_VAL;
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}
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*mean = calculateMean( values );
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}
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//--------------------------------------------------------------------------------------------------
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/// Calculate percentiles using linear interpolation method
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///
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/// Formula:
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/// rank = percentile * (n + 1) - 1
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///
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/// If rank is not an integer:
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/// value = sorted[floor(rank)] + frac(rank) * (sorted[floor(rank)+1] - sorted[floor(rank)])
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///
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/// Where frac(rank) is the fractional part of rank
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///
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/// Valid for percentiles in range [1/(n+1), n/(n+1)]
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///
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/// References:
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/// https://en.wikipedia.org/wiki/Percentile
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/// https://en.wikipedia.org/wiki/Percentile#Third_variant,_C_=_0
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//--------------------------------------------------------------------------------------------------
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std::expected<std::vector<double>, std::string> RigStatisticsMath::calculatePercentiles( const std::vector<double>& values,
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const std::vector<double>& quantiles,
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PercentileStyle percentileStyle )
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{
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if ( !areValidQuantiles( quantiles ) )
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{
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return std::unexpected( "Quantiles must be in range [0-1]" );
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}
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if ( values.empty() )
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{
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return std::unexpected( "Input values are empty" );
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}
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if ( quantiles.empty() )
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{
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return std::unexpected( "Quantiles are empty" );
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}
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std::vector<double> sortedValues = values;
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sortedValues.erase( std::remove_if( sortedValues.begin(),
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sortedValues.end(),
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[]( double x ) { return !RigStatisticsTools::isValidNumber( x ); } ),
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sortedValues.end() );
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if ( sortedValues.empty() )
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{
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return std::unexpected( "No valid values in input" );
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}
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std::sort( sortedValues.begin(), sortedValues.end() );
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int valueCount = (int)sortedValues.size();
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std::vector<double> resultValues;
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resultValues.reserve( quantiles.size() );
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for ( size_t i = 0; i < quantiles.size(); ++i )
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{
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double quantile = quantiles[i];
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if ( percentileStyle == PercentileStyle::SWITCHED )
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{
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quantile = 1.0 - quantile;
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}
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double value = HUGE_VAL;
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double lowerBound = 1.0 / ( static_cast<double>( valueCount ) + 1 );
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double upperBound = static_cast<double>( valueCount ) / ( static_cast<double>( valueCount ) + 1 );
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if ( quantile < lowerBound )
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{
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// Quantile is below the valid range - clamp to minimum value
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value = sortedValues.front();
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}
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else if ( quantile > upperBound )
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{
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// Quantile is above the valid range - clamp to maximum value
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value = sortedValues.back();
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}
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else
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{
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double rank = quantile * ( valueCount + 1 ) - 1;
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double rankRem;
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double rankFrac = std::modf( rank, &rankRem );
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int rankInt = static_cast<int>( rankRem );
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if ( rankInt < valueCount - 1 )
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{
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value = sortedValues[rankInt] + rankFrac * ( sortedValues[rankInt + 1] - sortedValues[rankInt] );
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}
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else
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{
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value = sortedValues.back();
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}
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}
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resultValues.push_back( value );
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}
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return resultValues;
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}
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//--------------------------------------------------------------------------------------------------
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/// Calculate the percentiles of /a inputValues at the pValPosition percentages using the "Nearest Rank"
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/// method. This method treats HUGE_VAL as "undefined" values, and ignores these. Will return HUGE_VAL if
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/// the inputValues does not contain any valid values
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///
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/// Formula (Nearest Rank Method):
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/// index = floor(n * percentile)
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/// value = sorted[index]
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///
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/// Note: pValPositions are expected as percentages (0-100), converted to fraction (0-1) internally
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///
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/// References:
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/// https://en.wikipedia.org/wiki/Percentile#The_nearest-rank_method
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/// https://en.wikipedia.org/wiki/Percentile#First_variant,_C_=_1/2
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//--------------------------------------------------------------------------------------------------
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std::expected<std::vector<double>, std::string>
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RigStatisticsMath::calculateNearestRankPercentiles( const std::vector<double>& inputValues,
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const std::vector<double>& percentiles,
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RigStatisticsMath::PercentileStyle percentileStyle )
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{
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if ( !areValidPercentiles( percentiles ) )
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{
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return std::unexpected( "Percentiles must be in range [0-100]" );
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}
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if ( inputValues.empty() )
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{
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return std::unexpected( "Input values are empty" );
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}
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if ( percentiles.empty() )
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{
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return std::unexpected( "Percentiles are empty" );
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}
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std::vector<double> sortedValues;
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sortedValues.reserve( inputValues.size() );
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for ( size_t i = 0; i < inputValues.size(); ++i )
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{
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if ( RigStatisticsTools::isValidNumber<double>( inputValues[i] ) )
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{
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sortedValues.push_back( inputValues[i] );
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}
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}
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if ( sortedValues.empty() )
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{
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return std::unexpected( "No valid values in input" );
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}
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std::sort( sortedValues.begin(), sortedValues.end() );
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std::vector<double> resultValues( percentiles.size(), HUGE_VAL );
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for ( size_t i = 0; i < percentiles.size(); ++i )
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{
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double quantile = cvf::Math::abs( percentiles[i] ) / 100;
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if ( percentileStyle == RigStatisticsMath::PercentileStyle::SWITCHED ) quantile = 1.0 - quantile;
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size_t index = static_cast<size_t>( sortedValues.size() * quantile );
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if ( index >= sortedValues.size() ) index = sortedValues.size() - 1;
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auto value = sortedValues[index];
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resultValues[i] = value;
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}
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return resultValues;
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}
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//--------------------------------------------------------------------------------------------------
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/// Calculate the percentiles of /a inputValues at the pValPosition percentages by interpolating input values.
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/// This method treats HUGE_VAL as "undefined" values, and ignores these. Will return HUGE_VAL if
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/// the inputValues does not contain any valid values
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///
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/// Formula (Linear Interpolation Method):
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/// doubleIndex = (n - 1) * percentile
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/// lowerIndex = floor(doubleIndex)
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/// upperIndex = lowerIndex + 1
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/// weight = doubleIndex - lowerIndex
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///
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/// value = (1 - weight) * sorted[lowerIndex] + weight * sorted[upperIndex]
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///
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/// Note: pValPositions are expected as percentages (0-100), convert to fraction (0-1) internally
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///
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/// References:
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/// https://en.wikipedia.org/wiki/Percentile#The_linear_interpolation_between_closest_ranks_method
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/// https://en.wikipedia.org/wiki/Percentile#Second_variant,_C_=_1
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//--------------------------------------------------------------------------------------------------
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std::expected<std::vector<double>, std::string>
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RigStatisticsMath::calculateInterpolatedPercentiles( const std::vector<double>& inputValues,
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const std::vector<double>& percentiles,
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RigStatisticsMath::PercentileStyle percentileStyle )
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{
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if ( !areValidPercentiles( percentiles ) )
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{
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return std::unexpected( "Percentiles must be in range [0-100]" );
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}
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if ( inputValues.empty() )
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{
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return std::unexpected( "Input values are empty" );
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}
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if ( percentiles.empty() )
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{
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return std::unexpected( "Percentiles are empty" );
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}
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std::vector<double> sortedValues;
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sortedValues.reserve( inputValues.size() );
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for ( size_t i = 0; i < inputValues.size(); ++i )
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{
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if ( RigStatisticsTools::isValidNumber<double>( inputValues[i] ) )
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{
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sortedValues.push_back( inputValues[i] );
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}
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}
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if ( sortedValues.empty() )
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{
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return std::unexpected( "No valid values in input" );
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}
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std::sort( sortedValues.begin(), sortedValues.end() );
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std::vector<double> resultValues( percentiles.size(), HUGE_VAL );
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for ( size_t i = 0; i < percentiles.size(); ++i )
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{
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double value = HUGE_VAL;
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double quantile = cvf::Math::abs( percentiles[i] ) / 100.0;
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if ( percentileStyle == RigStatisticsMath::PercentileStyle::SWITCHED ) quantile = 1.0 - quantile;
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double doubleIndex = ( sortedValues.size() - 1 ) * quantile;
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size_t lowerValueIndex = static_cast<size_t>( floor( doubleIndex ) );
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size_t upperValueIndex = lowerValueIndex + 1;
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double upperValueWeight = doubleIndex - lowerValueIndex;
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assert( upperValueWeight < 1.0 );
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if ( upperValueIndex < sortedValues.size() )
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{
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value = ( 1.0 - upperValueWeight ) * sortedValues[lowerValueIndex] + upperValueWeight * sortedValues[upperValueIndex];
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}
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else
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{
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value = sortedValues[lowerValueIndex];
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}
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resultValues[i] = value;
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}
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return resultValues;
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}
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//--------------------------------------------------------------------------------------------------
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///
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//--------------------------------------------------------------------------------------------------
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double RigStatisticsMath::calculateMean( const std::vector<double>& values )
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{
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std::vector<double> validValues = values;
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validValues.erase( std::remove_if( validValues.begin(),
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validValues.end(),
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[]( double x ) { return !RigStatisticsTools::isValidNumber( x ); } ),
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validValues.end() );
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if ( !validValues.empty() )
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{
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double valueSum = std::accumulate( validValues.begin(), validValues.end(), 0.0 );
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return valueSum / validValues.size();
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}
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return HUGE_VAL;
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}
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//--------------------------------------------------------------------------------------------------
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///
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//--------------------------------------------------------------------------------------------------
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RigHistogramCalculator::RigHistogramCalculator( double min, double max, size_t nBins, std::vector<size_t>* histogram )
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{
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assert( histogram );
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assert( nBins > 0 );
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if ( max == min )
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{
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nBins = 1;
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} // Avoid dividing on 0 range
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m_histogram = histogram;
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m_min = min;
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m_observationCount = 0;
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// Initialize bins
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m_histogram->resize( nBins );
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for ( size_t i = 0; i < m_histogram->size(); ++i )
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( *m_histogram )[i] = 0;
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m_range = max - min;
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m_maxIndex = nBins - 1;
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}
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//--------------------------------------------------------------------------------------------------
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///
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//--------------------------------------------------------------------------------------------------
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void RigHistogramCalculator::addValue( double value )
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{
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if ( RigStatisticsTools::isInvalidNumber<double>( value ) ) return;
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size_t index = 0;
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if ( m_maxIndex > 0 ) index = (size_t)( m_maxIndex * ( value - m_min ) / m_range );
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if ( index < m_histogram->size() ) // Just clip to the max min range (-index will overflow to positive )
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{
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( *m_histogram )[index]++;
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m_observationCount++;
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}
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}
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//--------------------------------------------------------------------------------------------------
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///
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//--------------------------------------------------------------------------------------------------
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void RigHistogramCalculator::addData( const std::vector<double>& data )
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{
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assert( m_histogram );
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for ( size_t i = 0; i < data.size(); ++i )
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{
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addValue( data[i] );
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}
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}
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//--------------------------------------------------------------------------------------------------
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///
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//--------------------------------------------------------------------------------------------------
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void RigHistogramCalculator::addData( const std::vector<float>& data )
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{
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assert( m_histogram );
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for ( size_t i = 0; i < data.size(); ++i )
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{
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addValue( data[i] );
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}
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}
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//--------------------------------------------------------------------------------------------------
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/// Calculate percentile from histogram data
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///
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/// Formula:
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/// 1. Find cumulative count up to target: targetCount = percentile * totalObservations
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/// 2. Find bin where cumulative count >= targetCount
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/// 3. Interpolate within bin:
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/// unusedFraction = (cumulativeCount - targetCount) / binCount
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/// value = binEndValue - unusedFraction * binWidth
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///
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/// Where:
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/// binWidth = (max - min) / numberOfBins
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/// binEndValue = min + (binIndex + 1) * binWidth
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///
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/// References:
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/// https://en.wikipedia.org/wiki/Histogram
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/// https://en.wikipedia.org/wiki/Percentile#Estimating_percentiles_from_a_histogram
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//--------------------------------------------------------------------------------------------------
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double RigHistogramCalculator::calculatePercentil( double pVal, RigStatisticsMath::PercentileStyle percentileStyle )
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{
|
|
assert( m_histogram );
|
|
assert( m_histogram->size() );
|
|
auto pValClamped = cvf::Math::clamp( pVal, 0.0, 1.0 );
|
|
assert( 0.0 <= pValClamped && pValClamped <= 1.0 );
|
|
if ( percentileStyle == RigStatisticsMath::PercentileStyle::SWITCHED )
|
|
{
|
|
pValClamped = 1.0 - pValClamped;
|
|
}
|
|
|
|
double pValObservationCount = pValClamped * m_observationCount;
|
|
if ( pValObservationCount == 0.0 ) return m_min;
|
|
|
|
size_t accObsCount = 0;
|
|
double binWidth = m_range / m_histogram->size();
|
|
for ( size_t binIdx = 0; binIdx < m_histogram->size(); ++binIdx )
|
|
{
|
|
size_t binObsCount = ( *m_histogram )[binIdx];
|
|
|
|
accObsCount += binObsCount;
|
|
if ( accObsCount >= pValObservationCount )
|
|
{
|
|
double domainValueAtEndOfBin = m_min + ( binIdx + 1 ) * binWidth;
|
|
double unusedFractionOfLastBin = static_cast<double>( accObsCount - pValObservationCount ) / binObsCount;
|
|
|
|
double histogramBasedEstimate = domainValueAtEndOfBin - unusedFractionOfLastBin * binWidth;
|
|
|
|
// See https://resinsight.org/docs/casegroupsandstatistics/#percentile-methods for details
|
|
|
|
return histogramBasedEstimate;
|
|
}
|
|
}
|
|
assert( false );
|
|
|
|
return HUGE_VAL;
|
|
}
|