A Julia package for evaluating distances(metrics) between vectors.

This package also provides optimized functions to compute column-wise and pairwise distances, which are often substantially faster than a straightforward loop implementation. (See the benchmark section below for details).

- Euclidean distance
- Squared Euclidean distance
- Cityblock distance
- Jaccard distance
- Rogers-Tanimoto distance
- Chebyshev distance
- Minkowski distance
- Hamming distance
- Cosine distance
- Correlation distance
- Chi-square distance
- Kullback-Leibler divergence
- Rényi divergence
- Jensen-Shannon divergence
- Mahalanobis distance
- Squared Mahalanobis distance
- Bhattacharyya distance
- Hellinger distance

For `Euclidean distance`

, `Squared Euclidean distance`

, `Cityblock distance`

, `Minkowski distance`

, and `Hamming distance`

, a weighted version is also provided.

The library supports three ways of computation: *computing the distance between two vectors*, *column-wise computation*, and *pairwise computation*.

Each distance corresponds to a *distance type*. You can always compute a certain distance between two vectors using the following syntax

```
r = evaluate(dist, x, y)
```

Here, dist is an instance of a distance type. For example, the type for Euclidean distance is `Euclidean`

(more distance types will be introduced in the next section), then you can compute the Euclidean distance between `x`

and `y`

as

```
r = evaluate(Euclidean(), x, y)
```

Common distances also come with convenient functions for distance evaluation. For example, you may also compute Euclidean distance between two vectors as below

```
r = euclidean(x, y)
```

Suppose you have two `m-by-n`

matrix `X`

and `Y`

, then you can compute all distances between corresponding columns of X and Y in one batch, using the `colwise`

function, as

```
r = colwise(dist, X, Y)
```

The output `r`

is a vector of length `n`

. In particular, `r[i]`

is the distance between `X[:,i]`

and `Y[:,i]`

. The batch computation typically runs considerably faster than calling `evaluate`

column-by-column.

Note that either of `X`

and `Y`

can be just a single vector -- then the `colwise`

function will compute the distance between this vector and each column of the other parameter.

Let `X`

and `Y`

respectively have `m`

and `n`

columns. Then the `pairwise`

function computes distances between each pair of columns in `X`

and `Y`

:

```
R = pairwise(dist, X, Y)
```

In the output, `R`

is a matrix of size `(m, n)`

, such that `R[i,j]`

is the distance between `X[:,i]`

and `Y[:,j]`

. Computing distances for all pairs using `pairwise`

function is often remarkably faster than evaluting for each pair individually.

If you just want to just compute distances between columns of a matrix `X`

, you can write

```
R = pairwise(dist, X)
```

This statement will result in an `m-by-m`

matrix, where `R[i,j]`

is the distance between `X[:,i]`

and `X[:,j]`

.
`pairwise(dist, X)`

is typically more efficient than `pairwise(dist, X, X)`

, as the former will take advantage of the symmetry when `dist`

is a semi-metric (including metric).

If the vector/matrix to store the results are pre-allocated, you may use the storage (without creating a new array) using the following syntax:

```
colwise!(r, dist, X, Y)
pairwise!(R, dist, X, Y)
pairwise!(R, dist, X)
```

Please pay attention to the difference, the functions for inplace computation are `colwise!`

and `pairwise!`

(instead of `colwise`

and `pairwise`

).

The distances are organized into a type hierarchy.

At the top of this hierarchy is an abstract class **PreMetric**, which is defined to be a function `d`

that satisfies

```
d(x, x) == 0 for all x
d(x, y) >= 0 for all x, y
```

**SemiMetric** is a abstract type that refines **PreMetric**. Formally, a *semi-metric* is a *pre-metric* that is also symmetric, as

```
d(x, y) == d(y, x) for all x, y
```

**Metric** is a abstract type that further refines **SemiMetric**. Formally, a *metric* is a *semi-metric* that also satisfies triangle inequality, as

```
d(x, z) <= d(x, y) + d(y, z) for all x, y, z
```

This type system has practical significance. For example, when computing pairwise distances between a set of vectors, you may only perform computation for half of the pairs, and derive the values immediately for the remaining halve by leveraging the symmetry of *semi-metrics*.

Each distance corresponds to a distance type. The type name and the corresponding mathematical definitions of the distances are listed in the following table.

type name | convenient syntax | math definition |
---|---|---|

Euclidean | `euclidean(x, y)` |
`sqrt(sum((x - y) .^ 2))` |

SqEuclidean | `sqeuclidean(x, y)` |
`sum((x - y).^2)` |

Cityblock | `cityblock(x, y)` |
`sum(abs(x - y))` |

Chebyshev | `chebyshev(x, y)` |
`max(abs(x - y))` |

Minkowski | `minkowski(x, y, p)` |
`sum(abs(x - y).^p) ^ (1/p)` |

Hamming | `hamming(k, l)` |
`sum(k .!= l)` |

Rogers-Tanimoto | `rogerstanimoto(a, b)` |
`2(sum(a&!b) + sum(!a&b)) / (2(sum(a&!b) + sum(!a&b)) + sum(a&b) + sum(!a&!b))` |

Jaccard | `jaccard(x, y)` |
`1 - sum(min(x, y)) / sum(max(x, y))` |

CosineDist | `cosine_dist(x, y)` |
`1 - dot(x, y) / (norm(x) * norm(y))` |

CorrDist | `corr_dist(x, y)` |
`cosine_dist(x - mean(x), y - mean(y))` |

ChiSqDist | `chisq_dist(x, y)` |
`sum((x - y).^2 / (x + y))` |

KLDivergence | `kl_divergence(p, q)` |
`sum(p .* log(p ./ q))` |

RenyiDivergence | `renyi_divergence(p, q, k)` |
`log(sum( p .* (p ./ q) .^ (k - 1))) / (k - 1)` |

JSDivergence | `js_divergence(p, q)` |
`KL(p, m) / 2 + KL(p, m) / 2 with m = (p + q) / 2` |

SpanNormDist | `spannorm_dist(x, y)` |
`max(x - y) - min(x - y )` |

BhattacharyyaDist | `bhattacharyya(x, y)` |
`-log(sum(sqrt(x .* y) / sqrt(sum(x) * sum(y)))` |

HellingerDist | `hellinger(x, y) ` |
`sqrt(1 - sum(sqrt(x .* y) / sqrt(sum(x) * sum(y))))` |

Mahalanobis | `mahalanobis(x, y, Q)` |
`sqrt((x - y)' * Q * (x - y))` |

SqMahalanobis | `sqmahalanobis(x, y, Q)` |
` (x - y)' * Q * (x - y)` |

WeightedEuclidean | `weuclidean(x, y, w)` |
`sqrt(sum((x - y).^2 .* w))` |

WeightedSqEuclidean | `wsqeuclidean(x, y, w)` |
`sum((x - y).^2 .* w)` |

WeightedCityblock | `wcityblock(x, y, w)` |
`sum(abs(x - y) .* w)` |

WeightedMinkowski | `wminkowski(x, y, w, p)` |
`sum(abs(x - y).^p .* w) ^ (1/p)` |

WeightedHamming | `whamming(x, y, w)` |
`sum((x .!= y) .* w)` |

**Note:** The formulas above are using *Julia*'s functions. These formulas are mainly for conveying the math concepts in a concise way. The actual implementation may use a faster way. The arguments `x`

and `y`

are arrays of real numbers; `k`

and `l`

are arrays of distinct elements of any kind; a and b are arrays of Bools; and finally, `p`

and `q`

are arrays forming a discrete probability distribution and are therefore both expected to sum to one.

For efficiency (see the benchmarks below), `Euclidean`

and
`SqEuclidean`

make use of BLAS3 matrix-matrix multiplication to
calculate distances. This corresponds to the following expansion:

```
(x-y)^2 == x^2 - 2xy + y^2
```

However, equality is not precise in the presence of roundoff error,
and particularly when `x`

and `y`

are nearby points this may not be
accurate. Consequently, `Euclidean`

and `SqEuclidean`

allow you to
supply a relative tolerance to force recalculation:

```
julia> x = reshape([0.1, 0.3, -0.1], 3, 1);
julia> pairwise(Euclidean(), x, x)
1×1 Array{Float64,2}:
7.45058e-9
julia> pairwise(Euclidean(1e-12), x, x)
1×1 Array{Float64,2}:
0.0
```

The implementation has been carefully optimized based on benchmarks. The Julia scripts `test/bench_colwise.jl`

and `test/bench_pairwise.jl`

run the benchmarks on a variety of distances, respectively under column-wise and pairwise settings.

Here are benchmarks obtained running Julia 0.5.1 on a late-2016 MacBook Pro running MacOS 10.12.3 with an quad-core Intel Core i7 processor @ 2.9 GHz.

The table below compares the performance (measured in terms of average elapsed time of each iteration) of a straightforward loop implementation and an optimized implementation provided in *Distances.jl*. The task in each iteration is to compute a specific distance between corresponding columns in two `200-by-10000`

matrices.

distance | loop | colwise | gain |
---|---|---|---|

SqEuclidean | 0.007267s | 0.002000s | 3.6334 |

Euclidean | 0.007471s | 0.002042s | 3.6584 |

Cityblock | 0.007239s | 0.001980s | 3.6556 |

Chebyshev | 0.011396s | 0.005274s | 2.1606 |

Minkowski | 0.022127s | 0.017161s | 1.2894 |

Hamming | 0.006777s | 0.001841s | 3.6804 |

CosineDist | 0.008709s | 0.003046s | 2.8592 |

CorrDist | 0.012766s | 0.014199s | 0.8991 |

ChiSqDist | 0.007321s | 0.002042s | 3.5856 |

KLDivergence | 0.037239s | 0.033535s | 1.1105 |

RenyiDivergence(0) | 0.014607s | 0.009587s | 1.5237 |

RenyiDivergence(1) | 0.044142s | 0.040953s | 1.0779 |

RenyiDivergence(2) | 0.019056s | 0.012029s | 1.5842 |

RenyiDivergence(∞) | 0.014469s | 0.010906s | 1.3267 |

JSDivergence | 0.077435s | 0.081599s | 0.9490 |

BhattacharyyaDist | 0.009805s | 0.004355s | 2.2514 |

HellingerDist | 0.010007s | 0.004030s | 2.4832 |

WeightedSqEuclidean | 0.007435s | 0.002051s | 3.6254 |

WeightedEuclidean | 0.008217s | 0.002075s | 3.9591 |

WeightedCityblock | 0.007486s | 0.002058s | 3.6378 |

WeightedMinkowski | 0.024653s | 0.019632s | 1.2557 |

WeightedHamming | 0.008467s | 0.002962s | 2.8587 |

SqMahalanobis | 0.101976s | 0.031780s | 3.2088 |

Mahalanobis | 0.105060s | 0.031806s | 3.3032 |

We can see that using `colwise`

instead of a simple loop yields considerable gain (2x - 4x), especially when the internal computation of each distance is simple. Nonetheless, when the computation of a single distance is heavy enough (e.g. *KLDivergence*, *RenyiDivergence*), the gain is not as significant.

The table below compares the performance (measured in terms of average elapsed time of each iteration) of a straightforward loop implementation and an optimized implementation provided in *Distances.jl*. The task in each iteration is to compute a specific distance in a pairwise manner between columns in a `100-by-200`

and `100-by-250`

matrices, which will result in a `200-by-250`

distance matrix.

distance | loop | pairwise | gain |
---|---|---|---|

SqEuclidean | 0.022982s | 0.000145s | 158.9554 |

Euclidean | 0.022155s | 0.000843s | 26.2716 |

Cityblock | 0.022382s | 0.003899s | 5.7407 |

Chebyshev | 0.034491s | 0.014600s | 2.3624 |

Minkowski | 0.065968s | 0.046761s | 1.4107 |

Hamming | 0.021016s | 0.003139s | 6.6946 |

CosineDist | 0.024394s | 0.000828s | 29.4478 |

CorrDist | 0.039089s | 0.000852s | 45.8839 |

ChiSqDist | 0.022152s | 0.004361s | 5.0793 |

KLDivergence | 0.096694s | 0.086728s | 1.1149 |

RenyiDivergence(0) | 0.042658s | 0.023323s | 1.8290 |

RenyiDivergence(1) | 0.122015s | 0.104527s | 1.1673 |

RenyiDivergence(2) | 0.052896s | 0.033865s | 1.5620 |

RenyiDivergence(∞) | 0.039993s | 0.027331s | 1.4632 |

JSDivergence | 0.211276s | 0.204046s | 1.0354 |

BhattacharyyaDist | 0.030378s | 0.011189s | 2.7151 |

HellingerDist | 0.029592s | 0.010109s | 2.9273 |

WeightedSqEuclidean | 0.025619s | 0.000217s | 117.8128 |

WeightedEuclidean | 0.023366s | 0.000264s | 88.3711 |

WeightedCityblock | 0.026213s | 0.004610s | 5.6855 |

WeightedMinkowski | 0.068588s | 0.050033s | 1.3708 |

WeightedHamming | 0.025936s | 0.007225s | 3.5895 |

SqMahalanobis | 0.520046s | 0.000939s | 553.6694 |

Mahalanobis | 0.480556s | 0.000954s | 503.6009 |

For distances of which a major part of the computation is a quadratic form (e.g. *Euclidean*, *CosineDist*, *Mahalanobis*), the performance can be drastically improved by restructuring the computation and delegating the core part to `GEMM`

in *BLAS*. The use of this strategy can easily lead to 100x performance gain over simple loops (see the highlighted part of the table above).

08/26/2014

2 days ago

66 commits