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
- Generalized Kullback-Leibler divergence
- Rényi divergence
- Jensen-Shannon divergence
- Mahalanobis distance
- Squared Mahalanobis distance
- Bhattacharyya distance
- Hellinger distance
- Haversine distance
- Mean absolute deviation
- Mean squared deviation
- Root mean squared deviation
- Normalized root mean squared deviation

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))` |

GenKLDivergence | `gkl_divergence(x, y)` |
`sum(p .* log(p ./ q) - 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))))` |

Haversine | `haversine(x, y, r)` |
Haversine formula |

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

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

MeanAbsDeviation | `meanad(x, y)` |
`mean(abs.(x - y))` |

MeanSqDeviation | `msd(x, y)` |
`mean(abs2.(x - y))` |

RMSDeviation | `rmsd(x, y)` |
`sqrt(msd(x, y))` |

NormRMSDeviation | `nrmsd(x, y)` |
`rmsd(x, y) / (maximum(x) - minimum(x))` |

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 script in `benchmark/benchmarks.jl`

defines a benchmark suite
for a variety of distances, under column-wise and pairwise settings.

Here are benchmarks obtained running Julia 0.6 on a computer with a quad-core Intel Core i5-2500K processor @ 3.3 GHz.
The tables below can be replicated using the script in `benchmark/print_table.jl`

.

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 | 0.007467s | 0.002171s | 3.4393 |

Euclidean | 0.007421s | 0.002185s | 3.3961 |

Cityblock | 0.007442s | 0.002168s | 3.4328 |

Chebyshev | 0.011494s | 0.005846s | 1.9662 |

Minkowski | 0.174122s | 0.143938s | 1.2097 |

Hamming | 0.007586s | 0.002249s | 3.3739 |

CosineDist | 0.008581s | 0.002853s | 3.0076 |

CorrDist | 0.014991s | 0.011402s | 1.3148 |

ChiSqDist | 0.012990s | 0.006910s | 1.8800 |

KLDivergence | 0.051694s | 0.047433s | 1.0898 |

RenyiDivergence | 0.021406s | 0.017845s | 1.1996 |

RenyiDivergence | 0.031397s | 0.027801s | 1.1294 |

JSDivergence | 0.115657s | 0.495861s | 0.2332 |

BhattacharyyaDist | 0.019273s | 0.013195s | 1.4606 |

HellingerDist | 0.018883s | 0.012921s | 1.4613 |

WeightedSqEuclidean | 0.007559s | 0.002256s | 3.3504 |

WeightedEuclidean | 0.007624s | 0.002325s | 3.2796 |

WeightedCityblock | 0.007803s | 0.002248s | 3.4709 |

WeightedMinkowski | 0.154231s | 0.147579s | 1.0451 |

WeightedHamming | 0.009042s | 0.003182s | 2.8417 |

SqMahalanobis | 0.070869s | 0.019199s | 3.6913 |

Mahalanobis | 0.070980s | 0.019305s | 3.6768 |

Haversine | 0.006549s | 0.000809s | 8.0967 |

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 | 0.019217s | 0.000196s | 97.9576 |

Euclidean | 0.019287s | 0.000505s | 38.1874 |

Cityblock | 0.019376s | 0.002532s | 7.6521 |

Chebyshev | 0.032814s | 0.014811s | 2.2155 |

Minkowski | 0.382199s | 0.361059s | 1.0586 |

Hamming | 0.019826s | 0.003047s | 6.5072 |

CosineDist | 0.024012s | 0.000367s | 65.3661 |

CorrDist | 0.041356s | 0.000421s | 98.3049 |

ChiSqDist | 0.035105s | 0.017882s | 1.9632 |

KLDivergence | 0.131773s | 0.117640s | 1.1201 |

RenyiDivergence | 0.057569s | 0.042694s | 1.3484 |

RenyiDivergence | 0.082862s | 0.067811s | 1.2220 |

JSDivergence | 0.292014s | 0.276898s | 1.0546 |

BhattacharyyaDist | 0.051302s | 0.033043s | 1.5526 |

HellingerDist | 0.049518s | 0.031856s | 1.5545 |

WeightedSqEuclidean | 0.019959s | 0.000218s | 91.7298 |

WeightedEuclidean | 0.020336s | 0.000557s | 36.5405 |

WeightedCityblock | 0.020391s | 0.003118s | 6.5404 |

WeightedMinkowski | 0.387738s | 0.366898s | 1.0568 |

WeightedHamming | 0.024456s | 0.007403s | 3.3033 |

SqMahalanobis | 0.113107s | 0.000366s | 309.3621 |

Mahalanobis | 0.114646s | 0.000686s | 167.0595 |

Haversine | 0.015267s | 0.003656s | 4.1763 |

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

9 days ago

78 commits