This simple package defines a `WeightedMatrix`

, a struct with vector of weights corresponding to the columns of a matrix. By default the `weights(x)`

add up to 1. The `array(x)`

values may have a box constraint:

```
julia> Weighted(randn(3,5))
Weighted 3×5 Array{Float64,2}, of unclamped θ:
-0.264476 -1.83297 0.0669732 -0.340433 -1.87672
0.0461253 -0.330401 0.0215189 2.3129 -1.78839
0.461376 0.00486523 -0.819182 -1.43221 -0.855756
with normalised weights p(θ), 5-element Array{Float64,1}:
0.2 0.2 0.2 0.2 0.2
julia> Weighted(rand(2,4), ones(4), 0, 1)
Weighted 2×4 Array{Float64,2}, clamped 0.0 ≦ θ ≦ 1.0:
0.7842 0.257179 0.483388 0.780996
0.138967 0.748165 0.387104 0.167825
with normalised weights p(θ), 4-element Array{Float64,1}:
0.25 0.25 0.25 0.25
```

These examples are roughly `wrandn(3,5)`

and `wrand(2,4)`

, there are also sub-random `sobol(3,7)`

and regular `wgrid(2, 0:0.1:1)`

.
Their values are mutable, `clamp!(x)`

will enforce the box constraint, and `normalise!(x)`

(with an s) the weights.

They are not subtypes of `AbstractArray`

, but many functions will work.
For instance `x[1:2, :]`

keeps only the first two rows (and the weights),
`hcat(x,y)`

will concatenate the weights,
and `mapslices(f,x)`

will act with `f`

on columns & then restore weights.
`sort(x)`

re-arranges columns to order by the weights, `sortcols(x)`

orders by the array instead,
`unique(x)`

will accumulate the weights of identical columns.
A few functions like `log(x)`

and `tanh(x)`

act element-wise but update the box constraints appropriately.

Most of this will work for any N-dimensional Array, not just a Matrix. The weights then belong to the last dimension.

Plot recipes are defined, in which the area of points indicating weight. The example shown is a grid plus a bivariate sub-random normal distribution:

```
julia> using Plots
julia> plot(wgrid(2, -5:5), m=:+)
julia> plot!(soboln(2, 2000), m=:diamond, c=:red)
```

With more than three rows e.g. `plot(wrandn(4,50))`

, it will plot the first two principal components (and attempt to scale these correctly).
There is a function `pplot(x)`

which saves the PCA function (see help for `wPCA(x)`

) in a global variable, so that `pplot!(t)`

can add more points on the same axes.

08/17/2018

5 months ago

16 commits