Correlation speedup

docs/user_guide/correlations.rst

@@ -65,7 +65,7 @@ Correlation Heatmaps
 ^^^^^^^^^^^^^^^^^^^^
 
 The :code:`plot` module allows users to generate a correlation heatmap of any dataset by simply
-passing the dataframe to the :code:`two_column_heatmap()` function, which will plot a heatmap from the
+passing the dataframe to the :code:`heatmap()` function, which will plot a heatmap from the
 matrix of the correlation coefficients computed by using the Pearson Coefficient, the Kruskal-Wallis
 Test and Cramer's V between each two of the columns (for numerical-numerical, categorical-numerical and
 categorical-categorical associations, respectively).
@@ -92,19 +92,17 @@ This will automatically choose different methods for different types of data, ho
 are configurable.
 
 .. ipython:: python
-    :okwarning:
 
     @savefig corr_heatmap_1.png
-    fl.plot.two_column_heatmap(df)
+    fl.plot.heatmap(df)
 
 
 Let's try generating a heatmap of the same dataset, but using some non-linear metrics
 for numerical-numerical and numerical-categorical associations for added precision.
 
 .. ipython:: python
-    :okwarning:
 
     from fairlens.metrics import distance_nn_correlation, distance_cn_correlation, cramers_v
 
     @savefig corr_heatmap_2.png
-    fl.plot.two_column_heatmap(df, distance_nn_correlation, distance_cn_correlation, cramers_v)
+    fl.plot.heatmap(df, distance_nn_correlation, distance_cn_correlation, cramers_v)

src/fairlens/metrics/__init__.py

@@ -23,6 +23,7 @@
     cramers_v,
     distance_cn_correlation,
     distance_nn_correlation,
+    pearson,
     r2_mcfadden,
     kruskal_wallis,
     kruskal_wallis_boolean,
@@ -58,6 +59,7 @@
     "cramers_v",
     "distance_cn_correlation",
     "distance_nn_correlation",
+    "pearson",
     "r2_mcfadden",
     "kruskal_wallis",
     "kruskal_wallis_boolean",

src/fairlens/metrics/correlation.py

@@ -23,43 +23,41 @@ def cramers_v(sr_a: pd.Series, sr_b: pd.Series) -> float:
             Second categorical series to analyze.
 
     Returns:
-        float: Value of the statistic.
+        float:
+            Value of the statistic.
     """
 
-    if len(sr_a.value_counts()) == 1:
-        return 0
-    if len(sr_b.value_counts()) == 1:
+    if sr_a.nunique() == 1 or sr_b.nunique() == 1:
         return 0
-    else:
-        confusion_matrix = pd.crosstab(sr_a, sr_b)
 
-        if confusion_matrix.shape[0] == 2:
-            correct = False
-        else:
-            correct = True
+    confusion_matrix = pd.crosstab(sr_a, sr_b)
 
-        chi2 = ss.chi2_contingency(confusion_matrix, correction=correct)[0]
-        n = sum(confusion_matrix.sum())
-        phi2 = chi2 / n
-        r, k = confusion_matrix.shape
-        phi2corr = max(0, phi2 - ((k - 1) * (r - 1)) / (n - 1))
-        rcorr = r - ((r - 1) ** 2) / (n - 1)
-        kcorr = k - ((k - 1) ** 2) / (n - 1)
-        return np.sqrt(phi2corr / min((kcorr - 1), (rcorr - 1)))
+    chi2 = ss.chi2_contingency(confusion_matrix, correction=(confusion_matrix.shape[0] != 2))[0]
+    n = sum(confusion_matrix.sum())
+    phi2 = chi2 / n
+    r, k = confusion_matrix.shape
+    phi2corr = max(0, phi2 - ((k - 1) * (r - 1)) / (n - 1))
+    rcorr = r - ((r - 1) ** 2) / (n - 1)
+    kcorr = k - ((k - 1) ** 2) / (n - 1)
+    return np.sqrt(phi2corr / min((kcorr - 1), (rcorr - 1)))
 
 
 def pearson(sr_a: pd.Series, sr_b: pd.Series) -> float:
-    """Metric that calculates Pearson's correlation coefficent for numerical-numerical
+    """Calculates the Pearson's correlation coefficent for numerical-numerical
     pairs of series, used in heatmap generation.
 
     Args:
-        sr_a (pd.Series): First numerical series to analyze.
-        sr_b (pd.Series): Second numerical series to analyze.
+        sr_a (pd.Series):
+            First numerical series to analyze.
+        sr_b (pd.Series):
+            Second numerical series to analyze.
 
     Returns:
-        float: Value of the coefficient.
+        float:
+            Value of the coefficient.
     """
-    return abs(sr_a.corr(sr_b))
+
+    return sr_a.corr(sr_b, method="pearson")
 
 
 def r2_mcfadden(sr_a: pd.Series, sr_b: pd.Series) -> float:
@@ -78,6 +76,7 @@ def r2_mcfadden(sr_a: pd.Series, sr_b: pd.Series) -> float:
     Returns:
         float: Value of the pseudo-R2 McFadden score.
     """
+
     x = sr_b.to_numpy().reshape(-1, 1)
     x = StandardScaler().fit_transform(x)
     y = sr_a.to_numpy()
@@ -120,14 +119,14 @@ def kruskal_wallis(sr_a: pd.Series, sr_b: pd.Series) -> float:
             p-value is the probability that the two columns are not correlated.
     """
 
-    sr_a = sr_a.astype("category").cat.codes
     groups = sr_b.groupby(sr_a)
     arrays = [groups.get_group(category) for category in sr_a.unique()]
 
     args = [group.array for group in arrays]
     try:
         _, p_val = ss.kruskal(*args, nan_policy="omit")
     except ValueError:
+        # TODO: Warning
         return 0
 
     return p_val
@@ -147,7 +146,8 @@ def kruskal_wallis_boolean(sr_a: pd.Series, sr_b: pd.Series, p_cutoff: float = 0
             The maximum admitted p-value for the distributions to be considered independent.
 
     Returns:
-        bool: Bool value representing whether or not the two series are correlated.
+        bool:
+            Bool value representing whether or not the two series are correlated.
     """
 
     sr_a = sr_a.astype("category").cat.codes

src/fairlens/metrics/unified.py

@@ -2,9 +2,9 @@
 Collection of helper methods which can be used as to interface metrics.
 """
 
-import multiprocessing as mp
-from typing import Any, Callable, List, Mapping, Optional, Tuple, Type, Union
+from typing import Any, Callable, List, Mapping, Tuple, Type, Union
 
+import numpy as np
 import pandas as pd
 
 from .. import utils
@@ -118,8 +118,6 @@ def correlation_matrix(
     num_num_metric: Callable[[pd.Series, pd.Series], float] = pearson,
     cat_num_metric: Callable[[pd.Series, pd.Series], float] = kruskal_wallis,
     cat_cat_metric: Callable[[pd.Series, pd.Series], float] = cramers_v,
-    columns_x: Optional[List[str]] = None,
-    columns_y: Optional[List[str]] = None,
 ) -> pd.DataFrame:
     """This function creates a correlation matrix out of a dataframe, using a correlation metric for each
     possible type of pair of series (i.e. numerical-numerical, categorical-numerical, categorical-categorical).
@@ -135,51 +133,51 @@ def correlation_matrix(
         cat_cat_metric (Callable[[pd.Series, pd.Series], float], optional):
             The correlation metric used for categorical-categorical series pairs. Defaults to corrected Cramer's V
             statistic.
-        columns_x (Optional[List[str]]):
-            The column names that determine the rows of the matrix.
-        columns_y (Optional[List[str]]):
-            The column names that determine the columns of the matrix.
 
     Returns:
         pd.DataFrame:
             The correlation matrix to be used in heatmap generation.
     """
 
-    if columns_x is None:
-        columns_x = df.columns
+    df = df.copy()
 
-    if columns_y is None:
-        columns_y = df.columns
+    distr_types = [utils.infer_distr_type(df[col]) for col in df.columns]
 
-    pool = mp.Pool(mp.cpu_count())
+    for col in df.columns:
+        df[col] = utils.infer_dtype(df[col])
 
-    series_list = [
-        pd.Series(
-            pool.starmap(
-                _correlation_matrix_helper,
-                [(df[col_x], df[col_y], num_num_metric, cat_num_metric, cat_cat_metric) for col_x in columns_x],
-            ),
-            index=columns_x,
-            name=col_y,
-        )
-        for col_y in columns_y
-    ]
+        if df[col].dtype.kind == "O":
+            df[col] = pd.factorize(df[col])[0]
+
+    df = df.append(pd.DataFrame({col: [i] for i, col in enumerate(df.columns)}))
 
-    pool.close()
+    def corr(a: np.ndarray, b: np.ndarray):
+        return _correlation_matrix_helper(
+            a,
+            b,
+            distr_types=distr_types,
+            num_num_metric=num_num_metric,
+            cat_num_metric=cat_num_metric,
+            cat_cat_metric=cat_cat_metric,
+        )
 
-    return pd.concat(series_list, axis=1, keys=[series.name for series in series_list])
+    return df.corr(method=corr)
 
 
 def _correlation_matrix_helper(
-    sr_a: pd.Series,
-    sr_b: pd.Series,
+    a: np.ndarray,
+    b: np.ndarray,
+    distr_types: List[utils.DistrType],
     num_num_metric: Callable[[pd.Series, pd.Series], float] = pearson,
     cat_num_metric: Callable[[pd.Series, pd.Series], float] = kruskal_wallis,
     cat_cat_metric: Callable[[pd.Series, pd.Series], float] = cramers_v,
 ) -> float:
 
-    a_type = utils.infer_distr_type(sr_a)
-    b_type = utils.infer_distr_type(sr_b)
+    a_type = distr_types[int(a[-1])]
+    b_type = distr_types[int(b[-1])]
+
+    sr_a = pd.Series(a[:-1])
+    sr_b = pd.Series(b[:-1])
 
     if a_type.is_continuous() and b_type.is_continuous():
         return num_num_metric(sr_a, sr_b)

src/fairlens/plot/__init__.py

@@ -3,8 +3,8 @@
 """
 
 
+from .correlation import heatmap
 from .distr import attr_distr_plot, distr_plot, mult_distr_plot
-from .heatmap import two_column_heatmap
 from .style import reset_style, use_style
 
-__all__ = ["use_style", "reset_style", "distr_plot", "attr_distr_plot", "mult_distr_plot", "two_column_heatmap"]
+__all__ = ["use_style", "reset_style", "distr_plot", "attr_distr_plot", "mult_distr_plot", "heatmap"]

src/fairlens/plot/correlation.py

@@ -0,0 +1,49 @@
+"""
+Plot correlation heatmaps for datasets.
+"""
+
+from typing import Callable
+
+import matplotlib.pyplot as plt
+import pandas as pd
+import seaborn as sns
+
+from ..metrics import correlation, unified
+
+
+def heatmap(
+    df: pd.DataFrame,
+    num_num_metric: Callable[[pd.Series, pd.Series], float] = correlation.pearson,
+    cat_num_metric: Callable[[pd.Series, pd.Series], float] = correlation.kruskal_wallis,
+    cat_cat_metric: Callable[[pd.Series, pd.Series], float] = correlation.cramers_v,
+    **kwargs
+):
+    """This function creates a correlation heatmap out of a dataframe, using user provided or default correlation
+    metrics for all possible types of pairs of series (i.e. numerical-numerical, categorical-numerical,
+    categorical-categorical).
+
+    Args:
+        df (pd.DataFrame):
+            The dataframe used for computing correlations and producing a heatmap.
+        num_num_metric (Callable[[pd.Series, pd.Series], float], optional):
+            The correlation metric used for numerical-numerical series pairs. Defaults to Pearson's correlation
+            coefficient.
+        cat_num_metric (Callable[[pd.Series, pd.Series], float], optional):
+            The correlation metric used for categorical-numerical series pairs. Defaults to Kruskal-Wallis' H Test.
+        cat_cat_metric (Callable[[pd.Series, pd.Series], float], optional):
+            The correlation metric used for categorical-categorical series pairs. Defaults to corrected Cramer's V
+            statistic.
+        kwargs:
+            Key word arguments for sns.heatmap.
+    """
+
+    corr_matrix = unified.correlation_matrix(df, num_num_metric, cat_num_metric, cat_cat_metric)
+
+    if "cmap" not in kwargs:
+        kwargs["cmap"] = sns.cubehelix_palette(start=0.2, rot=-0.2, dark=0.3, as_cmap=True)
+
+    if "linewidth" not in kwargs:
+        kwargs["linewidth"] = 0.5
+
+    sns.heatmap(corr_matrix, vmin=0, vmax=1, square=True, **kwargs)
+    plt.tight_layout()