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espdev / csaps

Cubic spline approximation (smoothing)
https://csaps.readthedocs.io
MIT License
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Add optional GCV calculation #67

Open ZeroCool2u opened 1 year ago

ZeroCool2u commented 1 year ago

This commit adds support for optionally calculating the Generalized Cross Validation criterion inline and making it available as a property of the SplinePPForm object.

@espdev I tried to minimize the API surface changes and made it fully optional, so it should have little to no performance impact on those that aren't interested in using the GCV.

Whenever you're good with this PR, I'll submit a separate one to try and include a simple example of how to actually use this value to minimize the GCV and generate an 'optimal' spline.

It's important to note that the GCV is not perfect and in some circumstances may not produce what one would visually consider to be the optimal smoothing parameter, but it does a pretty good job most of the time.

Also, it's quite expensive to calculate manually/outside of csaps as I've been doing, because it means you need to do roughly double the work unless you customize and then rebuild csaps entirely with the changes I've proposed here.

espdev commented 1 year ago

Hello @ZeroCool2u,

Thank you for the contribution. Could you add some tests coverage the new functionality?

ZeroCool2u commented 1 year ago

Happy to add tests and make the changes you asked for.

However, I do need to refactor this slightly. I forgot that the final line of computation requires the predicted values from the spline after it's constructed, so it won't work as is.

What I was thinking about doing instead was adding a new method to the spline object that takes the predicted values as an input and then returns or sets the gcv.

This would require that we store all of the intermediate values we need as part of the spline object or just the degrees of freedom. This will probably end up marginally increasing persistent memory usage though, so I want to make sure you're okay with that or if you have any other suggestions as to how you'd like me to go about it.

espdev commented 1 year ago

You can even create a new inherited Spline class with an implementation of gcv, or you can embed this functionality in the existing class. The main thing is that this does not break backward compatibility and followed the rule: "don't pay for what you don't use", everything else is up to you. :)

ZeroCool2u commented 1 year ago

Let me know if these changes look good to you. If so, I'll start working on setting up some tests.