Skip to content

covariance

[ allennlp.training.metrics.covariance ]

Covariance Objects#

class Covariance(Metric):
 | def __init__(self) -> None

This Metric calculates the unbiased sample covariance between two tensors. Each element in the two tensors is assumed to be a different observation of the variable (i.e., the input tensors are implicitly flattened into vectors and the covariance is calculated between the vectors).

This implementation is mostly modeled after the streaming_covariance function in Tensorflow. See: https://github.com/tensorflow/tensorflow/blob/v1.10.1/tensorflow/contrib/metrics/python/ops/metric_ops.py#L3127

The following is copied from the Tensorflow documentation:

The algorithm used for this online computation is described in https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Online. Specifically, the formula used to combine two sample comoments is C_AB = C_A + C_B + (E[x_A] - E[x_B]) * (E[y_A] - E[y_B]) * n_A * n_B / n_AB The comoment for a single batch of data is simply sum((x - E[x]) * (y - E[y])), optionally masked.

get_metric#

 | def get_metric(self, reset: bool = False)

Returns

  • The accumulated covariance.

reset#

 | @overrides
 | def reset(self)