improve numerical stability of pearson's correlation coefficient#3152
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Co-authored-by: Rittik Panda <[email protected]>
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* enhancement: improve numerical stability of pearson correlation coefficient * Apply suggestions from code review --------- Co-authored-by: Jirka Borovec <[email protected]> Co-authored-by: Rittik Panda <[email protected]> Co-authored-by: Jirka B <[email protected]> (cherry picked from commit 4fd06f2)
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* enhancement: improve numerical stability of pearson correlation coefficient * Apply suggestions from code review --------- Co-authored-by: Jirka Borovec <[email protected]> Co-authored-by: Rittik Panda <[email protected]> Co-authored-by: Jirka B <[email protected]> (cherry picked from commit 4fd06f2)
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What does this PR do?
Closes #3150 by:
_pearson_corrcoef_update_pearson_corrcoef_computeFor this test, where predictions and targets are large in their absolute values but have small variances,
For above test with scale = 1e-3 and bias = 1e1,
It is not as accurate as scipy, but for a streaming algorithm I think this is reasonably good.
Especially when bias = 0, current implementation using torch.float32 works up to scale=1e-18. (original implementation fails at scale = 1e-4)
Note: The tests were modified for current implementation. Specifically, inputs in
test_pearsons_warning_on_small_inputare changed, and fortest_final_aggregation_no_inplace_change, the test logic incorporatesmax_abs_dev_*.Before submitting
PR review
Anyone in the community is free to review the PR once the tests have passed.
If we didn't discuss your PR in Github issues there's a high chance it will not be merged.
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📚 Documentation preview 📚: https://torchmetrics--3152.org.readthedocs.build/en/3152/