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Refactor weighted percentile functions to avoid redundant sorting #30945

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Refactor weighted percentile functions to avoid redundant sorting #30945

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73 changes: 47 additions & 26 deletions sklearn/utils/stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,9 @@
)


def _weighted_percentile(array, sample_weight, percentile_rank=50, xp=None):
def _weighted_percentile(
array, sample_weight, percentile_rank=50, xp=None, symmetrize=False
):
"""Compute the weighted percentile with method 'inverted_cdf'.

When the percentile lies between two data points of `array`, the function returns
Expand Down Expand Up @@ -41,13 +43,17 @@
xp : array_namespace, default=None
The standard-compatible namespace for `array`. Default: infer.

symmetrize : bool, default=False
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Nit about this name - could we make it more consistent with how it's named elsewhere? I know this function is private and we ultimately would like to use the scipy quantile so we don't have to maintain our own, but it would still be nice if it was clearer what this method was equivalent to.

I think this quantile method is called "averaged_inverted_cdf" in numpy/scipy. And we were calling it _averaged_weighted_percentile. I can understand "symmetrize" term but what about "average" or "average_inverted" etc ?

If True, compute the symmetrized weighted percentile using the negative of
`array` and the fact that the sorted order of the negated array is the
reverse order of the sorted array.

Returns
-------
percentile : scalar or 0D array if `array` 1D (or 0D), array if `array` 2D
Weighted percentile at the requested probability level.
"""
xp, _, device = get_namespace_and_device(array)
# `sample_weight` should follow `array` for dtypes
floating_dtype = _find_matching_floating_dtype(array, xp=xp)
array = xp.asarray(array, dtype=floating_dtype, device=device)
sample_weight = xp.asarray(sample_weight, dtype=floating_dtype, device=device)
Expand All @@ -57,15 +63,13 @@
return array
if array.ndim == 1:
array = xp.reshape(array, (-1, 1))
# When sample_weight 1D, repeat for each array.shape[1]
if array.shape != sample_weight.shape and array.shape[0] == sample_weight.shape[0]:
sample_weight = xp.tile(sample_weight, (array.shape[1], 1)).T

# Sort `array` and `sample_weight` along axis=0:
sorted_idx = xp.argsort(array, axis=0)
sorted_weights = xp.take_along_axis(sample_weight, sorted_idx, axis=0)

# Set NaN values in `sample_weight` to 0. Only perform this operation if NaN
# values present to avoid temporary allocations of size `(n_samples, n_features)`.
n_features = array.shape[1]
largest_value_per_column = array[
sorted_idx[-1, ...], xp.arange(n_features, device=device)
Expand All @@ -75,24 +79,12 @@
sorted_nan_mask = xp.take_along_axis(xp.isnan(array), sorted_idx, axis=0)
sorted_weights[sorted_nan_mask] = 0

# Compute the weighted cumulative distribution function (CDF) based on
# `sample_weight` and scale `percentile_rank` along it.
#
# Note: we call `xp.cumulative_sum` on the transposed `sorted_weights` to
# ensure that the result is of shape `(n_features, n_samples)` so
# `xp.searchsorted` calls take contiguous inputs as a result (for
# performance reasons).
weight_cdf = xp.cumulative_sum(sorted_weights.T, axis=1)
adjusted_percentile_rank = percentile_rank / 100 * weight_cdf[..., -1]

# Ignore leading `sample_weight=0` observations when `percentile_rank=0` (#20528)
mask = adjusted_percentile_rank == 0
adjusted_percentile_rank[mask] = xp.nextafter(
adjusted_percentile_rank[mask], adjusted_percentile_rank[mask] + 1
)
# For each feature with index j, find sample index i of the scalar value
# `adjusted_percentile_rank[j]` in 1D array `weight_cdf[j]`, such that:
# weight_cdf[j, i-1] < adjusted_percentile_rank[j] <= weight_cdf[j, i].
percentile_indices = xp.asarray(
[
xp.searchsorted(
Expand All @@ -102,22 +94,51 @@
],
device=device,
)
# In rare cases, `percentile_indices` equals to `sorted_idx.shape[0]`
max_idx = sorted_idx.shape[0] - 1
percentile_indices = xp.clip(percentile_indices, 0, max_idx)

col_indices = xp.arange(array.shape[1], device=device)
percentile_in_sorted = sorted_idx[percentile_indices, col_indices]

result = array[percentile_in_sorted, col_indices]

if symmetrize:
# Use reverse of the original sorted order for the negated array
sorted_idx_neg = xp.flip(sorted_idx, axis=0)
sorted_weights_neg = xp.take_along_axis(sample_weight, sorted_idx_neg, axis=0)
array_neg = -array
largest_value_neg = array_neg[
sorted_idx_neg[-1, ...], xp.arange(n_features, device=device)
]
if xp.any(xp.isnan(largest_value_neg)):
sorted_nan_mask_neg = xp.take_along_axis(

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xp.isnan(array_neg), sorted_idx_neg, axis=0
)
sorted_weights_neg[sorted_nan_mask_neg] = 0

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weight_cdf_neg = xp.cumulative_sum(sorted_weights_neg.T, axis=1)
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@lucyleeow lucyleeow Jul 11, 2025 •
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We may not need to calculate the negative/reverse array cumulative sum again. We can probably rely on symmetry e.g., the value of reverse_cum_sum[i] would be the same as the total sum minus the forward cumulative sum up until that point i.e. reverse_cum_sum[i] = total_sum - forward_cum_sum[n-1-i]

We can probably also work out the index of 100-percentile_rank as well.

if reverse_cum_sum[i_rev] = (100-percentile_rank)*total_sum ; then
total_sum - forward_cum_sum[n-1-i_rev] = (100-percentile_rank)*total_sum ; rearrange
forward_cum_sum[n-1-i_rev] = percentile_rank*total_sum

then i_fwd = n-1-i_rev so i_rev = n-1-i_fwd.

Since we are wanting the left of the bracket (i_fwd, i_fwd+1), the left bracket in reverse is n-2-i_fwd

adjusted_pr_neg = (100 - percentile_rank) / 100 * weight_cdf_neg[..., -1]
mask_neg = adjusted_pr_neg == 0
adjusted_pr_neg[mask_neg] = xp.nextafter(
adjusted_pr_neg[mask_neg], adjusted_pr_neg[mask_neg] + 1
)
percentile_indices_neg = xp.asarray(
[
xp.searchsorted(
weight_cdf_neg[feature_idx, ...], adjusted_pr_neg[feature_idx]
)
for feature_idx in range(weight_cdf_neg.shape[0])
],
device=device,
)
percentile_indices_neg = xp.clip(percentile_indices_neg, 0, max_idx)
percentile_in_sorted_neg = sorted_idx_neg[percentile_indices_neg, col_indices]
result_neg = array_neg[percentile_in_sorted_neg, col_indices]

result = (result - result_neg) / 2

return result[0] if n_dim == 1 else result


# TODO: refactor to do the symmetrisation inside _weighted_percentile to avoid
# sorting the input array twice.
def _averaged_weighted_percentile(array, sample_weight, percentile_rank=50, xp=None):
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Why not just replace instances of _averaged_weighted_percentile with _weighted_percentile(symmetrize=True) ?

return (
_weighted_percentile(array, sample_weight, percentile_rank, xp=xp)
- _weighted_percentile(-array, sample_weight, 100 - percentile_rank, xp=xp)
) / 2
return _weighted_percentile(
array, sample_weight, percentile_rank, xp=xp, symmetrize=True
)
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