compute

A crate for scientific and statistical computing. For a list of what this crate provides, see FEATURES.md. For more detailed explanations, see the documentation.

To use the latest stable version in your Rust program, add the following to your Cargo.toml file:

// Cargo.toml
[dependencies]
compute = "0.1"

For the latest version, add the following to your Cargo.toml file:

[dependencies]
compute = { git = "https://github.com/al-jshen/compute" }

There are many functions which rely on linear algebra methods. You can either use the provided Rust methods (default), or use BLAS and/or LAPACK by activating the "blas" and/or the "lapack" feature flags in Cargo.toml:

// example with BLAS only
compute = {version = "0.1", features = ["blas"]}

Examples

Statistical distributions

use compute::distributions::*;

let beta = Beta::new(2., 2.);
let betadata = b.sample_vec(1000); // vector of 1000 variates

println!("{}", beta.mean());
println!("{}", beta.var());
println!("{}", beta.pdf(0.5)); // probability distribution function

let binom = Binomial::new(4, 0.5);

println!("{}", p.sample()); // sample single value
println!("{}", p.pmf(2));  // probability mass function

Polynomial Regression and GLMs

use compute::prelude::*;

let x = vec![1., 2., 3., 4.];
let xd = design(&x, x.len()); // make a design matrix
let y = vec![3., 5., 7., 9.];

let mut clf = PolynomialRegressor::new(2); // degree 2 (i.e. quadratic)
clf.fit(&x, &y);                           // linear least squares fitting
println!("{:?}", clf.coef);                // get model coefficients

let y_bin = vec![0., 0., 1., 1.];
let mut glm = GLM::new(ExponentialFamily::Bernoulli);  // logistic regression
glm.set_penalty(1.);                                   // L2 penalty
glm.fit(&xd, &y, 25).unwrap();                         // fit with scoring algorithm (MLE), cap iterations at 25
println!("{:?}", glm.coef().unwrap());                          // get estimated coefficients
println!("{:?}", glm.coef().coef_covariance_matrix().unwrap()); // get covariance matrix for estimated coefficients

Time series models

use compute::timeseries::*;

let x = vec![-2.584, -3.474, -1.977, -0.226, 1.166, 0.923, -1.075, 0.732, 0.959];

let mut ar = AR::new(1);             // AR(1) model
ar.fit(&x);                          // fit model with Yule-Walker equations
println!("{:?}", ar.coeffs);         // get model coefficients
println!("{:?}", ar.predict(&x, 5)); // forecast 5 steps ahead

Numerical integration

use compute::integrate::*;

let f = |x: f64| x.sqrt() + x.sin() - (3. * x).cos() - x.powi(2);
println!("{}", trapz(f, 0., 1., 100));        // trapezoid integration with 100 segments
println!("{}", quad5(f, 0., 1.));             // gaussian quadrature integration
println!("{}", romberg(f, 0., 1., 1e-8, 10)); // romberg integration with tolerance and max steps

Signal processing

use compute::signal::*;

let sig = vec![0.973, 0.361, 0.715, -1.158, 1.392, 0.415, 2.304, -0.844, 0.805, 0.242];
let smoothed = savitzky_golay(&sig, 5, 3) // LOESS, cubic smoothing with 5 points
let impulse = delta(5, 0.5);              // delta function with 5 steps and dt = 0.5
let res = convolve(&sig, &impulse, 0.5);  // impulse response of signal

Linear algebra

use compute::linalg::*;

let x = vec![
  2., 3.,
  4., 5.,
];
let y = vec![
  5., 2.,
  6., 1.,
];
println!("{:?}", lu(&x));                            // calculate LU decomposition for x
println!("{:?}", solve_sys(&x, &y));                 // solve 2x2 system of equations (each column of y is a system)
println!("{:?}", matmul(&x, &y, 2, 2, false, true)); // matrix multiply, transposing y

Data summary functions

use compute::statistics::*;
use compute::linalg::Vector;

let x = Vector::from([2.2, 3.4, 5., 10., -2.1, 0.1]);

println!("{}", x.mean());
println!("{}", x.var());
println!("{}", x.max());
println!("{}", x.argmax());

Mathematical and statistical functions

use compute::functions::*;

println!("{}", logistic(4.));
println!("{}", boxcox(5., 2.);      // boxcox transform
println!("{}", digamma(2.));
println!("{}", binom_coeff(10, 4)); // n choose k