Discover patterns in your data

Usage | Installation | How

vasco is a Postgres extension that helps you discover hidden correlations in your data. It is based on the MIC and the MINE family of statistics.

Usage

Let's start by populating Postgres with some stock price data for the S&P 500.

psql -f demo/stocks.sql postgres

A v_sample view that contains daily closing prices for FAANG and a few other tickers is now available. We want to explore which of these stock prices are correlated and how strong that correlation is.

Correlation Pairs

The Maximal Information Coefficient (MIC) measures how strong is the association between a pair of variables (columns). For our example, we can compute this by using the mic(x,y) aggregate function for each pair of stocks we're interested in.

Let's pick some arbitrary pairs and compute the MIC for them.

select mic(aapl, nflx)  as aapl_nfxl,
       mic(aapl, googl) as aapl_googl,
       mic(aapl, ba)    as aapl_ba,
       mic(ba, pg)      as ba_pg,
       mic(pg, gm)      as pg_gm
from v_sample

aapl_nfxl	aapl_googl	aapl_ba	ba_pg	pg_gm
0.51	0.80	0.55	0.48	0.32

We can see that Apple's stock price is strongly correlated with Google's, while with Netflix's, not so much. The correlation strength between Procter & Gamble (PG) is not really associated with Boeing's (BA) price.

Exploring a table

To exhaustively explore the correlations between all stock pairs in a relation we can do it in one go:

select vasco_corr_matrix('v_faang', 'mic_v_faang')

This will compute the MIC for all column pairs in v_faang and store the correlation matrix as a new table mic_v_faang.

col	aapl	meta	amzn	googl	nflx
aapl	1.00	0.63	0.51	0.81	0.52
meta	0.63	1.00	0.72	0.64	0.80
amzn	0.51	0.72	1.00	0.58	0.80
googl	0.81	0.64	0.58	1.00	0.47
nflx	0.52	0.80	0.80	0.47	1.00

Here's a plot of this correlation matrix as a heatmap

Additional Metrics: Exploring the association

No algorithm can magically detect the function of the relationship between two variables, but MINE statistics can shed some light into the nature of that relationship.

Metric	SQL Function	Interpretation
Maximum Asymmetry Score (MAS)	SELECT mas(X, Y)	measures how much the relationship deviates from monotonicity
Maximum Edge Value (MEV)	SELECT mev(X, Y)	measures the degree to which the dataset appears to be sampled from a continuous function.
Minimum Cell Number (MCN)	SELECT mcn(X, Y)	measures the complexity of the association.
Minimum Cell Number General (MCNG)	SELECT mcn_general(X, Y)	returns the MCN with eps = 1 - MIC
Total Information Coefficient (TIC)	SELECT tic(X, Y)	returns the total information coefficient
Generalized Mean Information Coefficient (GMIC)	SELECT gmic(X, Y)	generalization of MIC, which incorporates a tuning parameter that can be used to modify the complexity of the association favored by the measure [Luedtke2013]

Choosing an estimator

There have been proposed a number of algorithms to estimate the MIC. Currently, in vasco, you can choose between ApproxMIC from Reshef2011 or MIC_e from Reshef2016 .

SET vasco.mic_estimator = ApproxMIC
SET vasco.mic_estimator = MIC_e

pgvector support

vasco can be build with pgvector support .

In that case, all MINE statistics can be computed between vector types too.

SELECT mic(  ARRAY [0,1.3,2,0,1.3,20,1.3,20,1.3,20,1.3,20,1.3,2]::float4[]::vector,
             ARRAY [0,1.3,2,0,1.3,20,1.3,20,1.3,20,1.3,20,1.3,2]::float4[]::vector
         )

Configuration parameters

The following MINE parameters can be set via GUC.

• vasco.mine_c
• vasco.mine_alpha
• vasco.mic_estimator
• vasco.mine_mcn_eps
• vasco.mine_tic_norm
• vasco.mine_gmic_p

Installation

cd /tmp
git clone [email protected]:Florents-Tselai/vasco.git
cd vasco
make all # WITH_PGVECTOR=1 to enable pgvector support
make install # may need sudo

Then in a Postgres session run

CREATE EXTENSION vasco

How

The main workhorse behind vasco is the MIC an information theory-based measure of association that can capture a wide range of functional and non-functional relationships between variables.

MIC(X,Y) is symmetric and normalized score into a range [0, 1]. A high MIC value suggests a dependency between the investigated variables, whereas MIC=0 describes the relationship between two independent variables.

The maximal information coefficient (MIC) is a measure of two-variable dependence designed specifically for rapid exploration of many-dimensional data sets. MIC is part of a larger family of maximal information-based nonparametric exploration (MINE) statistics, which can be used not only to identify important relationships in data sets but also to characterize them.

Intuitively, MIC is based on the idea that if a relationship exists between two variables, then a grid can be drawn on the scatterplot of the two variables that partitions the data to encapsulate that relationship.

Thus, to calculate the MIC of a set of two-variable data, we explore all grids up to a maximal grid resolution, dependent on the sample size computing for every pair of integers (x,y) the largest possible mutual information achievable by any x-by-y grid applied to the data. We then normalize these mutual information values to ensure a fair comparison between grids of different dimensions and to obtain modified values between 0 and 1.

These different combination of grids form the so-called characteristic matrix M(x,y) of the data. Each element (x,y) of M stores the highest normalized mutual information achieved by any x-by-y grid. Computing M is the core of the algorithmic process and is computationally expensive. The maximum of M is the MIC and the rest of MINE statistics are derived from that matrix as well.

TL;DR: Computing the Characteristic Matrix is the big deal; Once that is done, computing the statistics is trivial.

Next Steps

• Try out ChiMIC [Chen2013] and BackMIC
• Currently M is re-computed every time a function score is called. That's a huge waste of resources. Caching M or sharing it between runs should be the first optimization to be done.
• A potential next step would be continuously updating the CM as columns are updated (think a trigger or bgw process).
• Make an extension for SQLite and DuckDB as well
• Build convenience functions to create variable pairs and explore tables in one pass.

Thanks

For MINE statistics, vasco currently uses the implementation provided by Albanese2013 via the minepy package.

Alternative implementations are coming up.

References

• Albanese2013: Albanese, D., Filosi, M., Visintainer, R., Riccadonna, S., Jurman, G., & Furlanello, C. (2013). Minerva and minepy: a C engine for the MINE suite and its R, Python and MATLAB wrappers. Bioinformatics, 29(3), 407-408.

• Albanese2018: Davide Albanese, Samantha Riccadonna, Claudio Donati, Pietro Franceschi; A practical tool for Maximal Information Coefficient analysis, GigaScience, giy032, https://doi.org/10.1093/gigascience/giy032

• Cao2021: Cao, D., Chen, Y., Chen, J., Zhang, H., & Yuan, Z. (2021). An improved algorithm for the maximal information coefficient and its application. Royal Society open science, 8(2), 201424. PDF GitHub

• Chen2013: Chen Y, Zeng Y, Luo F, Yuan Z. 2016 A new algorithm to optimize maximal information coefficient. PLoS ONE 11, e0157567. doi:10.1371/journal.pone.0157567 GitHub

• Ge2016: Ge, R., Zhou, M., Luo, Y. et al. McTwo: a two-step feature selection algorithm based on maximal information coefficient. BMC Bioinformatics 17, 142 (2016). https://doi.org/10.1186/s12859-016-0990-0

• Luedtke2013: Luedtke A., Tran L. The Generalized Mean Information Coefficient. https://doi.org/10.48550/arXiv.1308.5712

• Matejka2017: J. Matejka and G. Fitzmaurice. Same Stats, Different Graphs: Generating Datasets with Varied Appearance and Identical Statistics through Simulated Annealing. ACM SIGCHI Conference on Human Factors in Computing Systems, 2017.

• Reshef2011: Reshef, D. N., Reshef, Y. A., Finucane, H. K., Grossman, S. R., McVean, G., Turnbaugh, P. J., ... & Sabeti, P. C. (2011). Detecting novel associations in large data sets. Science, 334(6062), 1518-1524.

• Reshef2016: Yakir A. Reshef, David N. Reshef, Hilary K. Finucane, Pardis C. Sabeti, and Michael Mitzenmacher. Measuring Dependence Powerfully and Equitably. Journal of Machine Learning Research, 2016. PDF

• Shao2021: Shao, F. & Liu, H. (2021). The Theoretical and Experimental Analysis of the Maximal Information Coefficient Approximate Algorithm. Journal of Systems Science and Information, 9(1), 95-104. https://doi.org/10.21078/JSSI-2021-095-10

• Xu2016: Xu, Z., Xuan, J., Liu, J., & Cui, X. (2016, March). MICHAC: Defect prediction via feature selection based on maximal information coefficient with hierarchical agglomerative clustering. In 2016 IEEE 23rd International Conference on Software Analysis, Evolution, and Reengineering (SANER) (Vol. 1, pp. 370-381). IEEE. http://cstar.whu.edu.cn/paper/saner_16.pdf

• Zhang2014: Zhang Y, Jia S, Huang H, Qiu J, Zhou C. 2014 A novel algorithm for the precise calculation of the maximal information coefficient. Sci. Rep.-UK 4, 6662. doi:10.1038/srep06662 http://lxy.depart.hebust.edu.cn/SGMIC/SGMIC.htm