Add fisher_exact_test pvalue_only

Author: patrick-schultz

hail/hail/src/is/hail/expr/ir/functions/MathFunctions.scala

@@ -425,16 +425,15 @@ object MathFunctions extends RegistryFunctions {
       fetStruct.virtualType,
       (_, _, _, _, _) => fetStruct.sType,
     ) { case (r, cb, _, a: SInt32Value, b: SInt32Value, c: SInt32Value, d: SInt32Value, _) =>
-      val res = cb.newLocal[Array[Double]](
-        "fisher_exact_test_res",
+      val res = cb.memoize[Array[Double]](
         Code.invokeScalaObject4[Int, Int, Int, Int, Array[Double]](
           statsPackageClass,
           "fisherExactTest",
           a.value,
           b.value,
           c.value,
           d.value,
-        ),
+        )
       )
 
       fetStruct.constructFromFields(
@@ -450,6 +449,29 @@ object MathFunctions extends RegistryFunctions {
       )
     }
 
+    // FIXME: delete when PruneDeadField can optimize fisher_exact_test when only
+    // the pvalue is used from the result struct
+    registerSCode4(
+      "fisher_exact_test_pvalue_only",
+      TInt32,
+      TInt32,
+      TInt32,
+      TInt32,
+      TFloat64,
+      (_, _, _, _, _) => SFloat64,
+    ) { case (_, cb, _, a: SInt32Value, b: SInt32Value, c: SInt32Value, d: SInt32Value, _) =>
+      primitive(cb.memoize[Double](
+        Code.invokeScalaObject4[Int, Int, Int, Int, Double](
+          statsPackageClass,
+          "fisherExactTestPValueOnly",
+          a.value,
+          b.value,
+          c.value,
+          d.value,
+        )
+      ))
+    }
+
     registerSCode4(
       "chi_squared_test",
       TInt32,

hail/hail/src/is/hail/stats/package.scala

@@ -3,6 +3,8 @@ package is.hail
 import is.hail.types.physical.{PCanonicalStruct, PFloat64}
 import is.hail.utils._
 
+import scala.annotation.tailrec
+
 import net.sourceforge.jdistlib.{Beta, ChiSquare, Gamma, NonCentralChiSquare, Normal, Poisson}
 import net.sourceforge.jdistlib.disttest.{DistributionTest, TestKind}
 import org.apache.commons.math3.distribution.HypergeometricDistribution
@@ -162,45 +164,28 @@ package object stats {
   )
 
   def fisherExactTest(a: Int, b: Int, c: Int, d: Int): Array[Double] =
-    fisherExactTest(a, b, c, d, 1.0, 0.95, "two.sided")
-
-  def fisherExactTest(
-    a: Int,
-    b: Int,
-    c: Int,
-    d: Int,
-    oddsRatio: Double = 1d,
-    confidenceLevel: Double = 0.95,
-    alternative: String = "two.sided",
-  ): Array[Double] = {
+    fisherExactTest(a, b, c, d, 0.95)
 
+  def fisherExactTest(a: Int, b: Int, c: Int, d: Int, confidenceLevel: Double): Array[Double] = {
     if (!(a >= 0 && b >= 0 && c >= 0 && d >= 0))
       fatal(s"fisher_exact_test: all arguments must be non-negative, got $a, $b, $c, $d")
 
     if (confidenceLevel < 0d || confidenceLevel > 1d)
       fatal("Confidence level must be between 0 and 1")
 
-    if (oddsRatio < 0d)
-      fatal("Odds ratio must be non-negative")
-
-    if (alternative != "greater" && alternative != "less" && alternative != "two.sided")
-      fatal("Did not recognize test type string. Use one of greater, less, two.sided")
-
     val popSize = a + b + c + d
-    val numSuccessPopulation = a + c
-    val sampleSize = a + b
+    val nGood = a + c
+    val nSample = a + b
     val numSuccessSample = a
 
-    if (
-      !(popSize > 0 && sampleSize > 0 && sampleSize < popSize && numSuccessPopulation > 0 && numSuccessPopulation < popSize)
-    )
+    if (!(popSize > 0 && nSample > 0 && nSample < popSize && nGood > 0 && nGood < popSize))
       return Array(Double.NaN, Double.NaN, Double.NaN, Double.NaN)
 
     val low = math.max(0, (a + b) - (b + d))
     val high = math.min(a + b, a + c)
     val support = (low to high).toArray
 
-    val hgd = new HypergeometricDistribution(null, popSize, numSuccessPopulation, sampleSize)
+    val hgd = new HypergeometricDistribution(null, popSize, nGood, nSample)
     val epsilon = 2.220446e-16
 
     def dhyper(k: Int, logProb: Boolean): Double =
@@ -320,36 +305,74 @@ package object stats {
       }
     }
 
-    val pvalue: Double = (alternative: @unchecked) match {
-      case "less" => pnhyper(numSuccessSample, oddsRatio)
-      case "greater" => pnhyper(numSuccessSample, oddsRatio, upper_tail = true)
-      case "two.sided" =>
-        if (oddsRatio == 0)
-          if (low == numSuccessSample) 1d else 0d
-        else if (oddsRatio == Double.PositiveInfinity)
-          if (high == numSuccessSample) 1d else 0d
-        else {
-          val relErr = 1d + 1e-7
-          val d = dnhyper(oddsRatio)
-          d.filter(_ <= d(numSuccessSample - low) * relErr).sum
-        }
-    }
-
-    assert(pvalue >= 0d && pvalue <= 1.000000000002)
+    val pvalue = fisherExactTestPValueOnly(a, b, c, d)
 
     val oddsRatioEstimate = mle(numSuccessSample.toDouble)
 
-    val confInterval = alternative match {
-      case "less" => (0d, ncpUpper(numSuccessSample, 1 - confidenceLevel))
-      case "greater" => (ncpLower(numSuccessSample, 1 - confidenceLevel), Double.PositiveInfinity)
-      case "two.sided" =>
-        val alpha = (1 - confidenceLevel) / 2d
-        (ncpLower(numSuccessSample, alpha), ncpUpper(numSuccessSample, alpha))
+    val confInterval = {
+      val alpha = (1 - confidenceLevel) / 2d
+      (ncpLower(numSuccessSample, alpha), ncpUpper(numSuccessSample, alpha))
     }
 
     Array(pvalue, oddsRatioEstimate, confInterval._1, confInterval._2)
   }
 
+  def fisherExactTestPValueOnly(a: Int, b: Int, c: Int, d: Int): Double = {
+    val popSize = a + b + c + d
+    val nGood = a + c
+    val nSample = a + b
+    val numSuccessSample = a
+
+    if (!(a >= 0 && b >= 0 && c >= 0 && d >= 0))
+      fatal(s"fisher_exact_test: all arguments must be non-negative, got $a, $b, $c, $d")
+
+    if (!(popSize > 0 && nSample > 0 && nSample < popSize && nGood > 0 && nGood < popSize))
+      return Double.NaN
+
+    val hgd = new HypergeometricDistribution(null, popSize, nGood, nSample)
+
+    // Returns i in [start, end] such that a([start, i)) is <= d, and a([i, end)) is > d
+    @tailrec def upperBoundIncreasing(a: Int => Double, d: Double, start: Int, end: Int): Int = {
+      if (start >= end) return start
+      val mid = (start + end) >>> 1
+      val elt = a(mid)
+      if (elt <= d) upperBoundIncreasing(a, d, mid + 1, end)
+      else upperBoundIncreasing(a, d, start, mid)
+    }
+
+    // Returns i in [start, end] such that a([start, i)) is > d, and a([i, end)) is <= d
+    @tailrec def lowerBoundDecreasing(a: Int => Double, d: Double, start: Int, end: Int): Int = {
+      if (start >= end) return start
+      val mid = (start + end) >>> 1
+      val elt = a(mid)
+      if (elt > d) lowerBoundDecreasing(a, d, mid + 1, end)
+      else lowerBoundDecreasing(a, d, start, mid)
+    }
+
+    val epsilon = 1e-14
+    val gamma = 1 + epsilon
+
+    val mode = ((nSample + 1.0) * (nGood + 1.0) / (popSize + 2.0)).toInt
+    val pexact = hgd.probability(numSuccessSample)
+    val pmode = hgd.probability(mode)
+
+    val pvalue = if (math.abs(pexact - pmode) / math.max(pexact, pmode) <= epsilon) {
+      1.0
+    } else if (numSuccessSample < mode) {
+      val plower = hgd.cumulativeProbability(numSuccessSample)
+      val bound = lowerBoundDecreasing(hgd.probability, pexact * gamma, mode + 1, nSample + 1)
+      plower + hgd.upperCumulativeProbability(bound)
+    } else {
+      val pupper = hgd.upperCumulativeProbability(numSuccessSample)
+      val bound = upperBoundIncreasing(hgd.probability, pexact * gamma, 0, mode)
+      pupper + hgd.cumulativeProbability(bound - 1)
+    }
+
+    assert(pvalue >= 0d && pvalue <= 1.000000000002)
+
+    pvalue
+  }
+
   def dnorm(x: Double, mu: Double, sigma: Double, logP: Boolean): Double =
     Normal.density(x, mu, sigma, logP)
 

hail/hail/test/src/is/hail/stats/FisherExactTestSuite.scala

@@ -1,6 +1,7 @@
 package is.hail.stats
 
 import is.hail.HailSuite
+import is.hail.utils.D_==
 
 import org.testng.annotations.Test
 
@@ -14,9 +15,57 @@ class FisherExactTestSuite extends HailSuite {
 
     val result = fisherExactTest(a, b, c, d)
 
-    assert(math.abs(result(0) - 0.2828) < 1e-4)
-    assert(math.abs(result(1) - 0.4754059) < 1e-4)
-    assert(math.abs(result(2) - 0.122593) < 1e-4)
-    assert(math.abs(result(3) - 1.597972) < 1e-4)
+    assert(D_==(result(0), 0.2828, 1e-3))
+    assert(D_==(result(1), 0.4754059, 1e-4))
+    assert(D_==(result(2), 0.122593, 1e-4))
+    assert(D_==(result(3), 1.597972, 1e-4))
+  }
+
+  @Test def testPvalue2(): Unit = {
+    val a = 10
+    val b = 5
+    val c = 90
+    val d = 95
+
+    val result = fisherExactTest(a, b, c, d)
+
+    assert(D_==(result(0), 0.2828, 1e-3))
+  }
+
+  @Test def test_basic(): Unit = {
+    // test cases taken from scipy/stats/tests/test_stats.py
+    var res = fisherExactTestPValueOnly(14500, 20000, 30000, 40000)
+    assert(D_==(res, 0.01106, 1e-3))
+    res = fisherExactTestPValueOnly(100, 2, 1000, 5)
+    assert(D_==(res, 0.1301, 1e-3))
+    res = fisherExactTestPValueOnly(2, 7, 8, 2)
+    assert(D_==(res, 0.0230141, 1e-5))
+    res = fisherExactTestPValueOnly(5, 1, 10, 10)
+    assert(D_==(res, 0.1973244, 1e-6))
+    res = fisherExactTestPValueOnly(5, 15, 20, 20)
+    assert(D_==(res, 0.0958044, 1e-6))
+    res = fisherExactTestPValueOnly(5, 16, 20, 25)
+    assert(D_==(res, 0.1725862, 1e-5))
+    res = fisherExactTestPValueOnly(10, 5, 10, 1)
+    assert(D_==(res, 0.1973244, 1e-6))
+    res = fisherExactTestPValueOnly(5, 0, 1, 4)
+    assert(D_==(res, 0.04761904, 1e-6))
+    res = fisherExactTestPValueOnly(0, 1, 3, 2)
+    assert(res == 1.0)
+    res = fisherExactTestPValueOnly(0, 2, 6, 4)
+    assert(D_==(res, 0.4545454545))
+    res = fisherExactTestPValueOnly(2, 7, 8, 2)
+    assert(D_==(res, 0.0230141, 1e-5))
+
+    res = fisherExactTestPValueOnly(6, 37, 108, 200)
+    assert(D_==(res, 0.005092697748126))
+    res = fisherExactTestPValueOnly(22, 0, 0, 102)
+    assert(D_==(res, 7.175066786244549e-25))
+    res = fisherExactTestPValueOnly(94, 48, 3577, 16988)
+    assert(D_==(res, 2.069356340993818e-37))
+    res = fisherExactTestPValueOnly(5829225, 5692693, 5760959, 5760959)
+    assert(res <= 1e-170)
+    for ((a, b, c, d) <- Array((0, 0, 5, 10), (5, 10, 0, 0), (0, 5, 0, 10), (5, 0, 10, 0)))
+      assert(fisherExactTestPValueOnly(a, b, c, d).isNaN)
   }
 }

hail/python/hail/expr/functions.py

@@ -1133,8 +1133,8 @@ def exp(x) -> Float64Expression:
     return _func("exp", tfloat64, x)
 
 
-@typecheck(c1=expr_int32, c2=expr_int32, c3=expr_int32, c4=expr_int32)
-def fisher_exact_test(c1, c2, c3, c4) -> StructExpression:
+@typecheck(c1=expr_int32, c2=expr_int32, c3=expr_int32, c4=expr_int32, _pvalue_only=bool)
+def fisher_exact_test(c1, c2, c3, c4, *, _pvalue_only=False) -> StructExpression:
     """Calculates the p-value, odds ratio, and 95% confidence interval using
     Fisher's exact test for a 2x2 table.
 
@@ -1176,8 +1176,11 @@ def fisher_exact_test(c1, c2, c3, c4) -> StructExpression:
         `ci_95_lower (:py:data:`.tfloat64`), and `ci_95_upper`
         (:py:data:`.tfloat64`).
     """
-    ret_type = tstruct(p_value=tfloat64, odds_ratio=tfloat64, ci_95_lower=tfloat64, ci_95_upper=tfloat64)
-    return _func("fisher_exact_test", ret_type, c1, c2, c3, c4)
+    if _pvalue_only:
+        return struct(p_value=_func("fisher_exact_test_pvalue_only", tfloat64, c1, c2, c3, c4))
+    else:
+        ret_type = tstruct(p_value=tfloat64, odds_ratio=tfloat64, ci_95_lower=tfloat64, ci_95_upper=tfloat64)
+        return _func("fisher_exact_test", ret_type, c1, c2, c3, c4)
 
 
 @typecheck(x=expr_oneof(expr_float32, expr_float64, expr_ndarray(expr_float64)))