Locklin on science

Notation as a tool for thought: Wavelets in J

Posted in J, statistical tools by Scott Locklin on November 14, 2014

I’ve recently had a need for Wavelets in my work in J. There is no wavelet toolbox in J, so, I wrote my own (to be released to pacman and github, eventually, along with a version of this blog as a “lab”). This exercise was extremely valuable in two ways. One, it improved my J-ing: I am, and will probably always remain, relatively weak of the J sauce, though  this exercise leveled up my game somewhat. Two, it vastly improved my understanding of the discrete wavelet transform algorithm. Arthur Whitney said something to the effect that you can really understand a piece of code when it all fits on one page. Well, it turns out that’s very true.

Wavelets are filters recursively applied to a timeseries. In the DWT, you’re effectively recursively subsampling and filtering a time series with a low pass filter and a high pass filter. The resulting elements are at different levels, with a remaining low pass filtered time series at the end. The operations at each level are the same. This is the well-known “pyramid algorithm” of Stephane Mallat.

In C, the way you would do the individual levels is by allocating vector with half the number of elements, then filling up each element with the correct subsampled filtered values. In J, the way you do this is by projecting the elements and the filters in the correct way, then multiplying them out and getting the answer.  J allocates more memory to do this, but it’s something that could be mitigated if it becomes a problem. As is often the case with J, the runtime of the J version, without spending a moment to optimize for space or time, is quite comparable to that of the C version; for the wavelet transform, about a factor of 2 within the C results. Here’s what a wavelet level calculation looks like in C. I took it from the excellent waveslim package in R, FWIIW:



void dwt(double *Vin, int M, int L, double *h, double *g, 
	 double *Wout, double *Vout)
{

  int n, t, u;
  for(t = 0; t < M/2; t++) {
    u = 2 * t + 1;
    Wout[t] = h[0] * Vin[u];
    Vout[t] = g[0] * Vin[u];
    for(n = 1; n < L; n++) {
      u -= 1;
      if(u < 0) u = M - 1;
      Wout[t] += h[n] * Vin[u];
      Vout[t] += g[n] * Vin[u];
    } 
  }
}

J doesn’t have functions; it has verbs. “dyad define” is for defining verbs which operate on  two ‘nouns.’ The first one comes before the verb, the second one comes after the verb. They have implied names x (left noun) and y (right noun) inside the verb. “dyad define” is almost never used by J hackers, as it evaluates to the string ‘4 : 0’ (don’t ask me; you get used to it). Similarly the monad define in the wdict verb evaluates to ‘3 : 0’; and monadic verbs only have y (right) noun inputs. The other thing to remember about J; it evaluates from right to left, like Hebrew. The following verb is for evaluating the compiled C function above, using J’s very cool FFI.

LDWT=: '/path/to/dwt.so'   NB. where your compiled C lives
dwtc=: dyad define
 'hpf lpf'=.wdict x
 Newy=.((#y)%2)#(2.2-2.2)
 Wout=.((#y)%2)#(2.2-2.2)
 cmd=. LDWT, ' dwt n *d i i *d *d *d *d'
 cmd cd (y+2.2-2.2);(<.(#y));(#hpf);hpf;lpf;Wout;Newy
 Wout;Newy
)

For purposes of this exercise, wdict is a simple dictionary that returns the boxed high pass and low pass filter. Boxing is literally the same thing as a struct in C, though in J the use of structs ends up being quite different. To save typing, I know I can derive the HPF from the LPF for a given wavelet type, which I accomplish with the HpLp verb. To get the High Pass filter from Low Pass you multiply the odd elements by -1, then rotate their order. So, in J, remembering J executes from right to left,  a monadic # with a noun to the right is the tally operation: it returns the number of elements. i. generates an integer index, so i.# is a constructor of a sequence on the number of elements in y. [: is the cap which makes the i.# group of verbs into a sequential operation, preventing it from being evaluated as a fork. _1 is -1, * is dyadic times as it is in most programming languages, and |. is the “rotate vector” verb. ;~ does magic which flips this result around, and sticks a box between original low pass value, which is represented by ] 


NB. get the high pass from the low pass, return a box list of both
HpLp =: ] ;~ |. * _1 ^ [: i. #
wdict=: monad define
 select. y
  case. 'haar' do.
   HpLp 2 # %: % ] 2
  case. 'db4' do.
   HpLp 0.482962913144534, 0.836516303737808, 0.224143868042013,  _0.12940952255126
  end.
)

If you compile the C piece and run it with the J FFI on a 2^n long vector, you’ll get the right answer. But the J implementation is cooler, and runs within a factor of 4 of the C.


oddx=: ] {~ ([: (] #~ 0 1 $~ #) [: i. [: # ]) -/ [: i. [: # [
dwt=: dyad define
'hpf lpf'=.wdict x
 yvals=. hpf oddx y
 (yvals +/ . * hpf);yvals +/ . * lpf
)

Since we used “dyad define” -we know that it takes a left and right noun argument (x and y in the verb). The way this one is used looks like this:


'db4'dwt myts

Same calling convention and comments apply to the C version. The real action of the dwt verb happens with oddx. oddx is a tacit verb. I wrote it this way for conciseness and speed. It’s not a very good tacit verb, because I am not a very good slinger of J sentences, but it does what I want it to. Unless someone smarter comes along and gives me a better idea, that’s what we’re stuck with. I am not going to give you a breakdown of how it works inside, but I will show you what it does, and how it helps encapsulate a lot of information into a very small place. oddx is a dyad; it takes x and y values. In tacit programming, the x’s and y’s are represented by [ and ] respectively, with [: as described above, as a sort of spacer between chunks. I will resist explaining all the pieces; feel free to examine it in J 8’s excellent sentence dissector. I have already explained the i. verb. The values 0:15 are created by i.16. So, a useful way to examine what this very does is to run it on something like i.16.

  (1,2)oddx i.16
1 0
3 2
5 4
7 6

Huh. So, it’s taking the y input, which is 0:15, and making two columns, which seem to be the odd and even sequence of the first 4 elements… You might guess that it is taking the size of the x noun and operating on the y input. You would guess correctly. Let’s try it on something bigger:


  (1,2,3,4)oddx i.16
 1  0 15 14
 3  2  1  0
 5  4  3  2
 7  6  5  4
 9  8  7  6
11 10  9  8
13 12 11 10
15 14 13 12

Aha, now it is starting to make sense. Let’s try something bigger still;


  (i.6)oddx i.16
 1  0 15 14 13 12
 3  2  1  0 15 14
 5  4  3  2  1  0
 7  6  5  4  3  2
 9  8  7  6  5  4
11 10  9  8  7  6
13 12 11 10  9  8
15 14 13 12 11 10

Now you can see what it does. The columns alternate between odd and even values of y. The rows are the rotated versions of the first two. The more values you add, the deeper the rotation becomes. Why did I do this? Well, a wavelet is these very index elements, multiplied by the high pass and low pass filters. If you look at the last two lines of the dwt verb, you can see it:


 yvals=. hpf oddx y
(yvals +/ . * hpf);yvals +/ . * lpf

yvals contains the rotated elements. The next line contains two pieces. The  one on the right is the rotated yvalues array multiplied (+/ . * is matrix multiplication) by the low pass filter. The invocation of oddx happens with hpf, but it could take lpf; it is just using the size of the filter to construct the rotated matrix for multiplication.  This is the wavelet decimated y, which you need to reconstruct the time series.  The next one is the rotated yvalues multiplied by the high pass filter. This is the level 1 wavelet. They are separated by a ‘;’ which puts them in “boxed” form (remember: typeless structs), so the decimated yvalues and the level 1 wavelet are separated. There is probably a way of making this a one liner using forks and such, but at my present state of enlightenment, it’s not obvious, and this suits me just fine for clarity and runtime sake. Now, almost nobody cares about the level1 wavelets; usually you want a couple of levels of wavelets, so you need a way to recursively apply this guy to the results. I used the power conjunction.  Raul Miller fixed up my messy verb into a very clear adverb on the J-programming list.


dwtL=: adverb define
:
 'wn yn'=. m dwt y
  wn; (<:x) (m dwtL)^:(x>1) yn
)

You’d call it like this

2 ‘db4’ dwtL  y

Adverbs  return verbs based on modifiers. In this case the adverb returns a dyadic verb modified by m, which in this case is the kind of wavelet.  dwtL is a dyad.  Kind is the kind of wavelet (‘db4’ and ‘haar’ are the only ones defined in wdict monad above). You can see dwt being used to calculate the decimated yn and wn wavelet. The tricky piece is the last line. This is the power conjunction; the ^:(lev>1) piece. dyadic ‘>’ does what it does in regular programming languages (in this case anyway). It checks if lev is > 1, and the ^: power verb calls dwtL recursively as long as this is true. More or less, this is a while loop. At the front of the dwtL call, you can see wn being prepended to the output with a ; to box it. You can also see a (<:lev). This is a decrement operator on the noun ‘lev.’ So, the level is called until it is at 1. The wavelet levels are prepended, and you end up with a boxed set of all the wavelets from 1:Level, with the decimated y stuck at the end. Once you grasp how the power conjunction works, this is a really obvious and sweet implementation of Mallat’s “pyramid algorithm” for calculating the levels of wavelets.

Taking the inverse wavelet transform is conceptually more difficult, since you’re stitching together the values of y with the different levels of wavelet.  There is more than one way to skin this cat, but the way I was thinking when I wrote these verbs was “how do I go from the smaller/subsampled values to the next level up in y in the reverse pyramid algorithm?”

First, I needed to rearrange my mother wavelets to do the inverse. I needed a verb like this:


filtrot =: [: |: [: |. (2 ,~ 2 %~ [: # [) $ [: |. ]

You can see what it does if you apply it to i.4 or i.8


filtrot i.4
1 3
0 2
filtrot i.8
1 3 5 7
0 2 4 6

Next, I need a verb which rearranges the values of the input such that it is aware of the shape of the rotated mother wavelet pattern. This was hairy, but I did it with the following verb, which takes the rotated wavelet as the x value, and the yval or wavelet level as the y value:

drot =:   ] {~ ([: i. [: # ]) +/ 0 , (_1 * [: # ]) + [: }. [: i. [: # [: {. [

You can see how it works like this


(filtrot i.4) drot i.8

0 1
1 2
2 3
3 4
4 5
5 6
6 7
7 0

(filtrot i.6) drot i.8
0 1 2
1 2 3
2 3 4
3 4 5
4 5 6
5 6 7
6 7 0
7 0 1

As you can see, the pattern is to rotate the original values in the opposite direction as you did with the wavelet transform.

Finally, I need to double these guys up, and element-wise multiply them to the correct number of rotated wavelets. For the double up part, ‘2 #’ is the correct verb. Notice it is # called dyadically. Dyadic overloadings of monadic verbs is confusing at first, but you get used to it.


2 #   2 # (filtrot i.4) drot i.8
0 1
0 1
1 2
1 2
2 3
2 3
3 4
3 4
4 5
4 5
5 6
5 6
6 7
6 7
7 0
7 0

Putting it all together with the element wise multiplication, we use the verb “reducer.” I’m getting tired of explaining what all the pieces do, so I’ll write it in explicit to tacit (13: gives explicit to tacit) form to show all the implied x’s and y’s, and point you to the documents for $/shape:


13 : ' (2 # (x drot y)) * ((2*#y)$x)'
reducer=: (2 # drot) * [ $~ 2 * [: # ]

Finally combining into the following:


idwt=: dyad define
'wv yl' =. y
'hpf lpf'=. filtrot each wdict x
+/"1 (lpf reducer yl) + hpf reducer wv
)

So, the inverse transform runs the reducer on the wavelet, the decimated y, and then adds them together.

The real sweet part is running the inverse on all the levels. When I first encountered the / adverb, I thought it was sort of like “apply.” This is wrong; what it does exactly is stick a copy of the verb which comes before it in between all the values of what comes after it. Since you’ve stacked all these wavelets together in a convenient way, you can use the / adverb to stick the inverse transform operator between all the wavelets. You need a few extra pieces to make it evaluate properly, but since J evaluates from right to left, and the decimated values are on the far left; this is  a very satisfying inverse.


idwtL=: dyad  define
idw =. [: < [: x&idwt ,
> idw/y
)

I’m sure dwtL and idwtL  could be compressed into a one liner, and it could be read by someone familiar enough with tacit J programming. But this is a good level of abstraction for me. It’s remarkable that the performance is as good as it is, as I basically just wrote down the first verbs which occurred to me (the inverse is fairly inefficient: OCaML speed instead of C speed). I’ve used wavelets for years; they’re very handy things for signal processing, and I have even written code to calculate them before. Writing them down in J really brought my understanding of what they are to a new level. In an ideal world, people would write algorithms in this compressed form, so that mathematicians, engineers and computer scientists could communicate ideas more clearly and concisely. Alas, Iverson’s dream of notation as a tool of thought hasn’t yet caught on. Maybe some day. While something like J is confusing to people who have been programming for years, there is nothing inherently difficult about it. Various educators have been teaching J to kids in grammar school. It’s actually very simple compared to something like C, and since it has many similarities to ordinary written language, for kids it might even be simpler. Maybe some day.

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4 Responses

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  1. John Baker said, on November 14, 2014 at 9:05 pm

    Very nice. J is one of a handful of programming languages that rewards essential coding. If you suspect there is still dross in your code and that a more succinct solution is possible you are usually right and because you haven’t exhausted yourself writing scores of what you once called “ceremony lines” you still have energy left to look for it.

    • Scott Locklin said, on November 15, 2014 at 3:41 am

      Raul was already kind enough to point out some slop in my code in a PM.
      oddx=: (-/~ ] #~ 0 1 $~ #)&(i.@#) { ]
      filtrot =: [: |: _2 ]\ ]

      Haven’t tested ’em yet; been working all the live long day, but I’ll give them a shot this weekend. Oddx looks like a winner for sure.

  2. oldmanchris said, on March 7, 2015 at 4:57 pm

    Sorry your political writing seems to have died. I always enjoyed it, here and elsewhere.

    • mr. tumnis said, on August 7, 2015 at 8:19 pm

      Seconded


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