QuantileTransformer working on BigQuery, clarify that it's untested on Redshift

Author: jamesweakley

README.md

@@ -16,7 +16,7 @@ The macros are:
 | [MinMaxScaler](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.MinMaxScaler.html#sklearn.preprocessing.MinMaxScaler) | min_max_scaler | Y | Y | Y | [![example](images/min_max_scaler.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#minmaxscaler) |
 | [Normalizer](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.Normalizer.html#sklearn.preprocessing.Normalizer) | normalizer | Y | Y | Y | [![example](images/normalizer.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#normalizer) |
 | [OneHotEncoder](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.OneHotEncoder.html#sklearn.preprocessing.OneHotEncoder) | one_hot_encoder | Y | Y | Y | ![example](images/one_hot_encoder.gif) |
-| [QuantileTransformer](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.QuantileTransformer.html#sklearn.preprocessing.QuantileTransformer) | quantile_transformer | Y | N | Y | [![example](images/quantile_transformer.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#quantiletransformer-uniform-output) |
+| [QuantileTransformer](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.QuantileTransformer.html#sklearn.preprocessing.QuantileTransformer) | quantile_transformer | Y | Y | N | [![example](images/quantile_transformer.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#quantiletransformer-uniform-output) |
 | [RobustScaler](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.RobustScaler.html#sklearn.preprocessing.RobustScaler) | robust_scaler | Y | Y | Y | [![example](images/robust_scaler.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#robustscaler) |
 | [StandardScaler](https://scikit-learn.org/stable/modules/generated/sklearn.preprocessing.StandardScaler.html#sklearn.preprocessing.StandardScaler) | standard_scaler | Y | Y | Y | [![example](images/standard_scaler.png)](https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#standardscaler) |
 

dbt_project.yml

@@ -1,5 +1,5 @@
 name: 'dbt_ml_preprocessing'
-version: '0.3.0'
+version: '0.4.0'
 
 require-dbt-version: ">=0.15.1"
 

integration_tests/macros/quantile_transformer_model_macro.sql

@@ -8,7 +8,17 @@ with data as (
 select * from data
 {% endmacro %}
 
+-- other adapters we generate an empty test result to force a test pass
+{% macro bigquery__quantile_transformer_model_macro() %}
+with data as (
+
+    {{ dbt_ml_preprocessing.quantile_transformer( ref('data_quantile_transformer') ,'col_to_transform') }}
+
+)
+select * from data
+{% endmacro %}
+
 -- other adapters we generate an empty test result to force a test pass
 {% macro default__quantile_transformer_model_macro() %}
 select 1 as empty_result from (select 1) where 1=2
-{% endmacro %}
+{% endmacro %}

macros/quantile_transformer.sql

@@ -33,11 +33,42 @@ coalesce(y1 + ((x-x1)/(x2-x1)) * (y2-y1),0) as {{ source_column }}_transformed
 from linear_interpolation_variables
 {% endmacro %}
 
+{% macro bigquery__quantile_transformer(source_table,source_column,n_quantiles,output_distribution,subsample,include_columns) %}
+with quantile_values as(
+  {% for quartile_index in range(n_quantiles) %}
+    {% set quartile = quartile_index / (n_quantiles-1) %}
+    select distinct {{ quartile }} as quantile,percentile_cont({{ source_column }},{{ quartile }}) OVER() as quantile_value from {{ source_table }}
+    {% if not loop.last %} union all {% endif %}
+  {% endfor %}
+),
+-- fold all quantiles and quantile values into a single row, an array of structs that we can safely cross join on
+quantile_values_array as(
+select ARRAY_AGG(struct (quantile, quantile_value)) as quantile_values from quantile_values
+),
+-- prepare to apply linear interpolation formula
+linear_interpolation_variables as(
+  select 
+    {{include_columns}},
+    {{ source_column }} as x,
+    (select max(b.quantile) from UNNEST(quantile_values) b where b.quantile_value<a.{{ source_column }}) as y1,
+    (select min(b.quantile) from UNNEST(quantile_values) b where b.quantile_value>=a.{{ source_column }}) as y2,
+    (select max(b.quantile_value) from UNNEST(quantile_values) b where b.quantile_value<a.{{ source_column }}) as x1,
+    (select min(b.quantile_value) from UNNEST(quantile_values) b where b.quantile_value>=a.{{ source_column }}) as x2
+  from {{ source_table }} a,
+  quantile_values_array
+  where {{ source_column }} is not null
+  order by {{ source_column }}
+)
+select
+{{include_columns}},
+coalesce(y1 + ((x-x1)/(x2-x1)) * (y2-y1),0) as {{ source_column }}_transformed
+from linear_interpolation_variables
+{% endmacro %}
+
 {% macro default__quantile_transformer(source_table,source_column,n_quantiles,output_distribution,subsample,include_columns) %}
 
 {% set error_message %}
-The `quantile_transformer` macro is only supported on Snowflake at this time. It should work on other DBs, it just requires some rework.
+The `quantile_transformer` macro is only supported on Snowflake and BigQuery at this time. It should work on other DBs, it just requires some rework.
 {% endset %}
 {%- do exceptions.raise_compiler_error(error_message) -%}
-
-{% endmacro %}
+{% endmacro %}