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How to fill intervals under KDE curve with different colors

I am looking for a way to color the intervals below the curve with different colors; on the interval x < 0, I would like to fill the area under the curve with one color and on the interval x >= 0 with another color, like the following image:
This is the code for basic kde plot:
fig, (ax1) = plt.subplots(1, 1, figsize = ((plot_size + 1.5) * 1,(plot_size + 1.5)))
sns.kdeplot(data=pd.DataFrame(w_contrast, columns=['contrast']), x="contrast", ax=ax1);
ax1.set_xlabel(f"Dry Yield Posterior Contrast (kg)");
Is there a way to fill the area under the curve with different colors using seaborn?

seaborn is a high level api for matplotlib, so the curve will have to be calculated; similar to, but simpler than this answer.
Calculate the values for the kde curve with scipy.stats.gaussian_kde
Use matplotlib.pyplot.fill_between to fill the areas.
Use scipy.integrate.simpson to calculate the area under the curve, which will be passed to matplotlib.pyplot.annotate to annotate.
import seaborn as sns
from scipy.stats import gaussian_kde
from scipy.integrate import simps
import numpy as np
# load sample data
df = sns.load_dataset('planets')
# create the kde model
kde = gaussian_kde(df.mass.dropna())
# plot
fig, ax = plt.subplots(figsize=(9, 6))
g = sns.kdeplot(data=df.mass, ax=ax, c='k')
# remove margins; optional
g.margins(x=0, y=0)
# get the min and max of the x-axis
xmin, xmax = g.get_xlim()
# create points between the min and max
x = np.linspace(xmin, xmax, 1000)
# calculate the y values from the model
kde_y = kde(x)
# select x values below 0
x0 = x[x < 0]
# get the len, which will be used for slicing the other arrays
x0_len = len(x0)
# slice the arrays
y0 = kde_y[:x0_len]
x1 = x[x0_len:]
y1 = kde_y[x0_len:]
# calculate the area under the curves
area0 = np.round(simps(y0, x0, dx=1) * 100, 0)
area1 = np.round(simps(y1, x1, dx=1) * 100, 0)
# fill the areas
g.fill_between(x=x0, y1=y0, color='r', alpha=.5)
g.fill_between(x=x1, y1=y1, color='b', alpha=.5)
# annotate
g.annotate(f'{area0:.0f}%', xy=(-1, 0.075), xytext=(10, 0.150), arrowprops=dict(arrowstyle="->", color='r', alpha=.5))
g.annotate(f'{area1:.0f}%', xy=(1, 0.05), xytext=(10, 0.125), arrowprops=dict(arrowstyle="->", color='b', alpha=.5))

Find non overlapping area between two kde plots

I was attempting to determine whether a feature is important or not base on its kde distribution for target variable. I am aware how to plot the kde plot and guess after looking at the plots, but is there a more formal doing this? Such as can we calculate the area of non overlapping area between two curves?
When I googled for the area between two curves there are many many links but none of them could solve my exact problem.
NOTE:
The main aim of this plot is to find whether the feature is important or not. So, please suggest me further if I am missing any hidden concepts here.
What I am trying to do is set some threshold such as 0.2, if the non-overlapping area > 0.2, then assert that the feature is important, otherwise not.
MWE:
import numpy as np
import pandas as pd
import seaborn as sns
import matplotlib.pyplot as plt
df = sns.load_dataset('titanic')
x0 = df.loc[df['survived']==0,'fare']
x1 = df.loc[df['survived']==1,'fare']
sns.kdeplot(x0,shade=1)
sns.kdeplot(x1,shade=1)
Output
Similar links
Fill area of overlap between two normal distributions in seaborn / matplotlib
Python: Overlap between two functions (PDF of kde and normal)
Fill area between two curves in python

Here are my ideas about the computational part of the question:
In order to compare the kde's, they need to be calculated with the same bandwidth. (The default bandwidth depends on the number of x-values, which can be different for both sets.)
The intersection of two positive curves is just their minimum.
The area of a curve can be approximated via the trapezium rule: np.trapz.
Here are these ideas converted to some example code and illustrating plot:
import numpy as np
import pandas as pd
import seaborn as sns
import matplotlib.pyplot as plt
from scipy.stats import gaussian_kde
df = sns.load_dataset('titanic')
x0 = df.loc[df['survived'] == 0, 'fare']
x1 = df.loc[df['survived'] == 1, 'fare']
kde0 = gaussian_kde(x0, bw_method=0.3)
kde1 = gaussian_kde(x1, bw_method=0.3)
xmin = min(x0.min(), x1.min())
xmax = max(x0.max(), x1.max())
dx = 0.2 * (xmax - xmin) # add a 20% margin, as the kde is wider than the data
xmin -= dx
xmax += dx
x = np.linspace(xmin, xmax, 500)
kde0_x = kde0(x)
kde1_x = kde1(x)
inters_x = np.minimum(kde0_x, kde1_x)
plt.plot(x, kde0_x, color='b', label='No')
plt.fill_between(x, kde0_x, 0, color='b', alpha=0.2)
plt.plot(x, kde1_x, color='orange', label='Yes')
plt.fill_between(x, kde1_x, 0, color='orange', alpha=0.2)
plt.plot(x, inters_x, color='r')
plt.fill_between(x, inters_x, 0, facecolor='none', edgecolor='r', hatch='xx', label='intersection')
area_inters_x = np.trapz(inters_x, x)
handles, labels = plt.gca().get_legend_handles_labels()
labels[2] += f': {area_inters_x * 100:.1f} %'
plt.legend(handles, labels, title='Survived?')
plt.title('Fare vs Survived')
plt.tight_layout()
plt.show()

Plot a Correlation Circle in Python

I've been doing some Geometrical Data Analysis (GDA) such as Principal Component Analysis (PCA). I'm looking to plot a Correlation Circle... these look a bit like this:
Basically, it allows to measure to which extend the Eigenvalue / Eigenvector of a variable is correlated to the principal components (dimensions) of a dataset.
Anyone knows if there is a python package that plots such data visualization?

Here is a simple example using sklearn and the iris dataset. Includes both the factor map for the first two dimensions and a scree plot:
from sklearn.decomposition import PCA
import seaborn as sns
import numpy as np
import matplotlib.pyplot as plt
df = sns.load_dataset('iris')
n_components = 4
# Do the PCA.
pca = PCA(n_components=n_components)
reduced = pca.fit_transform(df[['sepal_length', 'sepal_width',
'petal_length', 'petal_width']])
# Append the principle components for each entry to the dataframe
for i in range(0, n_components):
df['PC' + str(i + 1)] = reduced[:, i]
display(df.head())
# Do a scree plot
ind = np.arange(0, n_components)
(fig, ax) = plt.subplots(figsize=(8, 6))
sns.pointplot(x=ind, y=pca.explained_variance_ratio_)
ax.set_title('Scree plot')
ax.set_xticks(ind)
ax.set_xticklabels(ind)
ax.set_xlabel('Component Number')
ax.set_ylabel('Explained Variance')
plt.show()
# Show the points in terms of the first two PCs
g = sns.lmplot('PC1',
'PC2',
hue='species',data=df,
fit_reg=False,
scatter=True,
size=7)
plt.show()
# Plot a variable factor map for the first two dimensions.
(fig, ax) = plt.subplots(figsize=(8, 8))
for i in range(0, pca.components_.shape[1]):
ax.arrow(0,
0, # Start the arrow at the origin
pca.components_[0, i], #0 for PC1
pca.components_[1, i], #1 for PC2
head_width=0.1,
head_length=0.1)
plt.text(pca.components_[0, i] + 0.05,
pca.components_[1, i] + 0.05,
df.columns.values[i])
an = np.linspace(0, 2 * np.pi, 100)
plt.plot(np.cos(an), np.sin(an)) # Add a unit circle for scale
plt.axis('equal')
ax.set_title('Variable factor map')
plt.show()
It'd be a good exercise to extend this to further PCs, to deal with scaling if all components are small, and to avoid plotting factors with minimal contributions.

I agree it's a pity not to have it in some mainstream package such as sklearn.
Here is a home-made implementation:
https://github.com/mazieres/analysis/blob/master/analysis.py#L19-34

Dividing matplotlib histogram by maximum bin value

I want to plot multiple histograms on the same plot and I need to compare the spread of the data. I want to do this by dividing each histogram by its maximum value so all the distributions have the same scale. However, the way matplotlib's histogram function works, I have not found an easy way to do this.
This is because n in
n, bins, patches = ax1.hist(y, bins = 20, histtype = 'step', color = 'k')
Is the number of counts in each bin but I can not repass this to hist since it will recalculate.
I have attempted the norm and density functions but these normalise the area of the distributions, rather than the height of the distribution. I could duplicate n and then repeat the bin edges using the bins output but this is tedious. Surely the hist function must allow for the bins values to be divided by a constant?
Example code is below, demonstrating the problem.
y1 = np.random.randn(100)
y2 = 2*np.random.randn(50)
x1 = np.linspace(1,101,100)
x2 = np.linspace(1,51,50)
gs = plt.GridSpec(1,2, wspace = 0, width_ratios = [3,1])
ax = plt.subplot(gs[0])
ax1 = plt.subplot(gs[1])
ax1.yaxis.set_ticklabels([]) # remove the major ticks
ax.scatter(x1, y1, marker='+',color = 'k')#, c=SNR, cmap=plt.cm.Greys)
ax.scatter(x2, y2, marker='o',color = 'k')#, c=SNR, cmap=plt.cm.Greys)
n1, bins1, patches1 = ax1.hist(y1, bins = 20, histtype = 'step', color = 'k',linewidth = 2, orientation = 'horizontal')
n2, bins2, patched2 = ax1.hist(y2, bins = 20, histtype = 'step', linestyle = 'dashed', color = 'k', orientation = 'horizontal')

I do not know whether matplotlib allows this normalisation by default but I wrote a function to do it myself.
It takes the output of n and bins from plt.hist (as above) and then passes this through the function below.
def hist_norm_height(n,bins,const):
''' Function to normalise bin height by a constant.
Needs n and bins from np.histogram or ax.hist.'''
n = np.repeat(n,2)
n = float32(n) / const
new_bins = [bins[0]]
new_bins.extend(np.repeat(bins[1:],2))
return n,new_bins[:-1]
To plot now (I like step histograms), you pass it to plt.step.
Such as plt.step(new_bins,n). This will give you a histogram with height normalised by a constant.

You can assign the argument bins equal to a list of values. Use np.arange() or np.linspace() to generate the values. http://matplotlib.org/api/axes_api.html?highlight=hist#matplotlib.axes.Axes.hist

Slightly different approach set up for comparisons. Could be adapted to the step style:
# -*- coding: utf-8 -*-
import matplotlib.pyplot as plt
import numpy as np
y = []
y.append(np.random.normal(2, 2, size=40))
y.append(np.random.normal(3, 1.5, size=40))
y.append(np.random.normal(4,4,size=40))
ls = ['dashed','dotted','solid']
fig, (ax1, ax2, ax3) = plt.subplots(ncols=3)
for l, data in zip(ls, y):
n, b, p = ax1.hist(data, normed=False,
#histtype='step', #step's too much of a pain to get the bins
#color='k', linestyle=l,
alpha=0.2
)
ax2.hist(data, normed=True,
#histtype = 'step', color='k', linestyle=l,
alpha=0.2
)
n, b, p = ax3.hist(data, normed=False,
#histtype='step', #step's too much of a pain to get the bins
#color='k', linestyle=l,
alpha=0.2
)
high = float(max([r.get_height() for r in p]))
for r in p:
r.set_height(r.get_height()/high)
ax3.add_patch(r)
ax3.set_ylim(0,1)
ax1.set_title('hist')
ax2.set_title('area==1')
ax3.set_title('fix height')
plt.show()
a couple outputs:

This can be accomplished using numpy to obtain a priori histogram values, and then plotting them with a bar plot.
import numpy as np
import matplotlib.pyplot as plt
# Define random data and number of bins to use
x = np.random.randn(1000)
bins = 10
plt.figure()
# Obtain the bin values and edges using numpy
hist, bin_edges = np.histogram(x, bins=bins, density=True)
# Plot bars with the proper positioning, height, and width.
plt.bar(
(bin_edges[1:] + bin_edges[:-1]) * .5, hist / hist.max(),
width=(bin_edges[1] - bin_edges[0]), color="blue")
plt.show()

Generate a heatmap using a scatter data set

I have a set of X,Y data points (about 10k) that are easy to plot as a scatter plot but that I would like to represent as a heatmap.
I looked through the examples in Matplotlib and they all seem to already start with heatmap cell values to generate the image.
Is there a method that converts a bunch of x, y, all different, to a heatmap (where zones with higher frequency of x, y would be "warmer")?

If you don't want hexagons, you can use numpy's histogram2d function:
import numpy as np
import numpy.random
import matplotlib.pyplot as plt
# Generate some test data
x = np.random.randn(8873)
y = np.random.randn(8873)
heatmap, xedges, yedges = np.histogram2d(x, y, bins=50)
extent = [xedges[0], xedges[-1], yedges[0], yedges[-1]]
plt.clf()
plt.imshow(heatmap.T, extent=extent, origin='lower')
plt.show()
This makes a 50x50 heatmap. If you want, say, 512x384, you can put bins=(512, 384) in the call to histogram2d.
Example:

In Matplotlib lexicon, i think you want a hexbin plot.
If you're not familiar with this type of plot, it's just a bivariate histogram in which the xy-plane is tessellated by a regular grid of hexagons.
So from a histogram, you can just count the number of points falling in each hexagon, discretiize the plotting region as a set of windows, assign each point to one of these windows; finally, map the windows onto a color array, and you've got a hexbin diagram.
Though less commonly used than e.g., circles, or squares, that hexagons are a better choice for the geometry of the binning container is intuitive:
hexagons have nearest-neighbor symmetry (e.g., square bins don't,
e.g., the distance from a point on a square's border to a point
inside that square is not everywhere equal) and
hexagon is the highest n-polygon that gives regular plane
tessellation (i.e., you can safely re-model your kitchen floor with hexagonal-shaped tiles because you won't have any void space between the tiles when you are finished--not true for all other higher-n, n >= 7, polygons).
(Matplotlib uses the term hexbin plot; so do (AFAIK) all of the plotting libraries for R; still i don't know if this is the generally accepted term for plots of this type, though i suspect it's likely given that hexbin is short for hexagonal binning, which is describes the essential step in preparing the data for display.)
from matplotlib import pyplot as PLT
from matplotlib import cm as CM
from matplotlib import mlab as ML
import numpy as NP
n = 1e5
x = y = NP.linspace(-5, 5, 100)
X, Y = NP.meshgrid(x, y)
Z1 = ML.bivariate_normal(X, Y, 2, 2, 0, 0)
Z2 = ML.bivariate_normal(X, Y, 4, 1, 1, 1)
ZD = Z2 - Z1
x = X.ravel()
y = Y.ravel()
z = ZD.ravel()
gridsize=30
PLT.subplot(111)
# if 'bins=None', then color of each hexagon corresponds directly to its count
# 'C' is optional--it maps values to x-y coordinates; if 'C' is None (default) then
# the result is a pure 2D histogram
PLT.hexbin(x, y, C=z, gridsize=gridsize, cmap=CM.jet, bins=None)
PLT.axis([x.min(), x.max(), y.min(), y.max()])
cb = PLT.colorbar()
cb.set_label('mean value')
PLT.show()

Edit: For a better approximation of Alejandro's answer, see below.
I know this is an old question, but wanted to add something to Alejandro's anwser: If you want a nice smoothed image without using py-sphviewer you can instead use np.histogram2d and apply a gaussian filter (from scipy.ndimage.filters) to the heatmap:
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.cm as cm
from scipy.ndimage.filters import gaussian_filter
def myplot(x, y, s, bins=1000):
heatmap, xedges, yedges = np.histogram2d(x, y, bins=bins)
heatmap = gaussian_filter(heatmap, sigma=s)
extent = [xedges[0], xedges[-1], yedges[0], yedges[-1]]
return heatmap.T, extent
fig, axs = plt.subplots(2, 2)
# Generate some test data
x = np.random.randn(1000)
y = np.random.randn(1000)
sigmas = [0, 16, 32, 64]
for ax, s in zip(axs.flatten(), sigmas):
if s == 0:
ax.plot(x, y, 'k.', markersize=5)
ax.set_title("Scatter plot")
else:
img, extent = myplot(x, y, s)
ax.imshow(img, extent=extent, origin='lower', cmap=cm.jet)
ax.set_title("Smoothing with $\sigma$ = %d" % s)
plt.show()
Produces:
The scatter plot and s=16 plotted on top of eachother for Agape Gal'lo (click for better view):
One difference I noticed with my gaussian filter approach and Alejandro's approach was that his method shows local structures much better than mine. Therefore I implemented a simple nearest neighbour method at pixel level. This method calculates for each pixel the inverse sum of the distances of the n closest points in the data. This method is at a high resolution pretty computationally expensive and I think there's a quicker way, so let me know if you have any improvements.
Update: As I suspected, there's a much faster method using Scipy's scipy.cKDTree. See Gabriel's answer for the implementation.
Anyway, here's my code:
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.cm as cm
def data_coord2view_coord(p, vlen, pmin, pmax):
dp = pmax - pmin
dv = (p - pmin) / dp * vlen
return dv
def nearest_neighbours(xs, ys, reso, n_neighbours):
im = np.zeros([reso, reso])
extent = [np.min(xs), np.max(xs), np.min(ys), np.max(ys)]
xv = data_coord2view_coord(xs, reso, extent[0], extent[1])
yv = data_coord2view_coord(ys, reso, extent[2], extent[3])
for x in range(reso):
for y in range(reso):
xp = (xv - x)
yp = (yv - y)
d = np.sqrt(xp**2 + yp**2)
im[y][x] = 1 / np.sum(d[np.argpartition(d.ravel(), n_neighbours)[:n_neighbours]])
return im, extent
n = 1000
xs = np.random.randn(n)
ys = np.random.randn(n)
resolution = 250
fig, axes = plt.subplots(2, 2)
for ax, neighbours in zip(axes.flatten(), [0, 16, 32, 64]):
if neighbours == 0:
ax.plot(xs, ys, 'k.', markersize=2)
ax.set_aspect('equal')
ax.set_title("Scatter Plot")
else:
im, extent = nearest_neighbours(xs, ys, resolution, neighbours)
ax.imshow(im, origin='lower', extent=extent, cmap=cm.jet)
ax.set_title("Smoothing over %d neighbours" % neighbours)
ax.set_xlim(extent[0], extent[1])
ax.set_ylim(extent[2], extent[3])
plt.show()
Result:

Instead of using np.hist2d, which in general produces quite ugly histograms, I would like to recycle py-sphviewer, a python package for rendering particle simulations using an adaptive smoothing kernel and that can be easily installed from pip (see webpage documentation). Consider the following code, which is based on the example:
import numpy as np
import numpy.random
import matplotlib.pyplot as plt
import sphviewer as sph
def myplot(x, y, nb=32, xsize=500, ysize=500):
xmin = np.min(x)
xmax = np.max(x)
ymin = np.min(y)
ymax = np.max(y)
x0 = (xmin+xmax)/2.
y0 = (ymin+ymax)/2.
pos = np.zeros([len(x),3])
pos[:,0] = x
pos[:,1] = y
w = np.ones(len(x))
P = sph.Particles(pos, w, nb=nb)
S = sph.Scene(P)
S.update_camera(r='infinity', x=x0, y=y0, z=0,
xsize=xsize, ysize=ysize)
R = sph.Render(S)
R.set_logscale()
img = R.get_image()
extent = R.get_extent()
for i, j in zip(xrange(4), [x0,x0,y0,y0]):
extent[i] += j
print extent
return img, extent
fig = plt.figure(1, figsize=(10,10))
ax1 = fig.add_subplot(221)
ax2 = fig.add_subplot(222)
ax3 = fig.add_subplot(223)
ax4 = fig.add_subplot(224)
# Generate some test data
x = np.random.randn(1000)
y = np.random.randn(1000)
#Plotting a regular scatter plot
ax1.plot(x,y,'k.', markersize=5)
ax1.set_xlim(-3,3)
ax1.set_ylim(-3,3)
heatmap_16, extent_16 = myplot(x,y, nb=16)
heatmap_32, extent_32 = myplot(x,y, nb=32)
heatmap_64, extent_64 = myplot(x,y, nb=64)
ax2.imshow(heatmap_16, extent=extent_16, origin='lower', aspect='auto')
ax2.set_title("Smoothing over 16 neighbors")
ax3.imshow(heatmap_32, extent=extent_32, origin='lower', aspect='auto')
ax3.set_title("Smoothing over 32 neighbors")
#Make the heatmap using a smoothing over 64 neighbors
ax4.imshow(heatmap_64, extent=extent_64, origin='lower', aspect='auto')
ax4.set_title("Smoothing over 64 neighbors")
plt.show()
which produces the following image:
As you see, the images look pretty nice, and we are able to identify different substructures on it. These images are constructed spreading a given weight for every point within a certain domain, defined by the smoothing length, which in turns is given by the distance to the closer nb neighbor (I've chosen 16, 32 and 64 for the examples). So, higher density regions typically are spread over smaller regions compared to lower density regions.
The function myplot is just a very simple function that I've written in order to give the x,y data to py-sphviewer to do the magic.

If you are using 1.2.x
import numpy as np
import matplotlib.pyplot as plt
x = np.random.randn(100000)
y = np.random.randn(100000)
plt.hist2d(x,y,bins=100)
plt.show()

Seaborn now has the jointplot function which should work nicely here:
import numpy as np
import seaborn as sns
import matplotlib.pyplot as plt
# Generate some test data
x = np.random.randn(8873)
y = np.random.randn(8873)
sns.jointplot(x=x, y=y, kind='hex')
plt.show()

Here's Jurgy's great nearest neighbour approach but implemented using scipy.cKDTree. In my tests it's about 100x faster.
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.cm as cm
from scipy.spatial import cKDTree
def data_coord2view_coord(p, resolution, pmin, pmax):
dp = pmax - pmin
dv = (p - pmin) / dp * resolution
return dv
n = 1000
xs = np.random.randn(n)
ys = np.random.randn(n)
resolution = 250
extent = [np.min(xs), np.max(xs), np.min(ys), np.max(ys)]
xv = data_coord2view_coord(xs, resolution, extent[0], extent[1])
yv = data_coord2view_coord(ys, resolution, extent[2], extent[3])
def kNN2DDens(xv, yv, resolution, neighbours, dim=2):
"""
"""
# Create the tree
tree = cKDTree(np.array([xv, yv]).T)
# Find the closest nnmax-1 neighbors (first entry is the point itself)
grid = np.mgrid[0:resolution, 0:resolution].T.reshape(resolution**2, dim)
dists = tree.query(grid, neighbours)
# Inverse of the sum of distances to each grid point.
inv_sum_dists = 1. / dists[0].sum(1)
# Reshape
im = inv_sum_dists.reshape(resolution, resolution)
return im
fig, axes = plt.subplots(2, 2, figsize=(15, 15))
for ax, neighbours in zip(axes.flatten(), [0, 16, 32, 63]):
if neighbours == 0:
ax.plot(xs, ys, 'k.', markersize=5)
ax.set_aspect('equal')
ax.set_title("Scatter Plot")
else:
im = kNN2DDens(xv, yv, resolution, neighbours)
ax.imshow(im, origin='lower', extent=extent, cmap=cm.Blues)
ax.set_title("Smoothing over %d neighbours" % neighbours)
ax.set_xlim(extent[0], extent[1])
ax.set_ylim(extent[2], extent[3])
plt.savefig('new.png', dpi=150, bbox_inches='tight')

and the initial question was... how to convert scatter values to grid values, right?
histogram2d does count the frequency per cell, however, if you have other data per cell than just the frequency, you'd need some additional work to do.
x = data_x # between -10 and 4, log-gamma of an svc
y = data_y # between -4 and 11, log-C of an svc
z = data_z #between 0 and 0.78, f1-values from a difficult dataset
So, I have a dataset with Z-results for X and Y coordinates. However, I was calculating few points outside the area of interest (large gaps), and heaps of points in a small area of interest.
Yes here it becomes more difficult but also more fun. Some libraries (sorry):
from matplotlib import pyplot as plt
from matplotlib import cm
import numpy as np
from scipy.interpolate import griddata
pyplot is my graphic engine today,
cm is a range of color maps with some initeresting choice.
numpy for the calculations,
and griddata for attaching values to a fixed grid.
The last one is important especially because the frequency of xy points is not equally distributed in my data. First, let's start with some boundaries fitting to my data and an arbitrary grid size. The original data has datapoints also outside those x and y boundaries.
#determine grid boundaries
gridsize = 500
x_min = -8
x_max = 2.5
y_min = -2
y_max = 7
So we have defined a grid with 500 pixels between the min and max values of x and y.
In my data, there are lots more than the 500 values available in the area of high interest; whereas in the low-interest-area, there are not even 200 values in the total grid; between the graphic boundaries of x_min and x_max there are even less.
So for getting a nice picture, the task is to get an average for the high interest values and to fill the gaps elsewhere.
I define my grid now. For each xx-yy pair, i want to have a color.
xx = np.linspace(x_min, x_max, gridsize) # array of x values
yy = np.linspace(y_min, y_max, gridsize) # array of y values
grid = np.array(np.meshgrid(xx, yy.T))
grid = grid.reshape(2, grid.shape[1]*grid.shape[2]).T
Why the strange shape? scipy.griddata wants a shape of (n, D).
Griddata calculates one value per point in the grid, by a predefined method.
I choose "nearest" - empty grid points will be filled with values from the nearest neighbor. This looks as if the areas with less information have bigger cells (even if it is not the case). One could choose to interpolate "linear", then areas with less information look less sharp. Matter of taste, really.
points = np.array([x, y]).T # because griddata wants it that way
z_grid2 = griddata(points, z, grid, method='nearest')
# you get a 1D vector as result. Reshape to picture format!
z_grid2 = z_grid2.reshape(xx.shape[0], yy.shape[0])
And hop, we hand over to matplotlib to display the plot
fig = plt.figure(1, figsize=(10, 10))
ax1 = fig.add_subplot(111)
ax1.imshow(z_grid2, extent=[x_min, x_max,y_min, y_max, ],
origin='lower', cmap=cm.magma)
ax1.set_title("SVC: empty spots filled by nearest neighbours")
ax1.set_xlabel('log gamma')
ax1.set_ylabel('log C')
plt.show()
Around the pointy part of the V-Shape, you see I did a lot of calculations during my search for the sweet spot, whereas the less interesting parts almost everywhere else have a lower resolution.

Make a 2-dimensional array that corresponds to the cells in your final image, called say heatmap_cells and instantiate it as all zeroes.
Choose two scaling factors that define the difference between each array element in real units, for each dimension, say x_scale and y_scale. Choose these such that all your datapoints will fall within the bounds of the heatmap array.
For each raw datapoint with x_value and y_value:
heatmap_cells[floor(x_value/x_scale),floor(y_value/y_scale)]+=1

Very similar to #Piti's answer, but using 1 call instead of 2 to generate the points:
import numpy as np
import matplotlib.pyplot as plt
pts = 1000000
mean = [0.0, 0.0]
cov = [[1.0,0.0],[0.0,1.0]]
x,y = np.random.multivariate_normal(mean, cov, pts).T
plt.hist2d(x, y, bins=50, cmap=plt.cm.jet)
plt.show()
Output:

Here's one I made on a 1 Million point set with 3 categories (colored Red, Green, and Blue). Here's a link to the repository if you'd like to try the function. Github Repo
histplot(
X,
Y,
labels,
bins=2000,
range=((-3,3),(-3,3)),
normalize_each_label=True,
colors = [
[1,0,0],
[0,1,0],
[0,0,1]],
gain=50)

I'm afraid I'm a little late to the party but I had a similar question a while ago. The accepted answer (by #ptomato) helped me out but I'd also want to post this in case it's of use to someone.
''' I wanted to create a heatmap resembling a football pitch which would show the different actions performed '''
import numpy as np
import matplotlib.pyplot as plt
import random
#fixing random state for reproducibility
np.random.seed(1234324)
fig = plt.figure(12)
ax1 = fig.add_subplot(121)
ax2 = fig.add_subplot(122)
#Ratio of the pitch with respect to UEFA standards
hmap= np.full((6, 10), 0)
#print(hmap)
xlist = np.random.uniform(low=0.0, high=100.0, size=(20))
ylist = np.random.uniform(low=0.0, high =100.0, size =(20))
#UEFA Pitch Standards are 105m x 68m
xlist = (xlist/100)*10.5
ylist = (ylist/100)*6.5
ax1.scatter(xlist,ylist)
#int of the co-ordinates to populate the array
xlist_int = xlist.astype (int)
ylist_int = ylist.astype (int)
#print(xlist_int, ylist_int)
for i, j in zip(xlist_int, ylist_int):
#this populates the array according to the x,y co-ordinate values it encounters
hmap[j][i]= hmap[j][i] + 1
#Reversing the rows is necessary
hmap = hmap[::-1]
#print(hmap)
im = ax2.imshow(hmap)
Here's the result

None of these solutions worked for my application, so this is what I came up with. Essentially I am placing a 2D Gaussian at every single point:
import cv2
import numpy as np
import matplotlib.pyplot as plt
def getGaussian2D(ksize, sigma, norm=True):
oneD = cv2.getGaussianKernel(ksize=ksize, sigma=sigma)
twoD = np.outer(oneD.T, oneD)
return twoD / np.sum(twoD) if norm else twoD
def pt2heat(pts, shape, kernel=16, sigma=5):
heat = np.zeros(shape)
k = getGaussian2D(kernel, sigma)
for y,x in pts:
x, y = int(x), int(y)
for i in range(-kernel//2, kernel//2):
for j in range(-kernel//2, kernel//2):
if 0 <= x+i < shape[0] and 0 <= y+j < shape[1]:
heat[x+i, y+j] = heat[x+i, y+j] + k[i+kernel//2, j+kernel//2]
return heat
heat = pts2heat(pts, img.shape[:2])
plt.imshow(heat, cmap='heat')
Here are the points overlayed ontop of it's associated image, along with the resulting heat map: