using System; using System.Linq; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Algorithms.DataAnalysis.GaussianProcess { [StorableClass] [Item(Name = "CovarianceSEiso", Description = "Isotropic squared exponential covariance function for Gaussian processes.")] public class CovarianceSEiso : Item, ICovarianceFunction { [Storable] private double[,] x; [Storable] private double[,] xt; [Storable] private double sf2; [Storable] private double l; [Storable] private bool symmetric; private double[,] sd; [StorableConstructor] protected CovarianceSEiso(bool deserializing) : base(deserializing) { } protected CovarianceSEiso(CovarianceSEiso original, Cloner cloner) : base(original, cloner) { // note: using shallow copies here this.x = original.x; this.xt = original.xt; this.sf2 = original.sf2; this.l = original.l; this.symmetric = original.symmetric; } public CovarianceSEiso() : base() { } public override IDeepCloneable Clone(Cloner cloner) { return new CovarianceSEiso(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { return 2; } public void SetParameter(double[] hyp, double[,] x) { SetParameter(hyp, x, x); this.symmetric = true; } public void SetParameter(double[] hyp, double[,] x, double[,] xt) { this.l = Math.Exp(hyp[0]); this.sf2 = Math.Exp(2 * hyp[1]); this.symmetric = false; this.x = x; this.xt = xt; sd = null; } public double GetCovariance(int i, int j) { if (sd == null) CalculateSquaredDistances(); return sf2 * Math.Exp(-sd[i, j] / 2.0); } public double[] GetDiagonalCovariances() { if (x != xt) throw new InvalidOperationException(); int rows = x.GetLength(0); var sd = new double[rows]; for (int i = 0; i < rows; i++) { sd[i] = Util.SqrDist(Util.GetRow(x, i).Select(e => e / l), Util.GetRow(xt, i).Select(e => e / l)); } return sd.Select(d => sf2 * Math.Exp(-d / 2.0)).ToArray(); } public double[] GetGradient(int i, int j) { var res = new double[2]; res[0] = sf2 * Math.Exp(-sd[i, j] / 2.0) * sd[i, j]; res[1] = 2.0 * sf2 * Math.Exp(-sd[i, j] / 2.0); return res; } private void CalculateSquaredDistances() { if (x.GetLength(1) != xt.GetLength(1)) throw new InvalidOperationException(); int rows = x.GetLength(0); int cols = xt.GetLength(0); sd = new double[rows, cols]; if (symmetric) { for (int i = 0; i < rows; i++) { for (int j = i; j < rows; j++) { sd[i, j] = Util.SqrDist(Util.GetRow(x, i).Select(e => e / l), Util.GetRow(xt, j).Select(e => e / l)); sd[j, i] = sd[i, j]; } } } else { for (int i = 0; i < rows; i++) { for (int j = 0; j < cols; j++) { sd[i, j] = Util.SqrDist(Util.GetRow(x, i).Select(e => e / l), Util.GetRow(xt, j).Select(e => e / l)); } } } } } }