Changeset 16915

Timestamp:

05/07/19 19:52:59 (5 years ago)

Author:

gkronber

Message:

#2994: add boundary constraints and threshold for epsx hoping to prevent endless loop in alglib, add optimization of variable weights

File:

• branches/2994-AutoDiffForIntervals/HeuristicLab.Problems.DataAnalysis.Regression.Symbolic.Extensions/ConstrainedConstantOptimizationEvaluator.cs (modified) (3 diffs)

branches/2994-AutoDiffForIntervals/HeuristicLab.Problems.DataAnalysis.Regression.Symbolic.Extensions/ConstrainedConstantOptimizationEvaluator.cs

@@ -330 +330 @@
         alglib.minnlccreate(thetaValues.Count, thetaValues.ToArray(), out state);
         alglib.minnlcsetalgoslp(state);        // SLP is more robust but slower
-        alglib.minnlcsetcond(state, 0, maxIterations);
+        alglib.minnlcsetbc(state, thetaValues.Select(_ => -10000.0).ToArray(), thetaValues.Select(_ => +10000.0).ToArray());
+        alglib.minnlcsetcond(state, 1E-7, maxIterations);
         var s = Enumerable.Repeat(1d, thetaValues.Count).ToArray();  // scale is set to unit scale
         alglib.minnlcsetscale(state, s);
@@ -347 +348 @@
           // update parameters in tree
           var pIdx = 0;
-          foreach (var node in tree.IterateNodesPostfix().OfType<ConstantTreeNode>()) {
-            node.Value = xOpt[pIdx++];
+          foreach (var node in tree.IterateNodesPostfix()) {
+            if(node is ConstantTreeNode constTreeNode) {
+              constTreeNode.Value = xOpt[pIdx++];
+            } else if(node is VariableTreeNode varTreeNode) {
+              varTreeNode.Weight = xOpt[pIdx++];
+            }
           }
 
@@ -432 +437 @@
           }
         }
+        if (node is VariableTreeNode varTreeNode) {
+          var thetaVar = (VariableTreeNode)new Problems.DataAnalysis.Symbolic.Variable().CreateTreeNode();
+          thetaVar.Weight = 1;
+          thetaVar.VariableName = $"θ{n++}";
+
+          thetaNames.Add(thetaVar.VariableName);
+          thetaValues.Add(varTreeNode.Weight);
+
+          var parent = varTreeNode.Parent;
+          if (parent != null) {
+            var index = varTreeNode.Parent.IndexOfSubtree(varTreeNode);
+            parent.RemoveSubtree(index);
+            var prodNode = MakeNode<Multiplication>();
+            varTreeNode.Weight = 1.0;
+            prodNode.AddSubtree(varTreeNode);
+            prodNode.AddSubtree(thetaVar);
+            parent.InsertSubtree(index, prodNode);
+          }
+        }
       }
       return copy;