[13766] | 1 | #region License Information
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| 2 |
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| 3 | /* HeuristicLab
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[15583] | 4 | * Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[13766] | 5 | *
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| 6 | * This file is part of HeuristicLab.
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| 7 | *
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| 8 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 9 | * it under the terms of the GNU General Public License as published by
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| 10 | * the Free Software Foundation, either version 3 of the License, or
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| 11 | * (at your option) any later version.
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| 12 | *
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| 13 | * HeuristicLab is distributed in the hope that it will be useful,
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| 14 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 15 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 16 | * GNU General Public License for more details.
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| 17 | *
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| 18 | * You should have received a copy of the GNU General Public License
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| 19 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 20 | */
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| 21 |
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| 22 | #endregion
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| 23 |
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| 24 | using System;
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[15831] | 25 | using System.Collections;
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[13766] | 26 | using System.Collections.Generic;
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| 27 | using System.Linq;
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| 28 | using HeuristicLab.Common;
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| 29 | using HeuristicLab.Core;
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| 30 | using HeuristicLab.Data;
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| 31 | using HeuristicLab.Parameters;
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| 32 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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[13986] | 33 | using HeuristicLab.Random;
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[13766] | 34 |
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| 35 | namespace HeuristicLab.Problems.DataAnalysis {
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| 36 | [StorableClass]
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[13985] | 37 | [Item("RegressionSolution Impacts Calculator", "Calculation of the impacts of input variables for any regression solution")]
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[13766] | 38 | public sealed class RegressionSolutionVariableImpactsCalculator : ParameterizedNamedItem {
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| 39 | public enum ReplacementMethodEnum {
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| 40 | Median,
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[13986] | 41 | Average,
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| 42 | Shuffle,
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| 43 | Noise
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[13766] | 44 | }
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[14826] | 45 | public enum FactorReplacementMethodEnum {
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| 46 | Best,
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| 47 | Mode,
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| 48 | Shuffle
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| 49 | }
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[13766] | 50 | public enum DataPartitionEnum {
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| 51 | Training,
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| 52 | Test,
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| 53 | All
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| 54 | }
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[15796] | 55 |
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[16001] | 56 | //The PerasonsR²-Calculator is the default, but can be overwritten to any other IOnlineCalculator
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| 57 | //Just remember to reset it after you're done
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| 58 | private static IOnlineCalculator calculator = new OnlinePearsonsRSquaredCalculator();
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[16002] | 59 | public static IOnlineCalculator Calculator
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[16001] | 60 | {
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| 61 | get { return calculator; }
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| 62 | set { calculator = value; }
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| 63 | }
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| 64 |
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[13766] | 65 | private const string ReplacementParameterName = "Replacement Method";
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| 66 | private const string DataPartitionParameterName = "DataPartition";
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| 67 |
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[15815] | 68 | public IFixedValueParameter<EnumValue<ReplacementMethodEnum>> ReplacementParameter
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| 69 | {
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[13766] | 70 | get { return (IFixedValueParameter<EnumValue<ReplacementMethodEnum>>)Parameters[ReplacementParameterName]; }
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| 71 | }
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[15815] | 72 | public IFixedValueParameter<EnumValue<DataPartitionEnum>> DataPartitionParameter
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| 73 | {
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[13766] | 74 | get { return (IFixedValueParameter<EnumValue<DataPartitionEnum>>)Parameters[DataPartitionParameterName]; }
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| 75 | }
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| 76 |
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[15815] | 77 | public ReplacementMethodEnum ReplacementMethod
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| 78 | {
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[13766] | 79 | get { return ReplacementParameter.Value.Value; }
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| 80 | set { ReplacementParameter.Value.Value = value; }
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| 81 | }
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[15815] | 82 | public DataPartitionEnum DataPartition
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| 83 | {
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[13766] | 84 | get { return DataPartitionParameter.Value.Value; }
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| 85 | set { DataPartitionParameter.Value.Value = value; }
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| 86 | }
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| 87 |
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| 88 |
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| 89 | [StorableConstructor]
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| 90 | private RegressionSolutionVariableImpactsCalculator(bool deserializing) : base(deserializing) { }
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| 91 | private RegressionSolutionVariableImpactsCalculator(RegressionSolutionVariableImpactsCalculator original, Cloner cloner)
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| 92 | : base(original, cloner) { }
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| 93 | public override IDeepCloneable Clone(Cloner cloner) {
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| 94 | return new RegressionSolutionVariableImpactsCalculator(this, cloner);
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| 95 | }
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| 96 |
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| 97 | public RegressionSolutionVariableImpactsCalculator()
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| 98 | : base() {
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| 99 | Parameters.Add(new FixedValueParameter<EnumValue<ReplacementMethodEnum>>(ReplacementParameterName, "The replacement method for variables during impact calculation.", new EnumValue<ReplacementMethodEnum>(ReplacementMethodEnum.Median)));
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[13985] | 100 | Parameters.Add(new FixedValueParameter<EnumValue<DataPartitionEnum>>(DataPartitionParameterName, "The data partition on which the impacts are calculated.", new EnumValue<DataPartitionEnum>(DataPartitionEnum.Training)));
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[13766] | 101 | }
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| 102 |
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| 103 | //mkommend: annoying name clash with static method, open to better naming suggestions
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| 104 | public IEnumerable<Tuple<string, double>> Calculate(IRegressionSolution solution) {
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| 105 | return CalculateImpacts(solution, DataPartition, ReplacementMethod);
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| 106 | }
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| 107 |
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[15831] | 108 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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[14826] | 109 | IRegressionSolution solution,
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[15831] | 110 | DataPartitionEnum data = DataPartitionEnum.Training,
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| 111 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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| 112 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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| 113 | Func<double, string, bool> progressCallback = null) {
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| 114 | return CalculateImpacts(solution.Model, solution.ProblemData, solution.EstimatedValues, data, replacementMethod, factorReplacementMethod, progressCallback);
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| 115 | }
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[13766] | 116 |
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[15831] | 117 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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| 118 | IRegressionModel model,
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| 119 | IRegressionProblemData problemData,
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| 120 | IEnumerable<double> estimatedValues,
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| 121 | DataPartitionEnum data = DataPartitionEnum.Training,
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| 122 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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| 123 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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[16001] | 124 | Func<double, string, bool> progressCallback = null) {
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[15831] | 125 | IEnumerable<int> rows;
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| 126 |
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| 127 | switch (data) {
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[13766] | 128 | case DataPartitionEnum.All:
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[15831] | 129 | rows = problemData.AllIndices;
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[13766] | 130 | break;
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[15831] | 131 | case DataPartitionEnum.Test:
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| 132 | rows = problemData.TestIndices;
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| 133 | break;
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[13766] | 134 | case DataPartitionEnum.Training:
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[15831] | 135 | rows = problemData.TrainingIndices;
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[13766] | 136 | break;
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[15831] | 137 | default:
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| 138 | throw new NotSupportedException("DataPartition not supported");
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[13766] | 139 | }
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| 140 |
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[16001] | 141 | return CalculateImpacts(model, problemData, estimatedValues, rows, replacementMethod, factorReplacementMethod, progressCallback);
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[15815] | 142 | }
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[13766] | 143 |
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[15831] | 144 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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| 145 | IRegressionModel model,
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| 146 | IRegressionProblemData problemData,
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| 147 | IEnumerable<double> estimatedValues,
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| 148 | IEnumerable<int> rows,
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| 149 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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| 150 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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| 151 | Func<double, string, bool> progressCallback = null) {
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[14463] | 152 |
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[15831] | 153 | IEnumerable<double> targetValues;
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| 154 | double originalValue = -1;
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[15815] | 155 |
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[16001] | 156 | PrepareData(rows, problemData, estimatedValues, out targetValues, out originalValue);
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[15831] | 157 |
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| 158 | var impacts = new Dictionary<string, double>();
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| 159 | var inputvariables = new HashSet<string>(problemData.AllowedInputVariables.Union(model.VariablesUsedForPrediction));
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| 160 | var allowedInputVariables = problemData.Dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList();
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| 161 |
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| 162 | int curIdx = 0;
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| 163 | int count = allowedInputVariables
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| 164 | .Where(v => problemData.Dataset.VariableHasType<double>(v) || problemData.Dataset.VariableHasType<string>(v))
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| 165 | .Count();
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| 166 |
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| 167 | foreach (var inputVariable in allowedInputVariables) {
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| 168 | //Report the current progress in percent. If the callback returns true, it means the execution shall be stopped
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| 169 | if (progressCallback != null) {
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| 170 | curIdx++;
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| 171 | if (progressCallback((double)curIdx / count, string.Format("Calculating impact for variable {0} ({1} of {2})", inputVariable, curIdx, count))) { return null; }
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[15796] | 172 | }
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[16001] | 173 | impacts[inputVariable] = CalculateImpact(inputVariable, model, problemData.Dataset, rows, targetValues, originalValue, replacementMethod, factorReplacementMethod);
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[15831] | 174 | }
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[13766] | 175 |
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[15831] | 176 | return impacts.OrderByDescending(i => i.Value).Select(i => Tuple.Create(i.Key, i.Value));
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[15815] | 177 | }
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[15831] | 178 |
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[15815] | 179 | public static double CalculateImpact(string variableName,
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| 180 | IRegressionSolution solution,
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[15816] | 181 | IEnumerable<int> rows,
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| 182 | IEnumerable<double> targetValues,
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[15831] | 183 | double originalValue,
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[15815] | 184 | DataPartitionEnum data = DataPartitionEnum.Training,
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| 185 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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[15816] | 186 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best) {
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[16001] | 187 | return CalculateImpact(variableName, solution.Model, solution.ProblemData.Dataset, rows, targetValues, originalValue, replacementMethod, factorReplacementMethod);
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[15831] | 188 | }
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[14826] | 189 |
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[15831] | 190 | public static double CalculateImpact(string variableName,
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| 191 | IRegressionModel model,
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| 192 | IDataset dataset,
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| 193 | IEnumerable<int> rows,
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| 194 | IEnumerable<double> targetValues,
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| 195 | double originalValue,
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| 196 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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| 197 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best) {
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| 198 |
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[15815] | 199 | double impact = 0;
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[15831] | 200 | var modifiableDataset = ((Dataset)dataset).ToModifiable();
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[14826] | 201 |
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[15815] | 202 | // calculate impacts for double variables
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[15831] | 203 | if (dataset.VariableHasType<double>(variableName)) {
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[16001] | 204 | impact = CalculateImpactForDouble(variableName, model, modifiableDataset, rows, targetValues, originalValue, replacementMethod);
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[15831] | 205 | } else if (dataset.VariableHasType<string>(variableName)) {
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[16001] | 206 | impact = CalculateImpactForString(variableName, model, dataset, modifiableDataset, rows, targetValues, originalValue, factorReplacementMethod);
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[15815] | 207 | } else {
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| 208 | throw new NotSupportedException("Variable not supported");
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| 209 | }
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| 210 | return impact;
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| 211 | }
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[14826] | 212 |
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[15831] | 213 | private static void PrepareData(IEnumerable<int> rows,
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| 214 | IRegressionProblemData problemData,
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| 215 | IEnumerable<double> estimatedValues,
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| 216 | out IEnumerable<double> targetValues,
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[16001] | 217 | out double originalValue) {
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[15831] | 218 | OnlineCalculatorError error;
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[14826] | 219 |
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[15831] | 220 | var targetVariableValueList = problemData.TargetVariableValues.ToList();
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| 221 | targetValues = rows.Select(v => targetVariableValueList.ElementAt(v));
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| 222 | var estimatedValuesPartition = rows.Select(v => estimatedValues.ElementAt(v));
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[16001] | 223 | originalValue = CalculateValue(targetValues, estimatedValuesPartition, out error);
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[15815] | 224 |
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[15831] | 225 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation.");
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| 226 | }
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[15815] | 227 |
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[15831] | 228 | private static double CalculateImpactForDouble(string variableName,
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| 229 | IRegressionModel model,
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| 230 | ModifiableDataset modifiableDataset,
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| 231 | IEnumerable<int> rows,
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| 232 | IEnumerable<double> targetValues,
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| 233 | double originalValue,
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[16001] | 234 | ReplacementMethodEnum replacementMethod) {
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[15831] | 235 | OnlineCalculatorError error;
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| 236 | var newEstimates = EvaluateModelWithReplacedVariable(model, variableName, modifiableDataset, rows, replacementMethod);
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[16001] | 237 | var newValue = CalculateValue(targetValues, newEstimates, out error);
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[15831] | 238 | if (error != OnlineCalculatorError.None) { throw new InvalidOperationException("Error during calculation with replaced inputs."); }
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| 239 | return originalValue - newValue;
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| 240 | }
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[15815] | 241 |
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[15831] | 242 | private static double CalculateImpactForString(string variableName,
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| 243 | IRegressionModel model,
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| 244 | IDataset problemData,
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| 245 | ModifiableDataset modifiableDataset,
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| 246 | IEnumerable<int> rows,
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| 247 | IEnumerable<double> targetValues,
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| 248 | double originalValue,
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[16001] | 249 | FactorReplacementMethodEnum factorReplacementMethod) {
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[15831] | 250 |
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| 251 | OnlineCalculatorError error;
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| 252 | if (factorReplacementMethod == FactorReplacementMethodEnum.Best) {
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| 253 | // try replacing with all possible values and find the best replacement value
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| 254 | var smallestImpact = double.PositiveInfinity;
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| 255 | foreach (var repl in problemData.GetStringValues(variableName, rows).Distinct()) {
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| 256 | var originalValues = modifiableDataset.GetReadOnlyStringValues(variableName).ToList();
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| 257 | var newEstimates = EvaluateModelWithReplacedVariable(originalValues, model, variableName, modifiableDataset, rows, Enumerable.Repeat(repl, problemData.Rows).ToList());
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[16001] | 258 | var newValue = CalculateValue(targetValues, newEstimates, out error);
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[15831] | 259 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation with replaced inputs.");
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| 260 |
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| 261 | var curImpact = originalValue - newValue;
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| 262 | if (curImpact < smallestImpact) smallestImpact = curImpact;
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[14826] | 263 | }
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[15831] | 264 | return smallestImpact;
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| 265 | } else {
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| 266 | // for replacement methods shuffle and mode
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| 267 | // calculate impacts for factor variables
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| 268 | var newEstimates = EvaluateModelWithReplacedVariable(model, variableName, modifiableDataset, rows, factorReplacementMethod);
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[16001] | 269 | var newValue = CalculateValue(targetValues, newEstimates, out error);
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[15831] | 270 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation with replaced inputs.");
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| 271 |
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| 272 | return originalValue - newValue;
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[15815] | 273 | }
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[13766] | 274 | }
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| 275 |
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| 276 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable, ModifiableDataset dataset, IEnumerable<int> rows, ReplacementMethodEnum replacement = ReplacementMethodEnum.Median) {
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| 277 | var originalValues = dataset.GetReadOnlyDoubleValues(variable).ToList();
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| 278 | double replacementValue;
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[13986] | 279 | List<double> replacementValues;
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| 280 | IRandom rand;
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[13766] | 281 |
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| 282 | switch (replacement) {
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| 283 | case ReplacementMethodEnum.Median:
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| 284 | replacementValue = rows.Select(r => originalValues[r]).Median();
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[13986] | 285 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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[13766] | 286 | break;
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| 287 | case ReplacementMethodEnum.Average:
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| 288 | replacementValue = rows.Select(r => originalValues[r]).Average();
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[13986] | 289 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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[13766] | 290 | break;
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[13986] | 291 | case ReplacementMethodEnum.Shuffle:
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| 292 | // new var has same empirical distribution but the relation to y is broken
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| 293 | rand = new FastRandom(31415);
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[14348] | 294 | // prepare a complete column for the dataset
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| 295 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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| 296 | // shuffle only the selected rows
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| 297 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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| 298 | int i = 0;
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| 299 | // update column values
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| 300 | foreach (var r in rows) {
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| 301 | replacementValues[r] = shuffledValues[i++];
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| 302 | }
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[13986] | 303 | break;
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| 304 | case ReplacementMethodEnum.Noise:
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| 305 | var avg = rows.Select(r => originalValues[r]).Average();
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| 306 | var stdDev = rows.Select(r => originalValues[r]).StandardDeviation();
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| 307 | rand = new FastRandom(31415);
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[14348] | 308 | // prepare a complete column for the dataset
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| 309 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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| 310 | // update column values
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| 311 | foreach (var r in rows) {
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| 312 | replacementValues[r] = NormalDistributedRandom.NextDouble(rand, avg, stdDev);
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| 313 | }
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[13986] | 314 | break;
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| 315 |
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[13766] | 316 | default:
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| 317 | throw new ArgumentException(string.Format("ReplacementMethod {0} cannot be handled.", replacement));
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| 318 | }
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| 319 |
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[15831] | 320 | return EvaluateModelWithReplacedVariable(originalValues, model, variable, dataset, rows, replacementValues);
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[14826] | 321 | }
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| 322 |
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| 323 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(
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| 324 | IRegressionModel model, string variable, ModifiableDataset dataset,
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| 325 | IEnumerable<int> rows,
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| 326 | FactorReplacementMethodEnum replacement = FactorReplacementMethodEnum.Shuffle) {
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| 327 | var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
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| 328 | List<string> replacementValues;
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| 329 | IRandom rand;
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| 330 |
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| 331 | switch (replacement) {
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| 332 | case FactorReplacementMethodEnum.Mode:
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| 333 | var mostCommonValue = rows.Select(r => originalValues[r])
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| 334 | .GroupBy(v => v)
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| 335 | .OrderByDescending(g => g.Count())
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| 336 | .First().Key;
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| 337 | replacementValues = Enumerable.Repeat(mostCommonValue, dataset.Rows).ToList();
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| 338 | break;
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| 339 | case FactorReplacementMethodEnum.Shuffle:
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| 340 | // new var has same empirical distribution but the relation to y is broken
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| 341 | rand = new FastRandom(31415);
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| 342 | // prepare a complete column for the dataset
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| 343 | replacementValues = Enumerable.Repeat(string.Empty, dataset.Rows).ToList();
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| 344 | // shuffle only the selected rows
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| 345 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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| 346 | int i = 0;
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| 347 | // update column values
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| 348 | foreach (var r in rows) {
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| 349 | replacementValues[r] = shuffledValues[i++];
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| 350 | }
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| 351 | break;
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| 352 | default:
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| 353 | throw new ArgumentException(string.Format("FactorReplacementMethod {0} cannot be handled.", replacement));
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| 354 | }
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| 355 |
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[15831] | 356 | return EvaluateModelWithReplacedVariable(originalValues, model, variable, dataset, rows, replacementValues);
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[14826] | 357 | }
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| 358 |
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[15831] | 359 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(IList originalValues, IRegressionModel model, string variable,
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| 360 | ModifiableDataset dataset, IEnumerable<int> rows, IList replacementValues) {
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| 361 | dataset.ReplaceVariable(variable, replacementValues);
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[13766] | 362 | //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
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| 363 | var estimates = model.GetEstimatedValues(dataset, rows).ToList();
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| 364 | dataset.ReplaceVariable(variable, originalValues);
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| 365 |
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| 366 | return estimates;
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| 367 | }
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[16001] | 368 |
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| 369 | private static double CalculateValue(IEnumerable<double> targets, IEnumerable<double> estimates, out OnlineCalculatorError error) {
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| 370 | calculator.Reset();
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| 371 | if (targets.Count() != estimates.Count()) {
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| 372 | throw new ArgumentException(string.Format("Targets and Estimates must be of equal length ({0},{1})", targets.Count(), estimates.Count()));
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| 373 | }
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| 374 | foreach (var entry in targets.Zip(estimates, (target, estimate) => new { target, estimate })) {
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| 375 | calculator.Add(entry.target, entry.estimate);
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| 376 | }
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| 377 | error = calculator.ErrorState;
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| 378 | return calculator.Value;
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| 379 | }
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[13766] | 380 | }
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| 381 | }
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