1 | #region License Information
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2 |
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3 | /* HeuristicLab
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4 | * Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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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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25 | using System.Collections;
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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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33 | using HeuristicLab.Random;
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34 |
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35 | namespace HeuristicLab.Problems.DataAnalysis {
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36 | [StorableClass]
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37 | [Item("RegressionSolution Impacts Calculator", "Calculation of the impacts of input variables for any regression solution")]
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38 | public sealed class RegressionSolutionVariableImpactsCalculator : ParameterizedNamedItem {
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39 | #region Parameters/Properties
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40 | public enum ReplacementMethodEnum {
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41 | Median,
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42 | Average,
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43 | Shuffle,
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44 | Noise
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45 | }
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46 | public enum FactorReplacementMethodEnum {
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47 | Best,
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48 | Mode,
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49 | Shuffle
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50 | }
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51 | public enum DataPartitionEnum {
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52 | Training,
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53 | Test,
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54 | All
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55 | }
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56 |
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57 | private const string ReplacementParameterName = "Replacement Method";
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58 | private const string FactorReplacementParameterName = "Factor Replacement Method";
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59 | private const string DataPartitionParameterName = "DataPartition";
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60 |
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61 | public IFixedValueParameter<EnumValue<ReplacementMethodEnum>> ReplacementParameter {
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62 | get { return (IFixedValueParameter<EnumValue<ReplacementMethodEnum>>)Parameters[ReplacementParameterName]; }
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63 | }
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64 | public IFixedValueParameter<EnumValue<FactorReplacementMethodEnum>> FactorReplacementParameter {
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65 | get { return (IFixedValueParameter<EnumValue<FactorReplacementMethodEnum>>)Parameters[FactorReplacementParameterName]; }
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66 | }
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67 | public IFixedValueParameter<EnumValue<DataPartitionEnum>> DataPartitionParameter {
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68 | get { return (IFixedValueParameter<EnumValue<DataPartitionEnum>>)Parameters[DataPartitionParameterName]; }
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69 | }
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70 |
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71 | public ReplacementMethodEnum ReplacementMethod {
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72 | get { return ReplacementParameter.Value.Value; }
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73 | set { ReplacementParameter.Value.Value = value; }
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74 | }
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75 | public FactorReplacementMethodEnum FactorReplacementMethod {
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76 | get { return FactorReplacementParameter.Value.Value; }
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77 | set { FactorReplacementParameter.Value.Value = value; }
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78 | }
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79 | public DataPartitionEnum DataPartition {
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80 | get { return DataPartitionParameter.Value.Value; }
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81 | set { DataPartitionParameter.Value.Value = value; }
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82 | }
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83 | #endregion
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84 |
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85 | #region Ctor/Cloner
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86 | [StorableConstructor]
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87 | private RegressionSolutionVariableImpactsCalculator(bool deserializing) : base(deserializing) { }
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88 | private RegressionSolutionVariableImpactsCalculator(RegressionSolutionVariableImpactsCalculator original, Cloner cloner)
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89 | : base(original, cloner) { }
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90 | public RegressionSolutionVariableImpactsCalculator()
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91 | : base() {
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92 | Parameters.Add(new FixedValueParameter<EnumValue<ReplacementMethodEnum>>(ReplacementParameterName, "The replacement method for variables during impact calculation.", new EnumValue<ReplacementMethodEnum>(ReplacementMethodEnum.Median)));
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93 | Parameters.Add(new FixedValueParameter<EnumValue<FactorReplacementMethodEnum>>(FactorReplacementParameterName, "The replacement method for factor variables during impact calculation.", new EnumValue<FactorReplacementMethodEnum>(FactorReplacementMethodEnum.Best)));
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94 | 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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95 | }
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96 |
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97 | public override IDeepCloneable Clone(Cloner cloner) {
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98 | return new RegressionSolutionVariableImpactsCalculator(this, cloner);
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99 | }
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100 | #endregion
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101 |
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102 | #region Public Methods/Wrappers
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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, ReplacementMethod, FactorReplacementMethod, DataPartition);
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106 | }
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107 |
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108 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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109 | IRegressionSolution solution,
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110 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Shuffle,
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111 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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112 | DataPartitionEnum dataPartition = DataPartitionEnum.Training) {
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113 | return CalculateImpacts(solution.Model, solution.ProblemData, solution.EstimatedValues, replacementMethod, factorReplacementMethod, dataPartition);
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114 | }
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115 |
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116 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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117 | IRegressionModel model,
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118 | IRegressionProblemData problemData,
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119 | IEnumerable<double> estimatedValues,
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120 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Shuffle,
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121 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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122 | DataPartitionEnum dataPartition = DataPartitionEnum.Training) {
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123 | IEnumerable<int> rows = GetPartitionRows(dataPartition, problemData);
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124 | return CalculateImpacts(model, problemData, estimatedValues, rows, replacementMethod, factorReplacementMethod);
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125 | }
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126 |
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127 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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128 | IRegressionModel model,
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129 | IRegressionProblemData problemData,
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130 | IEnumerable<double> estimatedValues,
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131 | IEnumerable<int> rows,
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132 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Shuffle,
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133 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best) {
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134 | //Calculate original quality-values (via calculator, default is R²)
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135 | OnlineCalculatorError error;
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136 | IEnumerable<double> targetValuesPartition = rows.Select(v => problemData.TargetVariableValues.ElementAt(v));
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137 | IEnumerable<double> estimatedValuesPartition = rows.Select(v => estimatedValues.ElementAt(v));
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138 | var originalCalculatorValue = CalculateVariableImpact(targetValuesPartition, estimatedValuesPartition, out error);
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139 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation.");
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140 |
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141 | var impacts = new Dictionary<string, double>();
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142 | var inputvariables = new HashSet<string>(problemData.AllowedInputVariables.Union(model.VariablesUsedForPrediction));
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143 | var allowedInputVariables = problemData.Dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList();
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144 | var modifiableDataset = ((Dataset)(problemData.Dataset).Clone()).ToModifiable();
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145 |
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146 | foreach (var inputVariable in allowedInputVariables) {
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147 | impacts[inputVariable] = CalculateImpact(inputVariable, model, modifiableDataset, rows, targetValuesPartition, originalCalculatorValue, replacementMethod, factorReplacementMethod);
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148 | }
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149 |
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150 | return impacts.OrderByDescending(i => i.Value).Select(i => Tuple.Create(i.Key, i.Value));
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151 | }
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152 |
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153 | public static double CalculateImpact(string variableName,
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154 | IRegressionModel model,
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155 | ModifiableDataset modifiableDataset,
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156 | IEnumerable<int> rows,
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157 | IEnumerable<double> targetValues,
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158 | double originalValue,
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159 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Shuffle,
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160 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best) {
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161 |
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162 | double impact = 0;
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163 |
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164 | // calculate impacts for double variables
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165 | if (modifiableDataset.VariableHasType<double>(variableName)) {
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166 | impact = CalculateImpactForNumericalVariables(variableName, model, modifiableDataset, rows, targetValues, originalValue, replacementMethod);
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167 | } else if (modifiableDataset.VariableHasType<string>(variableName)) {
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168 | impact = CalculateImpactForFactorVariables(variableName, model, modifiableDataset, rows, targetValues, originalValue, factorReplacementMethod);
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169 | } else {
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170 | throw new NotSupportedException("Variable not supported");
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171 | }
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172 | return impact;
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173 | }
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174 | #endregion
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175 |
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176 | private static double CalculateImpactForNumericalVariables(string variableName,
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177 | IRegressionModel model,
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178 | ModifiableDataset modifiableDataset,
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179 | IEnumerable<int> rows,
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180 | IEnumerable<double> targetValues,
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181 | double originalValue,
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182 | ReplacementMethodEnum replacementMethod) {
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183 | OnlineCalculatorError error;
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184 | var newEstimates = GetReplacedValuesForNumericalVariables(model, variableName, modifiableDataset, rows, replacementMethod);
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185 | var newValue = CalculateVariableImpact(targetValues, newEstimates, out error);
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186 | if (error != OnlineCalculatorError.None) { throw new InvalidOperationException("Error during calculation with replaced inputs."); }
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187 | return originalValue - newValue;
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188 | }
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189 |
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190 | private static double CalculateImpactForFactorVariables(string variableName,
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191 | IRegressionModel model,
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192 | ModifiableDataset modifiableDataset,
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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 | FactorReplacementMethodEnum factorReplacementMethod) {
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197 |
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198 | OnlineCalculatorError error;
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199 | if (factorReplacementMethod == FactorReplacementMethodEnum.Best) {
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200 | // try replacing with all possible values and find the best replacement value
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201 | var smallestImpact = double.PositiveInfinity;
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202 | foreach (var repl in modifiableDataset.GetStringValues(variableName, rows).Distinct()) {
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203 | var originalValues = modifiableDataset.GetReadOnlyStringValues(variableName).ToList();
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204 | var newEstimates = GetReplacedEstimates(originalValues, model, variableName, modifiableDataset, rows, Enumerable.Repeat(repl, modifiableDataset.Rows).ToList());
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205 | var newValue = CalculateVariableImpact(targetValues, newEstimates, out error);
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206 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation with replaced inputs.");
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207 |
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208 | var curImpact = originalValue - newValue;
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209 | if (curImpact < smallestImpact) smallestImpact = curImpact;
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210 | }
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211 | return smallestImpact;
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212 | } else {
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213 | // for replacement methods shuffle and mode
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214 | // calculate impacts for factor variables
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215 | var newEstimates = GetReplacedValuesForFactorVariables(model, variableName, modifiableDataset, rows, factorReplacementMethod);
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216 | var newValue = CalculateVariableImpact(targetValues, newEstimates, out error);
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217 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during calculation with replaced inputs.");
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218 |
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219 | return originalValue - newValue;
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220 | }
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221 | }
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222 |
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223 | private static IEnumerable<double> GetReplacedValuesForNumericalVariables(
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224 | IRegressionModel model,
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225 | string variable,
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226 | ModifiableDataset dataset,
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227 | IEnumerable<int> rows,
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228 | ReplacementMethodEnum replacement = ReplacementMethodEnum.Shuffle) {
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229 | var originalValues = dataset.GetReadOnlyDoubleValues(variable).ToList();
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230 | double replacementValue;
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231 | List<double> replacementValues;
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232 | IRandom rand;
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233 |
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234 | switch (replacement) {
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235 | case ReplacementMethodEnum.Median:
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236 | replacementValue = rows.Select(r => originalValues[r]).Median();
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237 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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238 | break;
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239 | case ReplacementMethodEnum.Average:
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240 | replacementValue = rows.Select(r => originalValues[r]).Average();
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241 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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242 | break;
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243 | case ReplacementMethodEnum.Shuffle:
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244 | // new var has same empirical distribution but the relation to y is broken
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245 | rand = new FastRandom(31415);
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246 | // prepare a complete column for the dataset
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247 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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248 | // shuffle only the selected rows
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249 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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250 | int i = 0;
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251 | // update column values
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252 | foreach (var r in rows) {
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253 | replacementValues[r] = shuffledValues[i++];
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254 | }
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255 | break;
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256 | case ReplacementMethodEnum.Noise:
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257 | var avg = rows.Select(r => originalValues[r]).Average();
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258 | var stdDev = rows.Select(r => originalValues[r]).StandardDeviation();
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259 | rand = new FastRandom(31415);
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260 | // prepare a complete column for the dataset
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261 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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262 | // update column values
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263 | foreach (var r in rows) {
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264 | replacementValues[r] = NormalDistributedRandom.NextDouble(rand, avg, stdDev);
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265 | }
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266 | break;
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267 |
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268 | default:
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269 | throw new ArgumentException(string.Format("ReplacementMethod {0} cannot be handled.", replacement));
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270 | }
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271 |
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272 | return GetReplacedEstimates(originalValues, model, variable, dataset, rows, replacementValues);
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273 | }
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274 |
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275 | private static IEnumerable<double> GetReplacedValuesForFactorVariables(
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276 | IRegressionModel model,
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277 | string variable,
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278 | ModifiableDataset dataset,
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279 | IEnumerable<int> rows,
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280 | FactorReplacementMethodEnum replacement = FactorReplacementMethodEnum.Shuffle) {
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281 | var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
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282 | List<string> replacementValues;
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283 | IRandom rand;
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284 |
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285 | switch (replacement) {
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286 | case FactorReplacementMethodEnum.Mode:
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287 | var mostCommonValue = rows.Select(r => originalValues[r])
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288 | .GroupBy(v => v)
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289 | .OrderByDescending(g => g.Count())
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290 | .First().Key;
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291 | replacementValues = Enumerable.Repeat(mostCommonValue, dataset.Rows).ToList();
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292 | break;
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293 | case FactorReplacementMethodEnum.Shuffle:
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294 | // new var has same empirical distribution but the relation to y is broken
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295 | rand = new FastRandom(31415);
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296 | // prepare a complete column for the dataset
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297 | replacementValues = Enumerable.Repeat(string.Empty, dataset.Rows).ToList();
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298 | // shuffle only the selected rows
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299 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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300 | int i = 0;
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301 | // update column values
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302 | foreach (var r in rows) {
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303 | replacementValues[r] = shuffledValues[i++];
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304 | }
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305 | break;
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306 | default:
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307 | throw new ArgumentException(string.Format("FactorReplacementMethod {0} cannot be handled.", replacement));
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308 | }
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309 |
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310 | return GetReplacedEstimates(originalValues, model, variable, dataset, rows, replacementValues);
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311 | }
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312 |
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313 | private static IEnumerable<double> GetReplacedEstimates(
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314 | IList originalValues,
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315 | IRegressionModel model,
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316 | string variable,
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317 | ModifiableDataset dataset,
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318 | IEnumerable<int> rows,
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319 | IList replacementValues) {
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320 | dataset.ReplaceVariable(variable, replacementValues);
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321 | //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
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322 | var estimates = model.GetEstimatedValues(dataset, rows).ToList();
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323 | dataset.ReplaceVariable(variable, originalValues);
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324 |
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325 | return estimates;
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326 | }
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327 |
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328 | public static double CalculateVariableImpact(IEnumerable<double> originalValues, IEnumerable<double> estimatedValues, out OnlineCalculatorError errorState) {
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329 | IEnumerator<double> firstEnumerator = originalValues.GetEnumerator();
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330 | IEnumerator<double> secondEnumerator = estimatedValues.GetEnumerator();
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331 | var calculator = new OnlinePearsonsRSquaredCalculator();
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332 |
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333 | // always move forward both enumerators (do not use short-circuit evaluation!)
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334 | while (firstEnumerator.MoveNext() & secondEnumerator.MoveNext()) {
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335 | double original = firstEnumerator.Current;
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336 | double estimated = secondEnumerator.Current;
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337 | calculator.Add(original, estimated);
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338 | if (calculator.ErrorState != OnlineCalculatorError.None) break;
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339 | }
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340 |
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341 | // check if both enumerators are at the end to make sure both enumerations have the same length
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342 | if (calculator.ErrorState == OnlineCalculatorError.None &&
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343 | (secondEnumerator.MoveNext() || firstEnumerator.MoveNext())) {
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344 | throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
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345 | } else {
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346 | errorState = calculator.ErrorState;
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347 | return calculator.Value;
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348 | }
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349 | }
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350 |
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351 | public static IEnumerable<int> GetPartitionRows(DataPartitionEnum dataPartition, IRegressionProblemData problemData) {
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352 | IEnumerable<int> rows;
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353 |
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354 | switch (dataPartition) {
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355 | case DataPartitionEnum.All:
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356 | rows = problemData.AllIndices;
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357 | break;
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358 | case DataPartitionEnum.Test:
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359 | rows = problemData.TestIndices;
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360 | break;
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361 | case DataPartitionEnum.Training:
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362 | rows = problemData.TrainingIndices;
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363 | break;
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364 | default:
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365 | throw new NotSupportedException("DataPartition not supported");
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366 | }
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367 |
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368 | return rows;
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369 | }
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370 | }
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371 | }
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