#region License Information /* HeuristicLab * Copyright (C) Heuristic and Evolutionary Algorithms Laboratory (HEAL) * * This file is part of HeuristicLab. * * HeuristicLab is free software: you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation, either version 3 of the License, or * (at your option) any later version. * * HeuristicLab is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with HeuristicLab. If not, see . */ #endregion using System; using System.Collections.Generic; using System.Linq; using HEAL.Attic; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Data; using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding; using HeuristicLab.NativeInterpreter; using HeuristicLab.Optimization; using HeuristicLab.Parameters; namespace HeuristicLab.Problems.DataAnalysis.Symbolic.Regression { [Item("Parameter Optimization Evaluator", "Optimizes model parameters using nonlinear least squares and returns the mean squared error.")] [StorableType("D6443358-1FA3-4F4C-89DB-DCC3D81050B2")] public class ParameterOptimizationEvaluator : SymbolicRegressionSingleObjectiveEvaluator { private const string ConstantOptimizationIterationsParameterName = "ConstantOptimizationIterations"; private const string ConstantOptimizationImprovementParameterName = "ConstantOptimizationImprovement"; private const string ConstantOptimizationProbabilityParameterName = "ConstantOptimizationProbability"; private const string ConstantOptimizationRowsPercentageParameterName = "ConstantOptimizationRowsPercentage"; private const string UpdateConstantsInTreeParameterName = "UpdateConstantsInSymbolicExpressionTree"; private const string UpdateVariableWeightsParameterName = "Update Variable Weights"; private const string FunctionEvaluationsResultParameterName = "Constants Optimization Function Evaluations"; private const string GradientEvaluationsResultParameterName = "Constants Optimization Gradient Evaluations"; private const string CountEvaluationsParameterName = "Count Function and Gradient Evaluations"; public IFixedValueParameter ConstantOptimizationIterationsParameter { get { return (IFixedValueParameter)Parameters[ConstantOptimizationIterationsParameterName]; } } public IFixedValueParameter ConstantOptimizationImprovementParameter { get { return (IFixedValueParameter)Parameters[ConstantOptimizationImprovementParameterName]; } } public IFixedValueParameter ConstantOptimizationProbabilityParameter { get { return (IFixedValueParameter)Parameters[ConstantOptimizationProbabilityParameterName]; } } public IFixedValueParameter ConstantOptimizationRowsPercentageParameter { get { return (IFixedValueParameter)Parameters[ConstantOptimizationRowsPercentageParameterName]; } } public IFixedValueParameter UpdateConstantsInTreeParameter { get { return (IFixedValueParameter)Parameters[UpdateConstantsInTreeParameterName]; } } public IFixedValueParameter UpdateVariableWeightsParameter { get { return (IFixedValueParameter)Parameters[UpdateVariableWeightsParameterName]; } } public IResultParameter FunctionEvaluationsResultParameter { get { return (IResultParameter)Parameters[FunctionEvaluationsResultParameterName]; } } public IResultParameter GradientEvaluationsResultParameter { get { return (IResultParameter)Parameters[GradientEvaluationsResultParameterName]; } } public IFixedValueParameter CountEvaluationsParameter { get { return (IFixedValueParameter)Parameters[CountEvaluationsParameterName]; } } public IntValue ConstantOptimizationIterations { get { return ConstantOptimizationIterationsParameter.Value; } } public DoubleValue ConstantOptimizationImprovement { get { return ConstantOptimizationImprovementParameter.Value; } } public PercentValue ConstantOptimizationProbability { get { return ConstantOptimizationProbabilityParameter.Value; } } public PercentValue ConstantOptimizationRowsPercentage { get { return ConstantOptimizationRowsPercentageParameter.Value; } } public bool UpdateConstantsInTree { get { return UpdateConstantsInTreeParameter.Value.Value; } set { UpdateConstantsInTreeParameter.Value.Value = value; } } public bool UpdateVariableWeights { get { return UpdateVariableWeightsParameter.Value.Value; } set { UpdateVariableWeightsParameter.Value.Value = value; } } public bool CountEvaluations { get { return CountEvaluationsParameter.Value.Value; } set { CountEvaluationsParameter.Value.Value = value; } } public override bool Maximization { get { return false; } } [StorableConstructor] protected ParameterOptimizationEvaluator(StorableConstructorFlag _) : base(_) { } protected ParameterOptimizationEvaluator(ParameterOptimizationEvaluator original, Cloner cloner) : base(original, cloner) { } public ParameterOptimizationEvaluator() : base() { Parameters.Add(new FixedValueParameter(ConstantOptimizationIterationsParameterName, "Determines how many iterations should be calculated while optimizing the constant of a symbolic expression tree (0 indicates other or default stopping criterion).", new IntValue(10))); Parameters.Add(new FixedValueParameter(ConstantOptimizationImprovementParameterName, "Determines the relative improvement which must be achieved in the constant optimization to continue with it (0 indicates other or default stopping criterion).", new DoubleValue(0)) { Hidden = true }); Parameters.Add(new FixedValueParameter(ConstantOptimizationProbabilityParameterName, "Determines the probability that the constants are optimized", new PercentValue(1))); Parameters.Add(new FixedValueParameter(ConstantOptimizationRowsPercentageParameterName, "Determines the percentage of the rows which should be used for constant optimization", new PercentValue(1))); Parameters.Add(new FixedValueParameter(UpdateConstantsInTreeParameterName, "Determines if the constants in the tree should be overwritten by the optimized constants.", new BoolValue(true)) { Hidden = true }); Parameters.Add(new FixedValueParameter(UpdateVariableWeightsParameterName, "Determines if the variable weights in the tree should be optimized.", new BoolValue(true)) { Hidden = true }); Parameters.Add(new FixedValueParameter(CountEvaluationsParameterName, "Determines if function and gradient evaluation should be counted.", new BoolValue(false))); Parameters.Add(new ResultParameter(FunctionEvaluationsResultParameterName, "The number of function evaluations performed by the constants optimization evaluator", "Results", new IntValue())); Parameters.Add(new ResultParameter(GradientEvaluationsResultParameterName, "The number of gradient evaluations performed by the constants optimization evaluator", "Results", new IntValue())); } public override IDeepCloneable Clone(Cloner cloner) { return new ParameterOptimizationEvaluator(this, cloner); } [StorableHook(HookType.AfterDeserialization)] private void AfterDeserialization() { if (!Parameters.ContainsKey(UpdateConstantsInTreeParameterName)) Parameters.Add(new FixedValueParameter(UpdateConstantsInTreeParameterName, "Determines if the constants in the tree should be overwritten by the optimized constants.", new BoolValue(true))); if (!Parameters.ContainsKey(UpdateVariableWeightsParameterName)) Parameters.Add(new FixedValueParameter(UpdateVariableWeightsParameterName, "Determines if the variable weights in the tree should be optimized.", new BoolValue(true))); if (!Parameters.ContainsKey(CountEvaluationsParameterName)) Parameters.Add(new FixedValueParameter(CountEvaluationsParameterName, "Determines if function and gradient evaluation should be counted.", new BoolValue(false))); if (!Parameters.ContainsKey(FunctionEvaluationsResultParameterName)) Parameters.Add(new ResultParameter(FunctionEvaluationsResultParameterName, "The number of function evaluations performed by the constants optimization evaluator", "Results", new IntValue())); if (!Parameters.ContainsKey(GradientEvaluationsResultParameterName)) Parameters.Add(new ResultParameter(GradientEvaluationsResultParameterName, "The number of gradient evaluations performed by the constants optimization evaluator", "Results", new IntValue())); } private static readonly object locker = new object(); public override IOperation InstrumentedApply() { var solution = SymbolicExpressionTreeParameter.ActualValue; double quality; if (RandomParameter.ActualValue.NextDouble() < ConstantOptimizationProbability.Value) { IEnumerable constantOptimizationRows = GenerateRowsToEvaluate(ConstantOptimizationRowsPercentage.Value); var counter = new EvaluationsCounter(); quality = OptimizeConstants(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, ProblemDataParameter.ActualValue, constantOptimizationRows, ApplyLinearScalingParameter.ActualValue.Value, ConstantOptimizationIterations.Value, updateVariableWeights: UpdateVariableWeights, lowerEstimationLimit: EstimationLimitsParameter.ActualValue.Lower, upperEstimationLimit: EstimationLimitsParameter.ActualValue.Upper, updateConstantsInTree: UpdateConstantsInTree, counter: counter); if (ConstantOptimizationRowsPercentage.Value != RelativeNumberOfEvaluatedSamplesParameter.ActualValue.Value) { var evaluationRows = GenerateRowsToEvaluate(); quality = SymbolicRegressionSingleObjectiveMeanSquaredErrorEvaluator.Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, ProblemDataParameter.ActualValue, evaluationRows, ApplyLinearScalingParameter.ActualValue.Value); } if (CountEvaluations) { lock (locker) { FunctionEvaluationsResultParameter.ActualValue.Value += counter.FunctionEvaluations; GradientEvaluationsResultParameter.ActualValue.Value += counter.GradientEvaluations; } } } else { var evaluationRows = GenerateRowsToEvaluate(); quality = SymbolicRegressionSingleObjectiveMeanSquaredErrorEvaluator.Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, ProblemDataParameter.ActualValue, evaluationRows, ApplyLinearScalingParameter.ActualValue.Value); } QualityParameter.ActualValue = new DoubleValue(quality); return base.InstrumentedApply(); } public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, IRegressionProblemData problemData, IEnumerable rows) { SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context; EstimationLimitsParameter.ExecutionContext = context; ApplyLinearScalingParameter.ExecutionContext = context; FunctionEvaluationsResultParameter.ExecutionContext = context; GradientEvaluationsResultParameter.ExecutionContext = context; // Mean Squared Error evaluator is used on purpose instead of the const-opt evaluator, // because Evaluate() is used to get the quality of evolved models on // different partitions of the dataset (e.g., best validation model) double mse = SymbolicRegressionSingleObjectiveMeanSquaredErrorEvaluator.Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows, ApplyLinearScalingParameter.ActualValue.Value); SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null; EstimationLimitsParameter.ExecutionContext = null; ApplyLinearScalingParameter.ExecutionContext = null; FunctionEvaluationsResultParameter.ExecutionContext = null; GradientEvaluationsResultParameter.ExecutionContext = null; return mse; } public class EvaluationsCounter { public int FunctionEvaluations = 0; public int GradientEvaluations = 0; } public static double OptimizeConstants(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree tree, IRegressionProblemData problemData, IEnumerable rows, bool applyLinearScaling, int maxIterations, bool updateVariableWeights = true, double lowerEstimationLimit = double.MinValue, double upperEstimationLimit = double.MaxValue, bool updateConstantsInTree = true, Action iterationCallback = null, EvaluationsCounter counter = null) { var nodesToOptimize = new HashSet(); var originalNodeValues = new Dictionary(); foreach (var node in tree.IterateNodesPrefix().OfType()) { if (node is VariableTreeNode && !updateVariableWeights) { continue; } if (node is ConstantTreeNode && node.Parent.Symbol is Power && node.Parent.GetSubtree(1) == node) { // do not optimize exponents continue; } nodesToOptimize.Add(node); if (node is ConstantTreeNode constant) { originalNodeValues[node] = constant.Value; } else if (node is VariableTreeNode variable) { originalNodeValues[node] = variable.Weight; } } var options = new SolverOptions { Iterations = maxIterations }; var summary = new OptimizationSummary(); var optimizedNodeValues = ParameterOptimizer.OptimizeTree(tree, problemData.Dataset, problemData.TrainingIndices, problemData.TargetVariable, nodesToOptimize, options, ref summary); counter.FunctionEvaluations += summary.ResidualEvaluations; counter.GradientEvaluations += summary.JacobianEvaluations; if (summary.FinalCost < summary.InitialCost && updateConstantsInTree) { UpdateNodeValues(optimizedNodeValues); } var mse = SymbolicRegressionSingleObjectiveMeanSquaredErrorEvaluator.Calculate(interpreter, tree, lowerEstimationLimit, upperEstimationLimit, problemData, rows, applyLinearScaling); return mse; } private static void UpdateNodeValues(IDictionary values) { foreach (var item in values) { var node = item.Key; if (node is ConstantTreeNode constant) { constant.Value = item.Value; } else if (node is VariableTreeNode variable) { variable.Weight = item.Value; } } } public static bool CanOptimizeConstants(ISymbolicExpressionTree tree) { return TreeToAutoDiffTermConverter.IsCompatible(tree); } } }