#region License Information /* HeuristicLab * Copyright (C) 2002-2014 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 HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Data; using HeuristicLab.Parameters; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Algorithms.DataAnalysis { [StorableClass] [Item(Name = "CovariancePiecewisePolynomial", Description = "Piecewise polynomial covariance function with compact support for Gaussian processes.")] public sealed class CovariancePiecewisePolynomial : ParameterizedNamedItem, ICovarianceFunction { public IValueParameter LengthParameter { get { return (IValueParameter)Parameters["Length"]; } } public IValueParameter ScaleParameter { get { return (IValueParameter)Parameters["Scale"]; } } public IConstrainedValueParameter VParameter { get { return (IConstrainedValueParameter)Parameters["V"]; } } private bool HasFixedLengthParameter { get { return LengthParameter.Value != null; } } private bool HasFixedScaleParameter { get { return ScaleParameter.Value != null; } } [StorableConstructor] private CovariancePiecewisePolynomial(bool deserializing) : base(deserializing) { } private CovariancePiecewisePolynomial(CovariancePiecewisePolynomial original, Cloner cloner) : base(original, cloner) { } public CovariancePiecewisePolynomial() : base() { Name = ItemName; Description = ItemDescription; Parameters.Add(new OptionalValueParameter("Length", "The length parameter of the isometric piecewise polynomial covariance function.")); Parameters.Add(new OptionalValueParameter("Scale", "The scale parameter of the piecewise polynomial covariance function.")); var validValues = new ItemSet(new IntValue[] { (IntValue)(new IntValue().AsReadOnly()), (IntValue)(new IntValue(1).AsReadOnly()), (IntValue)(new IntValue(2).AsReadOnly()), (IntValue)(new IntValue(3).AsReadOnly()) }); Parameters.Add(new ConstrainedValueParameter("V", "The v parameter of the piecewise polynomial function (allowed values 0, 1, 2, 3).", validValues, validValues.First())); } public override IDeepCloneable Clone(Cloner cloner) { return new CovariancePiecewisePolynomial(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { return (HasFixedLengthParameter ? 0 : 1) + (HasFixedScaleParameter ? 0 : 1); } public void SetParameter(double[] p) { double @const, scale; GetParameterValues(p, out @const, out scale); LengthParameter.Value = new DoubleValue(@const); ScaleParameter.Value = new DoubleValue(scale); } private void GetParameterValues(double[] p, out double length, out double scale) { // gather parameter values int n = 0; if (HasFixedLengthParameter) { length = LengthParameter.Value.Value; } else { length = Math.Exp(p[n]); n++; } if (HasFixedScaleParameter) { scale = ScaleParameter.Value.Value; } else { scale = Math.Exp(2 * p[n]); n++; } if (p.Length != n) throw new ArgumentException("The length of the parameter vector does not match the number of free parameters for CovariancePiecewisePolynomial", "p"); } public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, IEnumerable columnIndices) { double length, scale; int v = VParameter.Value.Value; GetParameterValues(p, out length, out scale); var fixedLength = HasFixedLengthParameter; var fixedScale = HasFixedScaleParameter; int exp = (int)Math.Floor(columnIndices.Count() / 2.0) + v + 1; Func f; Func df; switch (v) { case 0: f = (r) => 1.0; df = (r) => 0.0; break; case 1: f = (r) => 1 + (exp + 1) * r; df = (r) => exp + 1; break; case 2: f = (r) => 1 + (exp + 2) * r + (exp * exp + 4.0 * exp + 3) / 3.0 * r * r; df = (r) => (exp + 2) + 2 * (exp * exp + 4.0 * exp + 3) / 3.0 * r; break; case 3: f = (r) => 1 + (exp + 3) * r + (6.0 * exp * exp + 36 * exp + 45) / 15.0 * r * r + (exp * exp * exp + 9 * exp * exp + 23 * exp + 45) / 15.0 * r * r * r; df = (r) => (exp + 3) + 2 * (6.0 * exp * exp + 36 * exp + 45) / 15.0 * r + (exp * exp * exp + 9 * exp * exp + 23 * exp + 45) / 5.0 * r * r; break; default: throw new ArgumentException(); } // create functions var cov = new ParameterizedCovarianceFunction(); cov.Covariance = (x, i, j) => { double k = Math.Sqrt(Util.SqrDist(x, i, x, j, 1.0 / length, columnIndices)); return scale * Math.Pow(Math.Max(1 - k, 0), exp + v) * f(k); }; cov.CrossCovariance = (x, xt, i, j) => { double k = Math.Sqrt(Util.SqrDist(x, i, xt, j, 1.0 / length, columnIndices)); return scale * Math.Pow(Math.Max(1 - k, 0), exp + v) * f(k); }; cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, length, scale, v, exp, f, df, columnIndices, fixedLength, fixedScale); return cov; } private static IEnumerable GetGradient(double[,] x, int i, int j, double length, double scale, int v, double exp, Func f, Func df, IEnumerable columnIndices, bool fixedLength, bool fixedScale) { double k = Math.Sqrt(Util.SqrDist(x, i, x, j, 1.0 / length, columnIndices)); if (!fixedLength) yield return scale * Math.Pow(Math.Max(1.0 - k, 0), exp + v - 1) * k * ((exp + v) * f(k) - Math.Max(1 - k, 0) * df(k)); if (!fixedScale) yield return 2.0 * scale * Math.Pow(Math.Max(1 - k, 0), exp + v) * f(k); } } }