| 1 | #region License Information
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| 2 | /* HeuristicLab
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| 3 | * Copyright (C) 2002-2010 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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| 4 | *
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| 5 | * This file is part of HeuristicLab.
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| 6 | *
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| 7 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 8 | * it under the terms of the GNU General Public License as published by
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| 9 | * the Free Software Foundation, either version 3 of the License, or
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| 10 | * (at your option) any later version.
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| 11 | *
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| 12 | * HeuristicLab is distributed in the hope that it will be useful,
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| 13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 15 | * GNU General Public License for more details.
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| 16 | *
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| 17 | * You should have received a copy of the GNU General Public License
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| 18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 19 | */
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| 20 | #endregion
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| 21 |
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| 22 | using System;
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| 23 | using System.Collections.Generic;
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| 24 | using System.Linq;
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| 25 | using HeuristicLab.Common;
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| 26 | using HeuristicLab.Core;
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| 27 | using HeuristicLab.Data;
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| 28 | using HeuristicLab.Optimization;
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| 29 | using HeuristicLab.Parameters;
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| 30 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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| 31 | using HeuristicLab.PluginInfrastructure;
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| 32 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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| 33 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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| 34 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.ArchitectureManipulators;
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| 35 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.Manipulators;
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| 36 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.Crossovers;
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| 37 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.Creators;
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| 38 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.Interfaces;
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| 39 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding.Analyzers;
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| 40 | using HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis.Symbolic.Interfaces;
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| 41 |
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| 42 | namespace HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis.Symbolic {
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| 43 | [Item("Symbolic Time Series Prognosis Problem", "Represents a symbolic time series prognosis problem.")]
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| 44 | [StorableClass]
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| 45 | public class SymbolicTimeSeriesPrognosisProblem : MultiVariateDataAnalysisProblem, IProblem {
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| 46 |
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| 47 | #region Parameter Properties
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| 48 | public ValueParameter<SymbolicExpressionTreeCreator> SolutionCreatorParameter {
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| 49 | get { return (ValueParameter<SymbolicExpressionTreeCreator>)Parameters["SolutionCreator"]; }
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| 50 | }
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| 51 | IParameter IProblem.SolutionCreatorParameter {
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| 52 | get { return SolutionCreatorParameter; }
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| 53 | }
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| 54 | public ValueParameter<ISymbolicTimeSeriesExpressionInterpreter> SymbolicExpressionTreeInterpreterParameter {
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| 55 | get { return (ValueParameter<ISymbolicTimeSeriesExpressionInterpreter>)Parameters["SymbolicExpressionTreeInterpreter"]; }
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| 56 | }
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| 57 | public ValueParameter<ISymbolicExpressionGrammar> FunctionTreeGrammarParameter {
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| 58 | get { return (ValueParameter<ISymbolicExpressionGrammar>)Parameters["FunctionTreeGrammar"]; }
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| 59 | }
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| 60 | public ValueParameter<IntValue> MaxExpressionLengthParameter {
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| 61 | get { return (ValueParameter<IntValue>)Parameters["MaxExpressionLength"]; }
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| 62 | }
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| 63 | public ValueParameter<IntValue> MaxExpressionDepthParameter {
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| 64 | get { return (ValueParameter<IntValue>)Parameters["MaxExpressionDepth"]; }
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| 65 | }
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| 66 | public ValueParameter<IntValue> MaxFunctionDefiningBranchesParameter {
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| 67 | get { return (ValueParameter<IntValue>)Parameters["MaxFunctionDefiningBranches"]; }
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| 68 | }
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| 69 | public ValueParameter<IntValue> MaxFunctionArgumentsParameter {
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| 70 | get { return (ValueParameter<IntValue>)Parameters["MaxFunctionArguments"]; }
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| 71 | }
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| 72 | public ValueParameter<IntValue> PredictionHorizonParameter {
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| 73 | get { return (ValueParameter<IntValue>)Parameters["PredictionHorizon"]; }
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| 74 | }
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| 75 | public ValueParameter<DoubleArray> UpperEstimationLimitParameter {
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| 76 | get { return (ValueParameter<DoubleArray>)Parameters["UpperEstimationLimit"]; }
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| 77 | }
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| 78 | public ValueParameter<DoubleArray> LowerEstimationLimitParameter {
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| 79 | get { return (ValueParameter<DoubleArray>)Parameters["LowerEstimationLimit"]; }
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| 80 | }
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| 81 | #endregion
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| 82 |
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| 83 | #region Properties
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| 84 | public IntValue MaxExpressionLength {
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| 85 | get { return MaxExpressionLengthParameter.Value; }
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| 86 | set { MaxExpressionLengthParameter.Value = value; }
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| 87 | }
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| 88 | public IntValue MaxExpressionDepth {
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| 89 | get { return MaxExpressionDepthParameter.Value; }
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| 90 | set { MaxExpressionDepthParameter.Value = value; }
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| 91 | }
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| 92 | public IntValue MaxFunctionDefiningBranches {
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| 93 | get { return MaxFunctionDefiningBranchesParameter.Value; }
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| 94 | set { MaxFunctionDefiningBranchesParameter.Value = value; }
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| 95 | }
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| 96 | public IntValue MaxFunctionArguments {
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| 97 | get { return MaxFunctionArgumentsParameter.Value; }
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| 98 | set { MaxFunctionArgumentsParameter.Value = value; }
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| 99 | }
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| 100 | public DoubleArray UpperEstimationLimit {
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| 101 | get { return UpperEstimationLimitParameter.Value; }
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| 102 | set { UpperEstimationLimitParameter.Value = value; }
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| 103 | }
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| 104 | public DoubleArray LowerEstimationLimit {
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| 105 | get { return LowerEstimationLimitParameter.Value; }
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| 106 | set { LowerEstimationLimitParameter.Value = value; }
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| 107 | }
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| 108 | public new SymbolicExpressionTreeCreator SolutionCreator {
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| 109 | get { return SolutionCreatorParameter.Value; }
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| 110 | set { SolutionCreatorParameter.Value = value; }
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| 111 | }
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| 112 | ISolutionCreator IProblem.SolutionCreator {
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| 113 | get { return SolutionCreatorParameter.Value; }
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| 114 | }
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| 115 | public ISymbolicTimeSeriesExpressionInterpreter SymbolicExpressionTreeInterpreter {
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| 116 | get { return SymbolicExpressionTreeInterpreterParameter.Value; }
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| 117 | set { SymbolicExpressionTreeInterpreterParameter.Value = value; }
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| 118 | }
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| 119 |
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| 120 | public ISymbolicExpressionGrammar FunctionTreeGrammar {
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| 121 | get { return (ISymbolicExpressionGrammar)FunctionTreeGrammarParameter.Value; }
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| 122 | set { FunctionTreeGrammarParameter.Value = value; }
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| 123 | }
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| 124 | public override IEnumerable<IOperator> Operators {
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| 125 | get { return operators; }
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| 126 | }
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| 127 | public IEnumerable<IAnalyzer> Analyzers {
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| 128 | get { return operators.OfType<IAnalyzer>(); }
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| 129 | }
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| 130 | public IntValue TrainingSamplesStart {
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| 131 | get { return new IntValue(MultiVariateDataAnalysisProblemData.TrainingSamplesStart.Value); }
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| 132 | }
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| 133 | public IntValue TrainingSamplesEnd {
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| 134 | get {
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| 135 | return new IntValue((MultiVariateDataAnalysisProblemData.TrainingSamplesStart.Value +
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| 136 | MultiVariateDataAnalysisProblemData.TrainingSamplesEnd.Value) / 2);
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| 137 | }
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| 138 | }
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| 139 | public IntValue ValidationSamplesStart {
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| 140 | get { return TrainingSamplesEnd; }
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| 141 | }
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| 142 | public IntValue ValidationSamplesEnd {
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| 143 | get { return new IntValue(MultiVariateDataAnalysisProblemData.TrainingSamplesEnd.Value); }
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| 144 | }
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| 145 | public IntValue TestSamplesStart {
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| 146 | get { return MultiVariateDataAnalysisProblemData.TestSamplesStart; }
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| 147 | }
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| 148 | public IntValue TestSamplesEnd {
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| 149 | get { return MultiVariateDataAnalysisProblemData.TestSamplesEnd; }
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| 150 | }
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| 151 | public DoubleValue PunishmentFactor {
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| 152 | get { return new DoubleValue(10.0); }
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| 153 | }
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| 154 | #endregion
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| 155 |
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| 156 | [Storable]
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| 157 | private SymbolicTimeSeriesPrognosisGrammar grammar;
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| 158 | [Storable]
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| 159 | private List<IOperator> operators;
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| 160 |
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| 161 | [StorableConstructor]
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| 162 | protected SymbolicTimeSeriesPrognosisProblem(bool deserializing) : base(deserializing) { }
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| 163 | public SymbolicTimeSeriesPrognosisProblem()
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| 164 | : base() {
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| 165 | SymbolicExpressionTreeCreator creator = new ProbabilisticTreeCreator();
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| 166 | grammar = new SymbolicTimeSeriesPrognosisGrammar(1);
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| 167 | var globalGrammar = new GlobalSymbolicExpressionGrammar(grammar);
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| 168 | var interpreter = new SymbolicTimeSeriesExpressionInterpreter();
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| 169 | Parameters.Add(new ValueParameter<SymbolicExpressionTreeCreator>("SolutionCreator", "The operator which should be used to create new symbolic time series prognosis solutions.", creator));
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| 170 | Parameters.Add(new ValueParameter<ISymbolicTimeSeriesExpressionInterpreter>("SymbolicExpressionTreeInterpreter", "The interpreter that should be used to evaluate the symbolic expression tree.", interpreter));
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| 171 | Parameters.Add(new ValueParameter<ISymbolicExpressionGrammar>("FunctionTreeGrammar", "The grammar that should be used for symbolic time series prognosis models.", globalGrammar));
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| 172 | Parameters.Add(new ValueParameter<IntValue>("MaxExpressionLength", "Maximal length of the symbolic expression.", new IntValue(100)));
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| 173 | Parameters.Add(new ValueParameter<IntValue>("MaxExpressionDepth", "Maximal depth of the symbolic expression.", new IntValue(10)));
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| 174 | Parameters.Add(new ValueParameter<IntValue>("MaxFunctionDefiningBranches", "Maximal number of automatically defined functions.", (IntValue)new IntValue(0).AsReadOnly()));
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| 175 | Parameters.Add(new ValueParameter<IntValue>("MaxFunctionArguments", "Maximal number of arguments of automatically defined functions.", (IntValue)new IntValue(0).AsReadOnly()));
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| 176 | Parameters.Add(new ValueParameter<IntValue>("PredictionHorizon", "The number of time steps for which to create a forecast.", new IntValue(1)));
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| 177 | Parameters.Add(new ValueParameter<DoubleArray>("UpperEstimationLimit", "The upper limit for the estimated values for each component."));
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| 178 | Parameters.Add(new ValueParameter<DoubleArray>("LowerEstimationLimit", "The lower limit for the estimated values for each component."));
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| 179 | creator.SymbolicExpressionTreeParameter.ActualName = "SymbolicTimeSeriesPrognosisModel";
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| 180 |
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| 181 | ParameterizeSolutionCreator();
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| 182 |
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| 183 | UpdateGrammar();
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| 184 | InitializeOperators();
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| 185 | RegisterParameterEvents();
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| 186 | RegisterParameterValueEvents();
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| 187 | }
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| 188 |
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| 189 | [StorableHook(HookType.AfterDeserialization)]
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| 190 | private void AfterDeserializationHook() {
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| 191 | // BackwardsCompatibility3.3
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| 192 | #region Backwards compatible code (remove with 3.4)
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| 193 | if (operators == null) InitializeOperators();
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| 194 | #endregion
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| 195 | RegisterParameterEvents();
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| 196 | RegisterParameterValueEvents();
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| 197 | }
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| 198 |
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| 199 | public override IDeepCloneable Clone(Cloner cloner) {
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| 200 | SymbolicTimeSeriesPrognosisProblem clone = (SymbolicTimeSeriesPrognosisProblem)base.Clone(cloner);
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| 201 | clone.operators = operators.Select(x => (IOperator)cloner.Clone(x)).ToList();
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| 202 | clone.grammar = (SymbolicTimeSeriesPrognosisGrammar)cloner.Clone(grammar);
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| 203 | clone.RegisterParameterEvents();
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| 204 | clone.RegisterParameterValueEvents();
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| 205 | return clone;
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| 206 | }
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| 207 |
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| 208 | private void RegisterParameterValueEvents() {
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| 209 | MaxFunctionArgumentsParameter.ValueChanged += new EventHandler(ArchitectureParameter_ValueChanged);
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| 210 | MaxFunctionDefiningBranchesParameter.ValueChanged += new EventHandler(ArchitectureParameter_ValueChanged);
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| 211 | SolutionCreatorParameter.ValueChanged += new EventHandler(SolutionCreatorParameter_ValueChanged);
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| 212 | }
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| 213 |
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| 214 | private void RegisterParameterEvents() {
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| 215 | MaxFunctionArgumentsParameter.Value.ValueChanged += new EventHandler(ArchitectureParameterValue_ValueChanged);
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| 216 | MaxFunctionDefiningBranchesParameter.Value.ValueChanged += new EventHandler(ArchitectureParameterValue_ValueChanged);
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| 217 | SolutionCreator.SymbolicExpressionTreeParameter.ActualNameChanged += new EventHandler(SolutionCreator_SymbolicExpressionTreeParameter_ActualNameChanged);
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| 218 | }
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| 219 |
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| 220 | #region event handling
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| 221 | protected override void OnMultiVariateDataAnalysisProblemChanged(EventArgs e) {
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| 222 | base.OnMultiVariateDataAnalysisProblemChanged(e);
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| 223 | // input variables could have been changed
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| 224 | UpdateGrammar();
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| 225 | UpdateEstimationLimits();
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| 226 | }
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| 227 | protected virtual void OnArchitectureParameterChanged(EventArgs e) {
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| 228 | UpdateGrammar();
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| 229 | }
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| 230 | protected virtual void OnGrammarChanged(EventArgs e) { }
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| 231 | protected virtual void OnOperatorsChanged(EventArgs e) { RaiseOperatorsChanged(e); }
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| 232 | protected virtual void OnSolutionCreatorChanged(EventArgs e) {
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| 233 | SolutionCreator.SymbolicExpressionTreeParameter.ActualNameChanged += new EventHandler(SolutionCreator_SymbolicExpressionTreeParameter_ActualNameChanged);
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| 234 | ParameterizeSolutionCreator();
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| 235 | OnSolutionParameterNameChanged(e);
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| 236 | RaiseSolutionCreatorChanged(e);
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| 237 | }
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| 238 |
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| 239 | protected virtual void OnSolutionParameterNameChanged(EventArgs e) {
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| 240 | ParameterizeOperators();
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| 241 | }
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| 242 | #endregion
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| 243 |
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| 244 | #region event handlers
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| 245 | private void SolutionCreatorParameter_ValueChanged(object sender, EventArgs e) {
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| 246 | OnSolutionCreatorChanged(e);
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| 247 | }
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| 248 | private void SolutionCreator_SymbolicExpressionTreeParameter_ActualNameChanged(object sender, EventArgs e) {
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| 249 | OnSolutionParameterNameChanged(e);
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| 250 | }
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| 251 | private void ArchitectureParameter_ValueChanged(object sender, EventArgs e) {
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| 252 | MaxFunctionArgumentsParameter.Value.ValueChanged += new EventHandler(ArchitectureParameterValue_ValueChanged);
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| 253 | MaxFunctionDefiningBranchesParameter.Value.ValueChanged += new EventHandler(ArchitectureParameterValue_ValueChanged);
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| 254 | OnArchitectureParameterChanged(e);
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| 255 | }
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| 256 | private void ArchitectureParameterValue_ValueChanged(object sender, EventArgs e) {
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| 257 | OnArchitectureParameterChanged(e);
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| 258 | }
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| 259 | #endregion
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| 260 |
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| 261 | #region Helpers
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| 262 | protected void AddOperator(IOperator op) {
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| 263 | operators.Add(op);
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| 264 | }
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| 265 |
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| 266 | private void UpdateGrammar() {
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| 267 | var selectedTargetVariables = MultiVariateDataAnalysisProblemData.TargetVariables.CheckedItems;
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| 268 | grammar.SetResultProducingBranches(selectedTargetVariables.Count());
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| 269 |
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| 270 | foreach (var varSymbol in grammar.Symbols.OfType<HeuristicLab.Problems.DataAnalysis.Symbolic.Symbols.Variable>()) {
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| 271 | varSymbol.VariableNames = MultiVariateDataAnalysisProblemData.InputVariables.CheckedItems.Select(x => x.Value.Value);
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| 272 | }
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| 273 |
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| 274 | var globalGrammar = new GlobalSymbolicExpressionGrammar(grammar);
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| 275 | globalGrammar.MaxFunctionArguments = MaxFunctionArguments.Value;
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| 276 | globalGrammar.MaxFunctionDefinitions = MaxFunctionDefiningBranches.Value;
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| 277 | FunctionTreeGrammar = globalGrammar;
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| 278 | }
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| 279 | private void UpdateEstimationLimits() {
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| 280 | IEnumerable<string> selectedTargetVariables = MultiVariateDataAnalysisProblemData.TargetVariables.CheckedItems.Select(x => x.Value.Value);
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| 281 | UpperEstimationLimit = new DoubleArray(selectedTargetVariables.Count());
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| 282 | LowerEstimationLimit = new DoubleArray(selectedTargetVariables.Count());
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| 283 | int i = 0;
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| 284 | foreach (string targetVariable in selectedTargetVariables) {
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| 285 | if (TrainingSamplesStart.Value < TrainingSamplesEnd.Value) {
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| 286 | var targetValues = MultiVariateDataAnalysisProblemData.Dataset.GetVariableValues(targetVariable, TrainingSamplesStart.Value, TrainingSamplesEnd.Value);
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| 287 | var mean = targetValues.Average();
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| 288 | var range = targetValues.Max() - targetValues.Min();
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| 289 | UpperEstimationLimit[i] = mean + PunishmentFactor.Value * range;
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| 290 | LowerEstimationLimit[i] = mean - PunishmentFactor.Value * range;
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| 291 | } else {
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| 292 | UpperEstimationLimit[i] = 0;
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| 293 | LowerEstimationLimit[i] = 0;
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| 294 | }
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| 295 | i++;
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| 296 | }
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| 297 | }
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| 298 |
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| 299 | private void InitializeOperators() {
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| 300 | operators = new List<IOperator>();
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| 301 | operators.AddRange(ApplicationManager.Manager.GetInstances<ISymbolicExpressionTreeOperator>().OfType<IOperator>());
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| 302 | operators.Add(new MinAverageMaxSymbolicExpressionTreeSizeAnalyzer());
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| 303 | ParameterizeOperators();
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| 304 | }
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| 305 |
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| 306 | private void ParameterizeSolutionCreator() {
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| 307 | SolutionCreator.SymbolicExpressionGrammarParameter.ActualName = FunctionTreeGrammarParameter.Name;
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| 308 | SolutionCreator.MaxTreeHeightParameter.ActualName = MaxExpressionDepthParameter.Name;
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| 309 | SolutionCreator.MaxTreeSizeParameter.ActualName = MaxExpressionLengthParameter.Name;
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| 310 | SolutionCreator.MaxFunctionArgumentsParameter.ActualName = MaxFunctionArgumentsParameter.Name;
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| 311 | SolutionCreator.MaxFunctionDefinitionsParameter.ActualName = MaxFunctionDefiningBranchesParameter.Name;
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| 312 | }
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| 313 |
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| 314 | private void ParameterizeOperators() {
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| 315 | foreach (ISymbolicExpressionTreeOperator op in Operators.OfType<ISymbolicExpressionTreeOperator>()) {
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| 316 | op.MaxTreeHeightParameter.ActualName = MaxExpressionDepthParameter.Name;
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| 317 | op.MaxTreeSizeParameter.ActualName = MaxExpressionLengthParameter.Name;
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| 318 | op.SymbolicExpressionGrammarParameter.ActualName = FunctionTreeGrammarParameter.Name;
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| 319 | }
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| 320 | foreach (ISymbolicExpressionTreeCrossover op in Operators.OfType<ISymbolicExpressionTreeCrossover>()) {
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| 321 | op.ParentsParameter.ActualName = SolutionCreator.SymbolicExpressionTreeParameter.ActualName;
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| 322 | op.ChildParameter.ActualName = SolutionCreator.SymbolicExpressionTreeParameter.ActualName;
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| 323 | }
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| 324 | foreach (ISymbolicExpressionTreeManipulator op in Operators.OfType<ISymbolicExpressionTreeManipulator>()) {
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| 325 | op.SymbolicExpressionTreeParameter.ActualName = SolutionCreator.SymbolicExpressionTreeParameter.ActualName;
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| 326 | }
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| 327 | foreach (ISymbolicExpressionTreeArchitectureManipulator op in Operators.OfType<ISymbolicExpressionTreeArchitectureManipulator>()) {
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| 328 | op.MaxFunctionArgumentsParameter.ActualName = MaxFunctionArgumentsParameter.Name;
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| 329 | op.MaxFunctionDefinitionsParameter.ActualName = MaxFunctionDefiningBranchesParameter.Name;
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| 330 | }
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| 331 | }
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| 332 | #endregion
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| 333 | }
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| 334 | }
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