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source: branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis.Regression/3.3/Symbolic/Analyzers/OverfittingAnalyzer.cs @ 4309

Last change on this file since 4309 was 4309, checked in by gkronber, 14 years ago

Exploring overfitting countermeasures. #1142

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1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2010 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System.Collections.Generic;
23using System.Linq;
24using HeuristicLab.Analysis;
25using HeuristicLab.Common;
26using HeuristicLab.Core;
27using HeuristicLab.Data;
28using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
29using HeuristicLab.Operators;
30using HeuristicLab.Optimization;
31using HeuristicLab.Parameters;
32using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
33using HeuristicLab.Problems.DataAnalysis.Evaluators;
34using HeuristicLab.Problems.DataAnalysis.Symbolic;
35using System;
36
37namespace HeuristicLab.Problems.DataAnalysis.Regression.Symbolic.Analyzers {
38  [Item("OverfittingAnalyzer", "")]
39  [StorableClass]
40  public sealed class OverfittingAnalyzer : SingleSuccessorOperator, ISymbolicRegressionAnalyzer {
41    private const string RandomParameterName = "Random";
42    private const string SymbolicExpressionTreeParameterName = "SymbolicExpressionTree";
43    private const string SymbolicExpressionTreeInterpreterParameterName = "SymbolicExpressionTreeInterpreter";
44    private const string ProblemDataParameterName = "ProblemData";
45    private const string ValidationSamplesStartParameterName = "SamplesStart";
46    private const string ValidationSamplesEndParameterName = "SamplesEnd";
47    private const string UpperEstimationLimitParameterName = "UpperEstimationLimit";
48    private const string LowerEstimationLimitParameterName = "LowerEstimationLimit";
49    private const string EvaluatorParameterName = "Evaluator";
50    private const string MaximizationParameterName = "Maximization";
51    private const string RelativeNumberOfEvaluatedSamplesParameterName = "RelativeNumberOfEvaluatedSamples";
52
53    #region parameter properties
54    public ILookupParameter<IRandom> RandomParameter {
55      get { return (ILookupParameter<IRandom>)Parameters[RandomParameterName]; }
56    }
57    public ScopeTreeLookupParameter<SymbolicExpressionTree> SymbolicExpressionTreeParameter {
58      get { return (ScopeTreeLookupParameter<SymbolicExpressionTree>)Parameters[SymbolicExpressionTreeParameterName]; }
59    }
60    public ScopeTreeLookupParameter<DoubleValue> QualityParameter {
61      get { return (ScopeTreeLookupParameter<DoubleValue>)Parameters["Quality"]; }
62    }
63    public ScopeTreeLookupParameter<DoubleValue> ValidationQualityParameter {
64      get { return (ScopeTreeLookupParameter<DoubleValue>)Parameters["ValidationQuality"]; }
65    }
66    public IValueLookupParameter<ISymbolicExpressionTreeInterpreter> SymbolicExpressionTreeInterpreterParameter {
67      get { return (IValueLookupParameter<ISymbolicExpressionTreeInterpreter>)Parameters[SymbolicExpressionTreeInterpreterParameterName]; }
68    }
69    public ILookupParameter<ISymbolicRegressionEvaluator> EvaluatorParameter {
70      get { return (ILookupParameter<ISymbolicRegressionEvaluator>)Parameters[EvaluatorParameterName]; }
71    }
72    public ILookupParameter<BoolValue> MaximizationParameter {
73      get { return (ILookupParameter<BoolValue>)Parameters[MaximizationParameterName]; }
74    }
75    public IValueLookupParameter<DataAnalysisProblemData> ProblemDataParameter {
76      get { return (IValueLookupParameter<DataAnalysisProblemData>)Parameters[ProblemDataParameterName]; }
77    }
78    public IValueLookupParameter<IntValue> ValidationSamplesStartParameter {
79      get { return (IValueLookupParameter<IntValue>)Parameters[ValidationSamplesStartParameterName]; }
80    }
81    public IValueLookupParameter<IntValue> ValidationSamplesEndParameter {
82      get { return (IValueLookupParameter<IntValue>)Parameters[ValidationSamplesEndParameterName]; }
83    }
84    public IValueParameter<PercentValue> RelativeNumberOfEvaluatedSamplesParameter {
85      get { return (IValueParameter<PercentValue>)Parameters[RelativeNumberOfEvaluatedSamplesParameterName]; }
86    }
87
88    public IValueLookupParameter<DoubleValue> UpperEstimationLimitParameter {
89      get { return (IValueLookupParameter<DoubleValue>)Parameters[UpperEstimationLimitParameterName]; }
90    }
91    public IValueLookupParameter<DoubleValue> LowerEstimationLimitParameter {
92      get { return (IValueLookupParameter<DoubleValue>)Parameters[LowerEstimationLimitParameterName]; }
93    }
94    public ILookupParameter<PercentValue> RelativeValidationQualityParameter {
95      get { return (ILookupParameter<PercentValue>)Parameters["RelativeValidationQuality"]; }
96    }
97    //public IValueLookupParameter<PercentValue> RelativeValidationQualityLowerLimitParameter {
98    //  get { return (IValueLookupParameter<PercentValue>)Parameters["RelativeValidationQualityLowerLimit"]; }
99    //}
100    //public IValueLookupParameter<PercentValue> RelativeValidationQualityUpperLimitParameter {
101    //  get { return (IValueLookupParameter<PercentValue>)Parameters["RelativeValidationQualityUpperLimit"]; }
102    //}
103    public ILookupParameter<DoubleValue> TrainingValidationQualityCorrelationParameter {
104      get { return (ILookupParameter<DoubleValue>)Parameters["TrainingValidationCorrelation"]; }
105    }
106    public IValueLookupParameter<DoubleValue> CorrelationLimitParameter {
107      get { return (IValueLookupParameter<DoubleValue>)Parameters["CorrelationLimit"]; }
108    }
109    public ILookupParameter<BoolValue> OverfittingParameter {
110      get { return (ILookupParameter<BoolValue>)Parameters["Overfitting"]; }
111    }
112    public ILookupParameter<ResultCollection> ResultsParameter {
113      get { return (ILookupParameter<ResultCollection>)Parameters["Results"]; }
114    }
115    public ILookupParameter<DoubleValue> InitialTrainingQualityParameter {
116      get { return (ILookupParameter<DoubleValue>)Parameters["InitialTrainingQuality"]; }
117    }
118    public ILookupParameter<DoubleMatrix> TrainingAndValidationQualitiesParameter {
119      get { return (ILookupParameter<DoubleMatrix>)Parameters["TrainingAndValidationQualities"]; }
120    }
121    public IValueLookupParameter<DoubleValue> PercentileParameter {
122      get { return (IValueLookupParameter<DoubleValue>)Parameters["Percentile"]; }
123    }
124    #endregion
125    #region properties
126    public IRandom Random {
127      get { return RandomParameter.ActualValue; }
128    }
129    public ItemArray<SymbolicExpressionTree> SymbolicExpressionTree {
130      get { return SymbolicExpressionTreeParameter.ActualValue; }
131    }
132    public ISymbolicExpressionTreeInterpreter SymbolicExpressionTreeInterpreter {
133      get { return SymbolicExpressionTreeInterpreterParameter.ActualValue; }
134    }
135    public ISymbolicRegressionEvaluator Evaluator {
136      get { return EvaluatorParameter.ActualValue; }
137    }
138    public BoolValue Maximization {
139      get { return MaximizationParameter.ActualValue; }
140    }
141    public DataAnalysisProblemData ProblemData {
142      get { return ProblemDataParameter.ActualValue; }
143    }
144    public IntValue ValidiationSamplesStart {
145      get { return ValidationSamplesStartParameter.ActualValue; }
146    }
147    public IntValue ValidationSamplesEnd {
148      get { return ValidationSamplesEndParameter.ActualValue; }
149    }
150    public PercentValue RelativeNumberOfEvaluatedSamples {
151      get { return RelativeNumberOfEvaluatedSamplesParameter.Value; }
152    }
153
154    public DoubleValue UpperEstimationLimit {
155      get { return UpperEstimationLimitParameter.ActualValue; }
156    }
157    public DoubleValue LowerEstimationLimit {
158      get { return LowerEstimationLimitParameter.ActualValue; }
159    }
160    #endregion
161
162    public OverfittingAnalyzer()
163      : base() {
164      Parameters.Add(new LookupParameter<IRandom>(RandomParameterName, "The random generator to use."));
165      Parameters.Add(new LookupParameter<ISymbolicRegressionEvaluator>(EvaluatorParameterName, "The evaluator which should be used to evaluate the solution on the validation set."));
166      Parameters.Add(new ScopeTreeLookupParameter<SymbolicExpressionTree>(SymbolicExpressionTreeParameterName, "The symbolic expression trees to analyze."));
167      Parameters.Add(new ScopeTreeLookupParameter<DoubleValue>("Quality"));
168      Parameters.Add(new ScopeTreeLookupParameter<DoubleValue>("ValidationQuality"));
169      Parameters.Add(new LookupParameter<BoolValue>(MaximizationParameterName, "The direction of optimization."));
170      Parameters.Add(new ValueLookupParameter<ISymbolicExpressionTreeInterpreter>(SymbolicExpressionTreeInterpreterParameterName, "The interpreter that should be used for the analysis of symbolic expression trees."));
171      Parameters.Add(new ValueLookupParameter<DataAnalysisProblemData>(ProblemDataParameterName, "The problem data for which the symbolic expression tree is a solution."));
172      Parameters.Add(new ValueLookupParameter<IntValue>(ValidationSamplesStartParameterName, "The first index of the validation partition of the data set."));
173      Parameters.Add(new ValueLookupParameter<IntValue>(ValidationSamplesEndParameterName, "The last index of the validation partition of the data set."));
174      Parameters.Add(new ValueParameter<PercentValue>(RelativeNumberOfEvaluatedSamplesParameterName, "The relative number of samples of the dataset partition, which should be randomly chosen for evaluation between the start and end index.", new PercentValue(1)));
175      Parameters.Add(new ValueLookupParameter<DoubleValue>(UpperEstimationLimitParameterName, "The upper estimation limit that was set for the evaluation of the symbolic expression trees."));
176      Parameters.Add(new ValueLookupParameter<DoubleValue>(LowerEstimationLimitParameterName, "The lower estimation limit that was set for the evaluation of the symbolic expression trees."));
177      Parameters.Add(new LookupParameter<PercentValue>("RelativeValidationQuality"));
178      //Parameters.Add(new ValueLookupParameter<PercentValue>("RelativeValidationQualityUpperLimit", new PercentValue(0.05)));
179      //Parameters.Add(new ValueLookupParameter<PercentValue>("RelativeValidationQualityLowerLimit", new PercentValue(-0.05)));
180      Parameters.Add(new LookupParameter<DoubleValue>("TrainingValidationCorrelation"));
181      Parameters.Add(new ValueLookupParameter<DoubleValue>("CorrelationLimit", new DoubleValue(0.65)));
182      Parameters.Add(new LookupParameter<BoolValue>("Overfitting"));
183      Parameters.Add(new LookupParameter<ResultCollection>("Results"));
184      Parameters.Add(new LookupParameter<DoubleValue>("InitialTrainingQuality"));
185      Parameters.Add(new LookupParameter<DoubleMatrix>("TrainingAndValidationQualities"));
186      Parameters.Add(new ValueLookupParameter<DoubleValue>("Percentile", new DoubleValue(1)));
187
188    }
189
190    [StorableConstructor]
191    private OverfittingAnalyzer(bool deserializing) : base(deserializing) { }
192
193    [StorableHook(HookType.AfterDeserialization)]
194    private void AfterDeserialization() {
195      if (!Parameters.ContainsKey("InitialTrainingQuality")) {
196        Parameters.Add(new LookupParameter<DoubleValue>("InitialTrainingQuality"));
197      }
198      //if (!Parameters.ContainsKey("RelativeValidationQualityUpperLimit")) {
199      //  Parameters.Add(new ValueLookupParameter<PercentValue>("RelativeValidationQualityUpperLimit", new PercentValue(0.05)));
200      //}
201      //if (!Parameters.ContainsKey("RelativeValidationQualityLowerLimit")) {
202      //  Parameters.Add(new ValueLookupParameter<PercentValue>("RelativeValidationQualityLowerLimit", new PercentValue(-0.05)));
203      //}
204      if (!Parameters.ContainsKey("TrainingAndValidationQualities")) {
205        Parameters.Add(new LookupParameter<DoubleMatrix>("TrainingAndValidationQualities"));
206      }
207      if (!Parameters.ContainsKey("Percentile")) {
208        Parameters.Add(new ValueLookupParameter<DoubleValue>("Percentile", new DoubleValue(1)));
209      }
210      if (!Parameters.ContainsKey("ValidationQuality")) {
211        Parameters.Add(new ScopeTreeLookupParameter<DoubleValue>("ValidationQuality"));
212      }
213    }
214
215    public override IOperation Apply() {
216      var trees = SymbolicExpressionTree;
217      ItemArray<DoubleValue> qualities = QualityParameter.ActualValue;
218      ItemArray<DoubleValue> validationQualities = ValidationQualityParameter.ActualValue;
219
220      //string targetVariable = ProblemData.TargetVariable.Value;
221
222      //// select a random subset of rows in the validation set
223      //int validationStart = ValidiationSamplesStart.Value;
224      //int validationEnd = ValidationSamplesEnd.Value;
225      //int seed = Random.Next();
226      //int count = (int)((validationEnd - validationStart) * RelativeNumberOfEvaluatedSamples.Value);
227      //if (count == 0) count = 1;
228      //IEnumerable<int> rows = RandomEnumerable.SampleRandomNumbers(seed, validationStart, validationEnd, count);
229
230      //double upperEstimationLimit = UpperEstimationLimit != null ? UpperEstimationLimit.Value : double.PositiveInfinity;
231      //double lowerEstimationLimit = LowerEstimationLimit != null ? LowerEstimationLimit.Value : double.NegativeInfinity;
232
233      //double bestQuality = Maximization.Value ? double.NegativeInfinity : double.PositiveInfinity;
234      //SymbolicExpressionTree bestTree = null;
235
236      //List<double> validationQualities = new List<double>();
237      //foreach (var tree in trees) {
238      //  double quality = Evaluator.Evaluate(SymbolicExpressionTreeInterpreter, tree,
239      //    lowerEstimationLimit, upperEstimationLimit,
240      //    ProblemData.Dataset, targetVariable,
241      //   rows);
242      //  validationQualities.Add(quality);
243      //  //if ((Maximization.Value && quality > bestQuality) ||
244      //  //    (!Maximization.Value && quality < bestQuality)) {
245      //  //  bestQuality = quality;
246      //  //  bestTree = tree;
247      //  //}
248      //}
249
250      //if (RelativeValidationQualityParameter.ActualValue == null) {
251      // first call initialize the relative quality using the difference between average training and validation quality
252      double avgTrainingQuality = qualities.Select(x => x.Value).Average();
253      double avgValidationQuality = validationQualities.Select(x => x.Value).Average();
254
255      if (Maximization.Value)
256        RelativeValidationQualityParameter.ActualValue = new PercentValue(avgValidationQuality / avgTrainingQuality - 1);
257      else {
258        RelativeValidationQualityParameter.ActualValue = new PercentValue(avgTrainingQuality / avgValidationQuality - 1);
259      }
260      //}
261
262      // best first (only for maximization
263      var orderedDistinctPairs = (from index in Enumerable.Range(0, qualities.Length)
264                                  select new { Training = qualities[index].Value, Validation = validationQualities[index].Value })
265                                 .OrderBy(x => -x.Training)
266                                 .ToList();
267
268      int n = (int)Math.Round(PercentileParameter.ActualValue.Value * orderedDistinctPairs.Count);
269
270      double[] validationArr = new double[n];
271      double[] trainingArr = new double[n];
272      //double[,] qualitiesArr = new double[n, 2];
273      for (int i = 0; i < n; i++) {
274        validationArr[i] = orderedDistinctPairs[i].Validation;
275        trainingArr[i] = orderedDistinctPairs[i].Training;
276
277        //qualitiesArr[i, 0] = trainingArr[i];
278        //qualitiesArr[i, 1] = validationArr[i];
279      }
280      double r = alglib.correlation.spearmanrankcorrelation(trainingArr, validationArr, n);
281      TrainingValidationQualityCorrelationParameter.ActualValue = new DoubleValue(r);
282      if (InitialTrainingQualityParameter.ActualValue == null)
283        InitialTrainingQualityParameter.ActualValue = new DoubleValue(avgValidationQuality);
284      bool overfitting =
285        avgTrainingQuality > InitialTrainingQualityParameter.ActualValue.Value &&  // better on training than in initial generation
286        // RelativeValidationQualityParameter.ActualValue.Value < 0.0 && // validation quality is worse than training quality
287        r < CorrelationLimitParameter.ActualValue.Value;  // low correlation between training and validation quality
288
289
290      OverfittingParameter.ActualValue = new BoolValue(overfitting);
291      //TrainingAndValidationQualitiesParameter.ActualValue = new DoubleMatrix(qualitiesArr);
292      return base.Apply();
293    }
294
295    [StorableHook(HookType.AfterDeserialization)]
296    private void Initialize() { }
297
298    private static void AddValue(DataTable table, double data, string name, string description) {
299      DataRow row;
300      table.Rows.TryGetValue(name, out row);
301      if (row == null) {
302        row = new DataRow(name, description);
303        row.Values.Add(data);
304        table.Rows.Add(row);
305      } else {
306        row.Values.Add(data);
307      }
308    }
309  }
310}
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