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source: branches/EfficientGlobalOptimization/HeuristicLab.Algorithms.EGO/InfillCriteria/RobustImprovement.cs @ 14768

Last change on this file since 14768 was 14768, checked in by bwerth, 7 years ago

#2745 fixed pausing and stopping and namespaces; Added MaximalDatasetSize and rudimentary ISurrogateAlgorithm-interface

File size: 3.0 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2016 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;
23using HeuristicLab.Common;
24using HeuristicLab.Core;
25using HeuristicLab.Data;
26using HeuristicLab.Encodings.RealVectorEncoding;
27using HeuristicLab.Parameters;
28using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
29using HeuristicLab.Problems.DataAnalysis;
30
31// ReSharper disable once CheckNamespace
32namespace HeuristicLab.Algorithms.EGO {
33
34  [StorableClass]
35  [Item("ConfidenceBoundMeassure", "Adding or Subtracting the variance * factor to the model estimation")]
36  public class ConfidenceBound : InfillCriterionBase {
37
38    #region ParameterNames
39    private const string ConfidenceWeightParameterName = "ConfidenceWeight";
40    #endregion
41
42    #region ParameterProperties
43    public IFixedValueParameter<DoubleValue> ConfidenceWeightParameter
44    {
45      get { return Parameters[ConfidenceWeightParameterName] as IFixedValueParameter<DoubleValue>; }
46    }
47    #endregion
48
49    #region Properties
50    private double ConfidenceWeight
51    {
52      get { return ConfidenceWeightParameter.Value.Value; }
53    }
54    #endregion
55
56    #region HL-Constructors, Serialization and Cloning
57    [StorableConstructor]
58    private ConfidenceBound(bool deserializing) : base(deserializing) { }
59    private ConfidenceBound(ConfidenceBound original, Cloner cloner) : base(original, cloner) { }
60    public ConfidenceBound() {
61      Parameters.Add(new FixedValueParameter<DoubleValue>(ConfidenceWeightParameterName, "A value between 0 and 1 indicating the focus on exploration (0) or exploitation (1)", new DoubleValue(0.5)));
62    }
63    public override IDeepCloneable Clone(Cloner cloner) {
64      return new ConfidenceBound(this, cloner);
65    }
66    #endregion
67
68    public override double Evaluate(IRegressionSolution solution, RealVector vector, bool maximization) {
69      var model = solution.Model as IConfidenceRegressionModel;
70      if (model == null) throw new ArgumentException("can not calculate EI without confidence measure");
71      var yhat = model.GetEstimation(vector);
72      var s = Math.Sqrt(model.GetVariance(vector)) * ConfidenceWeight;
73      return maximization ? yhat + s : yhat - s;
74    }
75
76  }
77}
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