#region License Information
/* HeuristicLab
* Copyright (C) 2002-2012 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 HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
namespace HeuristicLab.Algorithms.DataAnalysis {
[StorableClass]
[Item(Name = "CovarianceSquaredExponentialIso",
Description = "Isotropic squared exponential covariance function for Gaussian processes.")]
public sealed class CovarianceSquaredExponentialIso : ParameterizedNamedItem, ICovarianceFunction {
[Storable]
private double sf2;
[Storable]
private readonly HyperParameter scaleParameter;
public IValueParameter ScaleParameter { get { return scaleParameter; } }
[Storable]
private double inverseLength;
[Storable]
private readonly HyperParameter inverseLengthParameter;
public IValueParameter InverseLengthParameter { get { return inverseLengthParameter; } }
[StorableConstructor]
private CovarianceSquaredExponentialIso(bool deserializing)
: base(deserializing) {
}
private CovarianceSquaredExponentialIso(CovarianceSquaredExponentialIso original, Cloner cloner)
: base(original, cloner) {
this.sf2 = original.sf2;
this.scaleParameter = cloner.Clone(original.scaleParameter);
this.inverseLength = original.inverseLength;
this.inverseLengthParameter = cloner.Clone(original.inverseLengthParameter);
RegisterEvents();
}
public CovarianceSquaredExponentialIso()
: base() {
Name = ItemName;
Description = ItemDescription;
this.scaleParameter = new HyperParameter("Scale", "The scale parameter of the isometric squared exponential covariance function.");
this.inverseLengthParameter = new HyperParameter("InverseLength", "The inverse length parameter of the isometric squared exponential covariance function.");
Parameters.Add(scaleParameter);
Parameters.Add(inverseLengthParameter);
RegisterEvents();
}
public override IDeepCloneable Clone(Cloner cloner) {
return new CovarianceSquaredExponentialIso(this, cloner);
}
[StorableHook(HookType.AfterDeserialization)]
private void AfterDeserialization() {
RegisterEvents();
}
private void RegisterEvents() {
Util.AttachValueChangeHandler(scaleParameter, () => { sf2 = scaleParameter.Value.Value; });
Util.AttachValueChangeHandler(inverseLengthParameter, () => { inverseLength = inverseLengthParameter.Value.Value; });
}
public int GetNumberOfParameters(int numberOfVariables) {
return
(scaleParameter.Fixed ? 0 : 1) +
(inverseLengthParameter.Fixed ? 0 : 1);
}
public void SetParameter(double[] hyp) {
int i = 0;
if (!inverseLengthParameter.Fixed) {
inverseLengthParameter.SetValue(new DoubleValue(1.0 / Math.Exp(hyp[i])));
i++;
}
if (!scaleParameter.Fixed) {
scaleParameter.SetValue(new DoubleValue(Math.Exp(2 * hyp[i])));
i++;
}
if (hyp.Length != i) throw new ArgumentException("The length of the parameter vector does not match the number of free parameters for CovarianceSquaredExponentialIso", "hyp");
}
public double GetCovariance(double[,] x, int i, int j) {
double d = i == j
? 0.0
: Util.SqrDist(x, i, j, inverseLength);
return sf2 * Math.Exp(-d / 2.0);
}
public IEnumerable GetGradient(double[,] x, int i, int j) {
double d = i == j
? 0.0
: Util.SqrDist(x, i, j, inverseLength);
double g = Math.Exp(-d / 2.0);
yield return sf2 * g * d;
yield return 2.0 * sf2 * g;
}
public double GetCrossCovariance(double[,] x, double[,] xt, int i, int j) {
double d = Util.SqrDist(x, i, xt, j, inverseLength);
return sf2 * Math.Exp(-d / 2.0);
}
}
}