#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.Collections.Generic; using System.Linq; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Algorithms.DataAnalysis { [StorableClass] [Item(Name = "MeanProduct", Description = "Product of mean functions for Gaussian processes.")] public sealed class MeanProduct : Item, IMeanFunction { [Storable] private ItemList factors; [Storable] private int numberOfVariables; public ItemList Factors { get { return factors; } } [StorableConstructor] private MeanProduct(bool deserializing) : base(deserializing) { } private MeanProduct(MeanProduct original, Cloner cloner) : base(original, cloner) { this.factors = cloner.Clone(original.factors); this.numberOfVariables = original.numberOfVariables; } public MeanProduct() { this.factors = new ItemList(); } public override IDeepCloneable Clone(Cloner cloner) { return new MeanProduct(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { this.numberOfVariables = numberOfVariables; return factors.Select(t => t.GetNumberOfParameters(numberOfVariables)).Sum(); } public void SetParameter(double[] p) { int offset = 0; foreach (var t in factors) { var numberOfParameters = t.GetNumberOfParameters(numberOfVariables); t.SetParameter(p.Skip(offset).Take(numberOfParameters).ToArray()); offset += numberOfParameters; } } public ParameterizedMeanFunction GetParameterizedMeanFunction(double[] p, IEnumerable columnIndices) { var factorMf = new List(); int totalNumberOfParameters = GetNumberOfParameters(numberOfVariables); int[] factorIndexMap = new int[totalNumberOfParameters]; // maps k-th hyperparameter to the correct mean-term int[] hyperParameterIndexMap = new int[totalNumberOfParameters]; // maps k-th hyperparameter to the l-th hyperparameter of the correct mean-term int c = 0; // get the parameterized mean function for each term for (int factorIndex = 0; factorIndex < factors.Count; factorIndex++) { var numberOfParameters = factors[factorIndex].GetNumberOfParameters(numberOfVariables); factorMf.Add(factors[factorIndex].GetParameterizedMeanFunction(p.Take(numberOfParameters).ToArray(), columnIndices)); p = p.Skip(numberOfParameters).ToArray(); for (int hyperParameterIndex = 0; hyperParameterIndex < numberOfParameters; hyperParameterIndex++) { factorIndexMap[c] = factorIndex; hyperParameterIndexMap[c] = hyperParameterIndex; c++; } } var mf = new ParameterizedMeanFunction(); mf.Mean = (x, i) => factorMf.Select(t => t.Mean(x, i)).Aggregate((a, b) => a * b); mf.Gradient = (x, i, k) => { double result = 1.0; int hyperParameterFactorIndex = factorIndexMap[k]; for (int factorIndex = 0; factorIndex < factors.Count; factorIndex++) { if (factorIndex == hyperParameterFactorIndex) { // multiply gradient result *= factorMf[factorIndex].Gradient(x, i, hyperParameterIndexMap[k]); } else { // multiply mean result *= factorMf[factorIndex].Mean(x, i); } } return result; }; return mf; } } }