#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 System.Linq; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Algorithms.DataAnalysis { [StorableClass] [Item(Name = "CovarianceProd", Description = "Product covariance function for Gaussian processes.")] public class CovarianceProd : Item, ICovarianceFunction { [Storable] private ItemList factors; [Storable] private int numberOfVariables; public ItemList Factors { get { return factors; } } [StorableConstructor] protected CovarianceProd(bool deserializing) : base(deserializing) { } protected CovarianceProd(CovarianceProd original, Cloner cloner) : base(original, cloner) { this.factors = cloner.Clone(original.factors); this.numberOfVariables = original.numberOfVariables; AttachEventHandlers(); } public CovarianceProd() : base() { this.factors = new ItemList(); AttachEventHandlers(); } private void AttachEventHandlers() { this.factors.CollectionReset += (sender, args) => ClearCache(); this.factors.ItemsAdded += (sender, args) => ClearCache(); this.factors.ItemsRemoved += (sender, args) => ClearCache(); this.factors.ItemsReplaced += (sender, args) => ClearCache(); this.factors.ItemsMoved += (sender, args) => ClearCache(); } public override IDeepCloneable Clone(Cloner cloner) { return new CovarianceProd(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { this.numberOfVariables = numberOfVariables; return factors.Select(t => t.GetNumberOfParameters(numberOfVariables)).Sum(); } public void SetParameter(double[] hyp) { int offset = 0; foreach (var t in factors) { var numberOfParameters = t.GetNumberOfParameters(numberOfVariables); t.SetParameter(hyp.Skip(offset).Take(numberOfParameters).ToArray()); offset += numberOfParameters; } } public void SetData(double[,] x) { SetData(x, x); } public void SetData(double[,] x, double[,] xt) { foreach (var t in factors) { t.SetData(x, xt); } } public double GetCovariance(int i, int j) { return factors.Select(t => t.GetCovariance(i, j)).Aggregate((a, b) => a * b); } private Dictionary> cachedParameterMap; public double GetGradient(int i, int j, int k) { if (cachedParameterMap == null) { CalculateParameterMap(); } int ti = cachedParameterMap[k].Item1; k = cachedParameterMap[k].Item2; double res = 1.0; for (int ii = 0; ii < factors.Count; ii++) { var f = factors[ii]; if (ii == ti) { res *= f.GetGradient(i, j, k); } else { res *= f.GetCovariance(i, j); } } return res; } private void ClearCache() { cachedParameterMap = null; } private void CalculateParameterMap() { cachedParameterMap = new Dictionary>(); int k = 0; for (int ti = 0; ti < factors.Count; ti++) { for (int ti_k = 0; ti_k < factors[ti].GetNumberOfParameters(numberOfVariables); ti_k++) { cachedParameterMap[k++] = Tuple.Create(ti, ti_k); } } } } }