#region License Information
/* HeuristicLab
* Copyright (C) 2002-2011 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.Drawing;
using System.Linq;
using HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
namespace HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis {
///
/// Represents a symbolic time-series prognosis model
///
[StorableClass]
[Item(Name = "Symbolic Time-Series Prognosis Model", Description = "Represents a symbolic time series prognosis model.")]
public class SymbolicTimeSeriesPrognosisModel : NamedItem, ISymbolicTimeSeriesPrognosisModel {
public override Image ItemImage {
get { return HeuristicLab.Common.Resources.VSImageLibrary.Function; }
}
[Storable(DefaultValue = double.MinValue)]
private double lowerEstimationLimit;
[Storable(DefaultValue = double.MaxValue)]
private double upperEstimationLimit;
#region properties
[Storable]
private ISymbolicExpressionTree symbolicExpressionTree;
public ISymbolicExpressionTree SymbolicExpressionTree {
get { return symbolicExpressionTree; }
}
[Storable]
private ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter interpreter;
public ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter Interpreter {
get { return interpreter; }
}
ISymbolicDataAnalysisExpressionTreeInterpreter ISymbolicDataAnalysisModel.Interpreter {
get { return (ISymbolicDataAnalysisExpressionTreeInterpreter)interpreter; }
}
#endregion
[Storable]
private string[] targetVariables;
[StorableConstructor]
protected SymbolicTimeSeriesPrognosisModel(bool deserializing) : base(deserializing) { }
protected SymbolicTimeSeriesPrognosisModel(SymbolicTimeSeriesPrognosisModel original, Cloner cloner)
: base(original, cloner) {
this.symbolicExpressionTree = cloner.Clone(original.symbolicExpressionTree);
this.interpreter = cloner.Clone(original.interpreter);
this.targetVariables = new string[original.targetVariables.Length];
Array.Copy(original.targetVariables, this.targetVariables, this.targetVariables.Length);
this.lowerEstimationLimit = original.lowerEstimationLimit;
this.upperEstimationLimit = original.upperEstimationLimit;
}
public SymbolicTimeSeriesPrognosisModel(ISymbolicExpressionTree tree, ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter interpreter, IEnumerable targetVariables, double lowerLimit = double.MinValue, double upperLimit = double.MaxValue)
: base() {
this.name = ItemName;
this.description = ItemDescription;
this.symbolicExpressionTree = tree;
this.interpreter = interpreter; this.targetVariables = targetVariables.ToArray();
this.lowerEstimationLimit = lowerLimit;
this.upperEstimationLimit = upperLimit;
}
public override IDeepCloneable Clone(Cloner cloner) {
return new SymbolicTimeSeriesPrognosisModel(this, cloner);
}
public IEnumerable>> GetPrognosedValues(Dataset dataset, IEnumerable rows, int horizon) {
var enumerator =
Interpreter.GetSymbolicExpressionTreeValues(SymbolicExpressionTree, dataset, targetVariables, rows, horizon).
GetEnumerator();
foreach (var r in rows) {
var l = new List();
for (int h = 0; h < horizon; h++) {
double[] components = new double[targetVariables.Length];
for (int c = 0; c < components.Length; c++) {
enumerator.MoveNext();
components[c] = Math.Min(upperEstimationLimit, Math.Max(lowerEstimationLimit, enumerator.Current));
}
l.Add(components);
}
yield return l;
}
}
public ISymbolicTimeSeriesPrognosisSolution CreateTimeSeriesPrognosisSolution(ITimeSeriesPrognosisProblemData problemData) {
return new SymbolicTimeSeriesPrognosisSolution(this, problemData);
}
ITimeSeriesPrognosisSolution ITimeSeriesPrognosisModel.CreateTimeSeriesPrognosisSolution(ITimeSeriesPrognosisProblemData problemData) {
return CreateTimeSeriesPrognosisSolution(problemData);
}
public static void Scale(SymbolicTimeSeriesPrognosisModel model, ITimeSeriesPrognosisProblemData problemData) {
var dataset = problemData.Dataset;
var targetVariables = problemData.TargetVariables.ToArray();
var rows = problemData.TrainingIndizes;
var estimatedValuesEnumerator = model.Interpreter.GetSymbolicExpressionTreeValues(model.SymbolicExpressionTree, dataset,
targetVariables,
rows).GetEnumerator();
var scalingParameterCalculators =
problemData.TargetVariables.Select(v => new OnlineLinearScalingParameterCalculator()).ToArray();
var targetValuesEnumerator = problemData.Dataset.GetVectorEnumerable(targetVariables, rows).GetEnumerator();
var more = targetValuesEnumerator.MoveNext() & estimatedValuesEnumerator.MoveNext();
// foreach row
while (more) {
// foreach component
for (int i = 0; i < targetVariables.Length; i++) {
scalingParameterCalculators[i].Add(estimatedValuesEnumerator.Current, targetValuesEnumerator.Current);
more = estimatedValuesEnumerator.MoveNext() & targetValuesEnumerator.MoveNext();
}
}
for (int i = 0; i < targetVariables.Count(); i++) {
if (scalingParameterCalculators[i].ErrorState != OnlineCalculatorError.None) continue;
double alpha = scalingParameterCalculators[i].Alpha;
double beta = scalingParameterCalculators[i].Beta;
ConstantTreeNode alphaTreeNode = null;
ConstantTreeNode betaTreeNode = null;
// check if model has been scaled previously by analyzing the structure of the tree
var startNode = model.SymbolicExpressionTree.Root.GetSubtree(0);
if (startNode.GetSubtree(i).Symbol is Addition) {
var addNode = startNode.GetSubtree(i);
if (addNode.SubtreeCount == 2 && addNode.GetSubtree(0).Symbol is Multiplication &&
addNode.GetSubtree(1).Symbol is Constant) {
alphaTreeNode = addNode.GetSubtree(1) as ConstantTreeNode;
var mulNode = addNode.GetSubtree(0);
if (mulNode.SubtreeCount == 2 && mulNode.GetSubtree(1).Symbol is Constant) {
betaTreeNode = mulNode.GetSubtree(1) as ConstantTreeNode;
}
}
}
// if tree structure matches the structure necessary for linear scaling then reuse the existing tree nodes
if (alphaTreeNode != null && betaTreeNode != null) {
betaTreeNode.Value *= beta;
alphaTreeNode.Value *= beta;
alphaTreeNode.Value += alpha;
} else {
var mainBranch = startNode.GetSubtree(i);
startNode.RemoveSubtree(i);
var scaledMainBranch = MakeSum(MakeProduct(mainBranch, beta), alpha);
startNode.InsertSubtree(i, scaledMainBranch);
}
} // foreach
}
private static ISymbolicExpressionTreeNode MakeSum(ISymbolicExpressionTreeNode treeNode, double alpha) {
if (alpha.IsAlmost(0.0)) {
return treeNode;
} else {
var addition = new Addition();
var node = addition.CreateTreeNode();
var alphaConst = MakeConstant(alpha);
node.AddSubtree(treeNode);
node.AddSubtree(alphaConst);
return node;
}
}
private static ISymbolicExpressionTreeNode MakeProduct(ISymbolicExpressionTreeNode treeNode, double beta) {
if (beta.IsAlmost(1.0)) {
return treeNode;
} else {
var multipliciation = new Multiplication();
var node = multipliciation.CreateTreeNode();
var betaConst = MakeConstant(beta);
node.AddSubtree(treeNode);
node.AddSubtree(betaConst);
return node;
}
}
private static ISymbolicExpressionTreeNode MakeConstant(double c) {
var node = (ConstantTreeNode)(new Constant()).CreateTreeNode();
node.Value = c;
return node;
}
}
}