#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.Data;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
using HeuristicLab.Parameters;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
namespace HeuristicLab.Problems.DataAnalysis.Symbolic {
[StorableClass]
[Item("SymbolicDataAnalysisExpressionTreeInterpreter", "Interpreter for symbolic expression trees including automatically defined functions.")]
public sealed class SymbolicDataAnalysisExpressionTreeInterpreter : ParameterizedNamedItem,
ISymbolicDataAnalysisExpressionTreeInterpreter, ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter {
private const string CheckExpressionsWithIntervalArithmeticParameterName = "CheckExpressionsWithIntervalArithmetic";
#region private classes
private class InterpreterState {
private double[] argumentStack;
private int argumentStackPointer;
private Instruction[] code;
private int pc;
public int ProgramCounter {
get { return pc; }
set { pc = value; }
}
internal InterpreterState(Instruction[] code, int argumentStackSize) {
this.code = code;
this.pc = 0;
if (argumentStackSize > 0) {
this.argumentStack = new double[argumentStackSize];
}
this.argumentStackPointer = 0;
}
internal void Reset() {
this.pc = 0;
this.argumentStackPointer = 0;
}
internal Instruction NextInstruction() {
return code[pc++];
}
private void Push(double val) {
argumentStack[argumentStackPointer++] = val;
}
private double Pop() {
return argumentStack[--argumentStackPointer];
}
internal void CreateStackFrame(double[] argValues) {
// push in reverse order to make indexing easier
for (int i = argValues.Length - 1; i >= 0; i--) {
argumentStack[argumentStackPointer++] = argValues[i];
}
Push(argValues.Length);
}
internal void RemoveStackFrame() {
int size = (int)Pop();
argumentStackPointer -= size;
}
internal double GetStackFrameValue(ushort index) {
// layout of stack:
// [0] <- argumentStackPointer
// [StackFrameSize = N + 1]
// [Arg0] <- argumentStackPointer - 2 - 0
// [Arg1] <- argumentStackPointer - 2 - 1
// [...]
// [ArgN] <- argumentStackPointer - 2 - N
//
return argumentStack[argumentStackPointer - index - 2];
}
}
private class OpCodes {
public const byte Add = 1;
public const byte Sub = 2;
public const byte Mul = 3;
public const byte Div = 4;
public const byte Sin = 5;
public const byte Cos = 6;
public const byte Tan = 7;
public const byte Log = 8;
public const byte Exp = 9;
public const byte IfThenElse = 10;
public const byte GT = 11;
public const byte LT = 12;
public const byte AND = 13;
public const byte OR = 14;
public const byte NOT = 15;
public const byte Average = 16;
public const byte Call = 17;
public const byte Variable = 18;
public const byte LagVariable = 19;
public const byte Constant = 20;
public const byte Arg = 21;
public const byte Power = 22;
public const byte Root = 23;
public const byte TimeLag = 24;
public const byte Integral = 25;
public const byte Derivative = 26;
public const byte VariableCondition = 27;
}
#endregion
private Dictionary symbolToOpcode = new Dictionary() {
{ typeof(Addition), OpCodes.Add },
{ typeof(Subtraction), OpCodes.Sub },
{ typeof(Multiplication), OpCodes.Mul },
{ typeof(Division), OpCodes.Div },
{ typeof(Sine), OpCodes.Sin },
{ typeof(Cosine), OpCodes.Cos },
{ typeof(Tangent), OpCodes.Tan },
{ typeof(Logarithm), OpCodes.Log },
{ typeof(Exponential), OpCodes.Exp },
{ typeof(IfThenElse), OpCodes.IfThenElse },
{ typeof(GreaterThan), OpCodes.GT },
{ typeof(LessThan), OpCodes.LT },
{ typeof(And), OpCodes.AND },
{ typeof(Or), OpCodes.OR },
{ typeof(Not), OpCodes.NOT},
{ typeof(Average), OpCodes.Average},
{ typeof(InvokeFunction), OpCodes.Call },
{ typeof(HeuristicLab.Problems.DataAnalysis.Symbolic.Variable), OpCodes.Variable },
{ typeof(LaggedVariable), OpCodes.LagVariable },
{ typeof(Constant), OpCodes.Constant },
{ typeof(Argument), OpCodes.Arg },
{ typeof(Power),OpCodes.Power},
{ typeof(Root),OpCodes.Root},
{ typeof(TimeLag), OpCodes.TimeLag},
{ typeof(Integral), OpCodes.Integral},
{ typeof(Derivative), OpCodes.Derivative},
{ typeof(VariableCondition),OpCodes.VariableCondition}
};
public override bool CanChangeName {
get { return false; }
}
public override bool CanChangeDescription {
get { return false; }
}
#region parameter properties
public IValueParameter CheckExpressionsWithIntervalArithmeticParameter {
get { return (IValueParameter)Parameters[CheckExpressionsWithIntervalArithmeticParameterName]; }
}
#endregion
#region properties
public BoolValue CheckExpressionsWithIntervalArithmetic {
get { return CheckExpressionsWithIntervalArithmeticParameter.Value; }
set { CheckExpressionsWithIntervalArithmeticParameter.Value = value; }
}
#endregion
[StorableConstructor]
private SymbolicDataAnalysisExpressionTreeInterpreter(bool deserializing) : base(deserializing) { }
private SymbolicDataAnalysisExpressionTreeInterpreter(SymbolicDataAnalysisExpressionTreeInterpreter original, Cloner cloner) : base(original, cloner) { }
public override IDeepCloneable Clone(Cloner cloner) {
return new SymbolicDataAnalysisExpressionTreeInterpreter(this, cloner);
}
public SymbolicDataAnalysisExpressionTreeInterpreter()
: base("SymbolicDataAnalysisExpressionTreeInterpreter", "Interpreter for symbolic expression trees including automatically defined functions.") {
Parameters.Add(new ValueParameter(CheckExpressionsWithIntervalArithmeticParameterName, "Switch that determines if the interpreter checks the validity of expressions with interval arithmetic before evaluating the expression.", new BoolValue(false)));
}
public IEnumerable GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, IEnumerable rows) {
return GetSymbolicExpressionTreeValues(tree, dataset, new string[] { "#NOTHING#" }, rows);
}
public IEnumerable GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, string[] targetVariables, IEnumerable rows) {
return GetSymbolicExpressionTreeValues(tree, dataset, targetVariables, rows, 1);
}
// for each row for each horizon for each target variable one value
public IEnumerable GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, string[] targetVariables, IEnumerable rows, int horizon) {
if (CheckExpressionsWithIntervalArithmetic.Value)
throw new NotSupportedException("Interval arithmetic is not yet supported in the symbolic data analysis interpreter.");
var compiler = new SymbolicExpressionTreeCompiler();
Instruction[] code = compiler.Compile(tree, MapSymbolToOpCode);
int necessaryArgStackSize = 0;
for (int i = 0; i < code.Length; i++) {
Instruction instr = code[i];
if (instr.opCode == OpCodes.Variable) {
var variableTreeNode = instr.dynamicNode as VariableTreeNode;
instr.iArg0 = dataset.GetReadOnlyDoubleValues(variableTreeNode.VariableName);
code[i] = instr;
} else if (instr.opCode == OpCodes.LagVariable) {
var laggedVariableTreeNode = instr.dynamicNode as LaggedVariableTreeNode;
instr.iArg0 = dataset.GetReadOnlyDoubleValues(laggedVariableTreeNode.VariableName);
code[i] = instr;
} else if (instr.opCode == OpCodes.VariableCondition) {
var variableConditionTreeNode = instr.dynamicNode as VariableConditionTreeNode;
instr.iArg0 = dataset.GetReadOnlyDoubleValues(variableConditionTreeNode.VariableName);
} else if (instr.opCode == OpCodes.Call) {
necessaryArgStackSize += instr.nArguments + 1;
}
}
var state = new InterpreterState(code, necessaryArgStackSize);
int nComponents = tree.Root.GetSubtree(0).SubtreeCount;
// produce a n-step forecast for each target variable for all rows
var cachedPrognosedValues = new Dictionary();
foreach (var targetVariable in targetVariables)
cachedPrognosedValues[targetVariable] = new double[horizon];
foreach (var rowEnum in rows) {
int row = rowEnum;
foreach (var horizonRow in Enumerable.Range(row, horizon)) {
int localRow = horizonRow; // create a local variable for the ref parameter
for (int c = 0; c < nComponents; c++) {
var prog = Evaluate(dataset, ref localRow, row - 1, state, cachedPrognosedValues);
yield return prog;
cachedPrognosedValues[targetVariables[c]][horizonRow - row] = prog;
}
state.Reset();
}
}
}
private double Evaluate(Dataset dataset, ref int row, int lastObservedRow, InterpreterState state, Dictionary cachedPrognosedValues) {
Instruction currentInstr = state.NextInstruction();
switch (currentInstr.opCode) {
case OpCodes.Add: {
double s = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
s += Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
return s;
}
case OpCodes.Sub: {
double s = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
s -= Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
if (currentInstr.nArguments == 1) s = -s;
return s;
}
case OpCodes.Mul: {
double p = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
p *= Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
return p;
}
case OpCodes.Div: {
double p = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
p /= Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
if (currentInstr.nArguments == 1) p = 1.0 / p;
return p;
}
case OpCodes.Average: {
double sum = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
sum += Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
return sum / currentInstr.nArguments;
}
case OpCodes.Cos: {
return Math.Cos(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
}
case OpCodes.Sin: {
return Math.Sin(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
}
case OpCodes.Tan: {
return Math.Tan(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
}
case OpCodes.Power: {
double x = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double y = Math.Round(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
return Math.Pow(x, y);
}
case OpCodes.Root: {
double x = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double y = Math.Round(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
return Math.Pow(x, 1 / y);
}
case OpCodes.Exp: {
return Math.Exp(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
}
case OpCodes.Log: {
return Math.Log(Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues));
}
case OpCodes.IfThenElse: {
double condition = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double result;
if (condition > 0.0) {
result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues); SkipInstructions(state);
} else {
SkipInstructions(state); result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
return result;
}
case OpCodes.AND: {
double result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
if (result > 0.0) result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
else {
SkipInstructions(state);
}
}
return result > 0.0 ? 1.0 : -1.0;
}
case OpCodes.OR: {
double result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
for (int i = 1; i < currentInstr.nArguments; i++) {
if (result <= 0.0) result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
else {
SkipInstructions(state);
}
}
return result > 0.0 ? 1.0 : -1.0;
}
case OpCodes.NOT: {
return Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues) > 0.0 ? -1.0 : 1.0;
}
case OpCodes.GT: {
double x = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double y = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
if (x > y) return 1.0;
else return -1.0;
}
case OpCodes.LT: {
double x = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double y = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
if (x < y) return 1.0;
else return -1.0;
}
case OpCodes.TimeLag: {
var timeLagTreeNode = (LaggedTreeNode)currentInstr.dynamicNode;
row += timeLagTreeNode.Lag;
double result = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
row -= timeLagTreeNode.Lag;
return result;
}
case OpCodes.Integral: {
int savedPc = state.ProgramCounter;
var timeLagTreeNode = (LaggedTreeNode)currentInstr.dynamicNode;
double sum = 0.0;
for (int i = 0; i < Math.Abs(timeLagTreeNode.Lag); i++) {
row += Math.Sign(timeLagTreeNode.Lag);
sum += Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
state.ProgramCounter = savedPc;
}
row -= timeLagTreeNode.Lag;
sum += Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
return sum;
}
//mkommend: derivate calculation taken from:
//http://www.holoborodko.com/pavel/numerical-methods/numerical-derivative/smooth-low-noise-differentiators/
//one sided smooth differentiatior, N = 4
// y' = 1/8h (f_i + 2f_i-1, -2 f_i-3 - f_i-4)
case OpCodes.Derivative: {
int savedPc = state.ProgramCounter;
double f_0 = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues); row--;
state.ProgramCounter = savedPc;
double f_1 = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues); row -= 2;
state.ProgramCounter = savedPc;
double f_3 = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues); row--;
state.ProgramCounter = savedPc;
double f_4 = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
row += 4;
return (f_0 + 2 * f_1 - 2 * f_3 - f_4) / 8; // h = 1
}
case OpCodes.Call: {
// evaluate sub-trees
double[] argValues = new double[currentInstr.nArguments];
for (int i = 0; i < currentInstr.nArguments; i++) {
argValues[i] = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
}
// push on argument values on stack
state.CreateStackFrame(argValues);
// save the pc
int savedPc = state.ProgramCounter;
// set pc to start of function
state.ProgramCounter = (ushort)currentInstr.iArg0;
// evaluate the function
double v = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
// delete the stack frame
state.RemoveStackFrame();
// restore the pc => evaluation will continue at point after my subtrees
state.ProgramCounter = savedPc;
return v;
}
case OpCodes.Arg: {
return state.GetStackFrameValue((ushort)currentInstr.iArg0);
}
case OpCodes.Variable: {
if (row < 0 || row >= dataset.Rows)
return double.NaN;
var variableTreeNode = (VariableTreeNode)currentInstr.dynamicNode;
if (row <= lastObservedRow || !cachedPrognosedValues.ContainsKey(variableTreeNode.VariableName)) return ((IList)currentInstr.iArg0)[row] * variableTreeNode.Weight;
else return cachedPrognosedValues[variableTreeNode.VariableName][row - lastObservedRow - 1] * variableTreeNode.Weight;
}
case OpCodes.LagVariable: {
var laggedVariableTreeNode = (LaggedVariableTreeNode)currentInstr.dynamicNode;
int actualRow = row + laggedVariableTreeNode.Lag;
if (actualRow < 0 || actualRow >= dataset.Rows)
return double.NaN;
if (actualRow <= lastObservedRow || !cachedPrognosedValues.ContainsKey(laggedVariableTreeNode.VariableName)) return ((IList)currentInstr.iArg0)[actualRow] * laggedVariableTreeNode.Weight;
else return cachedPrognosedValues[laggedVariableTreeNode.VariableName][actualRow - lastObservedRow - 1] * laggedVariableTreeNode.Weight;
}
case OpCodes.Constant: {
var constTreeNode = currentInstr.dynamicNode as ConstantTreeNode;
return constTreeNode.Value;
}
//mkommend: this symbol uses the logistic function f(x) = 1 / (1 + e^(-alpha * x) )
//to determine the relative amounts of the true and false branch see http://en.wikipedia.org/wiki/Logistic_function
case OpCodes.VariableCondition: {
if (row < 0 || row >= dataset.Rows)
return double.NaN;
var variableConditionTreeNode = (VariableConditionTreeNode)currentInstr.dynamicNode;
double variableValue;
if (row <= lastObservedRow || !cachedPrognosedValues.ContainsKey(variableConditionTreeNode.VariableName))
variableValue = ((IList)currentInstr.iArg0)[row];
else
variableValue = cachedPrognosedValues[variableConditionTreeNode.VariableName][row - lastObservedRow - 1];
double x = variableValue - variableConditionTreeNode.Threshold;
double p = 1 / (1 + Math.Exp(-variableConditionTreeNode.Slope * x));
double trueBranch = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
double falseBranch = Evaluate(dataset, ref row, lastObservedRow, state, cachedPrognosedValues);
return trueBranch * p + falseBranch * (1 - p);
}
default: throw new NotSupportedException();
}
}
private byte MapSymbolToOpCode(ISymbolicExpressionTreeNode treeNode) {
if (symbolToOpcode.ContainsKey(treeNode.Symbol.GetType()))
return symbolToOpcode[treeNode.Symbol.GetType()];
else
throw new NotSupportedException("Symbol: " + treeNode.Symbol);
}
// skips a whole branch
private void SkipInstructions(InterpreterState state) {
int i = 1;
while (i > 0) {
i += state.NextInstruction().nArguments;
i--;
}
}
}
}