#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.Linq; using HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Data; using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis { [Item("Mean squared error Evaluator", "Calculates the mean squared error of a symbolic time-series prognosis solution.")] [StorableClass] public class SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator : SymbolicTimeSeriesPrognosisSingleObjectiveEvaluator { [StorableConstructor] protected SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(bool deserializing) : base(deserializing) { } protected SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator original, Cloner cloner) : base(original, cloner) { } public override IDeepCloneable Clone(Cloner cloner) { return new SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(this, cloner); } public SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator() : base() { } public override bool Maximization { get { return false; } } public override IOperation Apply() { var solution = SymbolicExpressionTreeParameter.ActualValue; IEnumerable rows = GenerateRowsToEvaluate(); var interpreter = (ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter)SymbolicDataAnalysisTreeInterpreterParameter.ActualValue; double quality = Calculate(interpreter, solution, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, ProblemDataParameter.ActualValue, rows, EvaluationPartitionParameter.ActualValue, HorizonParameter.ActualValue.Value, ApplyLinearScalingParameter.ActualValue.Value); QualityParameter.ActualValue = new DoubleValue(quality); return base.Apply(); } public static double Calculate(ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, double lowerEstimationLimit, double upperEstimationLimit, ITimeSeriesPrognosisProblemData problemData, IEnumerable rows, IntRange evaluationPartition, int horizon, bool applyLinearScaling) { var horizions = rows.Select(r => Math.Min(horizon, evaluationPartition.End - r)); IEnumerable targetValues = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, rows.Zip(horizions, Enumerable.Range).SelectMany(r => r)); IEnumerable estimatedValues = interpreter.GetSymbolicExpressionTreeValues(solution, problemData.Dataset, rows, horizions).SelectMany(x => x); OnlineCalculatorError errorState; double mse; if (applyLinearScaling && horizon == 1) { //perform normal evaluation and afterwards scale the solution and calculate the fitness value var mseCalculator = new OnlineMeanSquaredErrorCalculator(); CalculateWithScaling(targetValues, estimatedValues, lowerEstimationLimit, upperEstimationLimit, mseCalculator, problemData.Dataset.Rows * horizon); errorState = mseCalculator.ErrorState; mse = mseCalculator.MeanSquaredError; } else if (applyLinearScaling) { //first create model to perform linear scaling and afterwards calculate fitness for the scaled model var model = new SymbolicTimeSeriesPrognosisModel((ISymbolicExpressionTree)solution.Clone(), interpreter, lowerEstimationLimit, upperEstimationLimit); model.Scale(problemData); var scaledSolution = model.SymbolicExpressionTree; estimatedValues = interpreter.GetSymbolicExpressionTreeValues(scaledSolution, problemData.Dataset, rows, horizions).SelectMany(x => x); var boundedEstimatedValues = estimatedValues.LimitToRange(lowerEstimationLimit, upperEstimationLimit); mse = OnlineMeanSquaredErrorCalculator.Calculate(targetValues, boundedEstimatedValues, out errorState); } else { var boundedEstimatedValues = estimatedValues.LimitToRange(lowerEstimationLimit, upperEstimationLimit); mse = OnlineMeanSquaredErrorCalculator.Calculate(targetValues, boundedEstimatedValues, out errorState); } if (errorState != OnlineCalculatorError.None) return Double.NaN; else return mse; } public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, ITimeSeriesPrognosisProblemData problemData, IEnumerable rows) { SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context; EstimationLimitsParameter.ExecutionContext = context; HorizonParameter.ExecutionContext = context; EvaluationPartitionParameter.ExecutionContext = context; double mse = Calculate((ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter)SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows, EvaluationPartitionParameter.ActualValue, HorizonParameter.ActualValue.Value, ApplyLinearScalingParameter.ActualValue.Value); HorizonParameter.ExecutionContext = null; SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null; EstimationLimitsParameter.ExecutionContext = null; EvaluationPartitionParameter.ExecutionContext = null; return mse; } } }