1 | #region License Information
|
---|
2 | /* HeuristicLab
|
---|
3 | * Copyright (C) 2002-2016 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
|
---|
4 | * and the BEACON Center for the Study of Evolution in Action.
|
---|
5 | *
|
---|
6 | * This file is part of HeuristicLab.
|
---|
7 | *
|
---|
8 | * HeuristicLab is free software: you can redistribute it and/or modify
|
---|
9 | * it under the terms of the GNU General Public License as published by
|
---|
10 | * the Free Software Foundation, either version 3 of the License, or
|
---|
11 | * (at your option) any later version.
|
---|
12 | *
|
---|
13 | * HeuristicLab is distributed in the hope that it will be useful,
|
---|
14 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
|
---|
15 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
---|
16 | * GNU General Public License for more details.
|
---|
17 | *
|
---|
18 | * You should have received a copy of the GNU General Public License
|
---|
19 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
|
---|
20 | */
|
---|
21 | #endregion
|
---|
22 |
|
---|
23 | using System;
|
---|
24 | using System.Collections.Generic;
|
---|
25 | using HeuristicLab.Common;
|
---|
26 | using HeuristicLab.Core;
|
---|
27 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
|
---|
28 |
|
---|
29 | namespace HeuristicLab.Algorithms.DataAnalysis {
|
---|
30 | // loss function for the weighted absolute error
|
---|
31 | [StorableClass]
|
---|
32 | [Item("Absolute error loss", "")]
|
---|
33 | public sealed class AbsoluteErrorLoss : Item, ILossFunction {
|
---|
34 | public AbsoluteErrorLoss() { }
|
---|
35 |
|
---|
36 | public double GetLoss(IEnumerable<double> target, IEnumerable<double> pred) {
|
---|
37 | var targetEnum = target.GetEnumerator();
|
---|
38 | var predEnum = pred.GetEnumerator();
|
---|
39 |
|
---|
40 | double s = 0;
|
---|
41 | while (targetEnum.MoveNext() & predEnum.MoveNext()) {
|
---|
42 | double res = targetEnum.Current - predEnum.Current;
|
---|
43 | s += Math.Abs(res); // |res|
|
---|
44 | }
|
---|
45 | if (targetEnum.MoveNext() | predEnum.MoveNext())
|
---|
46 | throw new ArgumentException("target and pred have differing lengths");
|
---|
47 |
|
---|
48 | return s;
|
---|
49 | }
|
---|
50 |
|
---|
51 | public IEnumerable<double> GetLossGradient(IEnumerable<double> target, IEnumerable<double> pred) {
|
---|
52 | var targetEnum = target.GetEnumerator();
|
---|
53 | var predEnum = pred.GetEnumerator();
|
---|
54 |
|
---|
55 | while (targetEnum.MoveNext() & predEnum.MoveNext()) {
|
---|
56 | // dL(y, f(x)) / df(x) = sign(res)
|
---|
57 | var res = targetEnum.Current - predEnum.Current;
|
---|
58 | if (res > 0) yield return 1.0;
|
---|
59 | else if (res < 0) yield return -1.0;
|
---|
60 | else yield return 0.0;
|
---|
61 | }
|
---|
62 | if (targetEnum.MoveNext() | predEnum.MoveNext())
|
---|
63 | throw new ArgumentException("target and pred have differing lengths");
|
---|
64 | }
|
---|
65 |
|
---|
66 | // return median of residuals
|
---|
67 | // targetArr and predArr are not changed by LineSearch
|
---|
68 | public double LineSearch(double[] targetArr, double[] predArr, int[] idx, int startIdx, int endIdx) {
|
---|
69 | if (targetArr.Length != predArr.Length)
|
---|
70 | throw new ArgumentException("target and pred have differing lengths");
|
---|
71 |
|
---|
72 | // Median() is allocating an array anyway
|
---|
73 | // It would be possible to pre-allocated an array for the residuals if Median() would allow specification of a sub-range
|
---|
74 | int nRows = endIdx - startIdx + 1;
|
---|
75 | var res = new double[nRows];
|
---|
76 | for (int i = startIdx; i <= endIdx; i++) {
|
---|
77 | var row = idx[i];
|
---|
78 | res[i - startIdx] = targetArr[row] - predArr[row];
|
---|
79 | }
|
---|
80 | return res.Median(); // TODO: improve efficiency
|
---|
81 | }
|
---|
82 |
|
---|
83 | #region item implementation
|
---|
84 | [StorableConstructor]
|
---|
85 | private AbsoluteErrorLoss(bool deserializing) : base(deserializing) { }
|
---|
86 |
|
---|
87 | private AbsoluteErrorLoss(AbsoluteErrorLoss original, Cloner cloner) : base(original, cloner) { }
|
---|
88 |
|
---|
89 | public override IDeepCloneable Clone(Cloner cloner) {
|
---|
90 | return new AbsoluteErrorLoss(this, cloner);
|
---|
91 | }
|
---|
92 | #endregion
|
---|
93 | }
|
---|
94 | }
|
---|