#region License Information
/* HeuristicLab
* Copyright (C) 2002-2008 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 System.Text;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Operators;
using HeuristicLab.DataAnalysis;
using HeuristicLab.Functions;
namespace HeuristicLab.StructureIdentification {
public class VarianceAccountedForEvaluator : OperatorBase {
public override string Description {
get { return @"Evaluates 'OperatorTree' for samples 'FirstSampleIndex' - 'LastSampleIndex' (inclusive) and calculates
the variance-accounted-for quality measure for the estimated values vs. the real values of 'TargetVariable'.
The Variance Accounted For (VAF) function is computed as
VAF(y,y') = ( 1 - var(y-y')/var(y) )
where y' denotes the predicted / modelled values for y and var(x) the variance of a signal x."; }
}
///
/// The Variance Accounted For (VAF) function calculates is computed as
/// VAF(y,y') = ( 1 - var(y-y')/var(y) )
/// where y' denotes the predicted / modelled values for y and var(x) the variance of a signal x.
///
public VarianceAccountedForEvaluator()
: base() {
AddVariableInfo(new VariableInfo("OperatorTree", "The function tree that should be evaluated", typeof(IFunction), VariableKind.In));
AddVariableInfo(new VariableInfo("Dataset", "Dataset with all samples on which to apply the function", typeof(Dataset), VariableKind.In));
AddVariableInfo(new VariableInfo("TargetVariable", "Index of the target variable in the dataset", typeof(IntData), VariableKind.In));
AddVariableInfo(new VariableInfo("FirstSampleIndex", "Index of the first row of the dataset on which the function should be evaluated", typeof(IntData), VariableKind.In));
AddVariableInfo(new VariableInfo("LastSampleIndex", "Index of the last row of the dataset on which the function should be evaluated (inclusive)", typeof(IntData), VariableKind.In));
AddVariableInfo(new VariableInfo("PunishmentFactor", "Punishment factor for invalid estimations", typeof(DoubleData), VariableKind.In));
AddVariableInfo(new VariableInfo("UseEstimatedTargetValues", "When the function tree contains the target variable this variable determines " +
"if we should use the estimated or the original values of the target variable in the evaluation", typeof(BoolData), VariableKind.In));
AddVariableInfo(new VariableInfo("Quality", "Variance accounted for quality of the model", typeof(DoubleData), VariableKind.New));
}
private double[] originalTargetVariableValues = new double[1];
private double[] errors = new double[1];
public override IOperation Apply(IScope scope) {
int firstSampleIndex = GetVariableValue("FirstSampleIndex", scope, true).Data;
int lastSampleIndex = GetVariableValue("LastSampleIndex", scope, true).Data;
if(lastSampleIndex < firstSampleIndex) {
throw new InvalidProgramException();
}
IFunction function = GetVariableValue("OperatorTree", scope, true);
Dataset dataset = GetVariableValue("Dataset", scope, true);
int targetVariable = GetVariableValue("TargetVariable", scope, true).Data;
bool useEstimatedTargetValues = GetVariableValue("UseEstimatedTargetValues", scope, true).Data;
double punishmentFactor = GetVariableValue("PunishmentFactor", scope, true).Data;
if(originalTargetVariableValues.Length != lastSampleIndex - firstSampleIndex + 1) {
originalTargetVariableValues = new double[lastSampleIndex - firstSampleIndex + 1];
errors = new double[lastSampleIndex - firstSampleIndex + 1];
}
double maximumPunishment = punishmentFactor * dataset.GetRange(targetVariable, firstSampleIndex, lastSampleIndex);
double targetMean = dataset.GetMean(targetVariable, firstSampleIndex, lastSampleIndex);
for(int sample = firstSampleIndex; sample <= lastSampleIndex; sample++) {
double estimated = function.Evaluate(dataset, sample);
double original = dataset.GetValue(sample, targetVariable);
if(!double.IsNaN(original) && !double.IsInfinity(original)) {
if(double.IsNaN(estimated) || double.IsInfinity(estimated))
estimated = targetMean + maximumPunishment;
else if(estimated > (targetMean + maximumPunishment))
estimated = targetMean + maximumPunishment;
else if(estimated < (targetMean - maximumPunishment))
estimated = targetMean - maximumPunishment;
}
errors[sample-firstSampleIndex] = original - estimated;
originalTargetVariableValues[sample-firstSampleIndex] = original;
if(useEstimatedTargetValues) {
dataset.SetValue(sample, targetVariable, estimated);
}
}
double errorsVariance = Statistics.Variance(errors);
double originalsVariance = Statistics.Variance(originalTargetVariableValues);
double quality = 1 - errorsVariance / originalsVariance;
if(double.IsNaN(quality) || double.IsInfinity(quality)) {
quality = double.MaxValue;
}
if(useEstimatedTargetValues) {
// restore original values of the target variable
for(int sample = firstSampleIndex; sample <= lastSampleIndex; sample++) {
dataset.SetValue(sample, targetVariable, originalTargetVariableValues[sample - firstSampleIndex]);
}
}
scope.AddVariable(new HeuristicLab.Core.Variable("Quality", new DoubleData(quality)));
return null;
}
}
}