Free cookie consent management tool by TermsFeed Policy Generator

source: branches/gteufl/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceFunctions/CovarianceNoise.cs @ 12969

Last change on this file since 12969 was 12969, checked in by gkronber, 9 years ago

#2478 merged all changes from trunk to branch before trunk-reintegration

File size: 3.6 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2015 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System;
23using System.Collections.Generic;
24using System.Linq;
25using HeuristicLab.Common;
26using HeuristicLab.Core;
27using HeuristicLab.Data;
28using HeuristicLab.Parameters;
29using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
30
31namespace HeuristicLab.Algorithms.DataAnalysis {
32  [StorableClass]
33  [Item(Name = "CovarianceNoise",
34    Description = "Noise covariance function for Gaussian processes.")]
35  public sealed class CovarianceNoise : ParameterizedNamedItem, ICovarianceFunction {
36    public IValueParameter<DoubleValue> ScaleParameter {
37      get { return (IValueParameter<DoubleValue>)Parameters["Scale"]; }
38    }
39    private bool HasFixedScaleParameter {
40      get { return ScaleParameter.Value != null; }
41    }
42
43    [StorableConstructor]
44    private CovarianceNoise(bool deserializing)
45      : base(deserializing) {
46    }
47
48    private CovarianceNoise(CovarianceNoise original, Cloner cloner)
49      : base(original, cloner) {
50    }
51
52    public CovarianceNoise()
53      : base() {
54      Name = ItemName;
55      Description = ItemDescription;
56
57      Parameters.Add(new OptionalValueParameter<DoubleValue>("Scale", "The scale of noise."));
58    }
59
60    public override IDeepCloneable Clone(Cloner cloner) {
61      return new CovarianceNoise(this, cloner);
62    }
63
64    public int GetNumberOfParameters(int numberOfVariables) {
65      return HasFixedScaleParameter ? 0 : 1;
66    }
67
68    public void SetParameter(double[] p) {
69      double scale;
70      GetParameterValues(p, out scale);
71      ScaleParameter.Value = new DoubleValue(scale);
72    }
73
74    private void GetParameterValues(double[] p, out double scale) {
75      int c = 0;
76      // gather parameter values
77      if (HasFixedScaleParameter) {
78        scale = ScaleParameter.Value.Value;
79      } else {
80        scale = Math.Exp(2 * p[c]);
81        c++;
82      }
83      if (p.Length != c) throw new ArgumentException("The length of the parameter vector does not match the number of free parameters for CovarianceNoise", "p");
84    }
85
86    public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, IEnumerable<int> columnIndices) {
87      double scale;
88      GetParameterValues(p, out scale);
89      var fixedScale = HasFixedScaleParameter;
90      // create functions
91      var cov = new ParameterizedCovarianceFunction();
92      cov.Covariance = (x, i, j) => i == j ? scale : 0.0;
93      cov.CrossCovariance = (x, xt, i, j) => Util.SqrDist(x, i, xt, j, 1.0, columnIndices) < 1e-9 ? scale : 0.0;
94      if (fixedScale)
95        cov.CovarianceGradient = (x, i, j) => Enumerable.Empty<double>();
96      else
97        cov.CovarianceGradient = (x, i, j) => Enumerable.Repeat(i == j ? 2.0 * scale : 0.0, 1);
98      return cov;
99    }
100  }
101}
Note: See TracBrowser for help on using the repository browser.