source: branches/sluengo/HeuristicLab.Problems.TradeRules/TradeRulesProblem.cs @ 12010

#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 <http://www.gnu.org/licenses/>.
 */
#endregion

using System.Linq;
using HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Parameters;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
using HeuristicLab.Problems.DataAnalysis.Symbolic;
using HeuristicLab.Problems.DataAnalysis;
using HeuristicLab.Problems.DataAnalysis.Symbolic.Regression;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding; 
 

namespace HeuristicLab.Problems.TradeRules
{
    [Item("TradeRules", "Represents a trade rules in a symbolic regression problem.")]
    [StorableClass]
    [Creatable("Problems")]
    public class TradeRulesProblem : TradeRulesAbstractProblem<IRegressionProblemData, ISymbolicRegressionSingleObjectiveEvaluator, ISymbolicDataAnalysisSolutionCreator>, IRegressionProblem
    {
        private const double PunishmentFactor = 10;
        private const int InitialMaximumTreeDepth = 8;
        private const int InitialMaximumTreeLength = 25;
        private const string EstimationLimitsParameterName = "EstimationLimits";
        private const string EstimationLimitsParameterDescription = "The limits for the estimated value that can be returned by the symbolic regression model.";

        #region parameter properties
        public IFixedValueParameter<DoubleLimit> EstimationLimitsParameter
        {
            get { return (IFixedValueParameter<DoubleLimit>)Parameters[EstimationLimitsParameterName]; }
        }
        #endregion
        #region properties
        public DoubleLimit EstimationLimits
        {
            get { return EstimationLimitsParameter.Value; }
        }
        #endregion
        [StorableConstructor]
        protected TradeRulesProblem(bool deserializing) : base(deserializing) { }
        protected TradeRulesProblem(TradeRulesProblem original, Cloner cloner)
            : base(original, cloner)
        {
            RegisterEventHandlers();
        }
        public override IDeepCloneable Clone(Cloner cloner) { return new TradeRulesProblem(this, cloner); }

        public TradeRulesProblem()
            : base(new RegressionProblemData(), new EvaluatorTradeRules(), new SymbolicDataAnalysisExpressionTreeCreator())
        {
            Parameters.Add(new FixedValueParameter<DoubleLimit>(EstimationLimitsParameterName, EstimationLimitsParameterDescription));

            EstimationLimitsParameter.Hidden = true;

            Maximization.Value = true;
            MaximumSymbolicExpressionTreeDepth.Value = InitialMaximumTreeDepth;
            MaximumSymbolicExpressionTreeLength.Value = InitialMaximumTreeLength;

            RegisterEventHandlers();
            ConfigureGrammarSymbols();
            InitializeOperators();
            UpdateEstimationLimits();
        }

        [StorableHook(HookType.AfterDeserialization)]
        private void AfterDeserialization()
        {
            RegisterEventHandlers();
            // compatibility
            bool changed = false;
            if (!Operators.OfType<SymbolicRegressionSingleObjectiveTrainingParetoBestSolutionAnalyzer>().Any())
            {
                Operators.Add(new SymbolicRegressionSingleObjectiveTrainingParetoBestSolutionAnalyzer());
                changed = true;
            }
            if (!Operators.OfType<SymbolicRegressionSingleObjectiveValidationParetoBestSolutionAnalyzer>().Any())
            {
                Operators.Add(new SymbolicRegressionSingleObjectiveValidationParetoBestSolutionAnalyzer());
                changed = true;
            }
            if (changed)
            {
                ParameterizeOperators();
            }
        }

        private void RegisterEventHandlers()
        {
            SymbolicExpressionTreeGrammarParameter.ValueChanged += (o, e) => ConfigureGrammarSymbols();
        }

        private void ConfigureGrammarSymbols()
        {
            var grammar = SymbolicExpressionTreeGrammar as Grammar;
            if (grammar != null) grammar.ConfigureAsDefaultRegressionGrammar();
        }

        private void InitializeOperators()
        {
            Operators.Add(new SymbolicRegressionSingleObjectiveTrainingBestSolutionAnalyzer());
            Operators.Add(new SymbolicRegressionSingleObjectiveValidationBestSolutionAnalyzer());
            Operators.Add(new SymbolicRegressionSingleObjectiveOverfittingAnalyzer());
            Operators.Add(new SymbolicRegressionSingleObjectiveTrainingParetoBestSolutionAnalyzer());
            Operators.Add(new SymbolicRegressionSingleObjectiveValidationParetoBestSolutionAnalyzer());

            ParameterizeOperators();
        }

        private void UpdateEstimationLimits()
        {
            if (ProblemData.TrainingIndices.Any())
            {
                var targetValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices).ToList();
                var mean = targetValues.Average();
                var range = targetValues.Max() - targetValues.Min();
                EstimationLimits.Upper = mean + PunishmentFactor * range;
                EstimationLimits.Lower = mean - PunishmentFactor * range;
            }
            else
            {
                EstimationLimits.Upper = double.MaxValue;
                EstimationLimits.Lower = double.MinValue;
            }
        }

        protected override void OnProblemDataChanged()
        {
            base.OnProblemDataChanged();
            UpdateEstimationLimits();
        }

        protected override void ParameterizeOperators()
        {
            base.ParameterizeOperators();
            if (Parameters.ContainsKey(EstimationLimitsParameterName))
            {
                var operators = Parameters.OfType<IValueParameter>().Select(p => p.Value).OfType<IOperator>().Union(Operators);
                foreach (var op in operators.OfType<ISymbolicDataAnalysisBoundedOperator>())
                {
                    op.EstimationLimitsParameter.ActualName = EstimationLimitsParameter.Name;
                }
            }
        }
    }
}