1 | #region License Information
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2 | /* HeuristicLab
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3 | * Copyright (C) 2002-2016 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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4 | *
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5 | * This file is part of HeuristicLab.
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6 | *
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7 | * HeuristicLab is free software: you can redistribute it and/or modify
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8 | * it under the terms of the GNU General Public License as published by
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9 | * the Free Software Foundation, either version 3 of the License, or
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10 | * (at your option) any later version.
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11 | *
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12 | * HeuristicLab is distributed in the hope that it will be useful,
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13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 | * GNU General Public License for more details.
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16 | *
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17 | * You should have received a copy of the GNU General Public License
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18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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19 | */
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20 | #endregion
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21 |
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22 | using System;
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23 | using System.Collections.Generic;
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24 | using System.Linq;
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25 | using HeuristicLab.Common;
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26 | using HeuristicLab.Core;
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27 | using HeuristicLab.Data;
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28 | using HeuristicLab.Parameters;
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29 | using HeuristicLab.Optimization;
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30 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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31 | using HeuristicLab.Problems.DataAnalysis;
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32 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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33 | using HeuristicLab.Problems.DataAnalysis.Symbolic.Regression;
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34 | using HeuristicLab.Random;
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35 |
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36 | namespace HeuristicLab.Algorithms.DataAnalysis {
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37 | /// <summary>
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38 | /// Nonlinear regression data analysis algorithm.
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39 | /// </summary>
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40 | [Item("Nonlinear Regression (NLR)", "Nonlinear regression (curve fitting) data analysis algorithm (wrapper for ALGLIB).")]
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41 | [Creatable(CreatableAttribute.Categories.DataAnalysisRegression, Priority = 120)]
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42 | [StorableClass]
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43 | public sealed class NonlinearRegression : FixedDataAnalysisAlgorithm<IRegressionProblem> {
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44 | private const string RegressionSolutionResultName = "Regression solution";
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45 | private const string ModelStructureParameterName = "Model structure";
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46 | private const string IterationsParameterName = "Iterations";
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47 | private const string RestartsParameterName = "Restarts";
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48 | private const string SetSeedRandomlyParameterName = "SetSeedRandomly";
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49 | private const string SeedParameterName = "Seed";
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50 |
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51 | public IFixedValueParameter<StringValue> ModelStructureParameter {
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52 | get { return (IFixedValueParameter<StringValue>)Parameters[ModelStructureParameterName]; }
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53 | }
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54 | public IFixedValueParameter<IntValue> IterationsParameter {
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55 | get { return (IFixedValueParameter<IntValue>)Parameters[IterationsParameterName]; }
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56 | }
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57 |
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58 | public IFixedValueParameter<BoolValue> SetSeedRandomlyParameter {
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59 | get { return (IFixedValueParameter<BoolValue>)Parameters[SetSeedRandomlyParameterName]; }
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60 | }
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61 |
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62 | public IFixedValueParameter<IntValue> SeedParameter {
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63 | get { return (IFixedValueParameter<IntValue>)Parameters[SeedParameterName]; }
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64 | }
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65 |
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66 | public IFixedValueParameter<IntValue> RestartsParameter {
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67 | get { return (IFixedValueParameter<IntValue>)Parameters[RestartsParameterName]; }
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68 | }
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69 |
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70 | public string ModelStructure {
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71 | get { return ModelStructureParameter.Value.Value; }
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72 | set { ModelStructureParameter.Value.Value = value; }
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73 | }
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74 |
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75 | public int Iterations {
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76 | get { return IterationsParameter.Value.Value; }
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77 | set { IterationsParameter.Value.Value = value; }
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78 | }
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79 |
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80 | public int Restarts {
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81 | get { return RestartsParameter.Value.Value; }
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82 | set { RestartsParameter.Value.Value = value; }
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83 | }
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84 |
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85 | public int Seed {
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86 | get { return SeedParameter.Value.Value; }
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87 | set { SeedParameter.Value.Value = value; }
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88 | }
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89 |
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90 | public bool SetSeedRandomly {
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91 | get { return SetSeedRandomlyParameter.Value.Value; }
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92 | set { SetSeedRandomlyParameter.Value.Value = value; }
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93 | }
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94 |
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95 | [StorableConstructor]
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96 | private NonlinearRegression(bool deserializing) : base(deserializing) { }
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97 | private NonlinearRegression(NonlinearRegression original, Cloner cloner)
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98 | : base(original, cloner) {
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99 | }
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100 | public NonlinearRegression()
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101 | : base() {
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102 | Problem = new RegressionProblem();
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103 | Parameters.Add(new FixedValueParameter<StringValue>(ModelStructureParameterName, "The function for which the parameters must be fit (only numeric constants are tuned).", new StringValue("1.0 * x*x + 0.0")));
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104 | Parameters.Add(new FixedValueParameter<IntValue>(IterationsParameterName, "The maximum number of iterations for constants optimization.", new IntValue(200)));
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105 | Parameters.Add(new FixedValueParameter<IntValue>(RestartsParameterName, "The number of independent random restarts", new IntValue(10)));
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106 | Parameters.Add(new FixedValueParameter<IntValue>(SeedParameterName, "The PRNG seed value.", new IntValue()));
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107 | Parameters.Add(new FixedValueParameter<BoolValue>(SetSeedRandomlyParameterName, "Switch to determine if the random number seed should be initialized randomly.", new BoolValue(true)));
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108 | }
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109 |
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110 | [StorableHook(HookType.AfterDeserialization)]
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111 | private void AfterDeserialization() {
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112 | // BackwardsCompatibility3.3
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113 | #region Backwards compatible code, remove with 3.4
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114 | if (!Parameters.ContainsKey(RestartsParameterName))
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115 | Parameters.Add(new FixedValueParameter<IntValue>(RestartsParameterName, "The number of independent random restarts", new IntValue(1)));
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116 | if (!Parameters.ContainsKey(SeedParameterName))
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117 | Parameters.Add(new FixedValueParameter<IntValue>(SeedParameterName, "The PRNG seed value.", new IntValue()));
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118 | if (!Parameters.ContainsKey(SetSeedRandomlyParameterName))
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119 | Parameters.Add(new FixedValueParameter<BoolValue>(SetSeedRandomlyParameterName, "Switch to determine if the random number seed should be initialized randomly.", new BoolValue(true)));
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120 | #endregion
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121 | }
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122 |
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123 | public override IDeepCloneable Clone(Cloner cloner) {
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124 | return new NonlinearRegression(this, cloner);
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125 | }
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126 |
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127 | #region nonlinear regression
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128 | protected override void Run() {
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129 | if (SetSeedRandomly) Seed = (new System.Random()).Next();
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130 | var rand = new MersenneTwister((uint)Seed);
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131 | IRegressionSolution bestSolution = null;
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132 | for (int r = 0; r < Restarts; r++) {
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133 | var solution = CreateRegressionSolution(Problem.ProblemData, ModelStructure, Iterations, rand);
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134 | if (bestSolution == null || solution.TrainingRootMeanSquaredError < bestSolution.TrainingRootMeanSquaredError) {
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135 | bestSolution = solution;
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136 | }
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137 | }
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138 |
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139 | Results.Add(new Result(RegressionSolutionResultName, "The nonlinear regression solution.", bestSolution));
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140 | Results.Add(new Result("Root mean square error (train)", "The root of the mean of squared errors of the regression solution on the training set.", new DoubleValue(bestSolution.TrainingRootMeanSquaredError)));
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141 | Results.Add(new Result("Root mean square error (test)", "The root of the mean of squared errors of the regression solution on the test set.", new DoubleValue(bestSolution.TestRootMeanSquaredError)));
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142 |
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143 | }
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144 |
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145 | /// <summary>
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146 | /// Fits a model to the data by optimizing the numeric constants.
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147 | /// Model is specified as infix expression containing variable names and numbers.
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148 | /// The starting point for the numeric constants is initialized randomly if a random number generator is specified (~N(0,1)). Otherwise the user specified constants are
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149 | /// used as a starting point.
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150 | /// </summary>
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151 | /// <param name="problemData">Training and test data</param>
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152 | /// <param name="modelStructure">The function as infix expression</param>
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153 | /// <param name="maxIterations">Number of constant optimization iterations (using Levenberg-Marquardt algorithm)</param>
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154 | /// <param name="random">Optional random number generator for random initialization of numeric constants.</param>
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155 | /// <returns></returns>
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156 | public static ISymbolicRegressionSolution CreateRegressionSolution(IRegressionProblemData problemData, string modelStructure, int maxIterations, IRandom random = null) {
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157 | var parser = new InfixExpressionParser();
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158 | var tree = parser.Parse(modelStructure);
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159 | // parser handles double and string variables equally by creating a VariableTreeNode
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160 | // post-process to replace VariableTreeNodes by FactorVariableTreeNodes for all string variables
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161 | var factorSymbol = new FactorVariable();
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162 | factorSymbol.VariableNames =
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163 | problemData.AllowedInputVariables.Where(name => problemData.Dataset.VariableHasType<string>(name));
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164 | factorSymbol.AllVariableNames = factorSymbol.VariableNames;
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165 | factorSymbol.VariableValues =
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166 | factorSymbol.VariableNames.Select(name => new KeyValuePair<string, List<string>>(name, problemData.Dataset.GetReadOnlyStringValues(name).Distinct().ToList()));
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167 |
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168 | foreach (var parent in tree.IterateNodesPrefix().ToArray()) {
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169 | for (int i = 0; i < parent.SubtreeCount; i++) {
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170 | var child = parent.GetSubtree(i) as VariableTreeNode;
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171 | if (child != null && factorSymbol.VariableNames.Contains(child.VariableName)) {
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172 | parent.RemoveSubtree(i);
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173 | var factorTreeNode = (FactorVariableTreeNode)factorSymbol.CreateTreeNode();
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174 | factorTreeNode.VariableName = child.VariableName;
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175 | factorTreeNode.Weights =
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176 | factorTreeNode.Symbol.GetVariableValues(factorTreeNode.VariableName).Select(_ => 1.0).ToArray(); // weight = 1.0 for each value
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177 | parent.InsertSubtree(i, factorTreeNode);
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178 | }
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179 | }
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180 | }
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181 |
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182 | if (!SymbolicRegressionConstantOptimizationEvaluator.CanOptimizeConstants(tree)) throw new ArgumentException("The optimizer does not support the specified model structure.");
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183 |
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184 | // initialize constants randomly
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185 | if (random != null) {
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186 | foreach (var node in tree.IterateNodesPrefix().OfType<ConstantTreeNode>()) {
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187 | node.Value = NormalDistributedRandom.NextDouble(random, 0, 1);
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188 | }
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189 | }
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190 | var interpreter = new SymbolicDataAnalysisExpressionTreeLinearInterpreter();
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191 |
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192 | SymbolicRegressionConstantOptimizationEvaluator.OptimizeConstants(interpreter, tree, problemData, problemData.TrainingIndices,
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193 | applyLinearScaling: false, maxIterations: maxIterations,
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194 | updateVariableWeights: false, updateConstantsInTree: true);
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195 |
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196 | var scaledModel = new SymbolicRegressionModel(problemData.TargetVariable, tree, (ISymbolicDataAnalysisExpressionTreeInterpreter)interpreter.Clone());
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197 | scaledModel.Scale(problemData);
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198 | SymbolicRegressionSolution solution = new SymbolicRegressionSolution(scaledModel, (IRegressionProblemData)problemData.Clone());
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199 | solution.Model.Name = "Regression Model";
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200 | solution.Name = "Regression Solution";
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201 | return solution;
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202 | }
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203 | #endregion
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204 | }
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205 | }
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