#region License Information
/* HeuristicLab
* Copyright (C) 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 HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Parameters;
using HEAL.Attic;
namespace HeuristicLab.Algorithms.DataAnalysis {
[StorableType("A704FDF2-0566-4AB5-B752-D713831B016C")]
[Item(Name = "CovarianceLinearArd",
Description = "Linear covariance function with automatic relevance determination for Gaussian processes.")]
public sealed class CovarianceLinearArd : ParameterizedNamedItem, ICovarianceFunction {
public IValueParameter InverseLengthParameter {
get { return (IValueParameter)Parameters["InverseLength"]; }
}
private bool HasFixedInverseLengthParameter {
get { return InverseLengthParameter.Value != null; }
}
[StorableConstructor]
private CovarianceLinearArd(StorableConstructorFlag _) : base(_) { }
private CovarianceLinearArd(CovarianceLinearArd original, Cloner cloner)
: base(original, cloner) {
}
public CovarianceLinearArd()
: base() {
Name = ItemName;
Description = ItemDescription;
Parameters.Add(new OptionalValueParameter("InverseLength",
"The inverse length parameter for ARD."));
}
public override IDeepCloneable Clone(Cloner cloner) {
return new CovarianceLinearArd(this, cloner);
}
public int GetNumberOfParameters(int numberOfVariables) {
if (HasFixedInverseLengthParameter)
return 0;
else
return numberOfVariables;
}
public void SetParameter(double[] p) {
double[] inverseLength;
GetParameterValues(p, out inverseLength);
InverseLengthParameter.Value = new DoubleArray(inverseLength);
}
private void GetParameterValues(double[] p, out double[] inverseLength) {
// gather parameter values
if (HasFixedInverseLengthParameter) {
inverseLength = InverseLengthParameter.Value.ToArray();
} else {
inverseLength = p.Select(e => 1.0 / Math.Exp(e)).ToArray();
}
}
public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, int[] columnIndices) {
double[] inverseLength;
GetParameterValues(p, out inverseLength);
var fixedInverseLength = HasFixedInverseLengthParameter;
// create functions
var cov = new ParameterizedCovarianceFunction();
cov.Covariance = (x, i, j) => Util.ScalarProd(x, i, j, inverseLength, columnIndices);
cov.CrossCovariance = (x, xt, i, j) => Util.ScalarProd(x, i, xt, j, inverseLength, columnIndices);
if (fixedInverseLength)
cov.CovarianceGradient = (x, i, j) => new double[0];
else
cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, inverseLength, columnIndices);
return cov;
}
private static IList GetGradient(double[,] x, int i, int j, double[] inverseLength, int[] columnIndices) {
int k = 0;
var g = new List(columnIndices.Length);
for (int c = 0; c < columnIndices.Length; c++) {
var columnIndex = columnIndices[c];
g.Add(-2.0 * x[i, columnIndex] * x[j, columnIndex] * inverseLength[k] * inverseLength[k]);
k++;
}
return g;
}
}
}