#region License Information /* HeuristicLab * Copyright (C) 2002-2019 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 HeuristicLab.Common; using HeuristicLab.Core; using HeuristicLab.Data; using HeuristicLab.Parameters; using HEAL.Attic; namespace HeuristicLab.Algorithms.DataAnalysis { [StorableType("198B5472-6CAA-4C39-BB1F-6EC16CB7801B")] [Item(Name = "CovariancePeriodic", Description = "Periodic covariance function for Gaussian processes.")] public sealed class CovariancePeriodic : ParameterizedNamedItem, ICovarianceFunction { public IValueParameter ScaleParameter { get { return (IValueParameter)Parameters["Scale"]; } } public IValueParameter InverseLengthParameter { get { return (IValueParameter)Parameters["InverseLength"]; } } public IValueParameter PeriodParameter { get { return (IValueParameter)Parameters["Period"]; } } private bool HasFixedScaleParameter { get { return ScaleParameter.Value != null; } } private bool HasFixedInverseLengthParameter { get { return InverseLengthParameter.Value != null; } } private bool HasFixedPeriodParameter { get { return PeriodParameter.Value != null; } } [StorableConstructor] private CovariancePeriodic(StorableConstructorFlag _) : base(_) { } private CovariancePeriodic(CovariancePeriodic original, Cloner cloner) : base(original, cloner) { } public CovariancePeriodic() : base() { Name = ItemName; Description = ItemDescription; Parameters.Add(new OptionalValueParameter("Scale", "The scale of the periodic covariance function.")); Parameters.Add(new OptionalValueParameter("InverseLength", "The inverse length parameter for the periodic covariance function.")); Parameters.Add(new OptionalValueParameter("Period", "The period parameter for the periodic covariance function.")); } public override IDeepCloneable Clone(Cloner cloner) { return new CovariancePeriodic(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { return (HasFixedScaleParameter ? 0 : 1) + (HasFixedPeriodParameter ? 0 : 1) + (HasFixedInverseLengthParameter ? 0 : 1); } public void SetParameter(double[] p) { double scale, inverseLength, period; GetParameterValues(p, out scale, out period, out inverseLength); ScaleParameter.Value = new DoubleValue(scale); PeriodParameter.Value = new DoubleValue(period); InverseLengthParameter.Value = new DoubleValue(inverseLength); } private void GetParameterValues(double[] p, out double scale, out double period, out double inverseLength) { // gather parameter values int c = 0; if (HasFixedInverseLengthParameter) { inverseLength = InverseLengthParameter.Value.Value; } else { inverseLength = 1.0 / Math.Exp(p[c]); c++; } if (HasFixedPeriodParameter) { period = PeriodParameter.Value.Value; } else { period = Math.Exp(p[c]); c++; } if (HasFixedScaleParameter) { scale = ScaleParameter.Value.Value; } else { scale = Math.Exp(2 * p[c]); c++; } if (p.Length != c) throw new ArgumentException("The length of the parameter vector does not match the number of free parameters for CovariancePeriodic", "p"); } public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, int[] columnIndices) { double inverseLength, period, scale; GetParameterValues(p, out scale, out period, out inverseLength); var fixedInverseLength = HasFixedInverseLengthParameter; var fixedPeriod = HasFixedPeriodParameter; var fixedScale = HasFixedScaleParameter; // create functions var cov = new ParameterizedCovarianceFunction(); cov.Covariance = (x, i, j) => { double k = i == j ? 0.0 : GetDistance(x, x, i, j, columnIndices); k = Math.PI * k / period; k = Math.Sin(k) * inverseLength; k = k * k; return scale * Math.Exp(-2.0 * k); }; cov.CrossCovariance = (x, xt, i, j) => { double k = GetDistance(x, xt, i, j, columnIndices); k = Math.PI * k / period; k = Math.Sin(k) * inverseLength; k = k * k; return scale * Math.Exp(-2.0 * k); }; cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, period, inverseLength, fixedInverseLength, fixedPeriod, fixedScale); return cov; } private static IList GetGradient(double[,] x, int i, int j, int[] columnIndices, double scale, double period, double inverseLength, bool fixedInverseLength, bool fixedPeriod, bool fixedScale) { double k = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices) / period; double gradient = Math.Sin(k) * inverseLength; gradient *= gradient; var g = new List(3); if (!fixedInverseLength) g.Add(4.0 * scale * Math.Exp(-2.0 * gradient) * gradient); if (!fixedPeriod) { double r = Math.Sin(k) * inverseLength; g.Add(2.0 * k * scale * Math.Exp(-2 * r * r) * Math.Sin(2 * k) * inverseLength * inverseLength); } if (!fixedScale) g.Add(2.0 * scale * Math.Exp(-2 * gradient)); return g; } private static double GetDistance(double[,] x, double[,] xt, int i, int j, int[] columnIndices) { return Math.Sqrt(Util.SqrDist(x, i, xt, j, columnIndices, 1)); } } }