#region License Information
/* HeuristicLab
* Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
* and the BEACON Center for the Study of Evolution in Action.
*
* 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.Persistence.Default.CompositeSerializers.Storable;
namespace HeuristicLab.Algorithms.DataAnalysis {
// loss function for the weighted absolute error
[StorableClass]
[Item("Absolute error loss", "")]
public sealed class AbsoluteErrorLoss : Item, ILossFunction {
public AbsoluteErrorLoss() { }
public double GetLoss(IEnumerable target, IEnumerable pred) {
var targetEnum = target.GetEnumerator();
var predEnum = pred.GetEnumerator();
double s = 0;
while (targetEnum.MoveNext() & predEnum.MoveNext()) {
double res = targetEnum.Current - predEnum.Current;
s += Math.Abs(res); // |res|
}
if (targetEnum.MoveNext() | predEnum.MoveNext())
throw new ArgumentException("target and pred have differing lengths");
return s;
}
public IEnumerable GetLossGradient(IEnumerable target, IEnumerable pred) {
var targetEnum = target.GetEnumerator();
var predEnum = pred.GetEnumerator();
while (targetEnum.MoveNext() & predEnum.MoveNext()) {
// dL(y, f(x)) / df(x) = sign(res)
var res = targetEnum.Current - predEnum.Current;
if (res > 0) yield return 1.0;
else if (res < 0) yield return -1.0;
else yield return 0.0;
}
if (targetEnum.MoveNext() | predEnum.MoveNext())
throw new ArgumentException("target and pred have differing lengths");
}
// return median of residuals
// targetArr and predArr are not changed by LineSearch
public double LineSearch(double[] targetArr, double[] predArr, int[] idx, int startIdx, int endIdx) {
if (targetArr.Length != predArr.Length)
throw new ArgumentException("target and pred have differing lengths");
// Median() is allocating an array anyway
// It would be possible to pre-allocated an array for the residuals if Median() would allow specification of a sub-range
int nRows = endIdx - startIdx + 1;
var res = new double[nRows];
for (int i = startIdx; i <= endIdx; i++) {
var row = idx[i];
res[i - startIdx] = targetArr[row] - predArr[row];
}
return res.Median(); // TODO: improve efficiency
}
#region item implementation
[StorableConstructor]
private AbsoluteErrorLoss(bool deserializing) : base(deserializing) { }
private AbsoluteErrorLoss(AbsoluteErrorLoss original, Cloner cloner) : base(original, cloner) { }
public override IDeepCloneable Clone(Cloner cloner) {
return new AbsoluteErrorLoss(this, cloner);
}
#endregion
}
}