#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.Encodings.SymbolicExpressionTreeEncoding;
using HEAL.Attic;
namespace HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis {
[Item("Mean squared error Evaluator", "Calculates the mean squared error of a symbolic time-series prognosis solution.")]
[StorableType("B1B4F084-C978-4A90-B678-0C00D4CAED59")]
public class SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator : SymbolicTimeSeriesPrognosisSingleObjectiveEvaluator {
[StorableConstructor]
protected SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(StorableConstructorFlag _) : base(_) { }
protected SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator original, Cloner cloner) : base(original, cloner) { }
public override IDeepCloneable Clone(Cloner cloner) {
return new SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator(this, cloner);
}
public SymbolicTimeSeriesPrognosisSingleObjectiveMeanSquaredErrorEvaluator() : base() { }
public override bool Maximization { get { return false; } }
public override IOperation InstrumentedApply() {
var solution = SymbolicExpressionTreeParameter.ActualValue;
IEnumerable rows = GenerateRowsToEvaluate();
var interpreter = (ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter)SymbolicDataAnalysisTreeInterpreterParameter.ActualValue;
double quality = Calculate(interpreter, solution,
EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper,
ProblemDataParameter.ActualValue, rows, EvaluationPartitionParameter.ActualValue,
HorizonParameter.ActualValue.Value, ApplyLinearScalingParameter.ActualValue.Value);
QualityParameter.ActualValue = new DoubleValue(quality);
return base.InstrumentedApply();
}
public static double Calculate(ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, double lowerEstimationLimit, double upperEstimationLimit, ITimeSeriesPrognosisProblemData problemData, IEnumerable rows, IntRange evaluationPartition, int horizon, bool applyLinearScaling) {
var horizions = rows.Select(r => Math.Min(horizon, evaluationPartition.End - r));
IEnumerable targetValues = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, rows.Zip(horizions, Enumerable.Range).SelectMany(r => r));
IEnumerable estimatedValues = interpreter.GetSymbolicExpressionTreeValues(solution, problemData.Dataset, rows, horizions).SelectMany(x => x);
OnlineCalculatorError errorState;
double mse;
if (applyLinearScaling && horizon == 1) { //perform normal evaluation and afterwards scale the solution and calculate the fitness value
var mseCalculator = new OnlineMeanSquaredErrorCalculator();
CalculateWithScaling(targetValues, estimatedValues, lowerEstimationLimit, upperEstimationLimit, mseCalculator, problemData.Dataset.Rows * horizon);
errorState = mseCalculator.ErrorState;
mse = mseCalculator.MeanSquaredError;
} else if (applyLinearScaling) { //first create model to perform linear scaling and afterwards calculate fitness for the scaled model
var model = new SymbolicTimeSeriesPrognosisModel(problemData.TargetVariable, (ISymbolicExpressionTree)solution.Clone(), interpreter, lowerEstimationLimit, upperEstimationLimit);
model.Scale(problemData);
var scaledSolution = model.SymbolicExpressionTree;
estimatedValues = interpreter.GetSymbolicExpressionTreeValues(scaledSolution, problemData.Dataset, rows, horizions).SelectMany(x => x);
var boundedEstimatedValues = estimatedValues.LimitToRange(lowerEstimationLimit, upperEstimationLimit);
mse = OnlineMeanSquaredErrorCalculator.Calculate(targetValues, boundedEstimatedValues, out errorState);
} else {
var boundedEstimatedValues = estimatedValues.LimitToRange(lowerEstimationLimit, upperEstimationLimit);
mse = OnlineMeanSquaredErrorCalculator.Calculate(targetValues, boundedEstimatedValues, out errorState);
}
if (errorState != OnlineCalculatorError.None) return Double.NaN;
else return mse;
}
public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, ITimeSeriesPrognosisProblemData problemData, IEnumerable rows) {
SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
EstimationLimitsParameter.ExecutionContext = context;
HorizonParameter.ExecutionContext = context;
EvaluationPartitionParameter.ExecutionContext = context;
double mse = Calculate((ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter)SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows, EvaluationPartitionParameter.ActualValue, HorizonParameter.ActualValue.Value, ApplyLinearScalingParameter.ActualValue.Value);
HorizonParameter.ExecutionContext = null;
SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
EstimationLimitsParameter.ExecutionContext = null;
EvaluationPartitionParameter.ExecutionContext = null;
return mse;
}
}
}