#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 System.Runtime.Serialization;
using AutoDiff;
using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
namespace HeuristicLab.Problems.DataAnalysis.Symbolic {
public class TreeToAutoDiffTermConverter {
public delegate double ParametricFunction(double[] vars, double[] @params);
public delegate Tuple ParametricFunctionGradient(double[] vars, double[] @params);
#region helper class
public class DataForVariable {
public readonly string variableName;
public readonly string variableValue; // for factor vars
public readonly int lag;
public DataForVariable(string varName, string varValue, int lag) {
this.variableName = varName;
this.variableValue = varValue;
this.lag = lag;
}
public override bool Equals(object obj) {
var other = obj as DataForVariable;
if (other == null) return false;
return other.variableName.Equals(this.variableName) &&
other.variableValue.Equals(this.variableValue) &&
other.lag == this.lag;
}
public override int GetHashCode() {
return variableName.GetHashCode() ^ variableValue.GetHashCode() ^ lag;
}
}
#endregion
#region derivations of functions
// create function factory for arctangent
private static readonly Func arctan = UnaryFunc.Factory(
eval: Math.Atan,
diff: x => 1 / (1 + x * x));
private static readonly Func sin = UnaryFunc.Factory(
eval: Math.Sin,
diff: Math.Cos);
private static readonly Func cos = UnaryFunc.Factory(
eval: Math.Cos,
diff: x => -Math.Sin(x));
private static readonly Func tan = UnaryFunc.Factory(
eval: Math.Tan,
diff: x => 1 + Math.Tan(x) * Math.Tan(x));
private static readonly Func tanh = UnaryFunc.Factory(
eval: Math.Tanh,
diff: x => 1 - Math.Tanh(x) * Math.Tanh(x));
private static readonly Func erf = UnaryFunc.Factory(
eval: alglib.errorfunction,
diff: x => 2.0 * Math.Exp(-(x * x)) / Math.Sqrt(Math.PI));
private static readonly Func norm = UnaryFunc.Factory(
eval: alglib.normaldistribution,
diff: x => -(Math.Exp(-(x * x)) * Math.Sqrt(Math.Exp(x * x)) * x) / Math.Sqrt(2 * Math.PI));
private static readonly Func abs = UnaryFunc.Factory(
eval: Math.Abs,
diff: x => Math.Sign(x)
);
private static readonly Func cbrt = UnaryFunc.Factory(
eval: x => x < 0 ? -Math.Pow(-x, 1.0 / 3) : Math.Pow(x, 1.0 / 3),
diff: x => { var cbrt_x = x < 0 ? -Math.Pow(-x, 1.0 / 3) : Math.Pow(x, 1.0 / 3); return 1.0 / (3 * cbrt_x * cbrt_x); }
);
#endregion
public static bool TryConvertToAutoDiff(ISymbolicExpressionTree tree, bool makeVariableWeightsVariable, bool addLinearScalingTerms,
out List parameters, out double[] initialConstants,
out ParametricFunction func,
out ParametricFunctionGradient func_grad) {
// use a transformator object which holds the state (variable list, parameter list, ...) for recursive transformation of the tree
var transformator = new TreeToAutoDiffTermConverter(makeVariableWeightsVariable, addLinearScalingTerms);
AutoDiff.Term term;
try {
term = transformator.ConvertToAutoDiff(tree.Root.GetSubtree(0));
var parameterEntries = transformator.parameters.ToArray(); // guarantee same order for keys and values
var compiledTerm = term.Compile(transformator.variables.ToArray(),
parameterEntries.Select(kvp => kvp.Value).ToArray());
parameters = new List(parameterEntries.Select(kvp => kvp.Key));
initialConstants = transformator.initialConstants.ToArray();
func = (vars, @params) => compiledTerm.Evaluate(vars, @params);
func_grad = (vars, @params) => compiledTerm.Differentiate(vars, @params);
return true;
} catch (ConversionException) {
func = null;
func_grad = null;
parameters = null;
initialConstants = null;
}
return false;
}
// state for recursive transformation of trees
private readonly
List initialConstants;
private readonly Dictionary parameters;
private readonly List variables;
private readonly bool makeVariableWeightsVariable;
private readonly bool addLinearScalingTerms;
private TreeToAutoDiffTermConverter(bool makeVariableWeightsVariable, bool addLinearScalingTerms) {
this.makeVariableWeightsVariable = makeVariableWeightsVariable;
this.addLinearScalingTerms = addLinearScalingTerms;
this.initialConstants = new List();
this.parameters = new Dictionary();
this.variables = new List();
}
private AutoDiff.Term ConvertToAutoDiff(ISymbolicExpressionTreeNode node) {
if (node.Symbol is Constant) {
initialConstants.Add(((ConstantTreeNode)node).Value);
var var = new AutoDiff.Variable();
variables.Add(var);
return var;
}
if (node.Symbol is Variable || node.Symbol is BinaryFactorVariable) {
var varNode = node as VariableTreeNodeBase;
var factorVarNode = node as BinaryFactorVariableTreeNode;
// factor variable values are only 0 or 1 and set in x accordingly
var varValue = factorVarNode != null ? factorVarNode.VariableValue : string.Empty;
var par = FindOrCreateParameter(parameters, varNode.VariableName, varValue);
if (makeVariableWeightsVariable) {
initialConstants.Add(varNode.Weight);
var w = new AutoDiff.Variable();
variables.Add(w);
return AutoDiff.TermBuilder.Product(w, par);
} else {
return varNode.Weight * par;
}
}
if (node.Symbol is FactorVariable) {
var factorVarNode = node as FactorVariableTreeNode;
var products = new List();
foreach (var variableValue in factorVarNode.Symbol.GetVariableValues(factorVarNode.VariableName)) {
var par = FindOrCreateParameter(parameters, factorVarNode.VariableName, variableValue);
initialConstants.Add(factorVarNode.GetValue(variableValue));
var wVar = new AutoDiff.Variable();
variables.Add(wVar);
products.Add(AutoDiff.TermBuilder.Product(wVar, par));
}
return AutoDiff.TermBuilder.Sum(products);
}
if (node.Symbol is LaggedVariable) {
var varNode = node as LaggedVariableTreeNode;
var par = FindOrCreateParameter(parameters, varNode.VariableName, string.Empty, varNode.Lag);
if (makeVariableWeightsVariable) {
initialConstants.Add(varNode.Weight);
var w = new AutoDiff.Variable();
variables.Add(w);
return AutoDiff.TermBuilder.Product(w, par);
} else {
return varNode.Weight * par;
}
}
if (node.Symbol is Addition) {
List terms = new List();
foreach (var subTree in node.Subtrees) {
terms.Add(ConvertToAutoDiff(subTree));
}
return AutoDiff.TermBuilder.Sum(terms);
}
if (node.Symbol is Subtraction) {
List terms = new List();
for (int i = 0; i < node.SubtreeCount; i++) {
AutoDiff.Term t = ConvertToAutoDiff(node.GetSubtree(i));
if (i > 0) t = -t;
terms.Add(t);
}
if (terms.Count == 1) return -terms[0];
else return AutoDiff.TermBuilder.Sum(terms);
}
if (node.Symbol is Multiplication) {
List terms = new List();
foreach (var subTree in node.Subtrees) {
terms.Add(ConvertToAutoDiff(subTree));
}
if (terms.Count == 1) return terms[0];
else return terms.Aggregate((a, b) => new AutoDiff.Product(a, b));
}
if (node.Symbol is Division) {
List terms = new List();
foreach (var subTree in node.Subtrees) {
terms.Add(ConvertToAutoDiff(subTree));
}
if (terms.Count == 1) return 1.0 / terms[0];
else return terms.Aggregate((a, b) => new AutoDiff.Product(a, 1.0 / b));
}
if (node.Symbol is Absolute) {
var x1 = ConvertToAutoDiff(node.GetSubtree(0));
return abs(x1);
}
if (node.Symbol is AnalyticQuotient) {
var x1 = ConvertToAutoDiff(node.GetSubtree(0));
var x2 = ConvertToAutoDiff(node.GetSubtree(1));
return x1 / (TermBuilder.Power(1 + x2 * x2, 0.5));
}
if (node.Symbol is Logarithm) {
return AutoDiff.TermBuilder.Log(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Exponential) {
return AutoDiff.TermBuilder.Exp(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Square) {
return AutoDiff.TermBuilder.Power(
ConvertToAutoDiff(node.GetSubtree(0)), 2.0);
}
if (node.Symbol is SquareRoot) {
return AutoDiff.TermBuilder.Power(
ConvertToAutoDiff(node.GetSubtree(0)), 0.5);
}
if (node.Symbol is Cube) {
return AutoDiff.TermBuilder.Power(
ConvertToAutoDiff(node.GetSubtree(0)), 3.0);
}
if (node.Symbol is CubeRoot) {
return cbrt(ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Power) {
var powerNode = node.GetSubtree(1) as ConstantTreeNode;
if (powerNode == null)
throw new NotSupportedException("Only integer powers are allowed in parameter optimization. Try to use exp() and log() instead of the power symbol.");
var intPower = Math.Truncate(powerNode.Value);
if (intPower != powerNode.Value)
throw new NotSupportedException("Only integer powers are allowed in parameter optimization. Try to use exp() and log() instead of the power symbol.");
return AutoDiff.TermBuilder.Power(ConvertToAutoDiff(node.GetSubtree(0)), intPower);
}
if (node.Symbol is Sine) {
return sin(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Cosine) {
return cos(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Tangent) {
return tan(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is HyperbolicTangent) {
return tanh(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Erf) {
return erf(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is Norm) {
return norm(
ConvertToAutoDiff(node.GetSubtree(0)));
}
if (node.Symbol is StartSymbol) {
if (addLinearScalingTerms) {
// scaling variables α, β are given at the beginning of the parameter vector
var alpha = new AutoDiff.Variable();
var beta = new AutoDiff.Variable();
variables.Add(beta);
variables.Add(alpha);
var t = ConvertToAutoDiff(node.GetSubtree(0));
return t * alpha + beta;
} else return ConvertToAutoDiff(node.GetSubtree(0));
}
throw new ConversionException();
}
// for each factor variable value we need a parameter which represents a binary indicator for that variable & value combination
// each binary indicator is only necessary once. So we only create a parameter if this combination is not yet available
private static Term FindOrCreateParameter(Dictionary parameters,
string varName, string varValue = "", int lag = 0) {
var data = new DataForVariable(varName, varValue, lag);
AutoDiff.Variable par = null;
if (!parameters.TryGetValue(data, out par)) {
// not found -> create new parameter and entries in names and values lists
par = new AutoDiff.Variable();
parameters.Add(data, par);
}
return par;
}
public static bool IsCompatible(ISymbolicExpressionTree tree) {
var containsUnknownSymbol = (
from n in tree.Root.GetSubtree(0).IterateNodesPrefix()
where
!(n.Symbol is Variable) &&
!(n.Symbol is BinaryFactorVariable) &&
!(n.Symbol is FactorVariable) &&
!(n.Symbol is LaggedVariable) &&
!(n.Symbol is Constant) &&
!(n.Symbol is Addition) &&
!(n.Symbol is Subtraction) &&
!(n.Symbol is Multiplication) &&
!(n.Symbol is Division) &&
!(n.Symbol is Logarithm) &&
!(n.Symbol is Exponential) &&
!(n.Symbol is SquareRoot) &&
!(n.Symbol is Square) &&
!(n.Symbol is Sine) &&
!(n.Symbol is Cosine) &&
!(n.Symbol is Tangent) &&
!(n.Symbol is HyperbolicTangent) &&
!(n.Symbol is Erf) &&
!(n.Symbol is Norm) &&
!(n.Symbol is StartSymbol) &&
!(n.Symbol is Absolute) &&
!(n.Symbol is AnalyticQuotient) &&
!(n.Symbol is Cube) &&
!(n.Symbol is CubeRoot) &&
!(n.Symbol is Power)
select n).Any();
return !containsUnknownSymbol;
}
#region exception class
[Serializable]
public class ConversionException : Exception {
public ConversionException() {
}
public ConversionException(string message) : base(message) {
}
public ConversionException(string message, Exception inner) : base(message, inner) {
}
protected ConversionException(
SerializationInfo info,
StreamingContext context) : base(info, context) {
}
}
#endregion
}
}