[13766] | 1 | #region License Information
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| 2 |
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| 3 | /* HeuristicLab
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[15583] | 4 | * Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[13766] | 5 | *
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| 6 | * This file is part of HeuristicLab.
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| 7 | *
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| 8 | * HeuristicLab is free software: you can redistribute it and/or modify
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| 9 | * it under the terms of the GNU General Public License as published by
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| 10 | * the Free Software Foundation, either version 3 of the License, or
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| 11 | * (at your option) any later version.
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| 12 | *
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| 13 | * HeuristicLab is distributed in the hope that it will be useful,
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| 14 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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| 15 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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| 16 | * GNU General Public License for more details.
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| 17 | *
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| 18 | * You should have received a copy of the GNU General Public License
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| 19 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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| 20 | */
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| 21 |
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| 22 | #endregion
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| 23 |
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| 24 | using System;
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| 25 | using System.Collections.Generic;
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| 26 | using System.Linq;
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| 27 | using HeuristicLab.Common;
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| 28 | using HeuristicLab.Core;
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| 29 | using HeuristicLab.Data;
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| 30 | using HeuristicLab.Parameters;
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| 31 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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[13986] | 32 | using HeuristicLab.Random;
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[13766] | 33 |
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| 34 | namespace HeuristicLab.Problems.DataAnalysis {
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| 35 | [StorableClass]
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[13985] | 36 | [Item("RegressionSolution Impacts Calculator", "Calculation of the impacts of input variables for any regression solution")]
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[13766] | 37 | public sealed class RegressionSolutionVariableImpactsCalculator : ParameterizedNamedItem {
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| 38 | public enum ReplacementMethodEnum {
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| 39 | Median,
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[13986] | 40 | Average,
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| 41 | Shuffle,
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| 42 | Noise
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[13766] | 43 | }
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[14826] | 44 | public enum FactorReplacementMethodEnum {
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| 45 | Best,
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| 46 | Mode,
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| 47 | Shuffle
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| 48 | }
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[13766] | 49 | public enum DataPartitionEnum {
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| 50 | Training,
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| 51 | Test,
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| 52 | All
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| 53 | }
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[15796] | 54 |
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[13766] | 55 | private const string ReplacementParameterName = "Replacement Method";
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| 56 | private const string DataPartitionParameterName = "DataPartition";
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| 57 |
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| 58 | public IFixedValueParameter<EnumValue<ReplacementMethodEnum>> ReplacementParameter {
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| 59 | get { return (IFixedValueParameter<EnumValue<ReplacementMethodEnum>>)Parameters[ReplacementParameterName]; }
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| 60 | }
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| 61 | public IFixedValueParameter<EnumValue<DataPartitionEnum>> DataPartitionParameter {
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| 62 | get { return (IFixedValueParameter<EnumValue<DataPartitionEnum>>)Parameters[DataPartitionParameterName]; }
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| 63 | }
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| 64 |
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| 65 | public ReplacementMethodEnum ReplacementMethod {
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| 66 | get { return ReplacementParameter.Value.Value; }
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| 67 | set { ReplacementParameter.Value.Value = value; }
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| 68 | }
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| 69 | public DataPartitionEnum DataPartition {
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| 70 | get { return DataPartitionParameter.Value.Value; }
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| 71 | set { DataPartitionParameter.Value.Value = value; }
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| 72 | }
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| 73 |
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| 74 |
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| 75 | [StorableConstructor]
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| 76 | private RegressionSolutionVariableImpactsCalculator(bool deserializing) : base(deserializing) { }
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| 77 | private RegressionSolutionVariableImpactsCalculator(RegressionSolutionVariableImpactsCalculator original, Cloner cloner)
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| 78 | : base(original, cloner) { }
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| 79 | public override IDeepCloneable Clone(Cloner cloner) {
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| 80 | return new RegressionSolutionVariableImpactsCalculator(this, cloner);
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| 81 | }
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| 82 |
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| 83 | public RegressionSolutionVariableImpactsCalculator()
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| 84 | : base() {
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| 85 | Parameters.Add(new FixedValueParameter<EnumValue<ReplacementMethodEnum>>(ReplacementParameterName, "The replacement method for variables during impact calculation.", new EnumValue<ReplacementMethodEnum>(ReplacementMethodEnum.Median)));
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[13985] | 86 | Parameters.Add(new FixedValueParameter<EnumValue<DataPartitionEnum>>(DataPartitionParameterName, "The data partition on which the impacts are calculated.", new EnumValue<DataPartitionEnum>(DataPartitionEnum.Training)));
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[13766] | 87 | }
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| 88 |
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| 89 | //mkommend: annoying name clash with static method, open to better naming suggestions
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| 90 | public IEnumerable<Tuple<string, double>> Calculate(IRegressionSolution solution) {
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| 91 | return CalculateImpacts(solution, DataPartition, ReplacementMethod);
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| 92 | }
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| 93 |
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[14826] | 94 | public static IEnumerable<Tuple<string, double>> CalculateImpacts(
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| 95 | IRegressionSolution solution,
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[13766] | 96 | DataPartitionEnum data = DataPartitionEnum.Training,
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[14826] | 97 | ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
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[15798] | 98 | FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best,
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[15799] | 99 | Func<double, string, bool> progressCallback = null) {
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[13766] | 100 |
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| 101 | var problemData = solution.ProblemData;
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| 102 | var dataset = problemData.Dataset;
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| 103 |
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| 104 | IEnumerable<int> rows;
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| 105 | IEnumerable<double> targetValues;
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| 106 | double originalR2 = -1;
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| 107 |
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| 108 | OnlineCalculatorError error;
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| 109 |
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| 110 | switch (data) {
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| 111 | case DataPartitionEnum.All:
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| 112 | rows = solution.ProblemData.AllIndices;
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| 113 | targetValues = problemData.TargetVariableValues.ToList();
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| 114 | originalR2 = OnlinePearsonsRCalculator.Calculate(problemData.TargetVariableValues, solution.EstimatedValues, out error);
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| 115 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation.");
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| 116 | originalR2 = originalR2 * originalR2;
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| 117 | break;
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| 118 | case DataPartitionEnum.Training:
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| 119 | rows = problemData.TrainingIndices;
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| 120 | targetValues = problemData.TargetVariableTrainingValues.ToList();
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| 121 | originalR2 = solution.TrainingRSquared;
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| 122 | break;
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| 123 | case DataPartitionEnum.Test:
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| 124 | rows = problemData.TestIndices;
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| 125 | targetValues = problemData.TargetVariableTestValues.ToList();
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| 126 | originalR2 = solution.TestRSquared;
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| 127 | break;
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| 128 | default: throw new ArgumentException(string.Format("DataPartition {0} cannot be handled.", data));
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| 129 | }
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| 130 |
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| 131 | var impacts = new Dictionary<string, double>();
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| 132 | var modifiableDataset = ((Dataset)dataset).ToModifiable();
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| 133 |
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[14463] | 134 | var inputvariables = new HashSet<string>(problemData.AllowedInputVariables.Union(solution.Model.VariablesUsedForPrediction));
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| 135 | var allowedInputVariables = dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList();
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| 136 |
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[15799] | 137 | int curIdx = 0;
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[15796] | 138 | int count = allowedInputVariables.Where(problemData.Dataset.VariableHasType<double>).Count();
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[14826] | 139 | // calculate impacts for double variables
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| 140 | foreach (var inputVariable in allowedInputVariables.Where(problemData.Dataset.VariableHasType<double>)) {
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[15796] | 141 | //Report the current progress in percent. If the callback returns true, it means the execution shall be stopped
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| 142 | if (progressCallback != null) {
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[15799] | 143 | curIdx++;
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[15802] | 144 | if (progressCallback((double)curIdx / count, string.Format("Calculating impact for variable {0} ({1} of {2})", inputVariable, curIdx, count))) { return null; }
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[15796] | 145 | }
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[14826] | 146 | var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, replacementMethod);
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[13766] | 147 | var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
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| 148 | if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
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| 149 |
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| 150 | newR2 = newR2 * newR2;
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| 151 | var impact = originalR2 - newR2;
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| 152 | impacts[inputVariable] = impact;
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| 153 | }
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[14826] | 154 |
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| 155 | // calculate impacts for string variables
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| 156 | foreach (var inputVariable in allowedInputVariables.Where(problemData.Dataset.VariableHasType<string>)) {
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| 157 | if (factorReplacementMethod == FactorReplacementMethodEnum.Best) {
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| 158 | // try replacing with all possible values and find the best replacement value
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| 159 | var smallestImpact = double.PositiveInfinity;
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| 160 | foreach (var repl in problemData.Dataset.GetStringValues(inputVariable, rows).Distinct()) {
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| 161 | var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows,
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| 162 | Enumerable.Repeat(repl, dataset.Rows));
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| 163 | var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
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| 164 | if (error != OnlineCalculatorError.None)
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| 165 | throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
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| 166 |
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| 167 | newR2 = newR2 * newR2;
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| 168 | var impact = originalR2 - newR2;
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| 169 | if (impact < smallestImpact) smallestImpact = impact;
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| 170 | }
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| 171 | impacts[inputVariable] = smallestImpact;
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| 172 | } else {
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| 173 | // for replacement methods shuffle and mode
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| 174 | // calculate impacts for factor variables
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| 175 |
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| 176 | var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows,
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| 177 | factorReplacementMethod);
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| 178 | var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
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| 179 | if (error != OnlineCalculatorError.None)
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| 180 | throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
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| 181 |
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| 182 | newR2 = newR2 * newR2;
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| 183 | var impact = originalR2 - newR2;
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| 184 | impacts[inputVariable] = impact;
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| 185 | }
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| 186 | } // foreach
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[13766] | 187 | return impacts.OrderByDescending(i => i.Value).Select(i => Tuple.Create(i.Key, i.Value));
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| 188 | }
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| 189 |
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[15796] | 190 |
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[13766] | 191 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable, ModifiableDataset dataset, IEnumerable<int> rows, ReplacementMethodEnum replacement = ReplacementMethodEnum.Median) {
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| 192 | var originalValues = dataset.GetReadOnlyDoubleValues(variable).ToList();
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| 193 | double replacementValue;
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[13986] | 194 | List<double> replacementValues;
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| 195 | IRandom rand;
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[13766] | 196 |
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| 197 | switch (replacement) {
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| 198 | case ReplacementMethodEnum.Median:
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| 199 | replacementValue = rows.Select(r => originalValues[r]).Median();
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[13986] | 200 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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[13766] | 201 | break;
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| 202 | case ReplacementMethodEnum.Average:
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| 203 | replacementValue = rows.Select(r => originalValues[r]).Average();
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[13986] | 204 | replacementValues = Enumerable.Repeat(replacementValue, dataset.Rows).ToList();
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[13766] | 205 | break;
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[13986] | 206 | case ReplacementMethodEnum.Shuffle:
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| 207 | // new var has same empirical distribution but the relation to y is broken
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| 208 | rand = new FastRandom(31415);
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[14348] | 209 | // prepare a complete column for the dataset
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| 210 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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| 211 | // shuffle only the selected rows
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| 212 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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| 213 | int i = 0;
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| 214 | // update column values
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| 215 | foreach (var r in rows) {
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| 216 | replacementValues[r] = shuffledValues[i++];
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| 217 | }
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[13986] | 218 | break;
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| 219 | case ReplacementMethodEnum.Noise:
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| 220 | var avg = rows.Select(r => originalValues[r]).Average();
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| 221 | var stdDev = rows.Select(r => originalValues[r]).StandardDeviation();
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| 222 | rand = new FastRandom(31415);
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[14348] | 223 | // prepare a complete column for the dataset
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| 224 | replacementValues = Enumerable.Repeat(double.NaN, dataset.Rows).ToList();
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| 225 | // update column values
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| 226 | foreach (var r in rows) {
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| 227 | replacementValues[r] = NormalDistributedRandom.NextDouble(rand, avg, stdDev);
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| 228 | }
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[13986] | 229 | break;
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| 230 |
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[13766] | 231 | default:
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| 232 | throw new ArgumentException(string.Format("ReplacementMethod {0} cannot be handled.", replacement));
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| 233 | }
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| 234 |
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[14826] | 235 | return EvaluateModelWithReplacedVariable(model, variable, dataset, rows, replacementValues);
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| 236 | }
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| 237 |
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| 238 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(
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| 239 | IRegressionModel model, string variable, ModifiableDataset dataset,
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| 240 | IEnumerable<int> rows,
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| 241 | FactorReplacementMethodEnum replacement = FactorReplacementMethodEnum.Shuffle) {
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| 242 | var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
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| 243 | List<string> replacementValues;
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| 244 | IRandom rand;
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| 245 |
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| 246 | switch (replacement) {
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| 247 | case FactorReplacementMethodEnum.Mode:
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| 248 | var mostCommonValue = rows.Select(r => originalValues[r])
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| 249 | .GroupBy(v => v)
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| 250 | .OrderByDescending(g => g.Count())
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| 251 | .First().Key;
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| 252 | replacementValues = Enumerable.Repeat(mostCommonValue, dataset.Rows).ToList();
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| 253 | break;
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| 254 | case FactorReplacementMethodEnum.Shuffle:
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| 255 | // new var has same empirical distribution but the relation to y is broken
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| 256 | rand = new FastRandom(31415);
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| 257 | // prepare a complete column for the dataset
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| 258 | replacementValues = Enumerable.Repeat(string.Empty, dataset.Rows).ToList();
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| 259 | // shuffle only the selected rows
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| 260 | var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
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| 261 | int i = 0;
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| 262 | // update column values
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| 263 | foreach (var r in rows) {
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| 264 | replacementValues[r] = shuffledValues[i++];
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| 265 | }
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| 266 | break;
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| 267 | default:
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| 268 | throw new ArgumentException(string.Format("FactorReplacementMethod {0} cannot be handled.", replacement));
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| 269 | }
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| 270 |
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| 271 | return EvaluateModelWithReplacedVariable(model, variable, dataset, rows, replacementValues);
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| 272 | }
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| 273 |
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| 274 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable,
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| 275 | ModifiableDataset dataset, IEnumerable<int> rows, IEnumerable<double> replacementValues) {
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| 276 | var originalValues = dataset.GetReadOnlyDoubleValues(variable).ToList();
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| 277 | dataset.ReplaceVariable(variable, replacementValues.ToList());
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[13766] | 278 | //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
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| 279 | var estimates = model.GetEstimatedValues(dataset, rows).ToList();
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| 280 | dataset.ReplaceVariable(variable, originalValues);
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| 281 |
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| 282 | return estimates;
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| 283 | }
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[14826] | 284 | private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable,
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| 285 | ModifiableDataset dataset, IEnumerable<int> rows, IEnumerable<string> replacementValues) {
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| 286 | var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
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| 287 | dataset.ReplaceVariable(variable, replacementValues.ToList());
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| 288 | //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
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| 289 | var estimates = model.GetEstimatedValues(dataset, rows).ToList();
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| 290 | dataset.ReplaceVariable(variable, originalValues);
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| 291 |
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| 292 | return estimates;
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| 293 | }
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[13766] | 294 | }
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| 295 | }
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