#region License Information /* HeuristicLab * Copyright (C) 2002-2015 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.Parameters; using HeuristicLab.Persistence.Default.CompositeSerializers.Storable; namespace HeuristicLab.Algorithms.DataAnalysis { [StorableClass] [Item(Name = "CovariancePolynomial", Description = "Polynomial covariance function for Gaussian processes.")] public sealed class CovariancePolynomial : ParameterizedNamedItem, ICovarianceFunction { public IValueParameter ConstParameter { get { return (IValueParameter)Parameters["Const"]; } } public IValueParameter ScaleParameter { get { return (IValueParameter)Parameters["Scale"]; } } public IValueParameter DegreeParameter { get { return (IValueParameter)Parameters["Degree"]; } } private bool HasFixedConstParameter { get { return ConstParameter.Value != null; } } private bool HasFixedScaleParameter { get { return ScaleParameter.Value != null; } } [StorableConstructor] private CovariancePolynomial(bool deserializing) : base(deserializing) { } private CovariancePolynomial(CovariancePolynomial original, Cloner cloner) : base(original, cloner) { } public CovariancePolynomial() : base() { Name = ItemName; Description = ItemDescription; Parameters.Add(new OptionalValueParameter("Const", "Additive constant in the polymomial.")); Parameters.Add(new OptionalValueParameter("Scale", "The scale parameter of the polynomial covariance function.")); Parameters.Add(new ValueParameter("Degree", "The degree of the polynomial (only non-zero positive values allowed).", new IntValue(2))); } public override IDeepCloneable Clone(Cloner cloner) { return new CovariancePolynomial(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { return (HasFixedConstParameter ? 0 : 1) + (HasFixedScaleParameter ? 0 : 1); } public void SetParameter(double[] p) { double @const, scale; GetParameterValues(p, out @const, out scale); ConstParameter.Value = new DoubleValue(@const); ScaleParameter.Value = new DoubleValue(scale); } private void GetParameterValues(double[] p, out double @const, out double scale) { // gather parameter values int n = 0; if (HasFixedConstParameter) { @const = ConstParameter.Value.Value; } else { @const = Math.Exp(p[n]); n++; } if (HasFixedScaleParameter) { scale = ScaleParameter.Value.Value; } else { scale = Math.Exp(2 * p[n]); n++; } if (p.Length != n) throw new ArgumentException("The length of the parameter vector does not match the number of free parameters for CovariancePolynomial", "p"); } public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, IEnumerable columnIndices) { double @const, scale; int degree = DegreeParameter.Value.Value; if (degree <= 0) throw new ArgumentException("The degree parameter for CovariancePolynomial must be greater than zero."); GetParameterValues(p, out @const, out scale); var fixedConst = HasFixedConstParameter; var fixedScale = HasFixedScaleParameter; // create functions var cov = new ParameterizedCovarianceFunction(); cov.Covariance = (x, i, j) => scale * Math.Pow(@const + Util.ScalarProd(x, i, j, 1.0, columnIndices), degree); cov.CrossCovariance = (x, xt, i, j) => scale * Math.Pow(@const + Util.ScalarProd(x, i, xt, j, 1.0, columnIndices), degree); cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, @const, scale, degree, columnIndices, fixedConst, fixedScale); return cov; } private static IEnumerable GetGradient(double[,] x, int i, int j, double c, double scale, int degree, IEnumerable columnIndices, bool fixedConst, bool fixedScale) { double s = Util.ScalarProd(x, i, j, 1.0, columnIndices); if (!fixedConst) yield return c * degree * scale * Math.Pow(c + s, degree - 1); if (!fixedScale) yield return 2 * scale * Math.Pow(c + s, degree); } } }