#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 = "CovarianceScale", Description = "Scale covariance function for Gaussian processes.")] public sealed class CovarianceScale : ParameterizedNamedItem, ICovarianceFunction { public IValueParameter ScaleParameter { get { return (IValueParameter)Parameters["Scale"]; } } private bool HasFixedScaleParameter { get { return ScaleParameter.Value != null; } } public IValueParameter CovarianceFunctionParameter { get { return (IValueParameter)Parameters["CovarianceFunction"]; } } [StorableConstructor] private CovarianceScale(bool deserializing) : base(deserializing) { } private CovarianceScale(CovarianceScale original, Cloner cloner) : base(original, cloner) { } public CovarianceScale() : base() { Name = ItemName; Description = ItemDescription; Parameters.Add(new OptionalValueParameter("Scale", "The scale parameter.")); Parameters.Add(new ValueParameter("CovarianceFunction", "The covariance function that should be scaled.", new CovarianceSquaredExponentialIso())); } public override IDeepCloneable Clone(Cloner cloner) { return new CovarianceScale(this, cloner); } public int GetNumberOfParameters(int numberOfVariables) { return (HasFixedScaleParameter ? 0 : 1) + CovarianceFunctionParameter.Value.GetNumberOfParameters(numberOfVariables); } public void SetParameter(double[] p) { double scale; GetParameterValues(p, out scale); ScaleParameter.Value = new DoubleValue(scale); CovarianceFunctionParameter.Value.SetParameter(p.Skip(1).ToArray()); } private void GetParameterValues(double[] p, out double scale) { // gather parameter values if (HasFixedScaleParameter) { scale = ScaleParameter.Value.Value; } else { scale = Math.Exp(2 * p[0]); } } public ParameterizedCovarianceFunction GetParameterizedCovarianceFunction(double[] p, int[] columnIndices) { double scale; GetParameterValues(p, out scale); var fixedScale = HasFixedScaleParameter; var subCov = CovarianceFunctionParameter.Value.GetParameterizedCovarianceFunction(p.Skip(1).ToArray(), columnIndices); // create functions var cov = new ParameterizedCovarianceFunction(); cov.Covariance = (x, i, j) => scale * subCov.Covariance(x, i, j); cov.CrossCovariance = (x, xt, i, j) => scale * subCov.CrossCovariance(x, xt, i, j); cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, subCov, fixedScale); return cov; } private static IList GetGradient(double[,] x, int i, int j, int[] columnIndices, double scale, ParameterizedCovarianceFunction cov, bool fixedScale) { var gr = new List((!fixedScale ? 1 : 0) + cov.CovarianceGradient(x, i, j).Count); if (!fixedScale) { gr.Add(2 * scale * cov.Covariance(x, i, j)); } foreach (var g in cov.CovarianceGradient(x, i, j)) gr.Add(scale * g); return gr; } } }