1 | #region License Information
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2 | /* HeuristicLab
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3 | * Copyright (C) 2002-2012 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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4 | *
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5 | * This file is part of HeuristicLab.
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6 | *
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7 | * HeuristicLab is free software: you can redistribute it and/or modify
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8 | * it under the terms of the GNU General Public License as published by
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9 | * the Free Software Foundation, either version 3 of the License, or
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10 | * (at your option) any later version.
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11 | *
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12 | * HeuristicLab is distributed in the hope that it will be useful,
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13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 | * GNU General Public License for more details.
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16 | *
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17 | * You should have received a copy of the GNU General Public License
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18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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19 | */
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20 | #endregion
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21 |
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22 | using System;
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23 | using HeuristicLab.Common;
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24 | using HeuristicLab.Core;
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25 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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26 |
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27 | namespace HeuristicLab.Algorithms.DataAnalysis {
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28 | [StorableClass]
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29 | [Item(Name = "CovariancePeriodic", Description = "Periodic covariance function for Gaussian processes.")]
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30 | public class CovariancePeriodic : Item, ICovarianceFunction {
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31 | [Storable]
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32 | private double[,] x;
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33 | [Storable]
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34 | private double[,] xt;
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35 | [Storable]
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36 | private double sf2;
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37 | [Storable]
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38 | private double l;
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39 | [Storable]
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40 | private double p;
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41 |
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42 | private bool symmetric;
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43 |
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44 | private double[,] sd;
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45 | public int GetNumberOfParameters(int numberOfVariables) {
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46 | return 3;
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47 | }
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48 | [StorableConstructor]
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49 | protected CovariancePeriodic(bool deserializing) : base(deserializing) { }
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50 | protected CovariancePeriodic(CovariancePeriodic original, Cloner cloner)
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51 | : base(original, cloner) {
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52 | if (original.x != null) {
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53 | x = new double[original.x.GetLength(0), original.x.GetLength(1)];
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54 | Array.Copy(original.x, x, x.Length);
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55 | xt = new double[original.xt.GetLength(0), original.xt.GetLength(1)];
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56 | Array.Copy(original.xt, xt, xt.Length);
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57 | }
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58 | sf2 = original.sf2;
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59 | l = original.l;
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60 | p = original.p;
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61 | symmetric = original.symmetric;
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62 | }
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63 | public CovariancePeriodic()
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64 | : base() {
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65 | }
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66 |
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67 | public override IDeepCloneable Clone(Cloner cloner) {
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68 | return new CovariancePeriodic(this, cloner);
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69 | }
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70 |
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71 | public void SetParameter(double[] hyp) {
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72 | if (hyp.Length != 3) throw new ArgumentException();
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73 | this.l = Math.Exp(hyp[0]);
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74 | this.p = Math.Exp(hyp[1]);
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75 | this.sf2 = Math.Exp(2 * hyp[2]);
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76 |
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77 | sf2 = Math.Min(10E6, sf2); // upper limit for the scale
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78 |
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79 | sd = null;
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80 | }
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81 | public void SetData(double[,] x) {
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82 | SetData(x, x);
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83 | this.symmetric = true;
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84 | }
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85 |
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86 | public void SetData(double[,] x, double[,] xt) {
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87 | this.x = x;
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88 | this.xt = xt;
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89 | this.symmetric = false;
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90 |
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91 | sd = null;
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92 | }
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93 |
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94 | public double GetCovariance(int i, int j) {
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95 | if (sd == null) CalculateSquaredDistances();
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96 | double k = sd[i, j];
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97 | k = Math.PI * k / p;
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98 | k = Math.Sin(k) / l;
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99 | k = k * k;
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100 |
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101 | return sf2 * Math.Exp(-2.0 * k);
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102 | }
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103 |
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104 |
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105 | public double[] GetDiagonalCovariances() {
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106 | if (x != xt) throw new InvalidOperationException();
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107 | int rows = x.GetLength(0);
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108 | var cov = new double[rows];
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109 | for (int i = 0; i < rows; i++) {
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110 | double k = Math.Sqrt(Util.SqrDist(Util.GetRow(x, i), Util.GetRow(xt, i)));
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111 | k = Math.PI * k / p;
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112 | k = Math.Sin(k) / l;
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113 | k = k * k;
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114 | cov[i] = sf2 * Math.Exp(-2.0 * k);
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115 | }
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116 | return cov;
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117 | }
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118 |
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119 | public double GetGradient(int i, int j, int k) {
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120 | double v = Math.PI * sd[i, j] / p;
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121 | switch (k) {
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122 | case 0: {
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123 | double newK = Math.Sin(v) / l;
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124 | newK = newK * newK;
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125 | return 4 * sf2 * Math.Exp(-2 * newK) * newK;
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126 | }
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127 | case 1: {
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128 | double r = Math.Sin(v) / l;
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129 | return 4 * sf2 / l * Math.Exp(-2 * r * r) * r * Math.Cos(v) * v;
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130 | }
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131 | case 2: {
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132 | double newK = Math.Sin(v) / l;
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133 | newK = newK * newK;
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134 | return 2 * sf2 * Math.Exp(-2 * newK);
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135 |
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136 | }
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137 | default: {
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138 | throw new ArgumentException("CovariancePeriodic only has three hyperparameters.", "k");
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139 | }
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140 | }
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141 | }
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142 |
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143 | private void CalculateSquaredDistances() {
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144 | if (x.GetLength(1) != xt.GetLength(1)) throw new InvalidOperationException();
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145 | int rows = x.GetLength(0);
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146 | int cols = xt.GetLength(0);
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147 | sd = new double[rows, cols];
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148 |
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149 | if (symmetric) {
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150 | for (int i = 0; i < rows; i++) {
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151 | for (int j = i; j < cols; j++) {
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152 | sd[i, j] = Math.Sqrt(Util.SqrDist(Util.GetRow(x, i), Util.GetRow(x, j)));
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153 | sd[j, i] = sd[i, j];
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154 | }
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155 | }
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156 | } else {
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157 | for (int i = 0; i < rows; i++) {
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158 | for (int j = 0; j < cols; j++) {
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159 | sd[i, j] = Math.Sqrt(Util.SqrDist(Util.GetRow(x, i), Util.GetRow(xt, j)));
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160 | }
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161 | }
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162 | }
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163 | }
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164 | }
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165 | }
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