#region License Information
/* HeuristicLab
* Copyright (C) 2002-2012 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 HeuristicLab.Algorithms.GradientDescent;
using HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Operators;
using HeuristicLab.Optimization;
using HeuristicLab.Parameters;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
using HeuristicLab.Problems.DataAnalysis;
namespace HeuristicLab.Algorithms.DataAnalysis {
///
///Gaussian process regression data analysis algorithm.
///
[Item("Gaussian Process Regression", "Gaussian process regression data analysis algorithm.")]
[Creatable("Data Analysis")]
[StorableClass]
public sealed class GaussianProcessRegression : EngineAlgorithm, IStorableContent {
public string Filename { get; set; }
public override Type ProblemType { get { return typeof(IRegressionProblem); } }
public new IRegressionProblem Problem {
get { return (IRegressionProblem)base.Problem; }
set { base.Problem = value; }
}
private const string MeanFunctionParameterName = "MeanFunction";
private const string CovarianceFunctionParameterName = "CovarianceFunction";
private const string MinimizationIterationsParameterName = "Iterations";
private const string ApproximateGradientsParameterName = "ApproximateGradients";
private const string SeedParameterName = "Seed";
private const string SetSeedRandomlyParameterName = "SetSeedRandomly";
#region parameter properties
public IValueParameter MeanFunctionParameter {
get { return (IValueParameter)Parameters[MeanFunctionParameterName]; }
}
public IValueParameter CovarianceFunctionParameter {
get { return (IValueParameter)Parameters[CovarianceFunctionParameterName]; }
}
public IValueParameter MinimizationIterationsParameter {
get { return (IValueParameter)Parameters[MinimizationIterationsParameterName]; }
}
public IValueParameter SeedParameter {
get { return (IValueParameter)Parameters[SeedParameterName]; }
}
public IValueParameter SetSeedRandomlyParameter {
get { return (IValueParameter)Parameters[SetSeedRandomlyParameterName]; }
}
#endregion
#region properties
public IMeanFunction MeanFunction {
set { MeanFunctionParameter.Value = value; }
get { return MeanFunctionParameter.Value; }
}
public ICovarianceFunction CovarianceFunction {
set { CovarianceFunctionParameter.Value = value; }
get { return CovarianceFunctionParameter.Value; }
}
public int MinimizationIterations {
set { MinimizationIterationsParameter.Value.Value = value; }
get { return MinimizationIterationsParameter.Value.Value; }
}
public int Seed { get { return SeedParameter.Value.Value; } set { SeedParameter.Value.Value = value; } }
public bool SetSeedRandomly { get { return SetSeedRandomlyParameter.Value.Value; } set { SetSeedRandomlyParameter.Value.Value = value; } }
#endregion
[StorableConstructor]
private GaussianProcessRegression(bool deserializing) : base(deserializing) { }
private GaussianProcessRegression(GaussianProcessRegression original, Cloner cloner)
: base(original, cloner) {
}
public GaussianProcessRegression()
: base() {
this.name = ItemName;
this.description = ItemDescription;
Problem = new RegressionProblem();
Parameters.Add(new ValueParameter(MeanFunctionParameterName, "The mean function to use.", new MeanConst()));
Parameters.Add(new ValueParameter(CovarianceFunctionParameterName, "The covariance function to use.", new CovarianceSquaredExponentialIso()));
Parameters.Add(new ValueParameter(MinimizationIterationsParameterName, "The number of iterations for likelihood optimization with LM-BFGS.", new IntValue(20)));
Parameters.Add(new ValueParameter(SeedParameterName, "The random seed used to initialize the new pseudo random number generator.", new IntValue(0)));
Parameters.Add(new ValueParameter(SetSeedRandomlyParameterName, "True if the random seed should be set to a random value, otherwise false.", new BoolValue(true)));
Parameters.Add(new ValueParameter(ApproximateGradientsParameterName, "Indicates that gradients should not be approximated (necessary for LM-BFGS).", new BoolValue(false)));
Parameters[ApproximateGradientsParameterName].Hidden = true; // should not be changed
var randomCreator = new HeuristicLab.Random.RandomCreator();
var gpInitializer = new GaussianProcessHyperparameterInitializer();
var bfgsInitializer = new LbfgsInitializer();
var makeStep = new LbfgsMakeStep();
var branch = new ConditionalBranch();
var modelCreator = new GaussianProcessRegressionModelCreator();
var updateResults = new LbfgsUpdateResults();
var analyzer = new LbfgsAnalyzer();
var finalModelCreator = new GaussianProcessRegressionModelCreator();
var finalAnalyzer = new LbfgsAnalyzer();
var solutionCreator = new GaussianProcessRegressionSolutionCreator();
OperatorGraph.InitialOperator = randomCreator;
randomCreator.SeedParameter.ActualName = SeedParameterName;
randomCreator.SeedParameter.Value = null;
randomCreator.SetSeedRandomlyParameter.ActualName = SetSeedRandomlyParameterName;
randomCreator.SetSeedRandomlyParameter.Value = null;
randomCreator.Successor = gpInitializer;
gpInitializer.CovarianceFunctionParameter.ActualName = CovarianceFunctionParameterName;
gpInitializer.MeanFunctionParameter.ActualName = MeanFunctionParameterName;
gpInitializer.ProblemDataParameter.ActualName = Problem.ProblemDataParameter.Name;
gpInitializer.HyperparameterParameter.ActualName = modelCreator.HyperparameterParameter.Name;
gpInitializer.RandomParameter.ActualName = randomCreator.RandomParameter.Name;
gpInitializer.Successor = bfgsInitializer;
bfgsInitializer.IterationsParameter.ActualName = MinimizationIterationsParameterName;
bfgsInitializer.PointParameter.ActualName = modelCreator.HyperparameterParameter.Name;
bfgsInitializer.ApproximateGradientsParameter.ActualName = ApproximateGradientsParameterName;
bfgsInitializer.Successor = makeStep;
makeStep.StateParameter.ActualName = bfgsInitializer.StateParameter.Name;
makeStep.PointParameter.ActualName = modelCreator.HyperparameterParameter.Name;
makeStep.Successor = branch;
branch.ConditionParameter.ActualName = makeStep.TerminationCriterionParameter.Name;
branch.FalseBranch = modelCreator;
branch.TrueBranch = finalModelCreator;
modelCreator.ProblemDataParameter.ActualName = Problem.ProblemDataParameter.Name;
modelCreator.MeanFunctionParameter.ActualName = MeanFunctionParameterName;
modelCreator.CovarianceFunctionParameter.ActualName = CovarianceFunctionParameterName;
modelCreator.Successor = updateResults;
updateResults.StateParameter.ActualName = bfgsInitializer.StateParameter.Name;
updateResults.QualityParameter.ActualName = modelCreator.NegativeLogLikelihoodParameter.Name;
updateResults.QualityGradientsParameter.ActualName = modelCreator.HyperparameterGradientsParameter.Name;
updateResults.ApproximateGradientsParameter.ActualName = ApproximateGradientsParameterName;
updateResults.Successor = analyzer;
analyzer.QualityParameter.ActualName = modelCreator.NegativeLogLikelihoodParameter.Name;
analyzer.PointParameter.ActualName = modelCreator.HyperparameterParameter.Name;
analyzer.QualityGradientsParameter.ActualName = modelCreator.HyperparameterGradientsParameter.Name;
analyzer.StateParameter.ActualName = bfgsInitializer.StateParameter.Name;
analyzer.PointsTableParameter.ActualName = "Hyperparameter table";
analyzer.QualityGradientsTableParameter.ActualName = "Gradients table";
analyzer.QualitiesTableParameter.ActualName = "Negative log likelihood table";
analyzer.Successor = makeStep;
finalModelCreator.ProblemDataParameter.ActualName = Problem.ProblemDataParameter.Name;
finalModelCreator.MeanFunctionParameter.ActualName = MeanFunctionParameterName;
finalModelCreator.CovarianceFunctionParameter.ActualName = CovarianceFunctionParameterName;
finalModelCreator.HyperparameterParameter.ActualName = bfgsInitializer.PointParameter.ActualName;
finalModelCreator.Successor = finalAnalyzer;
finalAnalyzer.QualityParameter.ActualName = modelCreator.NegativeLogLikelihoodParameter.Name;
finalAnalyzer.PointParameter.ActualName = modelCreator.HyperparameterParameter.Name;
finalAnalyzer.QualityGradientsParameter.ActualName = modelCreator.HyperparameterGradientsParameter.Name;
finalAnalyzer.PointsTableParameter.ActualName = analyzer.PointsTableParameter.ActualName;
finalAnalyzer.QualityGradientsTableParameter.ActualName = analyzer.QualityGradientsTableParameter.ActualName;
finalAnalyzer.QualitiesTableParameter.ActualName = analyzer.QualitiesTableParameter.ActualName;
finalAnalyzer.Successor = solutionCreator;
solutionCreator.ModelParameter.ActualName = finalModelCreator.ModelParameter.Name;
solutionCreator.ProblemDataParameter.ActualName = Problem.ProblemDataParameter.Name;
}
[StorableHook(HookType.AfterDeserialization)]
private void AfterDeserialization() { }
public override IDeepCloneable Clone(Cloner cloner) {
return new GaussianProcessRegression(this, cloner);
}
}
}