| 1 | #region License Information
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| 2 | /* HeuristicLab
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| 3 | * Copyright (C) 2002-2010 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.Linq;
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| 23 | using HeuristicLab.Common;
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| 24 | using HeuristicLab.Core;
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| 25 | using HeuristicLab.Data;
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| 26 | using HeuristicLab.Operators;
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| 27 | using HeuristicLab.Optimization;
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| 28 | using HeuristicLab.Parameters;
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| 29 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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| 30 | using HeuristicLab.Encodings.SymbolicExpressionTreeEncoding;
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| 31 | using HeuristicLab.Problems.DataAnalysis.Regression.Symbolic;
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| 32 | using HeuristicLab.Problems.DataAnalysis.Symbolic;
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| 33 | using System.Collections.Generic;
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| 34 | using HeuristicLab.Problems.DataAnalysis.Symbolic.Symbols;
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| 35 | using HeuristicLab.Problems.DataAnalysis;
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| 36 | using System;
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| 37 |
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| 38 | using HeuristicLab.Problems.DataAnalysis.Evaluators;
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| 39 | using HeuristicLab.Problems.DataAnalysis.Regression;
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| 40 | using HeuristicLab.Analysis;
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| 41 | using HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis.Symbolic.Evaluators;
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| 42 | using HeuristicLab.Problems.DataAnalysis.MultiVariate.Regression.Symbolic;
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| 43 | using HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis.Symbolic.Interfaces;
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| 44 |
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| 45 | namespace HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis.Symbolic.Analyzers {
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| 46 | /// <summary>
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| 47 | /// An operator that analyzes the validation best scaled symbolic time series prognosis solution.
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| 48 | /// </summary>
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| 49 | [Item("ValidationBestScaledSymbolicTimeSeriesPrognosisSolutionAnalyzer", "An operator that analyzes the validation best scaled symbolic time series prognosis solution.")]
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| 50 | [StorableClass]
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| 51 | public sealed class ValidationBestScaledSymbolicTimeSeriesPrognosisSolutionAnalyzer : SingleSuccessorOperator, IAnalyzer {
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| 52 | private const string RandomParameterName = "Random";
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| 53 | private const string SymbolicExpressionTreeParameterName = "SymbolicExpressionTree";
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| 54 | private const string SymbolicExpressionTreeInterpreterParameterName = "SymbolicExpressionTreeInterpreter";
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| 55 | private const string ProblemDataParameterName = "ProblemData";
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| 56 | private const string ValidationSamplesStartParameterName = "SamplesStart";
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| 57 | private const string ValidationSamplesEndParameterName = "SamplesEnd";
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| 58 | private const string QualityParameterName = "Quality";
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| 59 | private const string ScaledQualityParameterName = "ScaledQuality";
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| 60 | private const string UpperEstimationLimitParameterName = "UpperEstimationLimit";
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| 61 | private const string LowerEstimationLimitParameterName = "LowerEstimationLimit";
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| 62 | private const string PredictionHorizonParameterName = "PredictionHorizon";
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| 63 | private const string ConditionVariableParameterName = "ConditionVariableName";
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| 64 | private const string AlphaParameterName = "Alpha";
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| 65 | private const string BetaParameterName = "Beta";
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| 66 | private const string BestSolutionParameterName = "Best solution (validation)";
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| 67 | private const string BestSolutionQualityParameterName = "Best solution quality (validation)";
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| 68 | private const string CurrentBestValidationQualityParameterName = "Current best validation quality";
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| 69 | private const string BestSolutionQualityValuesParameterName = "Validation Quality";
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| 70 | private const string ResultsParameterName = "Results";
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| 71 | private const string VariableFrequenciesParameterName = "VariableFrequencies";
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| 72 | private const string BestKnownQualityParameterName = "BestKnownQuality";
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| 73 | private const string GenerationsParameterName = "Generations";
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| 74 |
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| 75 | private const string TrainingMeanSquaredErrorQualityParameterName = "Mean squared error (training)";
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| 76 | private const string MinTrainingMeanSquaredErrorQualityParameterName = "Min mean squared error (training)";
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| 77 | private const string MaxTrainingMeanSquaredErrorQualityParameterName = "Max mean squared error (training)";
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| 78 | private const string AverageTrainingMeanSquaredErrorQualityParameterName = "Average mean squared error (training)";
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| 79 | private const string BestTrainingMeanSquaredErrorQualityParameterName = "Best mean squared error (training)";
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| 80 |
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| 81 | private const string TrainingAverageRelativeErrorQualityParameterName = "Average relative error (training)";
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| 82 | private const string MinTrainingAverageRelativeErrorQualityParameterName = "Min average relative error (training)";
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| 83 | private const string MaxTrainingAverageRelativeErrorQualityParameterName = "Max average relative error (training)";
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| 84 | private const string AverageTrainingAverageRelativeErrorQualityParameterName = "Average average relative error (training)";
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| 85 | private const string BestTrainingAverageRelativeErrorQualityParameterName = "Best average relative error (training)";
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| 86 |
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| 87 | private const string TrainingRSquaredQualityParameterName = "R² (training)";
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| 88 | private const string MinTrainingRSquaredQualityParameterName = "Min R² (training)";
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| 89 | private const string MaxTrainingRSquaredQualityParameterName = "Max R² (training)";
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| 90 | private const string AverageTrainingRSquaredQualityParameterName = "Average R² (training)";
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| 91 | private const string BestTrainingRSquaredQualityParameterName = "Best R² (training)";
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| 92 |
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| 93 | private const string TestMeanSquaredErrorQualityParameterName = "Mean squared error (test)";
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| 94 | private const string MinTestMeanSquaredErrorQualityParameterName = "Min mean squared error (test)";
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| 95 | private const string MaxTestMeanSquaredErrorQualityParameterName = "Max mean squared error (test)";
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| 96 | private const string AverageTestMeanSquaredErrorQualityParameterName = "Average mean squared error (test)";
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| 97 | private const string BestTestMeanSquaredErrorQualityParameterName = "Best mean squared error (test)";
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| 98 |
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| 99 | private const string TestAverageRelativeErrorQualityParameterName = "Average relative error (test)";
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| 100 | private const string MinTestAverageRelativeErrorQualityParameterName = "Min average relative error (test)";
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| 101 | private const string MaxTestAverageRelativeErrorQualityParameterName = "Max average relative error (test)";
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| 102 | private const string AverageTestAverageRelativeErrorQualityParameterName = "Average average relative error (test)";
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| 103 | private const string BestTestAverageRelativeErrorQualityParameterName = "Best average relative error (test)";
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| 104 |
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| 105 | private const string TestRSquaredQualityParameterName = "R² (test)";
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| 106 | private const string MinTestRSquaredQualityParameterName = "Min R² (test)";
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| 107 | private const string MaxTestRSquaredQualityParameterName = "Max R² (test)";
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| 108 | private const string AverageTestRSquaredQualityParameterName = "Average R² (test)";
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| 109 | private const string BestTestRSquaredQualityParameterName = "Best R² (test)";
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| 110 |
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| 111 | private const string RSquaredValuesParameterName = "R²";
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| 112 | private const string MeanSquaredErrorValuesParameterName = "Mean squared error";
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| 113 | private const string RelativeErrorValuesParameterName = "Average relative error";
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| 114 | private const string BestSolutionResultName = "Best solution (on validiation set)";
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| 115 | private const string RelativeNumberOfEvaluatedSamplesParameterName = "RelativeNumberOfEvaluatedSamples";
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| 116 |
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| 117 | #region parameter properties
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| 118 | public ILookupParameter<IRandom> RandomParameter {
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| 119 | get { return (ILookupParameter<IRandom>)Parameters[RandomParameterName]; }
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| 120 | }
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| 121 | public ScopeTreeLookupParameter<SymbolicExpressionTree> SymbolicExpressionTreeParameter {
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| 122 | get { return (ScopeTreeLookupParameter<SymbolicExpressionTree>)Parameters[SymbolicExpressionTreeParameterName]; }
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| 123 | }
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| 124 | public OptionalValueParameter<StringValue> ConditionVariableNameParameter {
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| 125 | get { return (OptionalValueParameter<StringValue>)Parameters[ConditionVariableParameterName]; }
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| 126 | }
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| 127 | public ScopeTreeLookupParameter<DoubleArray> AlphaParameter {
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| 128 | get { return (ScopeTreeLookupParameter<DoubleArray>)Parameters[AlphaParameterName]; }
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| 129 | }
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| 130 | public ScopeTreeLookupParameter<DoubleArray> BetaParameter {
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| 131 | get { return (ScopeTreeLookupParameter<DoubleArray>)Parameters[BetaParameterName]; }
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| 132 | }
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| 133 | public IValueLookupParameter<ISymbolicTimeSeriesExpressionInterpreter> SymbolicExpressionTreeInterpreterParameter {
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| 134 | get { return (IValueLookupParameter<ISymbolicTimeSeriesExpressionInterpreter>)Parameters[SymbolicExpressionTreeInterpreterParameterName]; }
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| 135 | }
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| 136 | public IValueLookupParameter<MultiVariateDataAnalysisProblemData> ProblemDataParameter {
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| 137 | get { return (IValueLookupParameter<MultiVariateDataAnalysisProblemData>)Parameters[ProblemDataParameterName]; }
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| 138 | }
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| 139 | public IValueLookupParameter<IntValue> ValidationSamplesStartParameter {
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| 140 | get { return (IValueLookupParameter<IntValue>)Parameters[ValidationSamplesStartParameterName]; }
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| 141 | }
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| 142 | public IValueLookupParameter<IntValue> ValidationSamplesEndParameter {
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| 143 | get { return (IValueLookupParameter<IntValue>)Parameters[ValidationSamplesEndParameterName]; }
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| 144 | }
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| 145 | public IValueLookupParameter<DoubleArray> UpperEstimationLimitParameter {
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| 146 | get { return (IValueLookupParameter<DoubleArray>)Parameters[UpperEstimationLimitParameterName]; }
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| 147 | }
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| 148 | public IValueLookupParameter<DoubleArray> LowerEstimationLimitParameter {
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| 149 | get { return (IValueLookupParameter<DoubleArray>)Parameters[LowerEstimationLimitParameterName]; }
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| 150 | }
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| 151 | public IValueLookupParameter<IntValue> PredictionHorizonParameter {
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| 152 | get { return (IValueLookupParameter<IntValue>)Parameters[PredictionHorizonParameterName]; }
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| 153 | }
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| 154 | public ILookupParameter<SymbolicExpressionTree> BestSolutionParameter {
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| 155 | get { return (ILookupParameter<SymbolicExpressionTree>)Parameters[BestSolutionParameterName]; }
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| 156 | }
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| 157 | public ILookupParameter<IntValue> GenerationsParameter {
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| 158 | get { return (ILookupParameter<IntValue>)Parameters[GenerationsParameterName]; }
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| 159 | }
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| 160 | public ILookupParameter<DoubleValue> BestSolutionQualityParameter {
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| 161 | get { return (ILookupParameter<DoubleValue>)Parameters[BestSolutionQualityParameterName]; }
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| 162 | }
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| 163 | public ILookupParameter<ResultCollection> ResultsParameter {
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| 164 | get { return (ILookupParameter<ResultCollection>)Parameters[ResultsParameterName]; }
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| 165 | }
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| 166 | public ILookupParameter<DoubleValue> BestKnownQualityParameter {
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| 167 | get { return (ILookupParameter<DoubleValue>)Parameters[BestKnownQualityParameterName]; }
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| 168 | }
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| 169 | public ILookupParameter<DataTable> VariableFrequenciesParameter {
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| 170 | get { return (ILookupParameter<DataTable>)Parameters[VariableFrequenciesParameterName]; }
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| 171 | }
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| 172 | public IValueParameter<PercentValue> RelativeNumberOfEvaluatedSamplesParameter {
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| 173 | get { return (IValueParameter<PercentValue>)Parameters[RelativeNumberOfEvaluatedSamplesParameterName]; }
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| 174 | }
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| 175 | #endregion
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| 176 | #region properties
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| 177 | public IRandom Random {
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| 178 | get { return RandomParameter.ActualValue; }
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| 179 | }
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| 180 | public ItemArray<SymbolicExpressionTree> SymbolicExpressionTree {
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| 181 | get { return SymbolicExpressionTreeParameter.ActualValue; }
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| 182 | }
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| 183 | public ItemArray<DoubleArray> Alpha {
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| 184 | get { return AlphaParameter.ActualValue; }
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| 185 | }
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| 186 | public ItemArray<DoubleArray> Beta {
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| 187 | get { return BetaParameter.ActualValue; }
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| 188 | }
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| 189 | public ISymbolicTimeSeriesExpressionInterpreter SymbolicExpressionTreeInterpreter {
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| 190 | get { return SymbolicExpressionTreeInterpreterParameter.ActualValue; }
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| 191 | }
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| 192 | public MultiVariateDataAnalysisProblemData ProblemData {
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| 193 | get { return ProblemDataParameter.ActualValue; }
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| 194 | }
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| 195 | public IntValue ValidiationSamplesStart {
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| 196 | get { return ValidationSamplesStartParameter.ActualValue; }
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| 197 | }
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| 198 | public IntValue ValidationSamplesEnd {
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| 199 | get { return ValidationSamplesEndParameter.ActualValue; }
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| 200 | }
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| 201 | public DoubleArray UpperEstimationLimit {
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| 202 | get { return UpperEstimationLimitParameter.ActualValue; }
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| 203 | }
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| 204 | public DoubleArray LowerEstimationLimit {
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| 205 | get { return LowerEstimationLimitParameter.ActualValue; }
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| 206 | }
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| 207 | public IntValue PredictionHorizon {
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| 208 | get { return PredictionHorizonParameter.ActualValue; }
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| 209 | }
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| 210 | public StringValue ConditionVariableName {
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| 211 | get { return ConditionVariableNameParameter.Value; }
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| 212 | }
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| 213 | public ResultCollection Results {
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| 214 | get { return ResultsParameter.ActualValue; }
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| 215 | }
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| 216 | public DataTable VariableFrequencies {
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| 217 | get { return VariableFrequenciesParameter.ActualValue; }
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| 218 | }
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| 219 | public IntValue Generations {
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| 220 | get { return GenerationsParameter.ActualValue; }
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| 221 | }
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| 222 | public PercentValue RelativeNumberOfEvaluatedSamples {
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| 223 | get { return RelativeNumberOfEvaluatedSamplesParameter.Value; }
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| 224 | }
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| 225 | #endregion
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| 226 |
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| 227 | public ValidationBestScaledSymbolicTimeSeriesPrognosisSolutionAnalyzer()
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| 228 | : base() {
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| 229 | Parameters.Add(new LookupParameter<IRandom>(RandomParameterName, "A random number generator."));
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| 230 | Parameters.Add(new ScopeTreeLookupParameter<SymbolicExpressionTree>(SymbolicExpressionTreeParameterName, "The symbolic expression trees to analyze."));
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| 231 | Parameters.Add(new OptionalValueParameter<StringValue>(ConditionVariableParameterName, "The name of the condition variable indicating if a row should be considered for evaluation or not."));
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| 232 | Parameters.Add(new ScopeTreeLookupParameter<DoubleArray>(AlphaParameterName, "The alpha parameter for linear scaling."));
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| 233 | Parameters.Add(new ScopeTreeLookupParameter<DoubleArray>(BetaParameterName, "The beta parameter for linear scaling."));
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| 234 | Parameters.Add(new ValueLookupParameter<ISymbolicTimeSeriesExpressionInterpreter>(SymbolicExpressionTreeInterpreterParameterName, "The interpreter that should be used for the analysis of symbolic expression trees."));
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| 235 | Parameters.Add(new ValueLookupParameter<MultiVariateDataAnalysisProblemData>(ProblemDataParameterName, "The problem data for which the symbolic expression tree is a solution."));
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| 236 | Parameters.Add(new ValueLookupParameter<IntValue>(ValidationSamplesStartParameterName, "The first index of the validation partition of the data set."));
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| 237 | Parameters.Add(new ValueLookupParameter<IntValue>(ValidationSamplesEndParameterName, "The last index of the validation partition of the data set."));
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| 238 | Parameters.Add(new ValueLookupParameter<IntValue>(PredictionHorizonParameterName, "The number of time steps for which to create a forecast."));
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| 239 | Parameters.Add(new ValueLookupParameter<DoubleArray>(UpperEstimationLimitParameterName, "The upper estimation limit that was set for the evaluation of the symbolic expression trees."));
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| 240 | Parameters.Add(new ValueLookupParameter<DoubleArray>(LowerEstimationLimitParameterName, "The lower estimation limit that was set for the evaluation of the symbolic expression trees."));
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| 241 | Parameters.Add(new LookupParameter<SymbolicExpressionTree>(BestSolutionParameterName, "The best symbolic time series prognosis solution."));
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| 242 | Parameters.Add(new LookupParameter<IntValue>(GenerationsParameterName, "The number of generations calculated so far."));
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| 243 | Parameters.Add(new LookupParameter<DoubleValue>(BestSolutionQualityParameterName, "The quality of the best symbolic regression solution."));
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| 244 | Parameters.Add(new LookupParameter<ResultCollection>(ResultsParameterName, "The result collection where the best symbolic regression solution should be stored."));
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| 245 | Parameters.Add(new LookupParameter<DoubleValue>(BestKnownQualityParameterName, "The best known (validation) quality achieved on the data set."));
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| 246 | Parameters.Add(new LookupParameter<DataTable>(VariableFrequenciesParameterName, "The variable frequencies table to use for the calculation of variable impacts"));
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| 247 | Parameters.Add(new ValueParameter<PercentValue>(RelativeNumberOfEvaluatedSamplesParameterName, "The relative number of samples of the dataset partition, which should be randomly chosen for evaluation between the start and end index.", new PercentValue(1)));
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| 248 |
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| 249 | }
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| 250 |
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| 251 | [StorableConstructor]
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| 252 | private ValidationBestScaledSymbolicTimeSeriesPrognosisSolutionAnalyzer(bool deserializing) : base(deserializing) { }
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| 253 |
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| 254 | public override IOperation Apply() {
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| 255 | var alphas = Alpha;
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| 256 | var betas = Beta;
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| 257 | var trees = SymbolicExpressionTree;
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| 258 |
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| 259 | IEnumerable<SymbolicExpressionTree> scaledTrees;
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| 260 | if (alphas.Length == trees.Length) {
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| 261 | scaledTrees = from i in Enumerable.Range(0, trees.Length)
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| 262 | select SymbolicVectorRegressionSolutionLinearScaler.Scale(trees[i], betas[i].ToArray(), alphas[i].ToArray());
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| 263 | } else {
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| 264 | scaledTrees = trees;
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| 265 | }
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| 266 |
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| 267 | int trainingStart = ProblemData.TrainingSamplesStart.Value;
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| 268 | int trainingEnd = ProblemData.TrainingSamplesEnd.Value;
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| 269 | int testStart = ProblemData.TestSamplesStart.Value;
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| 270 | int testEnd = ProblemData.TestSamplesEnd.Value;
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| 271 |
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| 272 | #region validation best model
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| 273 | int validationStart = ValidiationSamplesStart.Value;
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| 274 | int validationEnd = ValidationSamplesEnd.Value;
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| 275 | int rowCount = (int)Math.Ceiling((validationEnd - validationStart) * RelativeNumberOfEvaluatedSamples.Value);
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| 276 | IEnumerable<int> rows = RandomEnumerable.SampleRandomNumbers((uint)Random.Next(), validationStart, validationEnd, rowCount);
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| 277 | double bestValidationNmse = double.MaxValue;
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| 278 | SymbolicExpressionTree bestTree = null;
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| 279 | string conditionalVariableName = ConditionVariableName == null ? null : ConditionVariableName.Value;
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| 280 | foreach (var tree in scaledTrees) {
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| 281 | double validationNmse;
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| 282 | validationNmse = SymbolicTimeSeriesPrognosisNormalizedMseEvaluator.Evaluate(tree, ProblemData,
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| 283 | SymbolicExpressionTreeInterpreter, conditionalVariableName,
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| 284 | rows, PredictionHorizon.Value, LowerEstimationLimit, UpperEstimationLimit);
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| 285 | if (validationNmse < bestValidationNmse) {
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| 286 | bestValidationNmse = validationNmse;
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| 287 | bestTree = tree;
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| 288 | }
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| 289 | }
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| 290 |
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| 291 |
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| 292 | if (BestSolutionQualityParameter.ActualValue == null || BestSolutionQualityParameter.ActualValue.Value > bestValidationNmse) {
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| 293 | var solution = bestTree;
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| 294 | //solution.Name = BestSolutionParameterName;
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| 295 | //solution.Description = "Best solution on validation partition found over the whole run.";
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| 296 |
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| 297 | BestSolutionParameter.ActualValue = solution;
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| 298 | BestSolutionQualityParameter.ActualValue = new DoubleValue(bestValidationNmse);
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| 299 |
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| 300 | // BestSymbolicTimeSeriesPrognosisSolutionAnalyzer.UpdateBestSolutionResults(solution, ProblemData, Results, Generations, VariableFrequencies);
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| 301 | }
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| 302 |
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| 303 | if (!Results.ContainsKey(BestSolutionQualityValuesParameterName)) {
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| 304 | Results.Add(new Result(BestSolutionResultName, BestSolutionParameter.ActualValue));
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| 305 | Results.Add(new Result(BestSolutionQualityValuesParameterName, new DataTable(BestSolutionQualityValuesParameterName, BestSolutionQualityValuesParameterName)));
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| 306 | Results.Add(new Result(BestSolutionQualityParameterName, new DoubleValue()));
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| 307 | Results.Add(new Result(CurrentBestValidationQualityParameterName, new DoubleValue()));
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| 308 | }
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| 309 | Results[BestSolutionResultName].Value = BestSolutionParameter.ActualValue;
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| 310 | Results[BestSolutionQualityParameterName].Value = new DoubleValue(BestSolutionQualityParameter.ActualValue.Value);
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| 311 | Results[CurrentBestValidationQualityParameterName].Value = new DoubleValue(bestValidationNmse);
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| 312 |
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| 313 | DataTable validationValues = (DataTable)Results[BestSolutionQualityValuesParameterName].Value;
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| 314 | AddValue(validationValues, BestSolutionQualityParameter.ActualValue.Value, BestSolutionQualityParameterName, BestSolutionQualityParameterName);
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| 315 | AddValue(validationValues, bestValidationNmse, CurrentBestValidationQualityParameterName, CurrentBestValidationQualityParameterName);
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| 316 | #endregion
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| 317 | return base.Apply();
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| 318 | }
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| 319 |
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| 320 | [StorableHook(HookType.AfterDeserialization)]
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| 321 | private void Initialize() {
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| 322 | }
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| 323 |
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| 324 | private static void AddValue(DataTable table, double data, string name, string description) {
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| 325 | DataRow row;
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| 326 | table.Rows.TryGetValue(name, out row);
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| 327 | if (row == null) {
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| 328 | row = new DataRow(name, description);
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| 329 | row.Values.Add(data);
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|---|
| 330 | table.Rows.Add(row);
|
|---|
| 331 | } else {
|
|---|
| 332 | row.Values.Add(data);
|
|---|
| 333 | }
|
|---|
| 334 | }
|
|---|
| 335 | }
|
|---|
| 336 | }
|
|---|
