Changeset 11308

Timestamp:

08/26/14 16:33:53 (10 years ago)

Author:

bburlacu

Message:

#2234: Implemented SVM grid search in SupportVectorMachineUtil.cs.

File:

• trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/SupportVectorMachine/SupportVectorMachineUtil.cs (modified) (2 diffs)

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/SupportVectorMachine/SupportVectorMachineUtil.cs

@@ -20 +20 @@
 #endregion
 
+using System;
 using System.Collections.Generic;
 using System.Linq;
+using System.Linq.Expressions;
+using System.Threading.Tasks;
+using HeuristicLab.Common;
+using HeuristicLab.Data;
 using HeuristicLab.Problems.DataAnalysis;
 using LibSVM;
@@ -60 +65 @@
       return new svm_problem() { l = targetVector.Length, y = targetVector, x = nodes };
     }
+
+    /// <summary>
+    /// Instantiate and return a svm_parameter object with default values.
+    /// </summary>
+    /// <returns>A svm_parameter object with default values</returns>
+    public static svm_parameter DefaultParameters() {
+      svm_parameter parameter = new svm_parameter();
+      parameter.svm_type = svm_parameter.NU_SVR;
+      parameter.kernel_type = svm_parameter.RBF;
+      parameter.C = 1;
+      parameter.nu = 0.5;
+      parameter.gamma = 1;
+      parameter.p = 1;
+      parameter.cache_size = 500;
+      parameter.probability = 0;
+      parameter.eps = 0.001;
+      parameter.degree = 3;
+      parameter.shrinking = 1;
+      parameter.coef0 = 0;
+
+      return parameter;
+    }
+
+    /// <summary>
+    /// Generate a collection of training indices corresponding to folds in the data (used for crossvalidation)
+    /// </summary>
+    /// <remarks>This method is aimed to be lightweight and as such does not clone the dataset.</remarks>
+    /// <param name="problemData">The problem data</param>
+    /// <param name="nFolds">The number of folds to generate</param>
+    /// <returns>A sequence of folds representing each a sequence of row numbers</returns>
+    public static IEnumerable<IEnumerable<int>> GenerateFolds(IRegressionProblemData problemData, int nFolds) {
+      int size = problemData.TrainingPartition.Size;
+
+      int foldSize = size / nFolds; // rounding to integer
+      var trainingIndices = problemData.TrainingIndices;
+
+      for (int i = 0; i < nFolds; ++i) {
+        int n = i * foldSize;
+        int s = n + 2 * foldSize > size ? foldSize + size % foldSize : foldSize;
+        yield return trainingIndices.Skip(n).Take(s);
+      }
+    }
+
+    /// <summary>
+    /// Performs crossvalidation
+    /// </summary>
+    /// <param name="problemData">The problem data</param>
+    /// <param name="parameters">The svm parameters</param>
+    /// <param name="folds">The svm_problem instances for each fold</param>
+    /// <param name="avgTestMSE">The average test mean squared error (not used atm)</param>
+    public static void CrossValidate(IRegressionProblemData problemData, svm_parameter parameters, IEnumerable<IEnumerable<int>> folds, out double avgTestMSE) {
+      avgTestMSE = 0;
+
+      var calc = new OnlineMeanSquaredErrorCalculator();
+      var ds = problemData.Dataset;
+      var targetVariable = problemData.TargetVariable;
+      var inputVariables = problemData.AllowedInputVariables;
+
+      var svmProblem = CreateSvmProblem(ds, targetVariable, inputVariables, problemData.TrainingIndices);
+      var partitions = folds.ToList();
+
+      for (int i = 0; i < partitions.Count; ++i) {
+        var test = partitions[i];
+        var training = new List<int>();
+        for (int j = 0; j < i; ++j)
+          training.AddRange(partitions[j]);
+
+        for (int j = i + 1; j < partitions.Count; ++j)
+          training.AddRange(partitions[j]);
+
+        var p = CreateSvmProblem(ds, targetVariable, inputVariables, training);
+        var model = svm.svm_train(p, parameters);
+        calc.Reset();
+        foreach (var row in test) {
+          calc.Add(svmProblem.y[row], svm.svm_predict(model, svmProblem.x[row]));
+        }
+        double error = calc.MeanSquaredError;
+        avgTestMSE += error;
+      }
+
+      avgTestMSE /= partitions.Count;
+    }
+
+    /// <summary>
+    /// Dynamically generate a setter for svm_parameter fields
+    /// </summary>
+    /// <param name="parameters"></param>
+    /// <param name="fieldName"></param>
+    /// <returns></returns>
+    private static Action<svm_parameter, double> GenerateSetter(string fieldName) {
+      var targetExp = Expression.Parameter(typeof(svm_parameter));
+      var valueExp = Expression.Parameter(typeof(double));
+
+      // Expression.Property can be used here as well
+      var fieldExp = Expression.Field(targetExp, fieldName);
+      var assignExp = Expression.Assign(fieldExp, Expression.Convert(valueExp, fieldExp.Type));
+      var setter = Expression.Lambda<Action<svm_parameter, double>>(assignExp, targetExp, valueExp).Compile();
+      return setter;
+    }
+
+    public static svm_parameter GridSearch(IRegressionProblemData problemData, IEnumerable<IEnumerable<int>> folds, Dictionary<string, IEnumerable<double>> parameterRanges, int maxDegreeOfParallelism = 1) {
+      DoubleValue mse = new DoubleValue(Double.MaxValue);
+      var bestParam = DefaultParameters();
+
+      // search for C, gamma and epsilon parameter combinations
+
+      var pNames = parameterRanges.Keys.ToList();
+      var pRanges = pNames.Select(x => parameterRanges[x]);
+
+      var crossProduct = pRanges.CartesianProduct();
+      var setters = pNames.Select(GenerateSetter).ToList();
+      Parallel.ForEach(crossProduct, new ParallelOptions { MaxDegreeOfParallelism = maxDegreeOfParallelism }, nuple => {
+        //  foreach (var nuple in crossProduct) {
+        var list = nuple.ToList();
+        var parameters = DefaultParameters();
+        for (int i = 0; i < pNames.Count; ++i) {
+          var s = setters[i];
+          s(parameters, list[i]);
+        }
+        double testMSE;
+        CrossValidate(problemData, parameters, folds, out testMSE);
+        if (testMSE < mse.Value) {
+          lock (mse) { mse.Value = testMSE; }
+          lock (bestParam) { // set best parameter values to the best found so far 
+            bestParam = (svm_parameter)parameters.Clone();
+          }
+        }
+      });
+      return bestParam;
+    }
   }
 }