Changeset 14291
 Timestamp:
 09/19/16 17:46:47 (8 years ago)
 File:

 1 edited
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trunk/sources/HeuristicLab.Problems.Instances.DataAnalysis/3.3/Regression/VariableNetworks/VariableNetwork.cs
r14271 r14291 26 26 using HeuristicLab.Common; 27 27 using HeuristicLab.Core; 28 using HeuristicLab.Problems.DataAnalysis; 28 29 using HeuristicLab.Random; 29 30 … … 195 196 int nl = xs.Length; 196 197 int nRows = xs.First().Count; 197 double[,] K = new double[nRows, nRows]; 198 199 // sample lengthscales 198 199 // sample u iid ~ N(0, 1) 200 var u = Enumerable.Range(0, nRows).Select(_ => NormalDistributedRandom.NextDouble(random, 0, 1)).ToArray(); 201 202 // sample actual lengthscales 200 203 var l = Enumerable.Range(0, nl) 201 204 .Select(_ => random.NextDouble() * 2 + 0.5) 202 205 .ToArray(); 203 // calculate covariance matrix 206 207 double[,] K = CalculateCovariance(xs, l); 208 209 // decompose 210 alglib.trfac.spdmatrixcholesky(ref K, nRows, false); 211 212 213 // calc y = Lu 214 var y = new double[u.Length]; 215 alglib.ablas.rmatrixmv(nRows, nRows, K, 0, 0, 0, u, 0, ref y, 0); 216 217 // calculate relevance by removing dimensions 218 relevance = CalculateRelevance(y, u, xs, l); 219 220 221 // calculate variable relevance 222 // as per Rasmussen and Williams "Gaussian Processes for Machine Learning" page 106: 223 // ,,For the squared exponential covariance function [...] the l1, ..., lD hyperparameters 224 // play the role of characteristic length scales [...]. Such a covariance function implements 225 // automatic relevance determination (ARD) [Neal, 1996], since the inverse of the lengthscale 226 // determines how relevant an input is: if the lengthscale has a very large value, the covariance 227 // will become almost independent of that input, effectively removing it from inference.'' 228 // relevance = l.Select(li => 1.0 / li).ToArray(); 229 230 return y; 231 } 232 233 // calculate variable relevance based on removal of variables 234 // 1) to remove a variable we set it's length scale to infinity (no relation of the variable value to the target) 235 // 2) calculate MSE of the original target values (y) to the updated targes y' (after variable removal) 236 // 3) relevance is larger if MSE(y,y') is large 237 // 4) scale impacts so that the most important variable has impact = 1 238 private double[] CalculateRelevance(double[] y, double[] u, List<double>[] xs, double[] l) { 239 int nRows = xs.First().Count; 240 var changedL = new double[l.Length]; 241 var relevance = new double[l.Length]; 242 for (int i = 0; i < l.Length; i++) { 243 Array.Copy(l, changedL, changedL.Length); 244 changedL[i] = double.MaxValue; 245 var changedK = CalculateCovariance(xs, changedL); 246 247 var yChanged = new double[u.Length]; 248 alglib.ablas.rmatrixmv(nRows, nRows, changedK, 0, 0, 0, u, 0, ref yChanged, 0); 249 250 OnlineCalculatorError error; 251 var mse = OnlineMeanSquaredErrorCalculator.Calculate(y, yChanged, out error); 252 if (error != OnlineCalculatorError.None) mse = double.MaxValue; 253 relevance[i] = mse; 254 } 255 // scale so that max relevance is 1.0 256 var maxRel = relevance.Max(); 257 for (int i = 0; i < relevance.Length; i++) relevance[i] /= maxRel; 258 return relevance; 259 } 260 261 private double[,] CalculateCovariance(List<double>[] xs, double[] l) { 262 int nRows = xs.First().Count; 263 double[,] K = new double[nRows, nRows]; 204 264 for (int r = 0; r < nRows; r++) { 205 265 double[] xi = xs.Select(x => x[r]).ToArray(); … … 213 273 } 214 274 } 215 216 275 // add a small diagonal matrix for numeric stability 217 276 for (int i = 0; i < nRows; i++) { … … 219 278 } 220 279 221 // decompose 222 alglib.trfac.spdmatrixcholesky(ref K, nRows, false); 223 224 // sample u iid ~ N(0, 1) 225 var u = Enumerable.Range(0, nRows).Select(_ => NormalDistributedRandom.NextDouble(random, 0, 1)).ToArray(); 226 227 // calc y = Lu 228 var y = new double[u.Length]; 229 alglib.ablas.rmatrixmv(nRows, nRows, K, 0, 0, 0, u, 0, ref y, 0); 230 231 // calculate variable relevance 232 // as per Rasmussen and Williams "Gaussian Processes for Machine Learning" page 106: 233 // ,,For the squared exponential covariance function [...] the l1, ..., lD hyperparameters 234 // play the role of characteristic length scales [...]. Such a covariance function implements 235 // automatic relevance determination (ARD) [Neal, 1996], since the inverse of the lengthscale 236 // determines how relevant an input is: if the lengthscale has a very large value, the covariance 237 // will become almost independent of that input, effectively removing it from inference.'' 238 relevance = l.Select(li => 1.0 / li).ToArray(); 239 240 return y; 280 return K; 241 281 } 242 282 }
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