Ignore:
Timestamp:
04/04/17 17:52:44 (6 months ago)
Author:
gkronber
Message:

#2650: merged the factors branch into trunk

Location:
trunk/sources
Files:
3 edited

Legend:

Unmodified
Added
Removed
  • trunk/sources

  • trunk/sources/HeuristicLab.Problems.DataAnalysis

  • trunk/sources/HeuristicLab.Problems.DataAnalysis/3.4/Implementation/Regression/RegressionSolutionVariableImpactsCalculator.cs

    r14463 r14826  
    4242      Noise
    4343    }
    44 
     44    public enum FactorReplacementMethodEnum {
     45      Best,
     46      Mode,
     47      Shuffle
     48    }
    4549    public enum DataPartitionEnum {
    4650      Training,
     
    8892    }
    8993
    90     public static IEnumerable<Tuple<string, double>> CalculateImpacts(IRegressionSolution solution,
     94    public static IEnumerable<Tuple<string, double>> CalculateImpacts(
     95      IRegressionSolution solution,
    9196      DataPartitionEnum data = DataPartitionEnum.Training,
    92       ReplacementMethodEnum replacement = ReplacementMethodEnum.Median) {
     97      ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median,
     98      FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best) {
    9399
    94100      var problemData = solution.ProblemData;
     
    128134      var allowedInputVariables = dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList();
    129135
    130       foreach (var inputVariable in allowedInputVariables) {
    131         var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, replacement);
     136      // calculate impacts for double variables
     137      foreach (var inputVariable in allowedInputVariables.Where(problemData.Dataset.VariableHasType<double>)) {
     138        var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, replacementMethod);
    132139        var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
    133140        if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
     
    137144        impacts[inputVariable] = impact;
    138145      }
     146
     147      // calculate impacts for string variables
     148      foreach (var inputVariable in allowedInputVariables.Where(problemData.Dataset.VariableHasType<string>)) {
     149        if (factorReplacementMethod == FactorReplacementMethodEnum.Best) {
     150          // try replacing with all possible values and find the best replacement value
     151          var smallestImpact = double.PositiveInfinity;
     152          foreach (var repl in problemData.Dataset.GetStringValues(inputVariable, rows).Distinct()) {
     153            var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows,
     154              Enumerable.Repeat(repl, dataset.Rows));
     155            var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
     156            if (error != OnlineCalculatorError.None)
     157              throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
     158
     159            newR2 = newR2 * newR2;
     160            var impact = originalR2 - newR2;
     161            if (impact < smallestImpact) smallestImpact = impact;
     162          }
     163          impacts[inputVariable] = smallestImpact;
     164        } else {
     165          // for replacement methods shuffle and mode
     166          // calculate impacts for factor variables
     167
     168          var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows,
     169            factorReplacementMethod);
     170          var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error);
     171          if (error != OnlineCalculatorError.None)
     172            throw new InvalidOperationException("Error during R² calculation with replaced inputs.");
     173
     174          newR2 = newR2 * newR2;
     175          var impact = originalR2 - newR2;
     176          impacts[inputVariable] = impact;
     177        }
     178      } // foreach
    139179      return impacts.OrderByDescending(i => i.Value).Select(i => Tuple.Create(i.Key, i.Value));
    140180    }
     
    184224      }
    185225
    186       dataset.ReplaceVariable(variable, replacementValues);
     226      return EvaluateModelWithReplacedVariable(model, variable, dataset, rows, replacementValues);
     227    }
     228
     229    private static IEnumerable<double> EvaluateModelWithReplacedVariable(
     230      IRegressionModel model, string variable, ModifiableDataset dataset,
     231      IEnumerable<int> rows,
     232      FactorReplacementMethodEnum replacement = FactorReplacementMethodEnum.Shuffle) {
     233      var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
     234      List<string> replacementValues;
     235      IRandom rand;
     236
     237      switch (replacement) {
     238        case FactorReplacementMethodEnum.Mode:
     239          var mostCommonValue = rows.Select(r => originalValues[r])
     240            .GroupBy(v => v)
     241            .OrderByDescending(g => g.Count())
     242            .First().Key;
     243          replacementValues = Enumerable.Repeat(mostCommonValue, dataset.Rows).ToList();
     244          break;
     245        case FactorReplacementMethodEnum.Shuffle:
     246          // new var has same empirical distribution but the relation to y is broken
     247          rand = new FastRandom(31415);
     248          // prepare a complete column for the dataset
     249          replacementValues = Enumerable.Repeat(string.Empty, dataset.Rows).ToList();
     250          // shuffle only the selected rows
     251          var shuffledValues = rows.Select(r => originalValues[r]).Shuffle(rand).ToList();
     252          int i = 0;
     253          // update column values
     254          foreach (var r in rows) {
     255            replacementValues[r] = shuffledValues[i++];
     256          }
     257          break;
     258        default:
     259          throw new ArgumentException(string.Format("FactorReplacementMethod {0} cannot be handled.", replacement));
     260      }
     261
     262      return EvaluateModelWithReplacedVariable(model, variable, dataset, rows, replacementValues);
     263    }
     264
     265    private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable,
     266      ModifiableDataset dataset, IEnumerable<int> rows, IEnumerable<double> replacementValues) {
     267      var originalValues = dataset.GetReadOnlyDoubleValues(variable).ToList();
     268      dataset.ReplaceVariable(variable, replacementValues.ToList());
    187269      //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
    188270      var estimates = model.GetEstimatedValues(dataset, rows).ToList();
     
    191273      return estimates;
    192274    }
     275    private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable,
     276      ModifiableDataset dataset, IEnumerable<int> rows, IEnumerable<string> replacementValues) {
     277      var originalValues = dataset.GetReadOnlyStringValues(variable).ToList();
     278      dataset.ReplaceVariable(variable, replacementValues.ToList());
     279      //mkommend: ToList is used on purpose to avoid lazy evaluation that could result in wrong estimates due to variable replacements
     280      var estimates = model.GetEstimatedValues(dataset, rows).ToList();
     281      dataset.ReplaceVariable(variable, originalValues);
     282
     283      return estimates;
     284    }
    193285  }
    194286}
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