Changeset 14888 for branches/RBFRegression/HeuristicLab.Algorithms.DataAnalysis/3.4/KernelRidgeRegression/KernelRidgeRegression.cs

Timestamp:

04/25/17 09:42:18 (8 years ago)

Author:

gkronber

Message:

#2699: re-added calculation of leave one out cv estimate

File:

• branches/RBFRegression/HeuristicLab.Algorithms.DataAnalysis/3.4/KernelRidgeRegression/KernelRidgeRegression.cs (modified) (2 diffs)

branches/RBFRegression/HeuristicLab.Algorithms.DataAnalysis/3.4/KernelRidgeRegression/KernelRidgeRegression.cs

@@ -115 +115 @@
 
     protected override void Run(CancellationToken cancellationToken) {
-      double rmsError;
+      double rmsError, looCvRMSE;
       var kernel = Kernel;
       kernel.Beta = Beta;
-      var solution = CreateRadialBasisRegressionSolution(Problem.ProblemData, kernel, Math.Pow(10, LogLambda), ScaleInputVariables, out rmsError);
+      var solution = CreateRadialBasisRegressionSolution(Problem.ProblemData, kernel, Math.Pow(10, LogLambda), ScaleInputVariables, out rmsError, out looCvRMSE);
       Results.Add(new Result(SolutionResultName, "The kernel ridge regression solution.", solution));
       Results.Add(new Result("RMSE (test)", "The root mean squared error of the solution on the test set.", new DoubleValue(rmsError)));
+      Results.Add(new Result("RMSE (LOO-CV)", "The leave-one-out-cross-validation root mean squared error", new DoubleValue(looCvRMSE)));
     }
 
-    public static IRegressionSolution CreateRadialBasisRegressionSolution(IRegressionProblemData problemData, ICovarianceFunction kernel, double lambda, bool scaleInputs, out double rmsError) {
+    public static IRegressionSolution CreateRadialBasisRegressionSolution(IRegressionProblemData problemData, ICovarianceFunction kernel, double lambda, bool scaleInputs, out double rmsError, out double looCvRMSE) {
       var model = new KernelRidgeRegressionModel(problemData.Dataset, problemData.TargetVariable, problemData.AllowedInputVariables, problemData.TrainingIndices, scaleInputs, kernel, lambda);
       rmsError = double.NaN;
@@ -134 +135 @@
       solution.Model.Name = "Kernel ridge regression model";
       solution.Name = SolutionResultName;
+      looCvRMSE = model.LooCvRMSE;
       return solution;
     }