Changeset 15442 for branches/MathNetNumerics-Exploration-2789/HeuristicLab.Algorithms.DataAnalysis.Experimental/GAM.cs

Timestamp:

10/31/17 20:01:02 (6 years ago)

Author:

gkronber

Message:

#2789: added cross-validation and automatic determination of regularization parameter (naive CV is slow!).

Research produced ACM Algorithm 642.f (Fortran) for univariate cubic spline smoothing with generalized cross-validation in O(n) described in HUTCHINSON, M. F., AND DE HOOG, F.R. Smoothing noisy data with spline functions. Numer. Math. 4 7 (1985), 99-106. (TODO: translate to C#)

File:

• branches/MathNetNumerics-Exploration-2789/HeuristicLab.Algorithms.DataAnalysis.Experimental/GAM.cs (modified) (1 diff)

branches/MathNetNumerics-Exploration-2789/HeuristicLab.Algorithms.DataAnalysis.Experimental/GAM.cs

@@ -218 +218 @@
           product = product.Zip(problemData.Dataset.GetDoubleValues(inputVars[i], problemData.TrainingIndices), (pi, vi) => pi * vi).ToArray();
         }
-        // Umständlich!
-        return Splines.CalculatePenalizedRegressionSpline(
+        double optTolerance, looRMSE;
+        return Splines.CalculateSmoothingSplineReinsch(
           product,
-          (double[])target.Clone(), lambda,
-          problemData.TargetVariable, inputVars
+          (double[])target.Clone(), inputVars,
+          problemData.TargetVariable, 
+          out optTolerance, out looRMSE
           );
       } else return new ConstantModel(target.Average(), problemData.TargetVariable);