- Timestamp:
- 02/26/18 14:03:27 (7 years ago)
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branches/2904_CalculateImpacts/3.4/Implementation/Regression/RegressionSolutionVariableImpactsCalculator.cs
r15802 r15815 56 56 private const string DataPartitionParameterName = "DataPartition"; 57 57 58 public IFixedValueParameter<EnumValue<ReplacementMethodEnum>> ReplacementParameter { 58 public IFixedValueParameter<EnumValue<ReplacementMethodEnum>> ReplacementParameter 59 { 59 60 get { return (IFixedValueParameter<EnumValue<ReplacementMethodEnum>>)Parameters[ReplacementParameterName]; } 60 61 } 61 public IFixedValueParameter<EnumValue<DataPartitionEnum>> DataPartitionParameter { 62 public IFixedValueParameter<EnumValue<DataPartitionEnum>> DataPartitionParameter 63 { 62 64 get { return (IFixedValueParameter<EnumValue<DataPartitionEnum>>)Parameters[DataPartitionParameterName]; } 63 65 } 64 66 65 public ReplacementMethodEnum ReplacementMethod { 67 public ReplacementMethodEnum ReplacementMethod 68 { 66 69 get { return ReplacementParameter.Value.Value; } 67 70 set { ReplacementParameter.Value.Value = value; } 68 71 } 69 public DataPartitionEnum DataPartition { 72 public DataPartitionEnum DataPartition 73 { 70 74 get { return DataPartitionParameter.Value.Value; } 71 75 set { DataPartitionParameter.Value.Value = value; } … … 92 96 } 93 97 98 private static void PrepareData(DataPartitionEnum partition, 99 IRegressionSolution solution, 100 out IEnumerable<int> rows, 101 out IEnumerable<double> targetValues, 102 out double originalR2) { 103 OnlineCalculatorError error; 104 105 switch (partition) { 106 case DataPartitionEnum.All: 107 rows = solution.ProblemData.AllIndices; 108 targetValues = solution.ProblemData.TargetVariableValues.ToList(); 109 originalR2 = OnlinePearsonsRCalculator.Calculate(solution.ProblemData.TargetVariableValues, solution.EstimatedValues, out error); 110 if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation."); 111 originalR2 = originalR2 * originalR2; 112 break; 113 case DataPartitionEnum.Training: 114 rows = solution.ProblemData.TrainingIndices; 115 targetValues = solution.ProblemData.TargetVariableTrainingValues.ToList(); 116 originalR2 = solution.TrainingRSquared; 117 break; 118 case DataPartitionEnum.Test: 119 rows = solution.ProblemData.TestIndices; 120 targetValues = solution.ProblemData.TargetVariableTestValues.ToList(); 121 originalR2 = solution.TestRSquared; 122 break; 123 default: throw new ArgumentException(string.Format("DataPartition {0} cannot be handled.", partition)); 124 } 125 } 126 127 private static double CalculateImpactForDouble(string variableName, 128 IRegressionSolution solution, 129 ModifiableDataset modifiableDataset, 130 IEnumerable<int> rows, 131 IEnumerable<double> targetValues, 132 double originalR2, 133 ReplacementMethodEnum replacementMethod) { 134 OnlineCalculatorError error; 135 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, variableName, modifiableDataset, rows, replacementMethod); 136 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 137 if (error != OnlineCalculatorError.None) { throw new InvalidOperationException("Error during R² calculation with replaced inputs."); } 138 return originalR2 - (newR2 * newR2); 139 } 140 141 private static double CalculateImpactForString(string variableName, 142 IRegressionSolution solution, 143 ModifiableDataset modifiableDataset, 144 IEnumerable<int> rows, 145 IEnumerable<double> targetValues, 146 double originalR2, 147 FactorReplacementMethodEnum factorReplacementMethod) { 148 149 OnlineCalculatorError error; 150 if (factorReplacementMethod == FactorReplacementMethodEnum.Best) { 151 // try replacing with all possible values and find the best replacement value 152 var smallestImpact = double.PositiveInfinity; 153 foreach (var repl in solution.ProblemData.Dataset.GetStringValues(variableName, rows).Distinct()) { 154 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, variableName, modifiableDataset, rows, Enumerable.Repeat(repl, solution.ProblemData.Dataset.Rows)); 155 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 156 if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation with replaced inputs."); 157 158 var curImpact = originalR2 - (newR2 * newR2); 159 if (curImpact < smallestImpact) smallestImpact = curImpact; 160 } 161 return smallestImpact; 162 } else { 163 // for replacement methods shuffle and mode 164 // calculate impacts for factor variables 165 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, variableName, modifiableDataset, rows, factorReplacementMethod); 166 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 167 if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation with replaced inputs."); 168 169 return originalR2 - (newR2 * newR2); 170 } 171 } 172 public static double CalculateImpact(string variableName, 173 IRegressionSolution solution, 174 DataPartitionEnum data = DataPartitionEnum.Training, 175 ReplacementMethodEnum replacementMethod = ReplacementMethodEnum.Median, 176 FactorReplacementMethodEnum factorReplacementMethod = FactorReplacementMethodEnum.Best, 177 IEnumerable<int> rows = null, 178 IEnumerable<double> targetValues = null, 179 double originalR2 = -1) { 180 181 double impact = 0; 182 var modifiableDataset = ((Dataset)solution.ProblemData.Dataset).ToModifiable(); 183 184 // calculate impacts for double variables 185 if (solution.ProblemData.Dataset.VariableHasType<double>(variableName)) { 186 impact = CalculateImpactForDouble(variableName, solution, modifiableDataset, rows, targetValues, originalR2, replacementMethod); 187 } else if (solution.ProblemData.Dataset.VariableHasType<string>(variableName)) { 188 impact = CalculateImpactForString(variableName, solution, modifiableDataset, rows, targetValues, originalR2, factorReplacementMethod); 189 } else { 190 throw new NotSupportedException("Variable not supported"); 191 } 192 return impact; 193 } 194 94 195 public static IEnumerable<Tuple<string, double>> CalculateImpacts( 95 196 IRegressionSolution solution, … … 99 200 Func<double, string, bool> progressCallback = null) { 100 201 101 var problemData = solution.ProblemData;102 var dataset = problemData.Dataset;103 104 202 IEnumerable<int> rows; 105 203 IEnumerable<double> targetValues; 106 204 double originalR2 = -1; 107 205 108 OnlineCalculatorError error; 109 110 switch (data) { 111 case DataPartitionEnum.All: 112 rows = solution.ProblemData.AllIndices; 113 targetValues = problemData.TargetVariableValues.ToList(); 114 originalR2 = OnlinePearsonsRCalculator.Calculate(problemData.TargetVariableValues, solution.EstimatedValues, out error); 115 if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation."); 116 originalR2 = originalR2 * originalR2; 117 break; 118 case DataPartitionEnum.Training: 119 rows = problemData.TrainingIndices; 120 targetValues = problemData.TargetVariableTrainingValues.ToList(); 121 originalR2 = solution.TrainingRSquared; 122 break; 123 case DataPartitionEnum.Test: 124 rows = problemData.TestIndices; 125 targetValues = problemData.TargetVariableTestValues.ToList(); 126 originalR2 = solution.TestRSquared; 127 break; 128 default: throw new ArgumentException(string.Format("DataPartition {0} cannot be handled.", data)); 129 } 206 PrepareData(data, solution, out rows, out targetValues, out originalR2); 130 207 131 208 var impacts = new Dictionary<string, double>(); 132 var modifiableDataset = ((Dataset)dataset).ToModifiable(); 133 134 var inputvariables = new HashSet<string>(problemData.AllowedInputVariables.Union(solution.Model.VariablesUsedForPrediction)); 135 var allowedInputVariables = dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList(); 209 var inputvariables = new HashSet<string>(solution.ProblemData.AllowedInputVariables.Union(solution.Model.VariablesUsedForPrediction)); 210 var allowedInputVariables = solution.ProblemData.Dataset.VariableNames.Where(v => inputvariables.Contains(v)).ToList(); 136 211 137 212 int curIdx = 0; 138 int count = allowedInputVariables.Where( problemData.Dataset.VariableHasType<double>).Count();213 int count = allowedInputVariables.Where(solution.ProblemData.Dataset.VariableHasType<double>).Count(); 139 214 // calculate impacts for double variables 140 foreach (var inputVariable in allowedInputVariables .Where(problemData.Dataset.VariableHasType<double>)) {215 foreach (var inputVariable in allowedInputVariables) { 141 216 //Report the current progress in percent. If the callback returns true, it means the execution shall be stopped 142 217 if (progressCallback != null) { … … 144 219 if (progressCallback((double)curIdx / count, string.Format("Calculating impact for variable {0} ({1} of {2})", inputVariable, curIdx, count))) { return null; } 145 220 } 146 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, replacementMethod); 147 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 148 if (error != OnlineCalculatorError.None) throw new InvalidOperationException("Error during R² calculation with replaced inputs."); 149 150 newR2 = newR2 * newR2; 151 var impact = originalR2 - newR2; 152 impacts[inputVariable] = impact; 153 } 154 155 // calculate impacts for string variables 156 foreach (var inputVariable in allowedInputVariables.Where(problemData.Dataset.VariableHasType<string>)) { 157 if (factorReplacementMethod == FactorReplacementMethodEnum.Best) { 158 // try replacing with all possible values and find the best replacement value 159 var smallestImpact = double.PositiveInfinity; 160 foreach (var repl in problemData.Dataset.GetStringValues(inputVariable, rows).Distinct()) { 161 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, 162 Enumerable.Repeat(repl, dataset.Rows)); 163 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 164 if (error != OnlineCalculatorError.None) 165 throw new InvalidOperationException("Error during R² calculation with replaced inputs."); 166 167 newR2 = newR2 * newR2; 168 var impact = originalR2 - newR2; 169 if (impact < smallestImpact) smallestImpact = impact; 170 } 171 impacts[inputVariable] = smallestImpact; 172 } else { 173 // for replacement methods shuffle and mode 174 // calculate impacts for factor variables 175 176 var newEstimates = EvaluateModelWithReplacedVariable(solution.Model, inputVariable, modifiableDataset, rows, 177 factorReplacementMethod); 178 var newR2 = OnlinePearsonsRCalculator.Calculate(targetValues, newEstimates, out error); 179 if (error != OnlineCalculatorError.None) 180 throw new InvalidOperationException("Error during R² calculation with replaced inputs."); 181 182 newR2 = newR2 * newR2; 183 var impact = originalR2 - newR2; 184 impacts[inputVariable] = impact; 185 } 186 } // foreach 221 impacts[inputVariable] = CalculateImpact(inputVariable, solution, data, replacementMethod, factorReplacementMethod, rows, targetValues, originalR2); 222 } 223 187 224 return impacts.OrderByDescending(i => i.Value).Select(i => Tuple.Create(i.Key, i.Value)); 188 225 } 189 190 226 191 227 private static IEnumerable<double> EvaluateModelWithReplacedVariable(IRegressionModel model, string variable, ModifiableDataset dataset, IEnumerable<int> rows, ReplacementMethodEnum replacement = ReplacementMethodEnum.Median) {
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