Changeset 5373 for trunk/sources/HeuristicLab.Problems.DataAnalysis

Timestamp:

01/25/11 16:51:30 (14 years ago)

Author:

mkommend

Message:

ticket #1256 - Merged new timeseries symbols from branch to trunk.

Location:

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.3

Files:

• HeuristicLab.Problems.DataAnalysis-3.3.csproj (modified) (3 diffs)
• Interfaces/ILaggedTreeNode.cs (added)
• Symbolic/FullFunctionalExpressionGrammar.cs (modified) (2 diffs)
• Symbolic/SimpleArithmeticExpressionInterpreter.cs (modified) (3 diffs)
• Symbolic/Symbols/Derivative.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/Derivative.cs)
• Symbolic/Symbols/Integral.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/Integral.cs) (1 diff)
• Symbolic/Symbols/LaggedSymbol.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/LaggedSymbol.cs)
• Symbolic/Symbols/LaggedTreeNode.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/LaggedTreeNode.cs)
• Symbolic/Symbols/LaggedVariableTreeNode.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/LaggedVariableTreeNode.cs)
• Symbolic/Symbols/TimeLag.cs (copied) (copied from branches/GP.Symbols (TimeLag, Diff, Integral)/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/TimeLag.cs)

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.3/HeuristicLab.Problems.DataAnalysis-3.3.csproj

@@ -108 +108 @@
   </ItemGroup>
   <ItemGroup>
+    <Compile Include="Symbolic\Symbols\Derivative.cs" />
+    <Compile Include="Symbolic\Symbols\Integral.cs" />
+    <Compile Include="Symbolic\Symbols\TimeLag.cs" />
     <Compile Include="Symbolic\TypeCoherentExpressionGrammar.cs" />
     <Compile Include="Symbolic\Symbols\Power.cs" />
@@ -133 +136 @@
     <Compile Include="Evaluators\SimpleVarianceAccountedForEvaluator.cs" />
     <Compile Include="HeuristicLabProblemsDataAnalysisPlugin.cs" />
+    <Compile Include="Interfaces\ILaggedTreeNode.cs" />
     <Compile Include="Interfaces\ISingleObjectiveDataAnalysisProblem.cs" />
     <Compile Include="Interfaces\IDataAnalysisModel.cs" />
@@ -151 +155 @@
     <Compile Include="Symbolic\SymbolicSimplifier.cs" />
     <Compile Include="Symbolic\Symbols\Addition.cs" />
+    <Compile Include="Symbolic\Symbols\LaggedSymbol.cs" />
     <Compile Include="Symbolic\Symbols\Constant.cs" />
     <Compile Include="Symbolic\Symbols\ConstantTreeNode.cs" />
+    <Compile Include="Symbolic\Symbols\LaggedTreeNode.cs" />
     <Compile Include="Symbolic\Symbols\LaggedVariable.cs" />
     <Compile Include="Symbolic\Symbols\LaggedVariableTreeNode.cs" />

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/FullFunctionalExpressionGrammar.cs

@@ -61 +61 @@
       var or = new Or();
       var not = new Not();
+
+      var timeLag = new TimeLag();
+      timeLag.InitialFrequency = 0.0;
+      var integral = new Integral();
+      integral.InitialFrequency = 0.0;
+      var derivative = new Derivative();
+      derivative.InitialFrequency = 0.0;
+
       var constant = new Constant();
       constant.MinValue = -20;
@@ -68 +76 @@
       laggedVariable.InitialFrequency = 0.0;
 
-      var allSymbols = new List<Symbol>() { add, sub, mul, div, mean, sin, cos, tan, log, pow, exp, @if, gt, lt, and, or, not, constant, variableSymbol, laggedVariable };
-      var unaryFunctionSymbols = new List<Symbol>() { sin, cos, tan, log, exp, not };
+      var allSymbols = new List<Symbol>() { add, sub, mul, div, mean, sin, cos, tan, log, pow, exp, @if, gt, lt, and, or, not, timeLag, integral, derivative, constant, variableSymbol, laggedVariable };
+      var unaryFunctionSymbols = new List<Symbol>() { sin, cos, tan, log, exp, not, timeLag, integral, derivative };
+
       var binaryFunctionSymbols = new List<Symbol>() { pow, gt, lt };
       var functionSymbols = new List<Symbol>() { add, sub, mul, div, mean, and, or };

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/SimpleArithmeticExpressionInterpreter.cs

@@ -67 +67 @@
 
       public const byte Power = 22;
+      public const byte TimeLag = 23;
+      public const byte Integral = 24;
+      public const byte Derivative = 25;
     }
 
@@ -92 +95 @@
       { typeof(Argument), OpCodes.Arg },
       { typeof(Power),OpCodes.Power},
+      { typeof(TimeLag), OpCodes.TimeLag}, 
+      { typeof(Integral), OpCodes.Integral},
+      {typeof(Derivative), OpCodes.Derivative},
     };
     private const int ARGUMENT_STACK_SIZE = 1024;
@@ -244 +250 @@
             else return -1.0;
           }
+        case OpCodes.TimeLag: {
+            var timeLagTreeNode = (LaggedTreeNode)currentInstr.dynamicNode;
+            if (row + timeLagTreeNode.Lag < 0 || row + timeLagTreeNode.Lag >= dataset.Rows)
+              return double.NaN;
+
+            row += timeLagTreeNode.Lag;
+            double result = Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer);
+            row -= timeLagTreeNode.Lag;
+            return result;
+          }
+        case OpCodes.Integral: {
+            int nextPc = pc;
+            var timeLagTreeNode = (LaggedTreeNode)currentInstr.dynamicNode;
+            if (row + timeLagTreeNode.Lag < 0 || row + timeLagTreeNode.Lag >= dataset.Rows)
+              return double.NaN;
+            double sum = 0.0;
+            for (int i = 0; i < Math.Abs(timeLagTreeNode.Lag); i++) {
+              row += Math.Sign(timeLagTreeNode.Lag);
+              sum += Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer);
+              pc = nextPc;
+            }
+            row -= timeLagTreeNode.Lag;
+            sum += Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer);
+            return sum;
+          }
+
+        //mkommend: derivate calculation taken from: 
+        //http://www.holoborodko.com/pavel/numerical-methods/numerical-derivative/smooth-low-noise-differentiators/
+        //one sided smooth differentiatior, N = 4
+        // y' = 1/8h (f_i + 2f_i-1, -2 f_i-3 - f_i-4)
+        case OpCodes.Derivative: {
+            if (row - 4 < 0) return double.NaN;
+            int nextPc = pc;
+            double f_0 = Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer); ; row--;
+            pc = nextPc;
+            double f_1 = Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer); ; row -= 2;
+            pc = nextPc;
+            double f_3 = Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer); ; row--;
+            pc = nextPc;
+            double f_4 = Evaluate(dataset, ref row, code, ref pc, argumentStack, ref argStackPointer); ;
+            row += 4;
+
+            return (f_0 + 2 * f_1 - 2 * f_3 - f_4) / 8; // h = 1
+          }
         case OpCodes.Call: {
             // evaluate sub-trees

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.3/Symbolic/Symbols/Integral.cs

@@ -29 +29 @@
     [StorableConstructor]
     private Integral(bool deserializing) : base(deserializing) { }
-    protected Integral(Integral original, Cloner cloner) : base(original, cloner) { }
+    private Integral(Integral original, Cloner cloner) : base(original, cloner) { }
     public override IDeepCloneable Clone(Cloner cloner) { return new Integral(this, cloner); }