Changeset 7120 for branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis/3.4/SingleObjective/SymbolicTimeSeriesPrognosisSingleObjectivePearsonRSquaredEvaluator.cs

Timestamp:

12/05/11 08:22:36 (12 years ago)

Author:

gkronber

Message:

#1081 implemented multi-variate symbolic expression tree interpreter for time series prognosis.

File:

• branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis/3.4/SingleObjective/SymbolicTimeSeriesPrognosisSingleObjectivePearsonRSquaredEvaluator.cs (modified) (4 diffs)

branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic.TimeSeriesPrognosis/3.4/SingleObjective/SymbolicTimeSeriesPrognosisSingleObjectivePearsonRSquaredEvaluator.cs

@@ -20 +20 @@
 #endregion
 
+using System;
 using System.Collections.Generic;
+using System.Linq;
 using HeuristicLab.Common;
 using HeuristicLab.Core;
@@ -48 +50 @@
       IEnumerable<int> rows = GenerateRowsToEvaluate();
 
-      double quality = Calculate(SymbolicTimeSeriesPrognosisInterpreterParameter.ActualValue, solution, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, ProblemDataParameter.ActualValue, rows);
+      double quality = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, solution,
+        EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper,
+        ProblemDataParameter.ActualValue,
+        rows, HorizonParameter.ActualValue.Value);
       QualityParameter.ActualValue = new DoubleValue(quality);
 
@@ -54 +59 @@
     }
 
-    public static double Calculate(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, double lowerEstimationLimit, double upperEstimationLimit, ITimeSeriesPrognosisProblemData problemData, IEnumerable<int> rows) {
-      IEnumerable<double> estimatedValues = interpreter.GetSymbolicExpressionTreeValues(solution, problemData.Dataset, rows);
+    public static double Calculate(ISymbolicTimeSeriesPrognosisExpressionTreeInterpreter interpreter, ISymbolicExpressionTree solution, double lowerEstimationLimit, double upperEstimationLimit, ITimeSeriesPrognosisProblemData problemData, IEnumerable<int> rows, int horizon) {
+      var allPredictedContinuations =
+        interpreter.GetSymbolicExpressionTreeValues(solution, problemData.Dataset, problemData.TargetVariables.ToArray(),
+                                                    rows, horizon).ToArray();
+
       var meanCalculator = new OnlineMeanAndVarianceCalculator();
+      int i = 0;
       foreach (var targetVariable in problemData.TargetVariables) {
-        IEnumerable<double> originalValues = problemData.Dataset.GetDoubleValues(targetVariable, rows);
+        var actualContinuations = from r in rows
+                                  select problemData.Dataset.GetDoubleValues(targetVariable, Enumerable.Range(r, horizon));
+        var startValues = problemData.Dataset.GetDoubleValues(targetVariable, rows.Select(r => r - 1));
         OnlineCalculatorError errorState;
-        meanCalculator.Add(OnlinePearsonsRSquaredCalculator.Calculate(estimatedValues, originalValues, out errorState));
-        if (errorState != OnlineCalculatorError.None) return 0.0;
+        meanCalculator.Add(OnlineTheilsUStatisticCalculator.Calculate(
+          startValues,
+          allPredictedContinuations.Select(v => v.ElementAt(i)),
+          actualContinuations, out errorState));
+        if (errorState != OnlineCalculatorError.None) return double.NaN;
+        i++;
       }
       return meanCalculator.Mean;
@@ -67 +82 @@
 
     public override double Evaluate(IExecutionContext context, ISymbolicExpressionTree tree, ITimeSeriesPrognosisProblemData problemData, IEnumerable<int> rows) {
-      SymbolicTimeSeriesPrognosisInterpreterParameter.ExecutionContext = context;
+      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = context;
       EstimationLimitsParameter.ExecutionContext = context;
+      HorizonParameter.ExecutionContext = context;
 
-      double r2 = Calculate(SymbolicTimeSeriesPrognosisInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows);
+      double r2 = Calculate(SymbolicDataAnalysisTreeInterpreterParameter.ActualValue, tree, EstimationLimitsParameter.ActualValue.Lower, EstimationLimitsParameter.ActualValue.Upper, problemData, rows, HorizonParameter.ActualValue.Value);
 
-      SymbolicTimeSeriesPrognosisInterpreterParameter.ExecutionContext = null;
+      HorizonParameter.ExecutionContext = null;
+      SymbolicDataAnalysisTreeInterpreterParameter.ExecutionContext = null;
       EstimationLimitsParameter.ExecutionContext = null;