Changeset 8419

Timestamp:

08/06/12 18:52:22 (12 years ago)

Author:

gkronber

Message:

#1902 changed initialization of hyperparameter vector for GPR using a PRNG

Location:

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4

Files:

• GaussianProcess/GaussianProcessHyperparameterInitializer.cs (modified) (4 diffs)
• GaussianProcess/GaussianProcessRegression.cs (modified) (6 diffs)
• HeuristicLab.Algorithms.DataAnalysis-3.4.csproj (modified) (1 diff)
• Plugin.cs.frame (modified) (1 diff)

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/GaussianProcessHyperparameterInitializer.cs

@@ -38 +38 @@
     private const string ProblemDataParameterName = "ProblemData";
     private const string HyperparameterParameterName = "Hyperparameter";
+    private const string RandomParameterName = "Random";
 
     #region Parameter Properties
@@ -49 +50 @@
     public ILookupParameter<IDataAnalysisProblemData> ProblemDataParameter {
       get { return (ILookupParameter<IDataAnalysisProblemData>)Parameters[ProblemDataParameterName]; }
+    }
+    public ILookupParameter<IRandom> RandomParameter {
+      get { return (ILookupParameter<IRandom>)Parameters[RandomParameterName]; }
     }
     // out
@@ -71 +75 @@
       Parameters.Add(new LookupParameter<ICovarianceFunction>(CovarianceFunctionParameterName, "The covariance function for the Gaussian process model."));
       Parameters.Add(new LookupParameter<IDataAnalysisProblemData>(ProblemDataParameterName, "The input data for the Gaussian process."));
+      Parameters.Add(new LookupParameter<IRandom>(RandomParameterName, "The pseudo random number generator to use for initializing the hyperparameter vector."));
       // out
       Parameters.Add(new LookupParameter<RealVector>(HyperparameterParameterName, "The initial hyperparameter vector for the Gaussian process model."));
@@ -83 +88 @@
       int l = 1 + MeanFunction.GetNumberOfParameters(inputVariablesCount) +
               CovarianceFunction.GetNumberOfParameters(inputVariablesCount);
-      HyperparameterParameter.ActualValue = new RealVector(l);
+      var r = new RealVector(l);
+      var rand = RandomParameter.ActualValue;
+      for (int i = 0; i < r.Length; i++)
+        r[i] = rand.NextDouble() * 4 - 2;
+
+      HyperparameterParameter.ActualValue = r;
       return base.Apply();
     }

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/GaussianProcessRegression.cs

@@ -55 +55 @@
     private const string MinimizationIterationsParameterName = "Iterations";
     private const string ApproximateGradientsParameterName = "ApproximateGradients";
+    private const string SeedParameterName = "Seed";
+    private const string SetSeedRandomlyParameterName = "SetSeedRandomly";
 
     #region parameter properties
@@ -65 +67 @@
     public IValueParameter<IntValue> MinimizationIterationsParameter {
       get { return (IValueParameter<IntValue>)Parameters[MinimizationIterationsParameterName]; }
+    }
+    public IValueParameter<IntValue> SeedParameter {
+      get { return (IValueParameter<IntValue>)Parameters[SeedParameterName]; }
+    }
+    public IValueParameter<BoolValue> SetSeedRandomlyParameter {
+      get { return (IValueParameter<BoolValue>)Parameters[SetSeedRandomlyParameterName]; }
     }
     #endregion
@@ -80 +88 @@
       get { return MinimizationIterationsParameter.Value.Value; }
     }
+    public int Seed { get { return SeedParameter.Value.Value; } set { SeedParameter.Value.Value = value; } }
+    public bool SetSeedRandomly { get { return SetSeedRandomlyParameter.Value.Value; } set { SetSeedRandomlyParameter.Value.Value = value; } }
     #endregion
+
     [StorableConstructor]
     private GaussianProcessRegression(bool deserializing) : base(deserializing) { }
@@ -101 +112 @@
         new ItemSet<ICovarianceFunction>(covFunctions), covFunctions.First()));
       Parameters.Add(new ValueParameter<IntValue>(MinimizationIterationsParameterName, "The number of iterations for likelihood optimization with LM-BFGS.", new IntValue(20)));
+      Parameters.Add(new ValueParameter<IntValue>(SeedParameterName, "The random seed used to initialize the new pseudo random number generator.", new IntValue(0)));
+      Parameters.Add(new ValueParameter<BoolValue>(SetSeedRandomlyParameterName, "True if the random seed should be set to a random value, otherwise false.", new BoolValue(true)));
+
       Parameters.Add(new ValueParameter<BoolValue>(ApproximateGradientsParameterName, "Indicates that gradients should not be approximated (necessary for LM-BFGS).", new BoolValue(false)));
       Parameters[ApproximateGradientsParameterName].Hidden = true; // should not be changed
 
+      var randomCreator = new HeuristicLab.Random.RandomCreator();
       var gpInitializer = new GaussianProcessHyperparameterInitializer();
       var bfgsInitializer = new LbfgsInitializer();
@@ -115 +130 @@
       var solutionCreator = new GaussianProcessRegressionSolutionCreator();
 
-      OperatorGraph.InitialOperator = gpInitializer;
+      OperatorGraph.InitialOperator = randomCreator;
+      randomCreator.SeedParameter.ActualName = SeedParameterName;
+      randomCreator.SeedParameter.Value = null;
+      randomCreator.SetSeedRandomlyParameter.ActualName = SetSeedRandomlyParameterName;
+      randomCreator.SetSeedRandomlyParameter.Value = null;
+      randomCreator.Successor = gpInitializer;
 
       gpInitializer.CovarianceFunctionParameter.ActualName = CovarianceFunctionParameterName;
@@ -121 +141 @@
       gpInitializer.ProblemDataParameter.ActualName = Problem.ProblemDataParameter.Name;
       gpInitializer.HyperparameterParameter.ActualName = modelCreator.HyperparameterParameter.Name;
+      gpInitializer.RandomParameter.ActualName = randomCreator.RandomParameter.Name;
       gpInitializer.Successor = bfgsInitializer;
 

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/HeuristicLab.Algorithms.DataAnalysis-3.4.csproj

@@ -304 +304 @@
       <Private>False</Private>
     </ProjectReference>
+    <ProjectReference Include="..\..\HeuristicLab.Random\3.3\HeuristicLab.Random-3.3.csproj">
+      <Project>{F4539FB6-4708-40C9-BE64-0A1390AEA197}</Project>
+      <Name>HeuristicLab.Random-3.3</Name>
+      <Private>False</Private>
+    </ProjectReference>
   </ItemGroup>
   <ItemGroup>

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/Plugin.cs.frame

@@ -47 +47 @@
   [PluginDependency("HeuristicLab.Problems.DataAnalysis.Symbolic.Regression", "3.4")]
   [PluginDependency("HeuristicLab.LibSVM", "1.6.3")]
+  [PluginDependency("HeuristicLab.Random", "3.3")]
   public class HeuristicLabAlgorithmsDataAnalysisPlugin : PluginBase {
   }