Changeset 8473 for trunk/sources/HeuristicLab.Tests/HeuristicLab.Algorithms.DataAnalysis-3.4/GaussianProcessFunctionsTest.cs

Timestamp:

08/10/12 20:42:30 (12 years ago)

Author:

gkronber

Message:

#1902 worked on GPR: added line chart, made parameters of mean and covariance functions readable, removed target variable scaling, moved noise hyperparameter for likelihood function to the end of the parameter list, added methods to calculate the predicted variance, removed limits for scale of covariance functions and introduced exception handling to catch non-spd or singular cov matrixes, implemented rational quadratic covariance function, added unit test case from GBML book (however it does not work as the book seemingly uses a noise-less likelihood function)

File:

• trunk/sources/HeuristicLab.Tests/HeuristicLab.Algorithms.DataAnalysis-3.4/GaussianProcessFunctionsTest.cs (modified) (6 diffs)

trunk/sources/HeuristicLab.Tests/HeuristicLab.Algorithms.DataAnalysis-3.4/GaussianProcessFunctionsTest.cs

@@ -254 +254 @@
     }
 
+    [TestMethod]
+    public void CovRQIsoTest() {
+      TestCovarianceFunction(new CovarianceRQiso(), 0,
+        new double[,]
+          {
+{    0.6452,    0.6190,    0.8662,    0.6338,    0.7802,    0.5893,    0.7102,    0.7753,    0.7037,    0.8331},
+{    0.6771,    0.7392,    0.7442,    0.6630,    0.7603,    0.6144,    0.7145,    0.8346,    0.7492,    0.8200},
+{    0.7963,    0.7777,    0.8574,    0.7266,    0.6362,    0.8060,    0.8519,    0.7084,    0.7810,    0.8459},
+{    0.7988,    0.6268,    0.8004,    0.7500,    0.5583,    0.6524,    0.8968,    0.8864,    0.8739,    0.8382},
+{    0.8902,    0.6571,    0.7919,    0.9030,    0.5304,    0.5727,    0.8079,    0.9232,    0.9117,    0.8733},
+{    0.8819,    0.7639,    0.7387,    0.8449,    0.5785,    0.6563,    0.8783,    0.9519,    0.9535,    0.8742},
+{    0.6716,    0.7814,    0.7590,    0.6437,    0.8797,    0.6366,    0.7012,    0.6810,    0.7090,    0.8339},
+{    0.6702,    0.6823,    0.8268,    0.6250,    0.7456,    0.6782,    0.7331,    0.6205,    0.6786,    0.8033},
+{    0.6910,    0.7332,    0.8750,    0.6697,    0.8119,    0.6608,    0.7235,    0.7261,    0.7142,    0.8595},
+{    0.6467,    0.7493,    0.6821,    0.6133,    0.6857,    0.6692,    0.7265,    0.8252,    0.7259,    0.7506},
+          },
+        new double[][,]
+          {
+            new double[,] {
+{    0.4578,    0.4717,    0.2318,    0.4642,    0.3430,    0.4841,    0.4117,    0.3485,    0.4170,    0.2781},
+{    0.4373,    0.3856,    0.3808,    0.4468,    0.3645,    0.4738,    0.4080,    0.2761,    0.3758,    0.2952},
+{    0.3244,    0.3458,    0.2445,    0.3973,    0.4629,    0.3127,    0.2524,    0.4132,    0.3421,    0.2607},
+{    0.3214,    0.4679,    0.3195,    0.3750,    0.4932,    0.4535,    0.1851,    0.2015,    0.2204,    0.2712},
+{    0.1955,    0.4507,    0.3295,    0.1752,    0.4981,    0.4894,    0.3104,    0.1418,    0.1610,    0.2213},
+{    0.2084,    0.3607,    0.3861,    0.2621,    0.4877,    0.4512,    0.2138,    0.0915,    0.0887,    0.2199},
+{    0.4411,    0.3416,    0.3658,    0.4587,    0.2116,    0.4627,    0.4191,    0.4345,    0.4127,    0.2770},
+{    0.4421,    0.4335,    0.2864,    0.4687,    0.3793,    0.4365,    0.3913,    0.4710,    0.4362,    0.3160},
+{    0.4270,    0.3912,    0.2187,    0.4424,    0.3054,    0.4483,    0.4001,    0.3977,    0.4082,    0.2415},
+{    0.4570,    0.3757,    0.4337,    0.4743,    0.4310,    0.4427,    0.3974,    0.2885,    0.3980,    0.3744},
+            },
+            new double[,] {
+{    1.2905,    1.2380,    1.7324,    1.2677,    1.5604,    1.1785,    1.4203,    1.5505,    1.4074,    1.6661},
+{    1.3541,    1.4784,    1.4883,    1.3260,    1.5205,    1.2287,    1.4290,    1.6691,    1.4983,    1.6400},
+{    1.5926,    1.5553,    1.7148,    1.4532,    1.2723,    1.6120,    1.7037,    1.4168,    1.5620,    1.6918},
+{    1.5976,    1.2535,    1.6008,    1.5000,    1.1166,    1.3049,    1.7936,    1.7727,    1.7478,    1.6765},
+{    1.7803,    1.3141,    1.5839,    1.8060,    1.0609,    1.1453,    1.6157,    1.8464,    1.8234,    1.7466},
+{    1.7637,    1.5278,    1.4774,    1.6898,    1.1570,    1.3125,    1.7566,    1.9039,    1.9070,    1.7485},
+{    1.3433,    1.5628,    1.5180,    1.2873,    1.7594,    1.2733,    1.4024,    1.3619,    1.4179,    1.6679},
+{    1.3404,    1.3646,    1.6537,    1.2501,    1.4913,    1.3564,    1.4662,    1.2410,    1.3572,    1.6066},
+{    1.3820,    1.4665,    1.7501,    1.3395,    1.6239,    1.3216,    1.4470,    1.4522,    1.4285,    1.7190},
+{    1.2934,    1.4986,    1.3642,    1.2267,    1.3714,    1.3384,    1.4531,    1.6503,    1.4517,    1.5012},
+          },
+                      new double[,] {
+{   -0.0538,   -0.0611,   -0.0085,   -0.0569,   -0.0222,   -0.0696,   -0.0372,   -0.0231,   -0.0388,   -0.0131},
+{   -0.0454,   -0.0306,   -0.0295,   -0.0490,   -0.0261,   -0.0624,   -0.0362,   -0.0129,   -0.0284,   -0.0151},
+{   -0.0192,   -0.0226,   -0.0096,   -0.0334,   -0.0563,   -0.0175,   -0.0104,   -0.0377,   -0.0220,   -0.0112},
+{   -0.0187,   -0.0589,   -0.0184,   -0.0283,   -0.0788,   -0.0519,   -0.0051,   -0.0062,   -0.0076,   -0.0123},
+{   -0.0058,   -0.0506,   -0.0200,   -0.0045,   -0.0873,   -0.0745,   -0.0171,   -0.0029,   -0.0038,   -0.0077},
+{   -0.0067,   -0.0254,   -0.0307,   -0.0114,   -0.0728,   -0.0508,   -0.0071,   -0.0011,   -0.0011,   -0.0076},
+{   -0.0468,   -0.0219,   -0.0264,   -0.0542,   -0.0069,   -0.0561,   -0.0394,   -0.0444,   -0.0375,   -0.0130},
+{   -0.0472,   -0.0441,   -0.0140,   -0.0594,   -0.0292,   -0.0451,   -0.0319,   -0.0606,   -0.0450,   -0.0179},
+{   -0.0419,   -0.0319,   -0.0075,   -0.0473,   -0.0165,   -0.0496,   -0.0341,   -0.0335,   -0.0363,   -0.0094},
+{   -0.0534,   -0.0284,   -0.0441,   -0.0627,   -0.0432,   -0.0474,   -0.0334,   -0.0143,   -0.0336,   -0.0281},
+          }
+          }
+      );
+      TestCovarianceFunction(new CovarianceRQiso(), 1,
+         new double[,]
+           {
+{    6.8660,    6.8070,    7.2367,    6.8409,    7.1145,    6.7347,    6.9959,    7.1068,    6.9839,    7.1923},
+{    6.9324,    7.0474,    7.0559,    6.9038,    7.0827,    6.7961,    7.0038,    7.1944,    7.0644,    7.1739},
+{    7.1392,    7.1106,    7.2253,    7.0255,    6.8461,    7.1536,    7.2179,    6.9926,    7.1158,    7.2099},
+{    7.1429,    6.8249,    7.1453,    7.0658,    6.6525,    6.8816,    7.2752,    7.2623,    7.2467,    7.1995},
+{    7.2671,    6.8913,    7.1326,    7.2827,    6.5716,    6.6915,    7.1564,    7.3065,    7.2931,    7.2459},
+{    7.2567,    7.0886,    7.0466,    7.2086,    6.7069,    6.8897,    7.2522,    7.3388,    7.3405,    7.2471},
+{    6.9215,    7.1164,    7.0807,    6.8626,    7.2540,    6.8471,    6.9792,    6.9401,    6.9937,    7.1935},
+{    6.9185,    6.9428,    7.1836,    6.8210,    7.0584,    6.9346,    7.0369,    6.8105,    6.9354,    7.1496},
+{    6.9598,    7.0372,    7.2481,    6.9176,    7.1623,    6.8992,    7.0200,    7.0247,    7.0033,    7.2280},
+{    6.8692,    7.0646,    6.9424,    6.7937,    6.9495,    6.9165,    7.0254,    7.1813,    7.0242,    7.0668},
+           },
+         new double[][,]
+          {
+            new double[,] {
+{    0.9946,    1.1004,    0.3003,    1.0398,    0.5350,    1.2280,    0.7575,    0.5497,    0.7796,    0.3863},
+{    0.8743,    0.6614,    0.6455,    0.9263,    0.5952,    1.1197,    0.7428,    0.3823,    0.6297,    0.4217},
+{    0.4881,    0.5425,    0.3225,    0.7023,    1.0304,    0.4606,    0.3369,    0.7635,    0.5326,    0.3523},
+{    0.4810,    1.0684,    0.4764,    0.6270,    1.3705,    0.9666,    0.2253,    0.2504,    0.2810,    0.3725},
+{    0.2412,    0.9489,    0.5007,    0.2106,    1.5081,    1.3031,    0.4553,    0.1639,    0.1902,    0.2825},
+{    0.2614,    0.5840,    0.6630,    0.3549,    1.2764,    0.9519,    0.2702,    0.1000,    0.0967,    0.2802},
+{    0.8941,    0.5314,    0.5990,    1.0007,    0.2666,    1.0286,    0.7883,    0.8600,    0.7615,    0.3839},
+{    0.8995,    0.8552,    0.4030,    1.0754,    0.6409,    0.8701,    0.6811,    1.0941,    0.8687,    0.4682},
+{    0.8240,    0.6807,    0.2782,    0.9012,    0.4439,    0.9346,    0.7126,    0.7040,    0.7436,    0.3172},
+{    0.9889,    0.6293,    0.8560,    1.1240,    0.8429,    0.9031,    0.7025,    0.4076,    0.7048,    0.6252},
+            },
+            new double[,] {
+{   13.7321,   13.6139,   14.4735,   13.6818,   14.2291,   13.4693,   13.9917,   14.2135,   13.9678,   14.3846},
+{   13.8647,   14.0949,   14.1118,   13.8076,   14.1654,   13.5922,   14.0076,   14.3888,   14.1287,   14.3478},
+{   14.2784,   14.2211,   14.4506,   14.0511,   13.6922,   14.3072,   14.4358,   13.9852,   14.2316,   14.4199},
+{   14.2859,   13.6498,   14.2906,   14.1315,   13.3049,   13.7631,   14.5504,   14.5247,   14.4933,   14.3990},
+{   14.5341,   13.7827,   14.2652,   14.5654,   13.1433,   13.3830,   14.3128,   14.6130,   14.5862,   14.4918},
+{   14.5134,   14.1773,   14.0932,   14.4172,   13.4138,   13.7793,   14.5045,   14.6776,   14.6810,   14.4942},
+{   13.8429,   14.2328,   14.1613,   13.7253,   14.5081,   13.6943,   13.9583,   13.8803,   13.9873,   14.3871},
+{   13.8370,   13.8855,   14.3672,   13.6420,   14.1168,   13.8693,   14.0738,   13.6210,   13.8709,   14.2993},
+{   13.9195,   14.0743,   14.4962,   13.8352,   14.3246,   13.7985,   14.0400,   14.0493,   14.0067,   14.4561},
+{   13.7384,   14.1291,   13.8847,   13.5873,   13.8990,   13.8331,   14.0508,   14.3625,   14.0484,   14.1335},
+            },
+            new double[,] {
+{   -0.0067,   -0.0083,   -0.0006,   -0.0074,   -0.0019,   -0.0105,   -0.0038,   -0.0020,   -0.0041,   -0.0010},
+{   -0.0051,   -0.0029,   -0.0027,   -0.0058,   -0.0023,   -0.0087,   -0.0037,   -0.0009,   -0.0026,   -0.0011},
+{   -0.0015,   -0.0019,   -0.0007,   -0.0033,   -0.0073,   -0.0014,   -0.0007,   -0.0039,   -0.0019,   -0.0008},
+{   -0.0015,   -0.0078,   -0.0015,   -0.0026,   -0.0133,   -0.0064,   -0.0003,   -0.0004,   -0.0005,   -0.0009},
+{   -0.0004,   -0.0061,   -0.0016,   -0.0003,   -0.0164,   -0.0120,   -0.0013,   -0.0002,   -0.0002,   -0.0005},
+{   -0.0004,   -0.0022,   -0.0029,   -0.0008,   -0.0114,   -0.0062,   -0.0005,   -0.0001,   -0.0001,   -0.0005},
+{   -0.0054,   -0.0018,   -0.0024,   -0.0068,   -0.0005,   -0.0072,   -0.0042,   -0.0050,   -0.0039,   -0.0009},
+{   -0.0055,   -0.0049,   -0.0010,   -0.0080,   -0.0027,   -0.0051,   -0.0031,   -0.0082,   -0.0051,   -0.0014},
+{   -0.0046,   -0.0031,   -0.0005,   -0.0055,   -0.0013,   -0.0059,   -0.0034,   -0.0033,   -0.0037,   -0.0006},
+{   -0.0067,   -0.0026,   -0.0049,   -0.0087,   -0.0048,   -0.0055,   -0.0033,   -0.0011,   -0.0033,   -0.0026},                             
+                           }
+          }
+       );
+    }
+
 
     [TestMethod]
@@ -335 +447 @@
               },
           }
-      );
+      , 5e-3);
       TestCovarianceFunction(new CovariancePeriodic(), 1,
         new double[,]
@@ -393 +505 @@
               },
           }
-      );
+      , 5e-3);
     }
 
@@ -781 +893 @@
               },
           }
-      );
-    }
-
-
-    private void TestCovarianceFunction(ICovarianceFunction cf, double hypValue, double[,] expectedCov, double[][,] expectedGradients) {
+      , 5e-3);
+    }
+
+
+    private void TestCovarianceFunction(ICovarianceFunction cf, double hypValue, double[,] expectedCov, double[][,] expectedGradients, double delta = 1E-3) {
       var x = GetData();
       var xt = GetDataTest();
@@ -801 +913 @@
           actualCov[i, j] = cf.GetCovariance(i, j);
 
-      AssertEqual(expectedCov, actualCov);
+      AssertEqual(expectedCov, actualCov, delta);
 
       for (int i = 0; i < rows0; i++)
         for (int j = 0; j < rows1; j++) {
           for (int k = 0; k < nHyp; k++)
-            Assert.AreEqual(expectedGradients[k][i, j], cf.GetGradient(i, j, k), 5E-3);
+            Assert.AreEqual(expectedGradients[k][i, j], cf.GetGradient(i, j, k), delta);
         }
     }
@@ -836 +948 @@
         Assert.AreEqual(expected[i], actual[i], 1E-3);
     }
-    private void AssertEqual(double[,] expected, double[,] actual) {
+    private void AssertEqual(double[,] expected, double[,] actual, double delta = 5e-3) {
       Assert.AreEqual(expected.Length, actual.Length);
       for (int i = 0; i < expected.GetLength(0); i++)
         for (int j = 0; j < expected.GetLength(1); j++)
-          Assert.AreEqual(expected[i, j], actual[i, j], 5E-3);
+          Assert.AreEqual(expected[i, j], actual[i, j], delta);
     }