Opened 3 years ago

Last modified 18 months ago

#2722 assigned feature request

Evaluator for symbolic regression models for learning a variance model

Reported by: gkronber Owned by: gkronber
Priority: low Milestone: HeuristicLab 4.x Backlog
Component: Problems.DataAnalysis.Symbolic.Regression Version:
Keywords: Cc:

Description


Change History (12)

comment:1 Changed 3 years ago by gkronber

  • Status changed from new to accepted

comment:2 Changed 3 years ago by gkronber

r14528: added an evaluator for symbolic regression models which calculates the likelihood that variable values are sampled from a zero mean Gaussian distribution where the variance is given by the model. This can be used to learn input-dependent variances.

comment:3 Changed 2 years ago by gkronber

  • Owner changed from gkronber to mkommend
  • Status changed from accepted to reviewing

comment:4 Changed 2 years ago by gkronber

Linear scaling needs to be turned off.

comment:5 Changed 2 years ago by gkronber

The objective is to maximize the following log likelihood that the observed residuals stem from a zero-mean normal distribution with std. dev. s = f(x).

      var l2pi = Math.Log(2.0 * Math.PI);
      var ll = -0.5 *
               boundedEstimatedValues.Zip(targetValues, (s, t) =>
                 +l2pi
                 + Math.Log(s * s)
                 + (t * t) / (s * s)
                 ).Sum();

      return ll;

This is problematic as the sign of s has no effect on the result (same for the sign of t). It would probably be better to model the variance s2 directly. However, in this case negative values for s2 are not possible and must be prevented. On option would be to produce a model for log(s2) instead.

comment:6 Changed 2 years ago by gkronber

  • Owner changed from mkommend to gkronber
  • Status changed from reviewing to assigned

comment:7 Changed 2 years ago by gkronber

  • Milestone changed from HeuristicLab 3.3.15 to HeuristicLab 3.3.x Backlog
  • Status changed from assigned to accepted

comment:8 Changed 2 years ago by gkronber

  • Milestone changed from HeuristicLab 3.3.x Backlog to HeuristicLab 3.3.15
  • Status changed from accepted to reviewing

Should either be released or removed from trunk

comment:9 Changed 2 years ago by gkronber

r15198: removed evaluator for learning of variance models from the trunk to prepare for release

comment:10 Changed 2 years ago by gkronber

r15199: added merge info for r14528 and r15198 to stable to align with trunk

comment:11 Changed 2 years ago by gkronber

  • Milestone changed from HeuristicLab 3.3.15 to HeuristicLab 3.3.x Backlog
  • Status changed from reviewing to assigned

comment:12 Changed 18 months ago by gkronber

  • Milestone changed from HeuristicLab 3.3.x Backlog to HeuristicLab 4.x Backlog
  • Priority changed from medium to low
  • Version 3.3.14 deleted
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