Opened 8 years ago
Last modified 7 years 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 8 years ago by gkronber
- Status changed from new to accepted
comment:2 Changed 8 years ago by gkronber
comment:3 Changed 8 years ago by gkronber
- Owner changed from gkronber to mkommend
- Status changed from accepted to reviewing
comment:4 Changed 8 years ago by gkronber
Linear scaling needs to be turned off.
comment:5 Changed 8 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 8 years ago by gkronber
- Owner changed from mkommend to gkronber
- Status changed from reviewing to assigned
comment:7 Changed 8 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 7 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 7 years ago by gkronber
r15198: removed evaluator for learning of variance models from the trunk to prepare for release
comment:10 Changed 7 years ago by gkronber
comment:11 Changed 7 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 7 years 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
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.