#2892 closed enhancement (done)
Prediction intervals for linear regression models
Reported by: | gkronber | Owned by: | abeham |
---|---|---|---|
Priority: | medium | Milestone: | HeuristicLab 3.3.16 |
Component: | Algorithms.DataAnalysis | Version: | trunk |
Keywords: | merged | Cc: |
Description
Change History (24)
comment:1 Changed 2 years ago by gkronber
- Owner set to gkronber
- Status changed from new to accepted
comment:2 Changed 2 years ago by gkronber
comment:3 Changed 2 years ago by gkronber
r15744: implemented a new class LinearRegressionModel that produces variances for predictions (IConfidenceRegressionModel). Changed LR to produce a ConfidenceRegressionSolution (old static method is kept but marked obsolete)
comment:4 Changed 2 years ago by gkronber
- Owner changed from gkronber to mkommend
- Status changed from accepted to reviewing
comment:5 Changed 16 months ago by gkronber
r16388: Merging r15750:16382 (HEAD) from trunk to branch, resolving conflicts
comment:6 Changed 16 months ago by gkronber
r16389: merged branch back to trunk
comment:7 Changed 16 months ago by gkronber
We could also change the ERC-view to produce LR models with confidence intervals. Right now it still produces 'traditional-style' LR models (represented as symbolic expression trees).
comment:8 Changed 16 months ago by gkronber
r16390: deleted branch after trunk reintegration
comment:9 Changed 16 months ago by gkronber
r16392: fixed failing unit test
comment:10 Changed 16 months ago by fholzing
Please note: A View for the Linear Regression Model is missing.
comment:11 Changed 16 months ago by mkommend
- Version changed from branch to trunk
comment:12 Changed 16 months ago by mkommend
r16415: Fixed used variables in LinearRegressionModel.
comment:13 Changed 16 months ago by mkommend
comment:14 Changed 16 months ago by mkommend
r16443: Changed variable impact unit tests to use new LR methods.
comment:15 Changed 16 months ago by gkronber
- Version changed from trunk to branch
r16448: changed LR to produce two solutions: symbolic representation and solution with prediction intervals.
It is not straight-forward to implement the model with prediction intervals as a symbolic regression model.
comment:16 Changed 16 months ago by gkronber
- Version changed from branch to trunk
Reverted unintended change to ticket.
comment:17 Changed 16 months ago by gkronber
r16449: added a view for LR models with prediction intervals
comment:18 follow-up: ↓ 20 Changed 9 months ago by abeham
- Owner changed from mkommend to abeham
- Status changed from reviewing to readytorelease
Reviewed r16389, r16415, r16448:16449
- trunk/HeuristicLab.Algorithms.DataAnalysis/3.4/Linear/LinearRegression.cs
- obsolete method uses allocation of double[] coefficients which is unnecessary as it will be assigned by alglib.lrunpack
The two-fold approach of having a solution with confidence and a generic one that can be simplified is not so nice. The comment mentions that There is no clean way to implement the new model class for LR as a symbolic model. Have you considered introducing subclasses LinearSymbolicRegressionModel and LinearSymbolicRegressionSolution that would calculate covariation matrix and confidence bounds by assuming the given tree represents a linear model and throwing exception in case the assumption is violated?
Another option to consider would be to create the symbolic model on the fly from the confidence-based one when "Simplify Model" or "Export to Excel" is hit.
Anyway, this can be performed at a later date.
comment:20 in reply to: ↑ 18 Changed 9 months ago by gkronber
Replying to abeham:
Have you considered introducing subclasses LinearSymbolicRegressionModel and LinearSymbolicRegressionSolution that would calculate covariation matrix and confidence bounds by assuming the given tree represents a linear model and throwing exception in case the assumption is violated?
Another option to consider would be to create the symbolic model on the fly from the confidence-based one when "Simplify Model" or "Export to Excel" is hit.
Anyway, this can be performed at a later date.
Probably, the first option is possible. We should create a new ticket for this.
comment:21 Changed 9 months ago by abeham
- Resolution set to done
- Status changed from readytorelease to closed
comment:22 Changed 8 months ago by gkronber
r16443 has not been merged to stable
r15743: created a branch