_fit(
FuncDelegate objective,
GradientDelegate gradient,
double[] start_params = null,
object fargs = null,
Dictionary <string, object> kwargs = null,
HessianDelegate hessian = null,
string method = "cg",
int maxiter = 100,
bool full_output = true,
bool disp = true,
alglib.ndimensional_rep callback = null,
bool retall = true)
{
// Default value is array of zeros
if (start_params == null)
{
var n = 10;
start_params = new double[n];
}
Dictionary <string, FitDelegate>
fit_funcs = new Dictionary <string, FitDelegate>
{
{ "bc", _fit_bc },
{ "bleic", _fit_bleic },
{ "cg", _fit_cg },
{ "comp", _fit_comp },
{ "lbfgs", _fit_lbfgs },
{ "lm", _fit_lm },
{ "nlc", _fit_nlc },
{ "ns", _fit_ns },
{ "qp", _fit_qp }
};
string[] _methods = { "bc", "bleic", "cg", "comp", "lbfgs", "lm", "nlc", "ns", "qp" };
List <string> methods = new List <string>(_methods);
_check_method(method, methods);
var func = fit_funcs[method];
var _output = func(objective, gradient, start_params, fargs, kwargs, disp, maxiter, callback, retall, full_output, hessian);
var xopt = _output.Item1;
var retvals = _output.Item2;
Dictionary <string, object>
optim_settings = new Dictionary <string, object>
{
{ "optimizer", method },
{ "start_params", start_params },
{ "maxiter", maxiter },
{ "full_output", full_output },
{ "disp", disp },
{ "fargs", fargs },
{ "callback", callback },
{ "retall", retall }
};
optim_settings = (Dictionary <string, object>)optim_settings.Concat(kwargs);
return(Tuple.Create(xopt, retvals, optim_settings));
}
_fit_qp(
FuncDelegate objective,
GradientDelegate gradient,
double[] start_params,
object fargs,
Dictionary <string, object> kwargs,
bool disp,
int maxiter,
alglib.ndimensional_rep callback,
bool retall,
bool full_output,
HessianDelegate hessian)
{
throw new NotImplementedException();
}
_fit_cg(
FuncDelegate objective,
GradientDelegate gradient,
double[] start_params,
object fargs,
Dictionary <string, object> kwargs,
bool disp,
int maxiter,
alglib.ndimensional_rep callback,
bool retall,
bool full_output,
HessianDelegate hessian)
{
var n = start_params.Length;
double[] x = new double[n];
double epsg = 0.0000000001;
double epsf = 0;
double epsx = 0;
alglib.mincgstate state;
alglib.mincgreport rep;
alglib.mincgcreate(start_params, out state);
alglib.mincgsetcond(state, epsg, epsf, epsx, maxiter);
var _grad = _get_alglib_grad(objective, gradient);
alglib.mincgoptimize(state, _grad, callback, null);
alglib.mincgresults(state, out x, out rep);
// parse cg report into key-value pairs
Dictionary <string, object> retvals = new Dictionary <string, object>();
retvals.Add("iterationscount", rep.iterationscount);
retvals.Add("nfev", rep.nfev);
retvals.Add("varidx", rep.varidx);
retvals.Add("terminationtype", rep.terminationtype);
return(Tuple.Create(x, retvals));
}
public static double OptimizeConstants(ISymbolicDataAnalysisExpressionTreeInterpreter interpreter,
ISymbolicExpressionTree tree, IRegressionProblemData problemData, IEnumerable <int> rows, bool applyLinearScaling,
int maxIterations, bool updateVariableWeights = true,
double lowerEstimationLimit = double.MinValue, double upperEstimationLimit = double.MaxValue,
bool updateConstantsInTree = true, Action <double[], double, object> iterationCallback = null, EvaluationsCounter counter = null)
{
// numeric constants in the tree become variables for constant opt
// variables in the tree become parameters (fixed values) for constant opt
// for each parameter (variable in the original tree) we store the
// variable name, variable value (for factor vars) and lag as a DataForVariable object.
// A dictionary is used to find parameters
double[] initialConstants;
var parameters = new List <TreeToAutoDiffTermConverter.DataForVariable>();
TreeToAutoDiffTermConverter.ParametricFunction func;
TreeToAutoDiffTermConverter.ParametricFunctionGradient func_grad;
if (!TreeToAutoDiffTermConverter.TryConvertToAutoDiff(tree, updateVariableWeights, applyLinearScaling, out parameters, out initialConstants, out func, out func_grad))
{
throw new NotSupportedException("Could not optimize constants of symbolic expression tree due to not supported symbols used in the tree.");
}
if (parameters.Count == 0)
{
return(0.0); // gkronber: constant expressions always have a R² of 0.0
}
var parameterEntries = parameters.ToArray(); // order of entries must be the same for x
//extract inital constants
double[] c;
if (applyLinearScaling)
{
c = new double[initialConstants.Length + 2];
c[0] = 0.0;
c[1] = 1.0;
Array.Copy(initialConstants, 0, c, 2, initialConstants.Length);
}
else
{
c = (double[])initialConstants.Clone();
}
double originalQuality = SymbolicRegressionSingleObjectivePearsonRSquaredEvaluator.Calculate(interpreter, tree, lowerEstimationLimit, upperEstimationLimit, problemData, rows, applyLinearScaling);
if (counter == null)
{
counter = new EvaluationsCounter();
}
var rowEvaluationsCounter = new EvaluationsCounter();
alglib.lsfitstate state;
alglib.lsfitreport rep;
int retVal;
IDataset ds = problemData.Dataset;
double[,] x = new double[rows.Count(), parameters.Count];
int row = 0;
foreach (var r in rows)
{
int col = 0;
foreach (var info in parameterEntries)
{
if (ds.VariableHasType <double>(info.variableName))
{
x[row, col] = ds.GetDoubleValue(info.variableName, r + info.lag);
}
else if (ds.VariableHasType <string>(info.variableName))
{
x[row, col] = ds.GetStringValue(info.variableName, r) == info.variableValue ? 1 : 0;
}
else
{
throw new InvalidProgramException("found a variable of unknown type");
}
col++;
}
row++;
}
double[] y = ds.GetDoubleValues(problemData.TargetVariable, rows).ToArray();
int n = x.GetLength(0);
int m = x.GetLength(1);
int k = c.Length;
alglib.ndimensional_pfunc function_cx_1_func = CreatePFunc(func);
alglib.ndimensional_pgrad function_cx_1_grad = CreatePGrad(func_grad);
alglib.ndimensional_rep xrep = (p, f, obj) => iterationCallback(p, f, obj);
try {
alglib.lsfitcreatefg(x, y, c, n, m, k, false, out state);
alglib.lsfitsetcond(state, 0.0, 0.0, maxIterations);
alglib.lsfitsetxrep(state, iterationCallback != null);
//alglib.lsfitsetgradientcheck(state, 0.001);
alglib.lsfitfit(state, function_cx_1_func, function_cx_1_grad, xrep, rowEvaluationsCounter);
alglib.lsfitresults(state, out retVal, out c, out rep);
} catch (ArithmeticException) {
return(originalQuality);
} catch (alglib.alglibexception) {
return(originalQuality);
}
counter.FunctionEvaluations += rowEvaluationsCounter.FunctionEvaluations / n;
counter.GradientEvaluations += rowEvaluationsCounter.GradientEvaluations / n;
//retVal == -7 => constant optimization failed due to wrong gradient
if (retVal != -7)
{
if (applyLinearScaling)
{
var tmp = new double[c.Length - 2];
Array.Copy(c, 2, tmp, 0, tmp.Length);
UpdateConstants(tree, tmp, updateVariableWeights);
}
else
{
UpdateConstants(tree, c, updateVariableWeights);
}
}
var quality = SymbolicRegressionSingleObjectivePearsonRSquaredEvaluator.Calculate(interpreter, tree, lowerEstimationLimit, upperEstimationLimit, problemData, rows, applyLinearScaling);
if (!updateConstantsInTree)
{
UpdateConstants(tree, initialConstants, updateVariableWeights);
}
if (originalQuality - quality > 0.001 || double.IsNaN(quality))
{
UpdateConstants(tree, initialConstants, updateVariableWeights);
return(originalQuality);
}
return(quality);
}
