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The Waikato Environment for Knowledge Analysis (WEKA), a machine
learning workbench. This version represents the developer version, the
"bleeding edge" of development, you could say. New functionality gets added
to this version.
/*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see .
*/
/*
* GaussianProcesses.java
* Copyright (C) 2005-2012,2015 University of Waikato
*/
package weka.classifiers.functions;
import weka.classifiers.ConditionalDensityEstimator;
import weka.classifiers.IntervalEstimator;
import weka.classifiers.RandomizableClassifier;
import weka.classifiers.functions.supportVector.CachedKernel;
import weka.classifiers.functions.supportVector.Kernel;
import weka.classifiers.functions.supportVector.PolyKernel;
import weka.core.Capabilities;
import weka.core.Capabilities.Capability;
import weka.core.Instance;
import weka.core.Instances;
import weka.core.Option;
import weka.core.OptionHandler;
import weka.core.SelectedTag;
import weka.core.Statistics;
import weka.core.Tag;
import weka.core.TechnicalInformation;
import weka.core.TechnicalInformation.Field;
import weka.core.TechnicalInformation.Type;
import weka.core.TechnicalInformationHandler;
import weka.core.Utils;
import weka.core.WeightedInstancesHandler;
import weka.filters.Filter;
import weka.filters.unsupervised.attribute.NominalToBinary;
import weka.filters.unsupervised.attribute.Normalize;
import weka.filters.unsupervised.attribute.ReplaceMissingValues;
import weka.filters.unsupervised.attribute.Standardize;
import no.uib.cipr.matrix.*;
import no.uib.cipr.matrix.Matrix;
import java.util.Collections;
import java.util.Enumeration;
/**
*
* * Implements Gaussian processes for regression without hyperparameter-tuning. To make choosing an appropriate noise level easier, this implementation applies normalization/standardization to the target attribute as well as the other attributes (if normalization/standardizaton is turned on). Missing values are replaced by the global mean/mode. Nominal attributes are converted to binary ones. Note that kernel caching is turned off if the kernel used implements CachedKernel.
* *
*
*
*
* * BibTeX:
* *
* * @misc{Mackay1998,
* * address = {Dept. of Physics, Cambridge University, UK},
* * author = {David J.C. Mackay},
* * title = {Introduction to Gaussian Processes},
* * year = {1998},
* * PS = {http://wol.ra.phy.cam.ac.uk/mackay/gpB.ps.gz}
* * }
* *
* *
*
*
*
* * Valid options are:
* *
* *
-L <double>
* * Level of Gaussian Noise wrt transformed target. (default 1)
* *
* * -N
* * Whether to 0=normalize/1=standardize/2=neither. (default 0=normalize)
* *
* * -K <classname and parameters>
* * The Kernel to use.
* * (default: weka.classifiers.functions.supportVector.PolyKernel)
* *
* * -S <num>
* * Random number seed.
* * (default 1)
* *
* * -output-debug-info
* * If set, classifier is run in debug mode and
* * may output additional info to the console
* *
* * -do-not-check-capabilities
* * If set, classifier capabilities are not checked before classifier is built
* * (use with caution).
* *
* * -num-decimal-places
* * The number of decimal places for the output of numbers in the model (default 2).
* *
* *
* * Options specific to kernel weka.classifiers.functions.supportVector.PolyKernel:
* *
* *
* * -E <num>
* * The Exponent to use.
* * (default: 1.0)
* *
* * -L
* * Use lower-order terms.
* * (default: no)
* *
* * -C <num>
* * The size of the cache (a prime number), 0 for full cache and
* * -1 to turn it off.
* * (default: 250007)
* *
* * -output-debug-info
* * Enables debugging output (if available) to be printed.
* * (default: off)
* *
* * -no-checks
* * Turns off all checks - use with caution!
* * (default: checks on)
* *
*
*
* @author Kurt Driessens ([email protected])
* @author Remco Bouckaert ([email protected])
* @author Eibe Frank, University of Waikato
* @version $Revision: 12745 $
*/
public class GaussianProcesses extends RandomizableClassifier implements
IntervalEstimator, ConditionalDensityEstimator,
TechnicalInformationHandler, WeightedInstancesHandler {
/** for serialization */
static final long serialVersionUID = -8620066949967678545L;
/** The filter used to make attributes numeric. */
protected NominalToBinary m_NominalToBinary;
/** normalizes the data */
public static final int FILTER_NORMALIZE = 0;
/** standardizes the data */
public static final int FILTER_STANDARDIZE = 1;
/** no filter */
public static final int FILTER_NONE = 2;
/** The filter to apply to the training data */
public static final Tag[] TAGS_FILTER = {
new Tag(FILTER_NORMALIZE, "Normalize training data"),
new Tag(FILTER_STANDARDIZE, "Standardize training data"),
new Tag(FILTER_NONE, "No normalization/standardization"), };
/** The filter used to standardize/normalize all values. */
protected Filter m_Filter = null;
/** Whether to normalize/standardize/neither */
protected int m_filterType = FILTER_NORMALIZE;
/** The filter used to get rid of missing values. */
protected ReplaceMissingValues m_Missing;
/**
* Turn off all checks and conversions? Turning them off assumes that data is
* purely numeric, doesn't contain any missing values, and has a numeric
* class.
*/
protected boolean m_checksTurnedOff = false;
/** Gaussian Noise Value. */
protected double m_delta = 1;
/** The squared noise value. */
protected double m_deltaSquared = 1;
/**
* The parameters of the linear transformation realized by the filter on the
* class attribute
*/
protected double m_Alin;
protected double m_Blin;
/** Template of kernel to use */
protected Kernel m_kernel = new PolyKernel();
/** Actual kernel object to use */
protected Kernel m_actualKernel;
/** The number of training instances */
protected int m_NumTrain = 0;
/** The training data. */
protected double m_avg_target;
/** (negative) covariance matrix in symmetric matrix representation **/
public Matrix m_L;
/** The vector of target values. */
protected Vector m_t;
/** The weight of the training instances. */
protected double[] m_weights;
/**
* Returns a string describing classifier
*
* @return a description suitable for displaying in the explorer/experimenter
* gui
*/
public String globalInfo() {
return " Implements Gaussian processes for "
+ "regression without hyperparameter-tuning. To make choosing an "
+ "appropriate noise level easier, this implementation applies "
+ "normalization/standardization to the target attribute as well "
+ "as the other attributes (if "
+ " normalization/standardizaton is turned on). Missing values "
+ "are replaced by the global mean/mode. Nominal attributes are "
+ "converted to binary ones. Note that kernel caching is turned off "
+ "if the kernel used implements CachedKernel.";
}
/**
* Returns an instance of a TechnicalInformation object, containing detailed
* information about the technical background of this class, e.g., paper
* reference or book this class is based on.
*
* @return the technical information about this class
*/
@Override
public TechnicalInformation getTechnicalInformation() {
TechnicalInformation result;
result = new TechnicalInformation(Type.MISC);
result.setValue(Field.AUTHOR, "David J.C. Mackay");
result.setValue(Field.YEAR, "1998");
result.setValue(Field.TITLE, "Introduction to Gaussian Processes");
result
.setValue(Field.ADDRESS, "Dept. of Physics, Cambridge University, UK");
result.setValue(Field.PS, "http://wol.ra.phy.cam.ac.uk/mackay/gpB.ps.gz");
return result;
}
/**
* Returns default capabilities of the classifier.
*
* @return the capabilities of this classifier
*/
@Override
public Capabilities getCapabilities() {
Capabilities result = getKernel().getCapabilities();
result.setOwner(this);
// attribute
result.enableAllAttributeDependencies();
// with NominalToBinary we can also handle nominal attributes, but only
// if the kernel can handle numeric attributes
if (result.handles(Capability.NUMERIC_ATTRIBUTES)) {
result.enable(Capability.NOMINAL_ATTRIBUTES);
}
result.enable(Capability.MISSING_VALUES);
// class
result.disableAllClasses();
result.disableAllClassDependencies();
result.disable(Capability.NO_CLASS);
result.enable(Capability.NUMERIC_CLASS);
result.enable(Capability.DATE_CLASS);
result.enable(Capability.MISSING_CLASS_VALUES);
return result;
}
/**
* Method for building the classifier.
*
* @param insts the set of training instances
* @throws Exception if the classifier can't be built successfully
*/
@Override
public void buildClassifier(Instances insts) throws Exception {
// check the set of training instances
if (!m_checksTurnedOff) {
// can classifier handle the data?
getCapabilities().testWithFail(insts);
// remove instances with missing class
insts = new Instances(insts);
insts.deleteWithMissingClass();
m_Missing = new ReplaceMissingValues();
m_Missing.setInputFormat(insts);
insts = Filter.useFilter(insts, m_Missing);
} else {
m_Missing = null;
}
if (getCapabilities().handles(Capability.NUMERIC_ATTRIBUTES)) {
boolean onlyNumeric = true;
if (!m_checksTurnedOff) {
for (int i = 0; i < insts.numAttributes(); i++) {
if (i != insts.classIndex()) {
if (!insts.attribute(i).isNumeric()) {
onlyNumeric = false;
break;
}
}
}
}
if (!onlyNumeric) {
m_NominalToBinary = new NominalToBinary();
m_NominalToBinary.setInputFormat(insts);
insts = Filter.useFilter(insts, m_NominalToBinary);
} else {
m_NominalToBinary = null;
}
} else {
m_NominalToBinary = null;
}
if (m_filterType == FILTER_STANDARDIZE) {
m_Filter = new Standardize();
((Standardize) m_Filter).setIgnoreClass(true);
m_Filter.setInputFormat(insts);
insts = Filter.useFilter(insts, m_Filter);
} else if (m_filterType == FILTER_NORMALIZE) {
m_Filter = new Normalize();
((Normalize) m_Filter).setIgnoreClass(true);
m_Filter.setInputFormat(insts);
insts = Filter.useFilter(insts, m_Filter);
} else {
m_Filter = null;
}
m_NumTrain = insts.numInstances();
// determine which linear transformation has been
// applied to the class by the filter
if (m_Filter != null) {
Instance witness = (Instance) insts.instance(0).copy();
witness.setValue(insts.classIndex(), 0);
m_Filter.input(witness);
m_Filter.batchFinished();
Instance res = m_Filter.output();
m_Blin = res.value(insts.classIndex());
witness.setValue(insts.classIndex(), 1);
m_Filter.input(witness);
m_Filter.batchFinished();
res = m_Filter.output();
m_Alin = res.value(insts.classIndex()) - m_Blin;
} else {
m_Alin = 1.0;
m_Blin = 0.0;
}
// Initialize kernel
m_actualKernel = Kernel.makeCopy(m_kernel);
if (m_kernel instanceof CachedKernel) {
((CachedKernel)m_actualKernel).setCacheSize(-1); // We don't need a cache at all
}
m_actualKernel.buildKernel(insts);
// Compute average target value
double sum = 0.0;
for (int i = 0; i < insts.numInstances(); i++) {
sum += insts.instance(i).weight() * insts.instance(i).classValue();
}
m_avg_target = sum / insts.sumOfWeights();
// Store squared noise level
m_deltaSquared = m_delta * m_delta;
// Store square roots of instance m_weights
m_weights = new double[insts.numInstances()];
for (int i = 0; i < insts.numInstances(); i++) {
m_weights[i] = Math.sqrt(insts.instance(i).weight());
}
// initialize kernel matrix/covariance matrix
int n = insts.numInstances();
m_L = new UpperSPDDenseMatrix(n);
for (int i = 0; i < n; i++) {
for (int j = i + 1; j < n; j++) {
m_L.set(i, j, m_weights[i] * m_weights[j] * m_actualKernel.eval(i, j, insts.instance(i)));
}
m_L.set(i, i, m_weights[i] * m_weights[i] * m_actualKernel.eval(i, i, insts.instance(i)) + m_deltaSquared);
}
// Compute inverse of kernel matrix
m_L = new DenseCholesky(n, true).factor((UpperSPDDenseMatrix)m_L).solve(Matrices.identity(n));
m_L = new UpperSPDDenseMatrix(m_L); // Convert from DenseMatrix
// Compute t
Vector tt = new DenseVector(n);
for (int i = 0; i < n; i++) {
tt.set(i, m_weights[i] * (insts.instance(i).classValue() - m_avg_target));
}
m_t = m_L.mult(tt, new DenseVector(insts.numInstances()));
} // buildClassifier
/**
* Classifies a given instance.
*
* @param inst the instance to be classified
* @return the classification
* @throws Exception if instance could not be classified successfully
*/
@Override
public double classifyInstance(Instance inst) throws Exception {
// Filter instance
inst = filterInstance(inst);
// Build K vector
Vector k = new DenseVector(m_NumTrain);
for (int i = 0; i < m_NumTrain; i++) {
k.set(i, m_weights[i] * m_actualKernel.eval(-1, i, inst));
}
double result = (k.dot(m_t) + m_avg_target - m_Blin) / m_Alin;
return result;
}
/**
* Filters an instance.
*/
protected Instance filterInstance(Instance inst) throws Exception {
if (!m_checksTurnedOff) {
m_Missing.input(inst);
m_Missing.batchFinished();
inst = m_Missing.output();
}
if (m_NominalToBinary != null) {
m_NominalToBinary.input(inst);
m_NominalToBinary.batchFinished();
inst = m_NominalToBinary.output();
}
if (m_Filter != null) {
m_Filter.input(inst);
m_Filter.batchFinished();
inst = m_Filter.output();
}
return inst;
}
/**
* Computes standard deviation for given instance, without transforming target
* back into original space.
*/
protected double computeStdDev(Instance inst, Vector k) throws Exception {
double kappa = m_actualKernel.eval(-1, -1, inst) + m_deltaSquared;
double s = m_L.mult(k, new DenseVector(k.size())).dot(k);
double sigma = m_delta;
if (kappa > s) {
sigma = Math.sqrt(kappa - s);
}
return sigma;
}
/**
* Computes a prediction interval for the given instance and confidence level.
*
* @param inst the instance to make the prediction for
* @param confidenceLevel the percentage of cases the interval should cover
* @return a 1*2 array that contains the boundaries of the interval
* @throws Exception if interval could not be estimated successfully
*/
@Override
public double[][] predictIntervals(Instance inst, double confidenceLevel)
throws Exception {
inst = filterInstance(inst);
// Build K vector (and Kappa)
Vector k = new DenseVector(m_NumTrain);
for (int i = 0; i < m_NumTrain; i++) {
k.set(i, m_weights[i] * m_actualKernel.eval(-1, i, inst));
}
double estimate = k.dot(m_t) + m_avg_target;
double sigma = computeStdDev(inst, k);
confidenceLevel = 1.0 - ((1.0 - confidenceLevel) / 2.0);
double z = Statistics.normalInverse(confidenceLevel);
double[][] interval = new double[1][2];
interval[0][0] = estimate - z * sigma;
interval[0][1] = estimate + z * sigma;
interval[0][0] = (interval[0][0] - m_Blin) / m_Alin;
interval[0][1] = (interval[0][1] - m_Blin) / m_Alin;
return interval;
}
/**
* Gives standard deviation of the prediction at the given instance.
*
* @param inst the instance to get the standard deviation for
* @return the standard deviation
* @throws Exception if computation fails
*/
public double getStandardDeviation(Instance inst) throws Exception {
inst = filterInstance(inst);
// Build K vector (and Kappa)
Vector k = new DenseVector(m_NumTrain);
for (int i = 0; i < m_NumTrain; i++) {
k.set(i, m_weights[i] * m_actualKernel.eval(-1, i, inst));
}
return computeStdDev(inst, k) / m_Alin;
}
/**
* Returns natural logarithm of density estimate for given value based on
* given instance.
*
* @param inst the instance to make the prediction for.
* @param value the value to make the prediction for.
* @return the natural logarithm of the density estimate
* @exception Exception if the density cannot be computed
*/
@Override
public double logDensity(Instance inst, double value) throws Exception {
inst = filterInstance(inst);
// Build K vector (and Kappa)
Vector k = new DenseVector(m_NumTrain);
for (int i = 0; i < m_NumTrain; i++) {
k.set(i, m_weights[i] * m_actualKernel.eval(-1, i, inst));
}
double estimate = k.dot(m_t) + m_avg_target;
double sigma = computeStdDev(inst, k);
// transform to GP space
value = value * m_Alin + m_Blin;
// center around estimate
value = value - estimate;
double z = -Math.log(sigma * Math.sqrt(2 * Math.PI)) - value * value
/ (2.0 * sigma * sigma);
return z + Math.log(m_Alin);
}
/**
* Returns an enumeration describing the available options.
*
* @return an enumeration of all the available options.
*/
@Override
public Enumeration
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