ErrorFunctions.cpp

//
// Created by martin on 7/15/18.
//

#include <vector>
#include <cmath>
#include <sstream>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/uniform_int_distribution.hpp>

#include "ErrorFunctions.h"
#include "exceptions.h"
#include "message.h"

namespace lib4neuro {

    size_t ErrorFunction::get_dimension() {
        return this->dimension;
    }

    NeuralNetwork* ErrorFunction::get_network_instance() {
        return this->net;
    }

    void ErrorFunction::divide_data_train_test(double percent_test) {
        size_t ds_size = this->ds->get_n_elements();

        /* Store the full data set */
        this->ds_full = this->ds;

        /* Choose random subset of the DataSet for training and the remaining part for validation */
        boost::random::mt19937 gen;
        boost::random::uniform_int_distribution<> dist(0,
                                                       ds_size - 1);

        size_t test_set_size = ceil(ds_size * percent_test);

        std::vector<unsigned int> test_indices;
        test_indices.reserve(test_set_size);
        for (unsigned int i = 0; i < test_set_size; i++) {
            test_indices.emplace_back(dist(gen));
        }
        std::sort(test_indices.begin(),
                  test_indices.end(),
                  std::greater<unsigned int>());

        std::vector<std::pair<std::vector<double>, std::vector<double>>> test_data, train_data;

        /* Copy all the data to train_data */
        for (auto e : *this->ds_full->get_data()) {
            train_data.emplace_back(e);
        }

        /* Move the testing data from train_data to test_data */
        for (auto ind : test_indices) {
            test_data.emplace_back(train_data.at(ind));
            train_data.erase(train_data.begin() + ind);
        }

        /* Re-initialize data set for training */
        this->ds = new DataSet(&train_data,
                               this->ds_full->get_normalization_strategy());

        /* Initialize test data */
        this->ds_test = new DataSet(&test_data,
                                    this->ds_full->get_normalization_strategy());
    }

    void ErrorFunction::return_full_data_set_for_training() {
        if (this->ds_test) {
            this->ds = this->ds_full;
        }
    }

    DataSet* ErrorFunction::get_dataset() {
        return this->ds;
    }

    DataSet* ErrorFunction::get_test_dataset() {
        return this->ds_test;
    }

    std::vector<double>* ErrorFunction::get_parameters() {
        std::vector<double>* output = new std::vector<double>(this->net->get_n_weights() + this->net->get_n_biases());

        size_t i = 0;

        for (auto el: *this->net->get_parameter_ptr_weights()) {
            output->at(i) = el;
            ++i;
        }

        for (auto el: *this->net->get_parameter_ptr_biases()) {
            output->at(i) = el;
            ++i;
        }

        return output;
    }

    MSE::MSE(NeuralNetwork* net,
             DataSet* ds) {
        this->net = net;
        this->ds = ds;
        this->dimension = net->get_n_weights() + net->get_n_biases();
    }

    double MSE::eval_on_single_input(std::vector<double>* input,
                                     std::vector<double>* output,
                                     std::vector<double>* weights) {
        std::vector<double> predicted_output(this->get_network_instance()->get_n_outputs());
        this->net->eval_single(*input, predicted_output, weights);
        double result = 0;
        double val;

        for(size_t i = 0; i < output->size(); i++) {
            val = output->at(i) - predicted_output.at(i);
            result += val*val;
        }

        return result;
    }

    double MSE::eval_on_data_set(lib4neuro::DataSet* data_set,
                                 std::ofstream* results_file_path,
                                 std::vector<double>* weights,
                                 bool denormalize_data,
                                 bool verbose) {
        size_t dim_in = data_set->get_input_dim();
        size_t dim_out = data_set->get_output_dim();
        double error = 0.0, val, output_norm = 0;

        std::vector<std::pair<std::vector<double>, std::vector<double>>>* data = data_set->get_data();
        size_t n_elements = data->size();

        //TODO instead use something smarter
        std::vector<std::vector<double>> outputs(data->size());
        std::vector<double> output(dim_out);

        if (verbose) {
            COUT_DEBUG("Evaluation of the error function MSE on the given data-set" << std::endl);
            COUT_DEBUG(R_ALIGN << "[Element index]" << " "
                               << R_ALIGN << "[Input]" << " "
                               << R_ALIGN << "[Real output]" << " "
                               << R_ALIGN << "[Predicted output]" << " "
                               << R_ALIGN << "[Absolute error]" << " "
                               << R_ALIGN << "[Relative error %]"
                               << std::endl);
        }

        if (results_file_path) {
            *results_file_path << R_ALIGN << "[Element index]" << " "
                               << R_ALIGN << "[Input]" << " "
                               << R_ALIGN << "[Real output]" << " "
                               << R_ALIGN << "[Predicted output]" << " "
                               << R_ALIGN << "[Abs. error]" << " "
                               << R_ALIGN << "[Rel. error %]"
                               << std::endl;
        }

        for (auto i = 0; i < data->size(); i++) {  // Iterate through every element in the test set
            /* Compute the net output and store it into 'output' variable */
            this->net->eval_single(data->at(i).first,
                                   output,
                                   weights);

            outputs.at(i) = output;
        }

        double denormalized_output;
        double denormalized_real_input;
        double denormalized_real_output;

//        bool denormalize_output = false;
//        if (denormalize_data) {
//            if(data_set->is_normalized()) {
//                data_set->de_normalize();
//            }
//            denormalize_output = true;
//        }

        for (auto i = 0; i < data->size(); i++) {

            /* Compute difference for every element of the output vector */
#ifdef L4N_DEBUG
            std::stringstream ss_input;
            std::string separator = "";
            for (auto j = 0; j < dim_in; j++) {
                if(denormalize_data) {
                    denormalized_real_input = data_set->get_normalization_strategy()->de_normalize(data->at(i).first.at(j));
                } else {
                    denormalized_real_input = data->at(i).first.at(j);
                }
                ss_input << separator << denormalized_real_input;
                separator = ",";
            }
            if(denormalize_data) {
                denormalized_real_input = data_set->get_normalization_strategy()->de_normalize(data->at(i).first.back());
            } else {
                denormalized_real_input = data->at(i).first.back();
            }

            std::stringstream ss_real_output;
            std::stringstream ss_predicted_output;
#endif

            double loc_error = 0;
            output_norm = 0;
            separator = "";
            for (size_t j = 0; j < dim_out; ++j) {
                if (denormalize_data) {
                    denormalized_real_output = data_set->get_normalization_strategy()->de_normalize(data->at(i).second.at(j));
                    denormalized_output = data_set->get_normalization_strategy()->de_normalize(outputs.at(i).at(j));
                } else {
                    denormalized_real_output = data->at(i).second.at(j);
                    denormalized_output = outputs.at(i).at(j);
                }

#ifdef L4N_DEBUG
                ss_real_output << separator << denormalized_real_output;
                ss_predicted_output << separator << denormalized_output;
                separator = ",";
#endif

                val = denormalized_output - denormalized_real_output;
                loc_error += val * val;
                error += loc_error;

                output_norm += denormalized_output * denormalized_output;
            }

#ifdef L4N_DEBUG
            std::stringstream ss_ind;
            ss_ind << "[" << i << "]";

            if (verbose) {
                COUT_DEBUG(R_ALIGN << ss_ind.str() << " "
                                   << R_ALIGN << ss_input.str() << " "
                                   << R_ALIGN << ss_real_output.str() << " "
                                   << R_ALIGN << ss_predicted_output.str() << " "
                                   << R_ALIGN << std::sqrt(loc_error) << " "
                                   << R_ALIGN
                                   << 200.0 * std::sqrt(loc_error) / (std::sqrt(loc_error) + std::sqrt(output_norm))
                                   << std::endl);
            }

            if (results_file_path) {
                *results_file_path << R_ALIGN << ss_ind.str() << " "
                                   << R_ALIGN << ss_input.str() << " "
                                   << R_ALIGN << ss_real_output.str() << " "
                                   << R_ALIGN << ss_predicted_output.str() << " "
                                   << R_ALIGN << std::sqrt(loc_error) << " "
                                   << R_ALIGN
                                   << 200.0 * std::sqrt(loc_error) / (std::sqrt(loc_error) + std::sqrt(output_norm))
                                   << std::endl;
            }
#endif
        }

        double result = std::sqrt(error) / n_elements;

        if (verbose) {
            COUT_DEBUG("MSE = " << result << std::endl);
        }

        if (results_file_path) {
            *results_file_path << "MSE = " << result << std::endl;
        }

        return result;
    }

    double MSE::eval_on_data_set(DataSet* data_set,
                                 std::string results_file_path,
                                 std::vector<double>* weights,
                                 bool verbose) {
        std::ofstream ofs(results_file_path);
        if (ofs.is_open()) {
            return this->eval_on_data_set(data_set,
                                          &ofs,
                                          weights,
                                          true,
                                          verbose);
            ofs.close();
        } else {
            THROW_RUNTIME_ERROR("File " + results_file_path + " couldn't be open!");
        }
    }

    double MSE::eval_on_data_set(DataSet* data_set,
                                 std::vector<double>* weights,
                                 bool verbose) {
        return this->eval_on_data_set(data_set,
                                      nullptr,
                                      weights,
                                      true,
                                      verbose);
    }

    double MSE::eval(std::vector<double>* weights,
                     bool denormalize_data,
                     bool verbose) {
        return this->eval_on_data_set(this->ds,
                                      nullptr,
                                      weights,
                                      denormalize_data,
                                      verbose);
    }

    double MSE::eval_on_test_data(std::vector<double>* weights,
                                  bool verbose) {
        return this->eval_on_data_set(this->ds_test,
                                      weights,
                                      verbose);
    }

    double MSE::eval_on_test_data(std::string results_file_path,
                                  std::vector<double>* weights,
                                  bool verbose) {
        return this->eval_on_data_set(this->ds_test,
                                      results_file_path,
                                      weights,
                                      verbose);
    }

    double MSE::eval_on_test_data(std::ofstream* results_file_path,
                                  std::vector<double>* weights,
                                  bool verbose) {
        return this->eval_on_data_set(this->ds_test,
                                      results_file_path,
                                      weights,
                                      true,
                                      verbose);
    }

    void
    MSE::calculate_error_gradient(std::vector<double>& params,
                                  std::vector<double>& grad,
                                  double alpha,
                                  size_t batch) {

        size_t dim_out = this->ds->get_output_dim();
        size_t n_elements = this->ds->get_n_elements();
        std::vector<std::pair<std::vector<double>, std::vector<double>>>* data = this->ds->get_data();

        if (batch) {
            *data = this->ds->get_random_data_batch(batch);
            n_elements = data->size();
        }
        std::vector<double> error_derivative(dim_out);


        for (auto el: *data) {  // Iterate through every element in the test set

            this->net->eval_single(el.first,
                                   error_derivative,
                                   &params);  // Compute the net output and store it into 'output' variable

            for (size_t j = 0; j < dim_out; ++j) {
                error_derivative[j] = 2.0 * (error_derivative[j] - el.second[j]); //real - expected result
            }

            this->net->add_to_gradient_single(el.first,
                                              error_derivative,
                                              alpha / n_elements,
                                              grad);
        }
    }

    double MSE::calculate_single_residual(std::vector<double>* input,
                                          std::vector<double>* output,
                                          std::vector<double>* parameters) {

        //TODO maybe move to the general ErrorFunction
        //TODO check input vector sizes - they HAVE TO be allocated before calling this function

        return -this->eval_on_single_input(input, output, parameters);
    }

    void MSE::calculate_residual_gradient(std::vector<double>* input,
                                          std::vector<double>* output,
                                          std::vector<double>* gradient,
                                          double h) {

        //TODO check input vector sizes - they HAVE TO be allocated before calling this function

        size_t n_parameters = this->get_dimension();
        std::vector<double>* parameters = this->get_parameters();

        double delta;  // Complete step size
        double former_parameter_value;
        double f_val1;  // f(x + delta)
        double f_val2;  // f(x - delta)

        for (size_t i = 0; i < n_parameters; i++) {
            delta = h * (1 + std::abs(parameters->at(i)));
            former_parameter_value = parameters->at(i);

            if(delta != 0) {
                /* Computation of f_val1 = f(x + delta) */
                parameters->at(i) = former_parameter_value + delta;
                f_val1 = this->calculate_single_residual(input, output, parameters);

                /* Computation of f_val2 = f(x - delta) */
                parameters->at(i) = former_parameter_value - delta;
                f_val2 = this->calculate_single_residual(input, output, parameters);

                gradient->at(i) = (f_val1 - f_val2) / (2*delta);
            }

            /* Restore parameter to the former value */
            parameters->at(i) = former_parameter_value;
        }
    }

    ErrorSum::ErrorSum() {
        this->summand = nullptr;
        this->summand_coefficient = nullptr;
        this->dimension = 0;
    }

    ErrorSum::~ErrorSum() {
        if (this->summand) {
            delete this->summand;
        }
        if (this->summand_coefficient) {
            delete this->summand_coefficient;
        }
    }

    double ErrorSum::eval_on_test_data(std::vector<double>* weights,
                                       bool verbose) {
        //TODO take care of the case, when there are no test data

        double output = 0.0;
        ErrorFunction* ef = nullptr;

        for (unsigned int i = 0; i < this->summand->size(); ++i) {
            ef = this->summand->at(i);

            if (ef) {
                output += ef->eval_on_test_data(weights) * this->summand_coefficient->at(i);
            }
        }

        return output;
    }

    double ErrorSum::eval_on_test_data(std::string results_file_path,
                                       std::vector<double>* weights,
                                       bool verbose) {
        THROW_NOT_IMPLEMENTED_ERROR();

        return -1;
    }

    double ErrorSum::eval_on_test_data(std::ofstream* results_file_path,
                                       std::vector<double>* weights,
                                       bool verbose) {
        THROW_NOT_IMPLEMENTED_ERROR();
        return -1;
    }

    double ErrorSum::eval_on_data_set(lib4neuro::DataSet* data_set,
                                      std::vector<double>* weights,
                                      bool verbose) {
        THROW_NOT_IMPLEMENTED_ERROR();

        return -1;
    }

    double ErrorSum::eval_on_data_set(lib4neuro::DataSet* data_set,
                                      std::string results_file_path,
                                      std::vector<double>* weights,
                                      bool verbose) {
        THROW_NOT_IMPLEMENTED_ERROR();

        return -1;
    }

    double ErrorSum::eval_on_data_set(lib4neuro::DataSet* data_set,
                                      std::ofstream* results_file_path,
                                      std::vector<double>* weights,
                                      bool denormalize_data,
                                      bool verbose) {
        THROW_NOT_IMPLEMENTED_ERROR();
        return -1;
    }

    double ErrorSum::eval(std::vector<double>* weights,
                          bool denormalize_data,
                          bool verbose) {
        double output = 0.0;
        ErrorFunction* ef = nullptr;

        for (unsigned int i = 0; i < this->summand->size(); ++i) {
            ef = this->summand->at(i);

            if (ef) {
                output += ef->eval(weights) * this->summand_coefficient->at(i);
            }
        }

        return output;
    }

    void ErrorSum::add_error_function(ErrorFunction* F,
                                      double alpha) {
        if (!this->summand) {
            this->summand = new std::vector<ErrorFunction*>(0);
        }
        this->summand->push_back(F);

        if (!this->summand_coefficient) {
            this->summand_coefficient = new std::vector<double>(0);
        }
        this->summand_coefficient->push_back(alpha);

        if (F) {
            if (F->get_dimension() > this->dimension) {
                this->dimension = F->get_dimension();
            }
        }
    }

    size_t ErrorSum::get_dimension() {
//    if(!this->dimension) {
//        size_t max = 0;
//        for(auto e : *this->summand) {
//            if(e->get_dimension() > max) {
//                max = e->get_dimension();
//            }
//        };
//
//        this->dimension = max;
//    }
        return this->dimension;
    }

    std::vector<double>* ErrorSum::get_parameters() {
        return this->summand->at(0)->get_parameters();
    }

    DataSet* ErrorSum::get_dataset() {
        return this->summand->at(0)->get_dataset();
    };

    void ErrorSum::calculate_error_gradient(std::vector<double>& params,
                                                          std::vector<double>& grad,
                                                          double alpha,
                                                          size_t batch) {

        ErrorFunction* ef = nullptr;
        for (size_t i = 0; i < this->summand->size(); ++i) {
            ef = this->summand->at(i);

            if (ef) {
                ef->calculate_error_gradient(params,
                                             grad,
                                             this->summand_coefficient->at(i) * alpha,
                                             batch);
            }
        }
    }

    void ErrorSum::calculate_residual_gradient(std::vector<double>* input,
                                                             std::vector<double>* output,
                                                             std::vector<double>* gradient,
                                                             double h) {
        THROW_NOT_IMPLEMENTED_ERROR();
    }

    double ErrorSum::calculate_single_residual(std::vector<double>* input,
                                                             std::vector<double>* output,
                                                             std::vector<double>* parameters) {
        THROW_NOT_IMPLEMENTED_ERROR();

        return 0;
    }

}