Measures

What is a Measure

A crucial aspect of generating models is estimating their quality. Some metric is needed to decide whether a model is poor, good, very good, etc. In the SUMO Toolbox this role is played by the Measure component. A measure is an object that, given a model, returns an estimation of its quality. This can be something very simple as the error of the model fit in the training data, or it may involve a complex calculation to see if a model satisfies some physical constraint.

The Measure is used in the SUMO Toolbox to drive the model parameter optimization (see also the toolbox control flow). This can be done in a single objective or multi-objective fashion.

There are two aspects to a Measure:

1. The quality estimation algorithm
2. The error function

The first is the algorithm used to estimate the model quality. This is for example the in-sample error, or the 5-fold crossvalidation score. The error function determines what kind of error you want to use. You can calculate the in-sample error using: the average absolute error, the root mean square error, a maximum relative error, etc. Note that the error function may not be relevant for every type of measure (eg., AIC).

It cannot be stressed enough that:

A proper choice of Measure and Error function is CRUCIAL to the success of your modeling

That choice will depend on your problem characteristics, the data distribution and the model type you will use to fit the data. It is extremely important to think about this well ("what do you want?") before starting any modeling.

As a side remark, note that Measures and sample selectors are closely related. The same criteria that is used to decide if a model is good or bad, can be used to identify interesting locations to select new data points.

Also note that some model builders (notably GeneticModelBuilder) support constraints directly. This means you can also implement what you would otherwise implement as a Measure as constraint in the model parameter optimization algorithm itself. This is a superior solution to using a Measure.

Using measures

To use a particular measure in the SUMO Toolbox, you have to edit the <Measure> tag in Plan section of the configuration XML-file. If you are using the configuration XML-file default.xml, please note that the <Measure> tag does NOT refer to any configuration sections below the Plan section. You can of course always add Measure configuration sections and refer to them in the Plan section using their id. Here are three equivalent examples of defining measure in the configuration xml.

The first is the form used in the default.xml and can be found within the Plan section; the measure type used is the SampleError which scores models on how well the capture the training data. The error function used to aggregate the scores for each training sample is meanSquareError. The target determines the target accuracy that has to be satisfied by the models, in this case it means that mean square error of all training examples of a model should be 0.01 or less. The option use="on" indicates that this measure should be used to guide the model selection criterion.

<Plan>
    ...
    <Measure type="SampleError" target=".01" errorFcn="meanSquareError" use="on"/>
    ...
</Plan>

The second form is uses an id in the Plan section to refer to the same measure, but which is now defined separately in a configuration section:

<Plan>
    ...
    <Measure>ExampleMeasure</Measure>
    ...
</Plan>

...

<Measure id="ExampleMeasure" type ="SampleError">
    <Option key="use" value="on"/>
    <Option key="target" value="0.0"/>
    <Option key="errorFcn" value="meanSquareError"/>
</Measure>

And finally the configuration section can also be placed directly into the Plan section.

<Plan>
    ...
    
    <Measure id="ExampleMeasure" type ="SampleError">
        <Option key="use" value="on"/>
        <Option key="target" value="0.0"/>
        <Option key="errorFcn" value="meanSquareError"/>
    </Measure>
    ...
</Plan>

Using multiple measures

The SUMO-Toolbox also allows you to use several measures to guide modeling process. You may want to use more than one measure because for example you need a model which has a mean square error of 0.01 but its largest error cannot exceed a certain threshold. Or you want to use several measures to monitor the modeling process.

To use more than one measure, simply add another <Measure> to the Plan section, the final model scores will be the average of the two scores.

<Plan>
    ...
    <Measure type="SampleError" target=".01" errorFcn="meanSquareError" use="on"/>
    <Measure type="CrossValidation" target=".05" errorFcn="maxAbsoluteError" use="on"/>
    ...
</Plan>

You can also specify weights for each measure to indicate their relative importance like so:

<Plan>
    ...
    <Measure type="SampleError" target=".01" errorFcn="meanSquareError" use="on" weight="0.1"/>
    <Measure type="CrossValidation" target=".05" errorFcn="maxAbsoluteError" use="on" weight="0.9"/>
    ...
</Plan>

The sum of the weights don't have to add up to 1 as the SUMO Toolbox will rescale the weights internally.

Finally if you only want to use 1 measure to guide the modeling process but want to use other measures for monitoring purposes, use you can do so by setting use="off".

<Plan>
    ...
    <Measure type="SampleError" target=".01" errorFcn="meanSquareError" use="on"/>
    <Measure type="CrossValidation" target=".05" errorFcn="maxAbsoluteError" use="off"/>
    ...
</Plan>

Tips on using measures

A recommended read is the paper available here.

In general, the default measure, 5 fold CrossValidation, is an acceptable choice. However, it is also very expensive, as it requires that a model be re-trained for each fold. This may slow things down if a model is expensive to train (e.g., neural nets). Also CrossValidation can give biased results if data is clustered or scarce. Increasing the number of folds may help here. A cheaper alternative is ValidationSet (see below) or AIC. For a full list of available measures see the src/matlab/measures subdirectory.

Note that multiple measures may also be combined. For more information see Multi-Objective Modeling.

For how to change the error function see this FAQ entry.

Below is a list of some available measures and the configuration options available for each of them. Each measure also has a target accuracy attribute, which can be omitted and which defaults to 0.001. In certain cases, such as the binary MinMax measure, the target accuracy is irrelevant.

Defining your own Measure

see Add_Measure

Measure types

We are well aware that documentation is not always complete and possibly even out of date in some cases. We try to document everything as best we can but much is limited by available time and manpower. We are are a university research group after all. The most up to date documentation can always be found (if not here) in the default.xml configuration file and, of course, in the source files. If something is unclear please dont hesitate to ask.

CrossValidation

The CrossValidation measure is the default choice and performs an n-fold cross validation on the model to create an efficient estimation of the accuracy of the model. Several options are available to customize this measure.

Template:OptionsHeader Template:Option Template:Option Template:Option Template:Option

<Measure type ="CrossValidation">
    <Option key="use" value="on"/>
    <Option key="target" value="0.0"/>
    <Option key="errorFcn" value="meanSquareError"/>
    <Option key="folds" value="5"/>
    <Option key="randomThreshold" value="1000"/>
    <Option key="partitionMethod" value="uniform"/>
    <Option key="resetFolds" value="no"/>
</Measure>

ValidationSet

The ValidationSet measure has two different methods of operation.

1. In the first method, the list of samples that have been evaluated is split into a validation set and a training set. A model is then built using the training set, and evaluated using the validation set (which is by default 20% of the total sample pool).
2. However, an external data file containing a validation set can also specified. In this case, all the evaluated samples are used for training, and the external set is used for validation only. Which of these two operation methods is used, depends on the configuration options below. By default, no external validation set is loaded.

If you want to use an external validation set, you will have to provide a SampleEvaluator configuration so that the validation set can be loaded from an external source. Here is a ValidationSet configuration example which loads the validation set from the scattered data file provided in the simulator file:

<Measure type="ValidationSet" target=".001">
	<Option key="type" value="file"/>
	<SampleEvaluator type="ibbt.sumo.sampleevaluators.datasets.ScatteredDatasetSampleEvaluator"/>
</Measure>

Template:OptionsHeader Template:Option Template:Option Template:Option

MinMax

The MinMax measure is used to eliminate models whose response falls below a given minimum or above a given maximum. This measure can be used to detect models that have poles in the model domain and to guide the modeling process in the right direction. If the output is known to lie within certain value bounds, these can be added to the simulator file as follows:

<OutputParameters>
	<Parameter name="out" type="real" minimum="-1" maximum="1"/>
</OutputParameters>

When the MinMax measure is defined, these values will be used to ensure that all models stay within these bounds. If only the minimum or only the maximum is defined, naturally only these are enforced. There are no further configuration options for this measure. In case of complex outputs the modulus is used.

Remember though, that no guarantee can be given that the poles will really disappear. Using this measure only combats the symptoms and not the cause of the problem. Also, this measure can be reasonably slow, because it evaluates a dense grid to decide wether the model is crossing boundaries. If the model is slow to evaluate, this can take a considerable amount of time. Also note that the model is checked on a dense grid. However, in higher dimensions the grid is sparser and thus no absolute certainty is given. Finally note that this is quite a strong constraint on the model building process. It means that a model which is otherwise very good, but simply overshoots the data in one place, will be penalized quite heavily. This, if you can, try not to to give too strict bounds.

Tips:

1. even if you don't know the exact bounds on your output, you can still use this measure by specifying very broad bounds (e.g., [-10000 10000]). This can still allow you to catch poles since, by definition, they reach until infinity.
2. if you are using the ANN models and you want your output to lie within [0 1] you can simply use a 'logsig' transfer function for the output layer. Then BY DEFINITION your output will lie in [0 1] and no extra measure is needed. To get a different range you could even rename logsig.m and add your own scaling. This solution is far superior than using MinMax.
3. if you are using the GeneticModelBuilder with population type custom, the MinMax idea can also be implemented in the GA itself as a constraint. Then you do not need the measure, this would also be a better solution.

SampleError

This measure simply calculates the error in the training data. Note that this measure is useless for interpolating methods like Kriging and RBF.

ModelDifference

The toolbox keeps track of the n best models found so far. The ModelDifference measure uses the disagreement between those models as a heuristic for ranking them. A model that differs considerably from the other models is assumed to be of poor quality. Remember that this is just a heuristic! We recommend ModelDifference never be used alone, but always in combination with some other model.

LRMMeasure

This is a very useful measure that can be used to complement other measures (see Multi-Objective Modeling) with some good results. For example, as a cheaper alternative for crossvaliation with neural networks. It will penalize models where they show unwanted 'bumps' or 'ripples' in the response.

AIC

Implements Akaikes Information Criterion. Note that this requires a proper implementation of the freeParams of a Model.