Implement ObjectiveValueComponent.evaluate

src/python/miplearn/components/objective.py

@@ -1,6 +1,7 @@
 #  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
 #  Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
 #  Released under the modified BSD license. See COPYING.md for more details.
+from sklearn.metrics import mean_squared_error, explained_variance_score, max_error, mean_absolute_error, r2_score
 
 from .. import Component, InstanceFeaturesExtractor, ObjectiveValueExtractor
 from sklearn.linear_model import LinearRegression
@@ -52,3 +53,28 @@ class ObjectiveValueComponent(Component):
         lb = self.lb_regressor.predict(features)
         ub = self.ub_regressor.predict(features)
         return np.hstack([lb, ub])
+
+    def evaluate(self, instances):
+        y_pred = self.predict(instances)
+        y_true = np.array([[inst.lower_bound, inst.upper_bound] for inst in instances])
+        y_true_lb, y_true_ub = y_true[:, 0], y_true[:, 1]
+        y_pred_lb, y_pred_ub = y_pred[:, 1], y_pred[:, 1]
+        ev = {
+            "Lower bound": {
+                "Mean squared error": mean_squared_error(y_true_lb, y_pred_lb),
+                "Explained variance": explained_variance_score(y_true_lb, y_pred_lb),
+                "Max error": max_error(y_true_lb, y_pred_lb),
+                "Mean absolute error": mean_absolute_error(y_true_lb, y_pred_lb),
+                "R2": np.round(r2_score(y_true_lb, y_pred_lb), 3),
+                "Median absolute error": mean_absolute_error(y_true_lb, y_pred_lb),
+            },
+            "Upper bound": {
+                "Mean squared error": mean_squared_error(y_true_ub, y_pred_ub),
+                "Explained variance": explained_variance_score(y_true_ub, y_pred_ub),
+                "Max error": max_error(y_true_ub, y_pred_ub),
+                "Mean absolute error": mean_absolute_error(y_true_ub, y_pred_ub),
+                "R2": np.round(r2_score(y_true_ub, y_pred_ub), 3),
+                "Median absolute error": mean_absolute_error(y_true_ub, y_pred_ub),
+            },
+        }
+        return ev

src/python/miplearn/components/tests/test_objective.py

@@ -2,28 +2,46 @@
 #  Copyright (C) 2020, UChicago Argonne, LLC. All rights reserved.
 #  Released under the modified BSD license. See COPYING.md for more details.
 
-from miplearn import ObjectiveValueComponent, LearningSolver
-from miplearn.problems.knapsack import KnapsackInstance
+from unittest.mock import Mock
 
-def _get_instances():
-    instances = [
-        KnapsackInstance(
-            weights=[23., 26., 20., 18.],
-            prices=[505., 352., 458., 220.],
-            capacity=67.,
-        ),
-    ]
-    models = [instance.to_model() for instance in instances]
-    solver = LearningSolver()
-    for i in range(len(instances)):
-        solver.solve(instances[i], models[i])
-    return instances, models
+import numpy as np
+from miplearn import ObjectiveValueComponent
+from miplearn.classifiers import Regressor
+from miplearn.tests import get_training_instances_and_models
 
 
 def test_usage():
-    instances, models = _get_instances()
+    instances, models = get_training_instances_and_models()
     comp = ObjectiveValueComponent()
     comp.fit(instances)
     assert instances[0].lower_bound == 1183.0
     assert instances[0].upper_bound == 1183.0
-    assert comp.predict(instances).tolist() == [[1183.0, 1183.0]]
+    assert comp.predict(instances).tolist() == [[1183.0, 1183.0],
+                                                [1070.0, 1070.0]]
+
+
+def test_obj_evaluate():
+    instances, models = get_training_instances_and_models()
+    reg = Mock(spec=Regressor)
+    reg.predict = Mock(return_value=np.array([[1000.0], [1000.0]]))
+    comp = ObjectiveValueComponent(regressor=reg)
+    comp.fit(instances)
+    ev = comp.evaluate(instances)
+    assert ev == {
+        'Lower bound': {
+            'Explained variance': 0.0,
+            'Max error': 183.0,
+            'Mean absolute error': 126.5,
+            'Mean squared error': 19194.5,
+            'Median absolute error': 126.5,
+            'R2': -5.013,
+        },
+        'Upper bound': {
+            'Explained variance': 0.0,
+            'Max error': 183.0,
+            'Mean absolute error': 126.5,
+            'Mean squared error': 19194.5,
+            'Median absolute error': 126.5,
+            'R2': -5.013,
+        }
+    }