On Thursday, 21 May 2015 at 11:36:15 UTC, Saurabh Das wrote:
> PS: The original expression: http://dpaste.dzfl.pl/raw/e7a66aa067ab
>
> double someFunction(double AvgPriceChangeNormalized, double DayFactor, double TicksTenMinutesNormalized)
> {
>     return ((((AvgPriceChangeNormalized)*(0.0868))*((DayFactor)*(TicksTenMinutesNormalized)))*(((AvgPriceChangeNormalized)*(0.0868))*(((((((((TicksTenMinutesNormalized)==0)?(1):((AvgPriceChangeNormalized)/(TicksTenMinutesNormalized)))-((TicksTenMinutesNormalized)+(DayFactor)))==0)?(1):((TicksTenMinutesNormalized)/((((TicksTenMinutesNormalized)==0)?(1):((AvgPriceChangeNormalized)/(TicksTenMinutesNormalized)))-((TicksTenMinutesNormalized)+(DayFactor)))))==0)?(1):(((TicksTenMinutesNormalized)+(-0.865))/((((((TicksTenMinutesNormalized)==0)?(1):((AvgPriceChangeNormalized)/(TicksTenMinutesNormalized)))-((TicksTenMinutesNormalized)+(DayFactor)))==0)?(1):((TicksTenMinutesNormalized)/((((TicksTenMinutesNormalized)==0)?(1):((AvgPriceChangeNormalized)/(TicksTenMinutesNormalized)))-((TicksTenMinutesNormalized)+(DayFactor)))))))*(TicksTenMinutesNormalized))));
> }

fair enough. I thought normally you'd want to have some sort of expression simplification in genetic programming, to avoid adding too many superfluous degrees of freedom? Aside from the obvious problems, those extra degrees of freedom can put you at risk of overfitting.

>
> fair enough. I thought normally you'd want to have some sort of expression simplification in genetic programming, to avoid adding too many superfluous degrees of freedom? Aside from the obvious problems, those extra degrees of freedom can put you at risk of overfitting.

Yes - our evaluation criteria gives bonus points for simpler expressions. We also strongly constrain the degrees of freedom. Both these aim to reduce overfitting. The expression seems rather complex because every division is protected by a equal to 0 check. Since our data sets are vast and number of features is kept low, overfitting is less of a concern. We do watch out for it though.

In release builds, the compiler does the job of simplifying the expression, so we don't input a simplified expression a-priori. We are currently building this framework because earlier Java frameworks were deficient in speed. Already we have achieved a ~ 1000x speedup, so right now we are looking to consolidate and stabilise. In the next iteration, we could think of adding a simplify expression feature.

Thanks,
Saurabh

If you're looking for speed, how about ldc?

On Thursday, 21 May 2015 at 14:12:25 UTC, Kagamin wrote:
> If you're looking for speed, how about ldc?

Absolutely - we are working on getting it to compile on ldc and/or gdc.