NeuroNetworksBook/Include/realization/lossfunction.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                 lossfunction.mqh |
//|                                  Copyright 2021, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2021, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
//+------------------------------------------------------------------+
//| >4:;NG05< 181;8>B5:8                                            |
//+------------------------------------------------------------------+
#include "defines.mqh"
#include "bufferdouble.mqh"
//+------------------------------------------------------------------+
//| Class CLossFunction                                              |
//| 07=0G5=85: 07>2K9 :;0AA 4;O @01>BK A DC=:F8O<8 ?>B5@L          |
//+------------------------------------------------------------------+
class CLossFunction : public CObject
  {
protected:
   //--- 70I8IQ==K9 :>=AB@C:B>@ =5 ?>72>;8B A>74020BL >1J5:B CLossFunction, >B 40==>3> :;0AA0 <>6=> B>;L:> =0A;54>20BLAO
                     CLossFunction(void) { }
                     CLossFunction(const CLossFunction &loss)=delete;   // :>?8@>20=85 70?@5I5=>
public:
   virtual ENUM_LOSS_FUNCTION LossFunction(void) const=0;
   virtual double    Calculate(const CBufferDouble *calculated,const CBufferDouble *target)=0;
   //+------------------------------------------------------------------+
   //| A?><>30B5;L=0O DC=:F8O 4;O ?@>25@:8 ?0@0<5B@>2 2 Calculate      |
   //+------------------------------------------------------------------+
   bool              CheckParameters(const CBufferDouble *calculated,const CBufferDouble *target) const
     {
      return(calculated && target && calculated.Rows()==target.Rows() && calculated.Cols()==target.Cols());
     }
  };
//+------------------------------------------------------------------+
//| Mean squared error (MSE)                                         |
//+------------------------------------------------------------------+
class CLoss_MSE final : public CLossFunction
  {
public:
   //+------------------------------------------------------------------+
   //| >;CG5=85 B8?0 DC=:F88                                           |
   //+------------------------------------------------------------------+
   virtual ENUM_LOSS_FUNCTION LossFunction(void) const override
     {
      return LOSS_MSE;
     }
   //+------------------------------------------------------------------+
   //|  0AGQB >H81:8                                                    |
   //+------------------------------------------------------------------+
   virtual double    Calculate(const CBufferDouble *calculated,const CBufferDouble *target) override
     {
      //--- ?@>25@8< ?0@0<5B@K
      if(!CheckParameters(calculated,target))
         return DBL_MAX;
      //---
      MATRIX m = calculated.m_mMatrix - target.m_mMatrix;
      m = m * m;
      //---
      return m.Sum() / (m.Rows()*m.Cols());
     }
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CLoss_MAD final : public CLossFunction
  {
public:
   //+------------------------------------------------------------------+
   //| >;CG5=85 B8?0 DC=:F88                                           |
   //+------------------------------------------------------------------+
   virtual ENUM_LOSS_FUNCTION LossFunction(void) const override
     {
      return LOSS_MAE;
     }
   //+------------------------------------------------------------------+
   //|  0AGQB >H81:8                                                    |
   //+------------------------------------------------------------------+
   virtual double    Calculate(const CBufferDouble *calculated,const CBufferDouble *target) override
     {
      //--- ?@>25@8< ?0@0<5B@K
      if(!CheckParameters(calculated,target))
         return DBL_MAX;
      //---
      MATRIX m=calculated.m_mMatrix - target.m_mMatrix;

      for(ulong r=0; r<m.Rows(); r++)
         for(ulong c=0; c<m.Cols(); c++)
            m[r, c] = MathAbs(m[r, c]);
      //---
      return m.Sum() / (m.Rows() * m.Cols());
     }
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CLoss_BCE final : public CLossFunction
  {
public:
   //+------------------------------------------------------------------+
   //| >;CG5=85 B8?0 DC=:F88                                           |
   //+------------------------------------------------------------------+
   virtual ENUM_LOSS_FUNCTION LossFunction(void) const override
     {
      return LOSS_BCE;
     }
   //+------------------------------------------------------------------+
   //|  0AGQB >H81:8                                                    |
   //+------------------------------------------------------------------+
   virtual double    Calculate(const CBufferDouble *calculated,const CBufferDouble *target) override
     {
      //--- ?@>25@8< ?0@0<5B@K
      if(!CheckParameters(calculated,target))
         return DBL_MAX;
      //---
      double result = 0;

      for(ulong r = 0; r < calculated.m_mMatrix.Rows(); r++)
         for(ulong c = 0; c < calculated.m_mMatrix.Cols(); c++)
            result -= target.m_mMatrix[r, c] * MathLog(calculated.m_mMatrix[r, c]);
      //---
      return result;
     }
  };
//+------------------------------------------------------------------+