feat: add fANOVA parameter importance via random forest

Implement functional ANOVA decomposition behind the `fanova` feature
flag. A self-contained random forest is trained on trial data, then
marginal predictions are used to compute per-parameter main effects
and pairwise interaction effects, normalized to sum to 1.0.

Adds Study::fanova() / fanova_with_config(), FanovaResult, and
FanovaConfig. Includes unit and integration tests covering dominant
parameters, interaction detection, consistency with correlation-based
importance, and error handling.
This commit is contained in:
Manuel Raimann
2026-02-11 20:51:24 +01:00
parent e359392a00
commit dff58340a4
5 changed files with 735 additions and 0 deletions
+104
View File
@@ -2027,6 +2027,110 @@ where
scores
}
/// Computes parameter importance using fANOVA (functional ANOVA) with
/// default configuration.
///
/// Fits a random forest to the trial data and decomposes variance into
/// per-parameter main effects and pairwise interaction effects. This is
/// more accurate than correlation-based importance ([`Self::param_importance`])
/// and can detect non-linear relationships and parameter interactions.
///
/// # Errors
///
/// Returns [`Error::NoCompletedTrials`] if fewer than 2 trials have completed.
#[cfg(feature = "fanova")]
pub fn fanova(&self) -> crate::Result<crate::fanova::FanovaResult> {
self.fanova_with_config(&crate::fanova::FanovaConfig::default())
}
/// Computes parameter importance using fANOVA with custom configuration.
///
/// See [`Self::fanova`] for details. The [`FanovaConfig`](crate::fanova::FanovaConfig)
/// allows tuning the number of trees, tree depth, and random seed.
///
/// # Errors
///
/// Returns [`Error::NoCompletedTrials`] if fewer than 2 trials have completed.
#[cfg(feature = "fanova")]
#[allow(clippy::cast_precision_loss)]
pub fn fanova_with_config(
&self,
config: &crate::fanova::FanovaConfig,
) -> crate::Result<crate::fanova::FanovaResult> {
use std::collections::BTreeSet;
use crate::fanova::compute_fanova;
use crate::param::ParamValue;
use crate::types::TrialState;
let trials = self.completed_trials.read();
let complete: Vec<_> = trials
.iter()
.filter(|t| t.state == TrialState::Complete)
.collect();
if complete.len() < 2 {
return Err(crate::Error::NoCompletedTrials);
}
// Collect all parameter IDs in a stable order.
let all_param_ids: Vec<_> = {
let set: BTreeSet<_> = complete.iter().flat_map(|t| t.params.keys()).collect();
set.into_iter().collect()
};
if all_param_ids.is_empty() {
return Ok(crate::fanova::FanovaResult {
main_effects: Vec::new(),
interactions: Vec::new(),
});
}
// Build feature matrix (only trials that have all parameters).
let mut data = Vec::new();
let mut targets = Vec::new();
for trial in &complete {
let mut row = Vec::with_capacity(all_param_ids.len());
let mut has_all = true;
for &pid in &all_param_ids {
if let Some(pv) = trial.params.get(pid) {
row.push(match *pv {
ParamValue::Float(v) => v,
ParamValue::Int(v) => v as f64,
ParamValue::Categorical(v) => v as f64,
});
} else {
has_all = false;
break;
}
}
if has_all {
data.push(row);
targets.push(trial.value.clone().into());
}
}
if data.len() < 2 {
return Err(crate::Error::NoCompletedTrials);
}
// Build feature names from parameter labels.
let feature_names: Vec<String> = all_param_ids
.iter()
.map(|&pid| {
complete
.iter()
.find_map(|t| t.param_labels.get(pid))
.map_or_else(|| pid.to_string(), Clone::clone)
})
.collect();
Ok(compute_fanova(&data, &targets, &feature_names, config))
}
}
impl<V> IntoIterator for &Study<V>