#region License Information /* HeuristicLab * Copyright (C) 2002-2011 Heuristic and Evolutionary Algorithms Laboratory (HEAL) * * This file is part of HeuristicLab. * * HeuristicLab is free software: you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation, either version 3 of the License, or * (at your option) any later version. * * HeuristicLab is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with HeuristicLab. If not, see . */ #endregion using System; using System.Collections.Generic; namespace HeuristicLab.Problems.DataAnalysis { public class OnlineTheilsUStatisticCalculator : IOnlineTimeSeriesCalculator { private OnlineMeanAndVarianceCalculator squaredErrorMeanCalculator; private OnlineMeanAndVarianceCalculator unbiasedEstimatorMeanCalculator; public double TheilsUStatistic { get { return Math.Sqrt(squaredErrorMeanCalculator.Mean) / Math.Sqrt(unbiasedEstimatorMeanCalculator.Mean); } } private OnlineCalculatorError errorState; public OnlineCalculatorError ErrorState { get { return errorState | squaredErrorMeanCalculator.MeanErrorState | unbiasedEstimatorMeanCalculator.MeanErrorState; } } public OnlineTheilsUStatisticCalculator() { squaredErrorMeanCalculator = new OnlineMeanAndVarianceCalculator(); unbiasedEstimatorMeanCalculator = new OnlineMeanAndVarianceCalculator(); Reset(); } #region IOnlineEvaluator Members public double Value { get { return TheilsUStatistic; } } public void Add(double startValue, IEnumerable actualContinuation, IEnumerable predictedContinuation) { throw new NotSupportedException(); } public void Add(double startValue, IEnumerable actualContinuation, IEnumerable referenceContinuation, IEnumerable predictedContinuation) { if (double.IsNaN(startValue) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) { errorState = errorState | OnlineCalculatorError.InvalidValueAdded; } else { var actualEnumerator = actualContinuation.GetEnumerator(); var predictedEnumerator = predictedContinuation.GetEnumerator(); var referenceEnumerator = referenceContinuation.GetEnumerator(); while (actualEnumerator.MoveNext() & predictedEnumerator.MoveNext() & referenceEnumerator.MoveNext() & ErrorState != OnlineCalculatorError.InvalidValueAdded) { double actual = actualEnumerator.Current; double predicted = predictedEnumerator.Current; double reference = referenceEnumerator.Current; if (double.IsNaN(actual) || double.IsNaN(predicted) || double.IsNaN(reference)) { errorState = errorState | OnlineCalculatorError.InvalidValueAdded; } else { // error of predicted change double errorPredictedChange = (predicted - startValue) - (actual - startValue); squaredErrorMeanCalculator.Add(errorPredictedChange * errorPredictedChange); double errorReference = (reference - startValue) - (actual - startValue); unbiasedEstimatorMeanCalculator.Add(errorReference * errorReference); } } // check if both enumerators are at the end to make sure both enumerations have the same length if (actualEnumerator.MoveNext() || predictedEnumerator.MoveNext() || referenceEnumerator.MoveNext()) { errorState = errorState | OnlineCalculatorError.InvalidValueAdded; } else { errorState = errorState & (~OnlineCalculatorError.InsufficientElementsAdded); // n >= 1 } } } public void Reset() { squaredErrorMeanCalculator.Reset(); unbiasedEstimatorMeanCalculator.Reset(); errorState = OnlineCalculatorError.InsufficientElementsAdded; } #endregion public static double Calculate(double startValue, IEnumerable actualContinuation, IEnumerable referenceContinuation, IEnumerable predictedContinuation, out OnlineCalculatorError errorState) { OnlineTheilsUStatisticCalculator calculator = new OnlineTheilsUStatisticCalculator(); calculator.Add(startValue, actualContinuation, referenceContinuation, predictedContinuation); errorState = calculator.ErrorState; return calculator.TheilsUStatistic; } public static double Calculate(IEnumerable startValues, IEnumerable> actualContinuations, IEnumerable> referenceContinuations, IEnumerable> predictedContinuations, out OnlineCalculatorError errorState) { IEnumerator startValueEnumerator = startValues.GetEnumerator(); IEnumerator> actualContinuationsEnumerator = actualContinuations.GetEnumerator(); IEnumerator> referenceContinuationsEnumerator = referenceContinuations.GetEnumerator(); IEnumerator> predictedContinuationsEnumerator = predictedContinuations.GetEnumerator(); OnlineTheilsUStatisticCalculator calculator = new OnlineTheilsUStatisticCalculator(); // always move forward all enumerators (do not use short-circuit evaluation!) while (startValueEnumerator.MoveNext() & actualContinuationsEnumerator.MoveNext() & referenceContinuationsEnumerator.MoveNext() & predictedContinuationsEnumerator.MoveNext()) { calculator.Add(startValueEnumerator.Current, actualContinuationsEnumerator.Current, referenceContinuationsEnumerator.Current, predictedContinuationsEnumerator.Current); if (calculator.ErrorState != OnlineCalculatorError.None) break; } // check if all enumerators are at the end to make sure both enumerations have the same length if (calculator.ErrorState == OnlineCalculatorError.None && (startValueEnumerator.MoveNext() || actualContinuationsEnumerator.MoveNext() || referenceContinuationsEnumerator.MoveNext() || predictedContinuationsEnumerator.MoveNext())) { throw new ArgumentException("Number of elements in startValues, actualContinuations, referenceContinuation and estimatedValues predictedContinuations doesn't match."); } else { errorState = calculator.ErrorState; return calculator.TheilsUStatistic; } } } }