source: branches/DataPreprocessing/HeuristicLab.Problems.DataAnalysis/3.4/Implementation/TimeSeriesPrognosis/TimeSeriesPrognosisProblemData.cs @ 11064

Last change on this file since 11064 was 11064, checked in by mkommend, 5 years ago

#2206: Updated data preprocessing branch with trunk changes.

File size: 33.4 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System;
23using System.Collections.Generic;
24using System.Linq;
25using HeuristicLab.Common;
26using HeuristicLab.Core;
27using HeuristicLab.Data;
28using HeuristicLab.Parameters;
29using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
30
31namespace HeuristicLab.Problems.DataAnalysis {
32  [StorableClass]
33  [Item("TimeSeriesPrognosisProblemData", "Represents an item containing all data defining a time series prognosis problem.")]
34  public class TimeSeriesPrognosisProblemData : RegressionProblemData, ITimeSeriesPrognosisProblemData {
35    #region default data
36    private static double[,] mackey_glass_17 = new double[,] {
37{9.0000000e-01},
38{9.0000000e-01},
39{9.0000000e-01},
40{9.4136145e-01},
41{1.1188041e+00},
42{1.2161867e+00},
43{1.2476827e+00},
44{1.0067861e+00},
45{7.1297054e-01},
46{5.0349420e-01},
47{5.8392542e-01},
48{9.4327347e-01},
49{1.0178784e+00},
50{1.0346794e+00},
51{1.1640420e+00},
52{1.0670009e+00},
53{1.0026658e+00},
54{7.7000347e-01},
55{7.0782984e-01},
56{7.9370192e-01},
57{1.0558440e+00},
58{1.2000510e+00},
59{1.2998549e+00},
60{1.1857500e+00},
61{8.4250325e-01},
62{5.5885374e-01},
63{4.2572016e-01},
64{7.5043060e-01},
65{9.7291951e-01},
66{9.3785503e-01},
67{1.0653587e+00},
68{1.1355961e+00},
69{1.1533842e+00},
70{1.0678134e+00},
71{8.1349649e-01},
72{6.6246660e-01},
73{6.2210481e-01},
74{9.3890430e-01},
75{1.1287058e+00},
76{1.1699535e+00},
77{1.2412759e+00},
78{9.8090748e-01},
79{7.3311051e-01},
80{5.2596003e-01},
81{6.3134850e-01},
82{9.7849655e-01},
83{1.0578901e+00},
84{1.0888001e+00},
85{1.1681297e+00},
86{9.9896471e-01},
87{8.7928027e-01},
88{6.6864116e-01},
89{7.3694626e-01},
90{9.7850487e-01},
91{1.1571565e+00},
92{1.2440406e+00},
93{1.2532851e+00},
94{9.3967388e-01},
95{6.5403177e-01},
96{4.5549437e-01},
97{6.4110939e-01},
98{9.6727507e-01},
99{9.8419122e-01},
100{1.0332443e+00},
101{1.1440570e+00},
102{1.0922307e+00},
103{1.0485820e+00},
104{8.0447560e-01},
105{7.1465526e-01},
106{7.1296010e-01},
107{9.9300973e-01},
108{1.1766813e+00},
109{1.2618288e+00},
110{1.2517022e+00},
111{9.2078170e-01},
112{6.2369710e-01},
113{4.3562308e-01},
114{6.4988558e-01},
115{9.5895791e-01},
116{9.5866122e-01},
117{1.0183775e+00},
118{1.1415533e+00},
119{1.1289579e+00},
120{1.1022163e+00},
121{8.4414928e-01},
122{6.9891813e-01},
123{6.2493643e-01},
124{9.0049230e-01},
125{1.1246569e+00},
126{1.1850486e+00},
127{1.2646400e+00},
128{1.0193893e+00},
129{7.3830722e-01},
130{5.1921750e-01},
131{5.6836076e-01},
132{9.3609361e-01},
133{1.0324202e+00},
134{1.0360676e+00},
135{1.1675966e+00},
136{1.0504944e+00},
137{9.8129158e-01},
138{7.5798016e-01},
139{7.1660079e-01},
140{8.3950658e-01},
141{1.0870027e+00},
142{1.2170776e+00},
143{1.3123779e+00},
144{1.1361782e+00},
145{7.9337369e-01},
146{5.2230472e-01},
147{4.3857925e-01},
148{8.0873950e-01},
149{9.7422631e-01},
150{9.3291515e-01},
151{1.0947530e+00},
152{1.1335086e+00},
153{1.1645714e+00},
154{1.0315895e+00},
155{7.9058261e-01},
156{6.3878936e-01},
157{6.4385427e-01},
158{9.7290237e-01},
159{1.1330941e+00},
160{1.1738960e+00},
161{1.2210669e+00},
162{9.4813374e-01},
163{7.1548595e-01},
164{5.2046031e-01},
165{6.8100333e-01},
166{1.0072944e+00},
167{1.0641199e+00},
168{1.1194312e+00},
169{1.1522817e+00},
170{9.7118023e-01},
171{8.2966445e-01},
172{6.3876024e-01},
173{7.6770138e-01},
174{1.0325752e+00},
175{1.1660632e+00},
176{1.2543878e+00},
177{1.1956003e+00},
178{8.7571542e-01},
179{6.1252082e-01},
180{4.5699619e-01},
181{7.4030148e-01},
182{1.0017485e+00},
183{9.8958385e-01},
184{1.0949833e+00},
185{1.1249612e+00},
186{1.0658962e+00},
187{9.5636335e-01},
188{7.4498806e-01},
189{7.2563393e-01},
190{8.3530455e-01},
191{1.0977307e+00},
192{1.2314926e+00},
193{1.3167422e+00},
194{1.1172604e+00},
195{7.6900341e-01},
196{5.0549771e-01},
197{4.4450990e-01},
198{8.2808038e-01},
199{9.6930396e-01},
200{9.2772189e-01},
201{1.1010458e+00},
202{1.1366939e+00},
203{1.1770457e+00},
204{1.0282839e+00},
205{7.8657093e-01},
206{6.2340354e-01},
207{6.3476140e-01},
208{9.6941037e-01},
209{1.1224823e+00},
210{1.1576217e+00},
211{1.2147442e+00},
212{9.5631199e-01},
213{7.3947874e-01},
214{5.4187646e-01},
215{6.8681641e-01},
216{1.0131445e+00},
217{1.0865854e+00},
218{1.1414849e+00},
219{1.1594630e+00},
220{9.4411600e-01},
221{7.7794034e-01},
222{5.9741518e-01},
223{7.7225037e-01},
224{1.0587360e+00},
225{1.1485933e+00},
226{1.2344562e+00},
227{1.1458853e+00},
228{8.5415118e-01},
229{6.2127481e-01},
230{4.9756097e-01},
231{8.0931406e-01},
232{1.0430891e+00},
233{1.0367506e+00},
234{1.1608048e+00},
235{1.0902522e+00},
236{9.6945804e-01},
237{7.9607346e-01},
238{6.7035674e-01},
239{8.2493000e-01},
240{1.0685565e+00},
241{1.1912458e+00},
242{1.2916937e+00},
243{1.1585237e+00},
244{8.2653804e-01},
245{5.5624667e-01},
246{4.4364773e-01},
247{7.8679896e-01},
248{9.8947432e-01},
249{9.5587476e-01},
250{1.0976735e+00},
251{1.1247419e+00},
252{1.1220470e+00},
253{9.9754667e-01},
254{7.7406653e-01},
255{6.7630712e-01},
256{7.2445263e-01},
257{1.0303591e+00},
258{1.1801427e+00},
259{1.2506686e+00},
260{1.1989987e+00},
261{8.7114663e-01},
262{6.0602798e-01},
263{4.5163741e-01},
264{7.3553573e-01},
265{9.9456302e-01},
266{9.8098646e-01},
267{1.0857031e+00},
268{1.1289641e+00},
269{1.0828069e+00},
270{9.8224963e-01},
271{7.5966277e-01},
272{7.1111527e-01},
273{7.8645769e-01},
274{1.0673541e+00},
275{1.2116816e+00},
276{1.2990734e+00},
277{1.1657704e+00},
278{8.1779454e-01},
279{5.4428063e-01},
280{4.3047549e-01},
281{7.7832590e-01},
282{9.7551443e-01},
283{9.3705618e-01},
284{1.0807206e+00},
285{1.1339189e+00},
286{1.1551319e+00},
287{1.0473610e+00},
288{8.0021464e-01},
289{6.5377513e-01},
290{6.3810292e-01},
291{9.6140773e-01},
292{1.1354401e+00},
293{1.1782311e+00},
294{1.2323246e+00},
295{9.5811452e-01},
296{7.1400985e-01},
297{5.1434848e-01},
298{6.5876782e-01},
299{9.9374878e-01},
300{1.0532057e+00},
301{1.0987291e+00},
302{1.1569941e+00},
303{9.9327584e-01},
304{8.7055783e-01},
305{6.6607204e-01},
306{7.5154249e-01},
307{9.9147904e-01},
308{1.1618652e+00},
309{1.2531013e+00},
310{1.2445235e+00},
311{9.2459418e-01},
312{6.3924685e-01},
313{4.4899067e-01},
314{6.5946924e-01},
315{9.7165260e-01},
316{9.7791817e-01},
317{1.0391898e+00},
318{1.1412631e+00},
319{1.0983393e+00},
320{1.0493420e+00},
321{8.0399406e-01},
322{7.0992449e-01},
323{7.0350356e-01},
324{9.8952236e-01},
325{1.1734521e+00},
326{1.2538876e+00},
327{1.2508500e+00},
328{9.2423636e-01},
329{6.3070030e-01},
330{4.4136962e-01},
331{6.4946966e-01},
332{9.6197955e-01},
333{9.6606332e-01},
334{1.0237953e+00},
335{1.1421522e+00},
336{1.1183774e+00},
337{1.0857179e+00},
338{8.3157725e-01},
339{7.0250588e-01},
340{6.4917325e-01},
341{9.2959329e-01},
342{1.1407976e+00},
343{1.2080261e+00},
344{1.2684960e+00},
345{9.9122930e-01},
346{7.0220017e-01},
347{4.8816416e-01},
348{5.8586111e-01},
349{9.4668329e-01},
350{1.0087590e+00},
351{1.0232927e+00},
352{1.1559444e+00},
353{1.0720927e+00},
354{1.0286336e+00},
355{7.9460252e-01},
356{7.2093651e-01},
357{7.6292167e-01},
358{1.0248985e+00},
359{1.1929944e+00},
360{1.2920208e+00},
361{1.2293181e+00},
362{8.8290244e-01},
363{5.8527613e-01},
364{4.1855360e-01},
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366{9.5977708e-01},
367{9.3601019e-01},
368{1.0268467e+00},
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1229{8.2930325e-01},
1230{5.4568406e-01},
1231{4.2252006e-01},
1232{7.6155262e-01},
1233{9.6902023e-01},
1234{9.2946430e-01},
1235{1.0663917e+00},
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1237{1.1667915e+00},
1238{1.0769457e+00},
1239{8.1823128e-01},
1240{6.5190054e-01},
1241{6.0082155e-01},
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1243{1.1147361e+00},
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1245{1.2352757e+00},
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1263{6.5456633e-01},
1264{4.8391373e-01},
1265{7.3135136e-01},
1266{1.0176181e+00},
1267{1.0277501e+00},
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1269{1.1248859e+00},
1270{1.0041498e+00},
1271{8.7364691e-01},
1272{6.8812425e-01},
1273{7.7228478e-01},
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1275{1.1655135e+00},
1276{1.2710944e+00},
1277{1.2619166e+00},
1278{9.3651452e-01},
1279{6.3284215e-01},
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1281{6.3021849e-01},
1282{9.5269846e-01},
1283{9.5770175e-01},
1284{1.0064613e+00},
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1287{1.1173687e+00},
1288{8.5933718e-01},
1289{7.0364317e-01},
1290{6.1326177e-01},
1291{8.7318554e-01},
1292{1.1121947e+00},
1293{1.1737687e+00},
1294{1.2616019e+00},
1295{1.0447114e+00},
1296{7.6386287e-01},
1297{5.4149208e-01},
1298{5.5006680e-01},
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1304{9.6566520e-01},
1305{7.4941645e-01},
1306{7.0654030e-01},
1307{8.5978495e-01},
1308{1.1007328e+00},
1309{1.2172148e+00},
1310{1.3084224e+00},
1311{1.1066295e+00},
1312{7.7306455e-01},
1313{5.1195750e-01},
1314{4.5881820e-01},
1315{8.3991753e-01},
1316{9.8090418e-01},
1317{9.4402667e-01},
1318{1.1150495e+00},
1319{1.1263864e+00},
1320{1.1498512e+00},
1321{9.8537193e-01},
1322{7.6788821e-01},
1323{6.4101222e-01},
1324{7.0798171e-01},
1325{1.0241973e+00},
1326{1.1588402e+00},
1327{1.2194902e+00},
1328{1.1900225e+00},
1329{8.8503290e-01},
1330{6.4170616e-01},
1331{4.8247262e-01},
1332{7.4633801e-01},
1333{1.0194608e+00},
1334{1.0238758e+00},
1335{1.1225142e+00},
1336{1.1204876e+00},
1337{1.0078894e+00},
1338{8.7195748e-01},
1339{6.9071922e-01},
1340{7.7128559e-01},
1341{9.8171063e-01},
1342{1.1648359e+00},
1343{1.2716060e+00},
1344{1.2653194e+00},
1345{9.4044785e-01},
1346{6.3462126e-01},
1347{4.3541986e-01},
1348{6.2397592e-01},
1349{9.4996429e-01},
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1351{1.0018949e+00},
1352{1.1415375e+00},
1353{1.1340702e+00},
1354{1.1242483e+00},
1355{8.6601272e-01},
1356{7.0479002e-01},
1357{6.0700568e-01},
1358{8.6003770e-01},
1359{1.1056434e+00},
1360{1.1671804e+00},
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1393{1.1819490e+00},
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1395{1.1479357e+00},
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1397{5.8084914e-01},
1398{4.6968322e-01},
1399{8.0540679e-01},
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1401{9.9267552e-01},
1402{1.1297166e+00},
1403{1.1074520e+00},
1404{1.0535732e+00},
1405{8.9989357e-01},
1406{7.2414622e-01},
1407{7.3710872e-01},
1408{9.0842211e-01},
1409{1.1372436e+00},
1410{1.2550645e+00},
1411{1.3118017e+00},
1412{1.0309191e+00},
1413{6.9715233e-01},
1414{4.6014528e-01},
1415{5.1093338e-01},
1416{8.9602085e-01},
1417{9.6063866e-01},
1418{9.4454964e-01},
1419{1.1299822e+00},
1420{1.1400660e+00},
1421{1.1784050e+00},
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1423{7.4592605e-01},
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1431{6.8916581e-01},
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1435{1.0847312e+00},
1436{1.1818109e+00},
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1439{7.2016981e-01},
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1445{1.0707369e+00},
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1447{5.7211183e-01},
1448{5.3729384e-01},
1449{8.9511329e-01},
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1451{1.0482488e+00},
1452{1.1833103e+00},
1453{1.0467011e+00},
1454{9.3892077e-01},
1455{7.3109756e-01},
1456{6.8881096e-01},
1457{8.8724202e-01},
1458{1.1196405e+00},
1459{1.2137632e+00},
1460{1.2969341e+00},
1461{1.0598913e+00},
1462{7.4476987e-01},
1463{5.0025043e-01},
1464{5.0175473e-01},
1465{8.8612613e-01},
1466{9.9295902e-01},
1467{9.7027740e-01},
1468{1.1406663e+00},
1469{1.1082236e+00},
1470{1.1111857e+00},
1471{9.0519862e-01},
1472{7.3853971e-01},
1473{6.6752554e-01},
1474{8.4076984e-01},
1475{1.1041197e+00},
1476{1.2107499e+00},
1477{1.2910787e+00},
1478{1.0889124e+00},
1479{7.6218879e-01},
1480{5.1854183e-01},
1481{4.8212027e-01},
1482{8.6343438e-01},
1483{9.9664176e-01},
1484{9.6786348e-01},
1485{1.1354766e+00},
1486{1.1100558e+00},
1487{1.1078273e+00},
1488{9.1950063e-01},
1489{7.4186814e-01},
1490{6.7554741e-01},
1491{8.2771704e-01},
1492{1.0970261e+00},
1493{1.2115055e+00},
1494{1.2926801e+00},
1495{1.1044430e+00},
1496{7.7268354e-01},
1497{5.2367729e-01},
1498{4.6962326e-01},
1499{8.4775775e-01},
1500{9.9325612e-01},
1501{9.6094332e-01},
1502{1.1271528e+00},
1503{1.1156670e+00},
1504{1.1183008e+00},
1505{9.4351589e-01},
1506{7.5035067e-01},
1507{6.6773972e-01},
1508{7.8886291e-01},
1509{1.0750322e+00},
1510{1.1971741e+00},
1511{1.2770426e+00},
1512{1.1387571e+00},
1513{8.0837143e-01},
1514{5.5509702e-01},
1515{4.5955065e-01},
1516{8.1398530e-01},
1517{1.0008314e+00},
1518{9.7057086e-01},
1519{1.1195985e+00},
1520{1.1149111e+00},
1521{1.0957539e+00},
1522{9.4451157e-01},
1523{7.4819097e-01},
1524{6.9474604e-01},
1525{8.1250200e-01},
1526{1.0876804e+00},
1527{1.2158509e+00},
1528{1.2988266e+00},
1529{1.1270851e+00},
1530{7.8595861e-01},
1531{5.2690470e-01},
1532{4.5032342e-01},
1533{8.2266007e-01},
1534{9.8371303e-01},
1535{9.4630598e-01},
1536{1.1090276e+00}};
1537
1538    private static readonly Dataset defaultDataset;
1539    private static readonly IEnumerable<string> defaultAllowedInputVariables;
1540    private static readonly string defaultTargetVariable;
1541
1542    static TimeSeriesPrognosisProblemData() {
1543      defaultDataset = new Dataset(new string[] { "x" }, mackey_glass_17);
1544      defaultDataset.Name = "Mackey-Glass (t=17) Time Series Benchmark Dataset";
1545      defaultAllowedInputVariables = Enumerable.Empty<string>();
1546      defaultTargetVariable = "x";
1547    }
1548    #endregion
1549
1550    private const string TrainingHorizonParameterName = "Training Horizon";
1551    private const string TestHorizonParameterName = "Test Horizon";
1552
1553    public IFixedValueParameter<IntValue> TrainingHorizonParameter {
1554      get { return (IFixedValueParameter<IntValue>)Parameters[TrainingHorizonParameterName]; }
1555    }
1556    public IFixedValueParameter<IntValue> TestHorizonParameter {
1557      get { return (IFixedValueParameter<IntValue>)Parameters[TestHorizonParameterName]; }
1558    }
1559
1560    #region Properties
1561    public int TrainingHorizon {
1562      get { return TrainingHorizonParameter.Value.Value; }
1563      set { TrainingHorizonParameter.Value.Value = value; }
1564    }
1565
1566    public int TestHorizon {
1567      get { return TestHorizonParameter.Value.Value; }
1568      set { TestHorizonParameter.Value.Value = value; }
1569    }
1570    #endregion
1571
1572    [StorableConstructor]
1573    protected TimeSeriesPrognosisProblemData(bool deserializing) : base(deserializing) { }
1574
1575    protected TimeSeriesPrognosisProblemData(TimeSeriesPrognosisProblemData original, Cloner cloner) : base(original, cloner) { }
1576    public override IDeepCloneable Clone(Cloner cloner) {
1577      return new TimeSeriesPrognosisProblemData(this, cloner);
1578    }
1579
1580    public TimeSeriesPrognosisProblemData()
1581      : this(defaultDataset, defaultAllowedInputVariables, defaultTargetVariable) {
1582      TrainingPartition.Start = 50;
1583    }
1584    public TimeSeriesPrognosisProblemData(Dataset dataset, IEnumerable<string> allowedInputVariables, string targetVariable)
1585      : base(dataset, allowedInputVariables, targetVariable) {
1586      Parameters.Add(new FixedValueParameter<IntValue>(TrainingHorizonParameterName, "Specifies the horizon (how far the prognosis reaches in the future) for each training sample.", new IntValue(1)));
1587      Parameters.Add(new FixedValueParameter<IntValue>(TestHorizonParameterName, "Specifies the horizon (how far the prognosis reaches in the future) for each test sample.", new IntValue(1)));
1588
1589      TrainingHorizonParameter.Hidden = true;
1590      TestHorizonParameter.Hidden = true;
1591
1592      TrainingPartition.Start = Math.Min((int)(TrainingPartition.Size * 0.2), 50);
1593
1594      RegisterParameterEventHandlers();
1595    }
1596
1597    public TimeSeriesPrognosisProblemData(ITimeSeriesPrognosisProblemData timeseriesProblemData)
1598      : this(timeseriesProblemData.Dataset, timeseriesProblemData.AllowedInputVariables, timeseriesProblemData.TargetVariable) {
1599
1600      TrainingPartition.Start = timeseriesProblemData.TrainingPartition.Start;
1601      TrainingPartition.End = timeseriesProblemData.TrainingPartition.End;
1602      TestPartition.Start = timeseriesProblemData.TestPartition.Start;
1603      TestPartition.End = timeseriesProblemData.TestPartition.End;
1604
1605      TrainingHorizon = timeseriesProblemData.TrainingHorizon;
1606      TestHorizon = timeseriesProblemData.TestHorizon;
1607    }
1608
1609    [StorableHook(HookType.AfterDeserialization)]
1610    private void AfterDeserialization() {
1611      RegisterParameterEventHandlers();
1612    }
1613
1614    private void RegisterParameterEventHandlers() {
1615      TrainingHorizonParameter.Value.ValueChanged += new System.EventHandler(Parameter_ValueChanged);
1616      TestHorizonParameter.Value.ValueChanged += new System.EventHandler(Parameter_ValueChanged);
1617    }
1618
1619    private void Parameter_ValueChanged(object sender, EventArgs e) {
1620      OnChanged();
1621    }
1622
1623    protected override bool IsProblemDataCompatible(IDataAnalysisProblemData problemData, out string errorMessage) {
1624      if (problemData == null) throw new ArgumentNullException("problemData", "The provided problemData is null.");
1625      ITimeSeriesPrognosisProblemData timeseriesProblemData = problemData as ITimeSeriesPrognosisProblemData;
1626      if (timeseriesProblemData == null)
1627        throw new ArgumentException("The problem data is not a time-series problem data. Instead a " + problemData.GetType().GetPrettyName() + " was provided.", "problemData");
1628
1629      var returnValue = base.IsProblemDataCompatible(problemData, out errorMessage);
1630      //check targetVariable
1631      if (problemData.InputVariables.All(var => var.Value != TargetVariable)) {
1632        errorMessage = string.Format("The target variable {0} is not present in the new problem data.", TargetVariable)
1633                       + Environment.NewLine + errorMessage;
1634        return false;
1635      }
1636      return returnValue;
1637    }
1638
1639    public override void AdjustProblemDataProperties(IDataAnalysisProblemData problemData) {
1640      TimeSeriesPrognosisProblemData timeSeriesProblemData = problemData as TimeSeriesPrognosisProblemData;
1641      if (timeSeriesProblemData == null)
1642        throw new ArgumentException("The problem data is not a timeseries problem data. Instead a " + problemData.GetType().GetPrettyName() + " was provided.", "problemData");
1643
1644      var trainingDataStart = TrainingIndices.First();
1645     
1646      base.AdjustProblemDataProperties(problemData);
1647     
1648      TestPartition.Start = trainingDataStart;
1649
1650      TrainingHorizon = timeSeriesProblemData.TrainingHorizon;
1651      TestHorizon = timeSeriesProblemData.TestHorizon;
1652    }
1653
1654  }
1655}
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