1 | #region License Information
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2 | /* HeuristicLab
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3 | * Copyright (C) 2002-2012 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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4 | *
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5 | * This file is part of HeuristicLab.
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6 | *
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7 | * HeuristicLab is free software: you can redistribute it and/or modify
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8 | * it under the terms of the GNU General Public License as published by
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9 | * the Free Software Foundation, either version 3 of the License, or
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10 | * (at your option) any later version.
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11 | *
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12 | * HeuristicLab is distributed in the hope that it will be useful,
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13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 | * GNU General Public License for more details.
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16 | *
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17 | * You should have received a copy of the GNU General Public License
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18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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19 | */
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20 | #endregion
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21 |
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22 | using System;
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23 | using System.Collections.Generic;
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24 | using System.Linq;
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25 | using HeuristicLab.Common;
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26 | using HeuristicLab.Core;
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27 | using HeuristicLab.Data;
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28 | using HeuristicLab.Optimization;
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29 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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30 |
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31 | namespace HeuristicLab.Problems.DataAnalysis {
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32 | [StorableClass]
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33 | [Item("Prognosis Results", "Represents a collection of time series prognosis results.")]
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34 | public class TimeSeriesPrognosisResults : ResultCollection {
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35 | #region result names
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36 | protected const string PrognosisTrainingMeanSquaredErrorResultName = "Mean squared error (training)";
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37 | protected const string PrognosisTestMeanSquaredErrorResultName = "Mean squared error (test)";
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38 | protected const string PrognosisTrainingMeanAbsoluteErrorResultName = "Mean absolute error (training)";
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39 | protected const string PrognosisTestMeanAbsoluteErrorResultName = "Mean absolute error (test)";
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40 | protected const string PrognosisTrainingSquaredCorrelationResultName = "Pearson's R² (training)";
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41 | protected const string PrognosisTestSquaredCorrelationResultName = "Pearson's R² (test)";
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42 | protected const string PrognosisTrainingRelativeErrorResultName = "Average relative error (training)";
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43 | protected const string PrognosisTestRelativeErrorResultName = "Average relative error (test)";
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44 | protected const string PrognosisTrainingNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (training)";
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45 | protected const string PrognosisTestNormalizedMeanSquaredErrorResultName = "Normalized mean squared error (test)";
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46 | protected const string PrognosisTrainingMeanErrorResultName = "Mean error (training)";
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47 | protected const string PrognosisTestMeanErrorResultName = "Mean error (test)";
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48 |
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49 | protected const string PrognosisTrainingDirectionalSymmetryResultName = "Average directional symmetry (training)";
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50 | protected const string PrognosisTestDirectionalSymmetryResultName = "Average directional symmetry (test)";
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51 | protected const string PrognosisTrainingWeightedDirectionalSymmetryResultName = "Average weighted directional symmetry (training)";
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52 | protected const string PrognosisTestWeightedDirectionalSymmetryResultName = "Average weighted directional symmetry (test)";
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53 | protected const string PrognosisTrainingTheilsUStatisticAR1ResultName = "Theil's U2 (AR1) (training)";
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54 | protected const string PrognosisTestTheilsUStatisticAR1ResultName = "Theil's U2 (AR1) (test)";
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55 | protected const string PrognosisTrainingTheilsUStatisticMeanResultName = "Theil's U2 (mean) (training)";
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56 | protected const string PrognosisTestTheilsUStatisticMeanResultName = "Theil's U2 (mean) (test)";
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57 | protected const string PrognosisTrainingTheilsUStatisticMovingAverageResultName = "Theil's U2 (moving average) (training)";
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58 | protected const string PrognosisTestTheilsUStatisticMovingAverageResultName = "Theil's U2 (moving average) (test)";
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59 | #endregion
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60 |
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61 | #region result descriptions
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62 | protected const string PrognosisTrainingMeanSquaredErrorResultDescription = "Mean of squared errors of the model on the training partition";
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63 | protected const string PrognosisTestMeanSquaredErrorResultDescription = "Mean of squared errors of the model on the test partition";
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64 | protected const string PrognosisTrainingMeanAbsoluteErrorResultDescription = "Mean of absolute errors of the model on the training partition";
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65 | protected const string PrognosisTestMeanAbsoluteErrorResultDescription = "Mean of absolute errors of the model on the test partition";
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66 | protected const string PrognosisTrainingSquaredCorrelationResultDescription = "Squared Pearson's correlation coefficient of the model output and the actual values on the training partition";
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67 | protected const string PrognosisTestSquaredCorrelationResultDescription = "Squared Pearson's correlation coefficient of the model output and the actual values on the test partition";
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68 | protected const string PrognosisTrainingRelativeErrorResultDescription = "Average of the relative errors of the model output and the actual values on the training partition";
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69 | protected const string PrognosisTestRelativeErrorResultDescription = "Average of the relative errors of the model output and the actual values on the test partition";
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70 | protected const string PrognosisTrainingNormalizedMeanSquaredErrorResultDescription = "Normalized mean of squared errors of the model on the training partition";
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71 | protected const string PrognosisTestNormalizedMeanSquaredErrorResultDescription = "Normalized mean of squared errors of the model on the test partition";
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72 | protected const string PrognosisTrainingMeanErrorResultDescription = "Mean of errors of the model on the training partition";
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73 | protected const string PrognosisTestMeanErrorResultDescription = "Mean of errors of the model on the test partition";
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74 |
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75 | protected const string PrognosisTrainingDirectionalSymmetryResultDescription = "The average directional symmetry of the forecasts of the model on the training partition";
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76 | protected const string PrognosisTestDirectionalSymmetryResultDescription = "The average directional symmetry of the forecasts of the model on the test partition";
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77 | protected const string PrognosisTrainingWeightedDirectionalSymmetryResultDescription = "The average weighted directional symmetry of the forecasts of the model on the training partition";
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78 | protected const string PrognosisTestWeightedDirectionalSymmetryResultDescription = "The average weighted directional symmetry of the forecasts of the model on the test partition";
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79 | protected const string PrognosisTrainingTheilsUStatisticAR1ResultDescription = "The Theil's U statistic (reference: AR1 model) of the forecasts of the model on the training partition";
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80 | protected const string PrognosisTestTheilsUStatisticAR1ResultDescription = "The Theil's U statistic (reference: AR1 model) of the forecasts of the model on the test partition";
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81 | protected const string PrognosisTrainingTheilsUStatisticMeanResultDescription = "The Theil's U statistic (reference: mean model) of the forecasts of the model on the training partition";
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82 | protected const string PrognosisTestTheilsUStatisticMeanResultDescription = "The Theil's U statistic (reference: mean value) of the forecasts of the model on the test partition";
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83 | protected const string PrognosisTrainingTheilsUStatisticMovingAverageResultDescription = "The Theil's U statistic (reference: moving average model) of the forecasts of the model on the training partition";
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84 | protected const string PrognosisTestTheilsUStatisticMovingAverageResultDescription = "The Theil's U statistic (reference: moving average model) of the forecasts of the model on the test partition";
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85 | #endregion
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86 |
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87 | #region result properties
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88 | //prognosis results for different horizons
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89 | public double PrognosisTrainingMeanSquaredError {
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90 | get {
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91 | if (!ContainsKey(PrognosisTrainingMeanSquaredErrorResultName)) return double.NaN;
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92 | return ((DoubleValue)this[PrognosisTrainingMeanSquaredErrorResultName].Value).Value;
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93 | }
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94 | private set {
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95 | if (!ContainsKey(PrognosisTrainingMeanSquaredErrorResultName)) Add(new Result(PrognosisTrainingMeanSquaredErrorResultName, PrognosisTrainingMeanSquaredErrorResultDescription, new DoubleValue()));
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96 | ((DoubleValue)this[PrognosisTrainingMeanSquaredErrorResultName].Value).Value = value;
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97 | }
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98 | }
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99 |
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100 | public double PrognosisTestMeanSquaredError {
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101 | get {
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102 | if (!ContainsKey(PrognosisTestMeanSquaredErrorResultName)) return double.NaN;
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103 | return ((DoubleValue)this[PrognosisTestMeanSquaredErrorResultName].Value).Value;
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104 | }
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105 | private set {
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106 | if (!ContainsKey(PrognosisTestMeanSquaredErrorResultName)) Add(new Result(PrognosisTestMeanSquaredErrorResultName, PrognosisTestMeanSquaredErrorResultDescription, new DoubleValue()));
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107 | ((DoubleValue)this[PrognosisTestMeanSquaredErrorResultName].Value).Value = value;
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108 | }
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109 | }
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110 |
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111 | public double PrognosisTrainingMeanAbsoluteError {
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112 | get {
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113 | if (!ContainsKey(PrognosisTrainingMeanAbsoluteErrorResultName)) return double.NaN;
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114 | return ((DoubleValue)this[PrognosisTrainingMeanAbsoluteErrorResultName].Value).Value;
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115 | }
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116 | private set {
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117 | if (!ContainsKey(PrognosisTrainingMeanAbsoluteErrorResultName)) Add(new Result(PrognosisTrainingMeanAbsoluteErrorResultName, PrognosisTrainingMeanAbsoluteErrorResultDescription, new DoubleValue()));
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118 | ((DoubleValue)this[PrognosisTrainingMeanAbsoluteErrorResultName].Value).Value = value;
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119 | }
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120 | }
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121 |
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122 | public double PrognosisTestMeanAbsoluteError {
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123 | get {
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124 | if (!ContainsKey(PrognosisTestMeanAbsoluteErrorResultName)) return double.NaN;
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125 | return ((DoubleValue)this[PrognosisTestMeanAbsoluteErrorResultName].Value).Value;
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126 | }
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127 | private set {
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128 | if (!ContainsKey(PrognosisTestMeanAbsoluteErrorResultName)) Add(new Result(PrognosisTestMeanAbsoluteErrorResultName, PrognosisTestMeanAbsoluteErrorResultDescription, new DoubleValue()));
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129 | ((DoubleValue)this[PrognosisTestMeanAbsoluteErrorResultName].Value).Value = value;
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130 | }
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131 | }
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132 |
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133 | public double PrognosisTrainingRSquared {
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134 | get {
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135 | if (!ContainsKey(PrognosisTrainingSquaredCorrelationResultName)) return double.NaN;
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136 | return ((DoubleValue)this[PrognosisTrainingSquaredCorrelationResultName].Value).Value;
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137 | }
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138 | private set {
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139 | if (!ContainsKey(PrognosisTrainingSquaredCorrelationResultName)) Add(new Result(PrognosisTrainingSquaredCorrelationResultName, PrognosisTrainingSquaredCorrelationResultDescription, new DoubleValue()));
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140 | ((DoubleValue)this[PrognosisTrainingSquaredCorrelationResultName].Value).Value = value;
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141 | }
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142 | }
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143 |
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144 | public double PrognosisTestRSquared {
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145 | get {
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146 | if (!ContainsKey(PrognosisTestSquaredCorrelationResultName)) return double.NaN;
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147 | return ((DoubleValue)this[PrognosisTestSquaredCorrelationResultName].Value).Value;
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148 | }
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149 | private set {
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150 | if (!ContainsKey(PrognosisTestSquaredCorrelationResultName)) Add(new Result(PrognosisTestSquaredCorrelationResultName, PrognosisTestSquaredCorrelationResultDescription, new DoubleValue()));
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151 | ((DoubleValue)this[PrognosisTestSquaredCorrelationResultName].Value).Value = value;
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152 | }
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153 | }
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154 |
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155 | public double PrognosisTrainingRelativeError {
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156 | get {
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157 | if (!ContainsKey(PrognosisTrainingRelativeErrorResultName)) return double.NaN;
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158 | return ((DoubleValue)this[PrognosisTrainingRelativeErrorResultName].Value).Value;
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159 | }
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160 | private set {
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161 | if (!ContainsKey(PrognosisTrainingRelativeErrorResultName)) Add(new Result(PrognosisTrainingRelativeErrorResultName, PrognosisTrainingRelativeErrorResultDescription, new DoubleValue()));
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162 | ((DoubleValue)this[PrognosisTrainingRelativeErrorResultName].Value).Value = value;
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163 | }
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164 | }
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165 |
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166 | public double PrognosisTestRelativeError {
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167 | get {
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168 | if (!ContainsKey(PrognosisTestRelativeErrorResultName)) return double.NaN;
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169 | return ((DoubleValue)this[PrognosisTestRelativeErrorResultName].Value).Value;
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170 | }
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171 | private set {
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172 | if (!ContainsKey(PrognosisTestRelativeErrorResultName)) Add(new Result(PrognosisTestRelativeErrorResultName, PrognosisTestRelativeErrorResultDescription, new DoubleValue()));
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173 | ((DoubleValue)this[PrognosisTestRelativeErrorResultName].Value).Value = value;
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174 | }
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175 | }
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176 |
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177 | public double PrognosisTrainingNormalizedMeanSquaredError {
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178 | get {
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179 | if (!ContainsKey(PrognosisTrainingNormalizedMeanSquaredErrorResultName)) return double.NaN;
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180 | return ((DoubleValue)this[PrognosisTrainingNormalizedMeanSquaredErrorResultName].Value).Value;
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181 | }
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182 | private set {
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183 | if (!ContainsKey(PrognosisTrainingNormalizedMeanSquaredErrorResultName)) Add(new Result(PrognosisTrainingNormalizedMeanSquaredErrorResultName, PrognosisTrainingNormalizedMeanSquaredErrorResultDescription, new DoubleValue()));
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184 | ((DoubleValue)this[PrognosisTrainingNormalizedMeanSquaredErrorResultName].Value).Value = value;
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185 | }
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186 | }
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187 |
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188 | public double PrognosisTestNormalizedMeanSquaredError {
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189 | get {
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190 | if (!ContainsKey(PrognosisTestNormalizedMeanSquaredErrorResultName)) return double.NaN;
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191 | return ((DoubleValue)this[PrognosisTestNormalizedMeanSquaredErrorResultName].Value).Value;
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192 | }
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193 | private set {
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194 | if (!ContainsKey(PrognosisTestNormalizedMeanSquaredErrorResultName)) Add(new Result(PrognosisTestNormalizedMeanSquaredErrorResultName, PrognosisTestNormalizedMeanSquaredErrorResultDescription, new DoubleValue()));
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195 | ((DoubleValue)this[PrognosisTestNormalizedMeanSquaredErrorResultName].Value).Value = value;
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196 | }
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197 | }
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198 |
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199 | public double PrognosisTrainingMeanError {
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200 | get {
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201 | if (!ContainsKey(PrognosisTrainingMeanErrorResultName)) return double.NaN;
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202 | return ((DoubleValue)this[PrognosisTrainingMeanErrorResultName].Value).Value;
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203 | }
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204 | private set {
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205 | if (!ContainsKey(PrognosisTrainingMeanErrorResultName)) Add(new Result(PrognosisTrainingMeanErrorResultName, PrognosisTrainingMeanErrorResultDescription, new DoubleValue()));
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206 | ((DoubleValue)this[PrognosisTrainingMeanErrorResultName].Value).Value = value;
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207 | }
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208 | }
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209 |
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210 | public double PrognosisTestMeanError {
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211 | get {
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212 | if (!ContainsKey(PrognosisTestMeanErrorResultName)) return double.NaN;
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213 | return ((DoubleValue)this[PrognosisTestMeanErrorResultName].Value).Value;
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214 | }
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215 | private set {
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216 | if (!ContainsKey(PrognosisTestMeanErrorResultName)) Add(new Result(PrognosisTestMeanErrorResultName, PrognosisTestMeanErrorResultDescription, new DoubleValue()));
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217 | ((DoubleValue)this[PrognosisTestMeanErrorResultName].Value).Value = value;
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218 | }
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219 | }
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220 |
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221 |
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222 | public double PrognosisTrainingDirectionalSymmetry {
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223 | get {
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224 | if (!ContainsKey(PrognosisTrainingDirectionalSymmetryResultName)) return double.NaN;
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225 | return ((DoubleValue)this[PrognosisTrainingDirectionalSymmetryResultName].Value).Value;
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226 | }
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227 | private set {
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228 | if (!ContainsKey(PrognosisTrainingDirectionalSymmetryResultName)) Add(new Result(PrognosisTrainingDirectionalSymmetryResultName, PrognosisTrainingDirectionalSymmetryResultDescription, new DoubleValue()));
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229 | ((DoubleValue)this[PrognosisTrainingDirectionalSymmetryResultName].Value).Value = value;
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230 | }
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231 | }
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232 | public double PrognosisTestDirectionalSymmetry {
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233 | get {
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234 | if (!ContainsKey(PrognosisTestDirectionalSymmetryResultName)) return double.NaN;
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235 | return ((DoubleValue)this[PrognosisTestDirectionalSymmetryResultName].Value).Value;
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236 | }
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237 | private set {
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238 | if (!ContainsKey(PrognosisTestDirectionalSymmetryResultName)) Add(new Result(PrognosisTestDirectionalSymmetryResultName, PrognosisTestDirectionalSymmetryResultDescription, new DoubleValue()));
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239 | ((DoubleValue)this[PrognosisTestDirectionalSymmetryResultName].Value).Value = value;
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240 | }
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241 | }
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242 | public double PrognosisTrainingWeightedDirectionalSymmetry {
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243 | get {
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244 | if (!ContainsKey(PrognosisTrainingWeightedDirectionalSymmetryResultName)) return double.NaN;
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245 | return ((DoubleValue)this[PrognosisTrainingWeightedDirectionalSymmetryResultName].Value).Value;
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246 | }
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247 | private set {
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248 | if (!ContainsKey(PrognosisTrainingWeightedDirectionalSymmetryResultName)) Add(new Result(PrognosisTrainingWeightedDirectionalSymmetryResultName, PrognosisTrainingWeightedDirectionalSymmetryResultDescription, new DoubleValue()));
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249 | ((DoubleValue)this[PrognosisTrainingWeightedDirectionalSymmetryResultName].Value).Value = value;
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250 | }
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251 | }
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252 | public double PrognosisTestWeightedDirectionalSymmetry {
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253 | get {
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254 | if (!ContainsKey(PrognosisTestWeightedDirectionalSymmetryResultName)) return double.NaN;
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255 | return ((DoubleValue)this[PrognosisTestWeightedDirectionalSymmetryResultName].Value).Value;
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256 | }
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257 | private set {
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258 | if (!ContainsKey(PrognosisTestWeightedDirectionalSymmetryResultName)) Add(new Result(PrognosisTestWeightedDirectionalSymmetryResultName, PrognosisTestWeightedDirectionalSymmetryResultDescription, new DoubleValue()));
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259 | ((DoubleValue)this[PrognosisTestWeightedDirectionalSymmetryResultName].Value).Value = value;
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260 | }
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261 | }
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262 | public double PrognosisTrainingTheilsUStatisticAR1 {
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263 | get {
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264 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticAR1ResultName)) return double.NaN;
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265 | return ((DoubleValue)this[PrognosisTrainingTheilsUStatisticAR1ResultName].Value).Value;
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266 | }
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267 | private set {
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268 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticAR1ResultName)) Add(new Result(PrognosisTrainingTheilsUStatisticAR1ResultName, PrognosisTrainingTheilsUStatisticAR1ResultDescription, new DoubleValue()));
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269 | ((DoubleValue)this[PrognosisTrainingTheilsUStatisticAR1ResultName].Value).Value = value;
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270 | }
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271 | }
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272 | public double PrognosisTestTheilsUStatisticAR1 {
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273 | get {
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274 | if (!ContainsKey(PrognosisTestTheilsUStatisticAR1ResultName)) return double.NaN;
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275 | return ((DoubleValue)this[PrognosisTestTheilsUStatisticAR1ResultName].Value).Value;
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276 | }
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277 | private set {
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278 | if (!ContainsKey(PrognosisTestTheilsUStatisticAR1ResultName)) Add(new Result(PrognosisTestTheilsUStatisticAR1ResultName, PrognosisTestTheilsUStatisticAR1ResultDescription, new DoubleValue()));
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279 | ((DoubleValue)this[PrognosisTestTheilsUStatisticAR1ResultName].Value).Value = value;
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280 | }
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281 | }
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282 | public double PrognosisTrainingTheilsUStatisticMean {
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283 | get {
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284 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticMeanResultName)) return double.NaN;
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285 | return ((DoubleValue)this[PrognosisTrainingTheilsUStatisticMeanResultName].Value).Value;
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286 | }
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287 | private set {
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288 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticMeanResultName)) Add(new Result(PrognosisTrainingTheilsUStatisticMeanResultName, PrognosisTrainingTheilsUStatisticMeanResultDescription, new DoubleValue()));
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289 | ((DoubleValue)this[PrognosisTrainingTheilsUStatisticMeanResultName].Value).Value = value;
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290 | }
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291 | }
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292 | public double PrognosisTestTheilsUStatisticMean {
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293 | get {
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294 | if (!ContainsKey(PrognosisTestTheilsUStatisticMeanResultName)) return double.NaN;
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295 | return ((DoubleValue)this[PrognosisTestTheilsUStatisticMeanResultName].Value).Value;
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296 | }
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297 | private set {
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298 | if (!ContainsKey(PrognosisTestTheilsUStatisticMeanResultName)) Add(new Result(PrognosisTestTheilsUStatisticMeanResultName, PrognosisTestTheilsUStatisticMeanResultDescription, new DoubleValue()));
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299 | ((DoubleValue)this[PrognosisTestTheilsUStatisticMeanResultName].Value).Value = value;
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300 | }
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301 | }
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302 | public double PrognosisTrainingTheilsUStatisticMovingAverage {
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303 | get {
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304 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticMovingAverageResultName)) return double.NaN;
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305 | return ((DoubleValue)this[PrognosisTrainingTheilsUStatisticMovingAverageResultName].Value).Value;
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306 | }
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307 | private set {
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308 | if (!ContainsKey(PrognosisTrainingTheilsUStatisticMovingAverageResultName)) Add(new Result(PrognosisTrainingTheilsUStatisticMovingAverageResultName, PrognosisTrainingTheilsUStatisticMovingAverageResultDescription, new DoubleValue()));
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309 | ((DoubleValue)this[PrognosisTrainingTheilsUStatisticMovingAverageResultName].Value).Value = value;
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310 | }
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311 | }
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312 | public double PrognosisTestTheilsUStatisticMovingAverage {
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313 | get {
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314 | if (!ContainsKey(PrognosisTestTheilsUStatisticMovingAverageResultName)) return double.NaN;
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315 | return ((DoubleValue)this[PrognosisTestTheilsUStatisticMovingAverageResultName].Value).Value;
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316 | }
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317 | private set {
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318 | if (!ContainsKey(PrognosisTestTheilsUStatisticMovingAverageResultName)) Add(new Result(PrognosisTestTheilsUStatisticMovingAverageResultName, PrognosisTestTheilsUStatisticMovingAverageResultDescription, new DoubleValue()));
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319 | ((DoubleValue)this[PrognosisTestTheilsUStatisticMovingAverageResultName].Value).Value = value;
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320 | }
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321 | }
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322 | #endregion
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323 |
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324 |
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325 | private int trainingHorizon;
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326 | [Storable]
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327 | public int TrainingHorizon {
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328 | get { return trainingHorizon; }
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329 | set {
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330 | if (trainingHorizon != value) {
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331 | trainingHorizon = value;
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332 | OnTrainingHorizonChanged();
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333 | }
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334 | }
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335 | }
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336 |
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337 | private int testHorizon;
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338 | [Storable]
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339 | public int TestHorizon {
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340 | get { return testHorizon; }
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341 | set {
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342 | if (testHorizon != value) {
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343 | testHorizon = value;
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344 | OnTestHorizonChanged();
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345 | }
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346 | }
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347 | }
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348 |
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349 | private ITimeSeriesPrognosisSolution solution;
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350 | [Storable]
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351 | public ITimeSeriesPrognosisSolution Solution {
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352 | get { return solution; }
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353 | }
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354 |
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355 | [StorableConstructor]
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356 | public TimeSeriesPrognosisResults(bool deserializing) : base(deserializing) { }
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357 | protected TimeSeriesPrognosisResults(TimeSeriesPrognosisResults original, Cloner cloner) : base(original, cloner) { }
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358 | public override IDeepCloneable Clone(Cloner cloner) {
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359 | return new TimeSeriesPrognosisResults(this, cloner);
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360 | }
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361 |
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362 | public TimeSeriesPrognosisResults(int trainingHorizon, int testHorizon, ITimeSeriesPrognosisSolution solution)
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363 | : base() {
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364 | this.trainingHorizon = trainingHorizon;
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365 | this.testHorizon = testHorizon;
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366 | this.solution = solution;
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367 | CalculateTrainingPrognosisResults();
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368 | CalculateTestPrognosisResults();
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369 | }
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370 |
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371 | #region events
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372 | public event EventHandler TrainingHorizonChanged;
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373 | protected virtual void OnTrainingHorizonChanged() {
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374 | CalculateTrainingPrognosisResults();
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375 | var handler = TrainingHorizonChanged;
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376 | if (handler != null) handler(this, EventArgs.Empty);
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377 | }
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378 |
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379 | public event EventHandler TestHorizonChanged;
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380 | protected virtual void OnTestHorizonChanged() {
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381 | CalculateTestPrognosisResults();
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382 | var handler = TestHorizonChanged;
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383 | if (handler != null) handler(this, EventArgs.Empty);
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384 | }
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385 | #endregion
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386 |
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387 | private void CalculateTrainingPrognosisResults() {
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388 | OnlineCalculatorError errorState;
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389 | var problemData = Solution.ProblemData;
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390 | var model = Solution.Model;
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391 | //mean model
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392 | double trainingMean = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices).Average();
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393 | var meanModel = new ConstantTimeSeriesPrognosisModel(trainingMean);
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394 |
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395 | //AR1 model
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396 | double alpha, beta;
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397 | IEnumerable<double> trainingStartValues = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices.Select(r => r - 1).Where(r => r > 0)).ToList();
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398 | OnlineLinearScalingParameterCalculator.Calculate(problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices.Where(x => x > 0)), trainingStartValues, out alpha, out beta, out errorState);
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399 | var AR1model = new TimeSeriesPrognosisAutoRegressiveModel(problemData.TargetVariable, new double[] { beta }, alpha);
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400 |
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401 | //MA model
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402 | const int movingAverageWindowSize = 10;
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403 | var MovingAverageModel = new TimeSeriesPrognosisMovingAverageModel(movingAverageWindowSize, problemData.TargetVariable);
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404 |
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405 | var trainingHorizions = problemData.TrainingIndices.Select(r => Math.Min(trainingHorizon, problemData.TrainingPartition.End - r)).ToList();
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406 | IEnumerable<IEnumerable<double>> trainingTargetValues = problemData.TrainingIndices.Zip(trainingHorizions, Enumerable.Range).Select(r => problemData.Dataset.GetDoubleValues(problemData.TargetVariable, r)).ToList();
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407 | IEnumerable<IEnumerable<double>> trainingEstimatedValues = model.GetPrognosedValues(problemData.Dataset, problemData.TrainingIndices, trainingHorizions).ToList();
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408 | IEnumerable<IEnumerable<double>> trainingMeanModelPredictions = meanModel.GetPrognosedValues(problemData.Dataset, problemData.TrainingIndices, trainingHorizions).ToList();
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409 | IEnumerable<IEnumerable<double>> trainingAR1ModelPredictions = AR1model.GetPrognosedValues(problemData.Dataset, problemData.TrainingIndices, trainingHorizions).ToList();
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410 | IEnumerable<IEnumerable<double>> trainingMovingAverageModelPredictions = MovingAverageModel.GetPrognosedValues(problemData.Dataset, problemData.TrainingIndices, trainingHorizions).ToList();
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411 |
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412 | IEnumerable<double> originalTrainingValues = trainingTargetValues.SelectMany(x => x).ToList();
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413 | IEnumerable<double> estimatedTrainingValues = trainingEstimatedValues.SelectMany(x => x).ToList();
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414 |
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415 | double trainingMSE = OnlineMeanSquaredErrorCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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416 | PrognosisTrainingMeanSquaredError = errorState == OnlineCalculatorError.None ? trainingMSE : double.NaN;
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417 | double trainingMAE = OnlineMeanAbsoluteErrorCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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418 | PrognosisTrainingMeanAbsoluteError = errorState == OnlineCalculatorError.None ? trainingMAE : double.NaN;
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419 | double trainingR2 = OnlinePearsonsRSquaredCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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420 | PrognosisTrainingRSquared = errorState == OnlineCalculatorError.None ? trainingR2 : double.NaN;
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421 | double trainingRelError = OnlineMeanAbsolutePercentageErrorCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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422 | PrognosisTrainingRelativeError = errorState == OnlineCalculatorError.None ? trainingRelError : double.NaN;
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423 | double trainingNMSE = OnlineNormalizedMeanSquaredErrorCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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424 | PrognosisTrainingNormalizedMeanSquaredError = errorState == OnlineCalculatorError.None ? trainingNMSE : double.NaN;
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425 | double trainingME = OnlineMeanErrorCalculator.Calculate(originalTrainingValues, estimatedTrainingValues, out errorState);
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426 | PrognosisTrainingMeanError = errorState == OnlineCalculatorError.None ? trainingME : double.NaN;
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427 |
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428 | PrognosisTrainingDirectionalSymmetry = OnlineDirectionalSymmetryCalculator.Calculate(trainingStartValues, trainingTargetValues, trainingEstimatedValues, out errorState);
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429 | PrognosisTrainingDirectionalSymmetry = errorState == OnlineCalculatorError.None ? PrognosisTrainingDirectionalSymmetry : 0.0;
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430 | PrognosisTrainingWeightedDirectionalSymmetry = OnlineWeightedDirectionalSymmetryCalculator.Calculate(trainingStartValues, trainingTargetValues, trainingEstimatedValues, out errorState);
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431 | PrognosisTrainingWeightedDirectionalSymmetry = errorState == OnlineCalculatorError.None ? PrognosisTrainingWeightedDirectionalSymmetry : 0.0;
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432 | PrognosisTrainingTheilsUStatisticAR1 = OnlineTheilsUStatisticCalculator.Calculate(trainingStartValues, trainingTargetValues, trainingAR1ModelPredictions, trainingEstimatedValues, out errorState);
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433 | PrognosisTrainingTheilsUStatisticAR1 = errorState == OnlineCalculatorError.None ? PrognosisTrainingTheilsUStatisticAR1 : double.PositiveInfinity;
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434 | PrognosisTrainingTheilsUStatisticMean = OnlineTheilsUStatisticCalculator.Calculate(trainingStartValues, trainingTargetValues, trainingMeanModelPredictions, trainingEstimatedValues, out errorState);
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435 | PrognosisTrainingTheilsUStatisticMean = errorState == OnlineCalculatorError.None ? PrognosisTrainingTheilsUStatisticMean : double.PositiveInfinity;
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436 | PrognosisTrainingTheilsUStatisticMovingAverage = OnlineTheilsUStatisticCalculator.Calculate(trainingStartValues, trainingTargetValues, trainingMovingAverageModelPredictions, trainingEstimatedValues, out errorState);
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437 | PrognosisTrainingTheilsUStatisticMovingAverage = errorState == OnlineCalculatorError.None ? PrognosisTrainingTheilsUStatisticMovingAverage : double.PositiveInfinity;
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438 | }
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439 |
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440 | private void CalculateTestPrognosisResults() {
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441 | OnlineCalculatorError errorState;
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442 | var problemData = Solution.ProblemData;
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443 | var model = Solution.Model;
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444 | //mean model
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445 | double trainingMean = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices).Average();
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446 | var meanModel = new ConstantTimeSeriesPrognosisModel(trainingMean);
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447 |
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448 | //AR1 model
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449 | double alpha, beta;
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450 | IEnumerable<double> trainingStartValues = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices.Select(r => r - 1).Where(r => r > 0)).ToList();
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451 | OnlineLinearScalingParameterCalculator.Calculate(problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TrainingIndices.Where(x => x > 0)), trainingStartValues, out alpha, out beta, out errorState);
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452 | var AR1model = new TimeSeriesPrognosisAutoRegressiveModel(problemData.TargetVariable, new double[] { beta }, alpha);
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453 |
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454 | //MA model
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455 | const int movingAverageWindowSize = 10;
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456 | var MovingAverageModel = new TimeSeriesPrognosisMovingAverageModel(movingAverageWindowSize, problemData.TargetVariable);
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457 |
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458 | var testHorizions = problemData.TestIndices.Select(r => Math.Min(testHorizon, problemData.TestPartition.End - r)).ToList();
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459 | IEnumerable<IEnumerable<double>> testTargetValues = problemData.TestIndices.Zip(testHorizions, Enumerable.Range).Select(r => problemData.Dataset.GetDoubleValues(problemData.TargetVariable, r)).ToList();
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460 | IEnumerable<IEnumerable<double>> testEstimatedValues = model.GetPrognosedValues(problemData.Dataset, problemData.TestIndices, testHorizions).ToList();
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461 | IEnumerable<double> testStartValues = problemData.Dataset.GetDoubleValues(problemData.TargetVariable, problemData.TestIndices.Select(r => r - 1).Where(r => r > 0)).ToList();
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462 | IEnumerable<IEnumerable<double>> testMeanModelPredictions = meanModel.GetPrognosedValues(problemData.Dataset, problemData.TestIndices, testHorizions).ToList();
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463 | IEnumerable<IEnumerable<double>> testAR1ModelPredictions = AR1model.GetPrognosedValues(problemData.Dataset, problemData.TestIndices, testHorizions).ToList();
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464 | IEnumerable<IEnumerable<double>> testMovingAverageModelPredictions = MovingAverageModel.GetPrognosedValues(problemData.Dataset, problemData.TestIndices, testHorizions).ToList();
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465 |
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466 | IEnumerable<double> originalTestValues = testTargetValues.SelectMany(x => x).ToList();
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467 | IEnumerable<double> estimatedTestValues = testEstimatedValues.SelectMany(x => x).ToList();
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468 |
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469 | double testMSE = OnlineMeanSquaredErrorCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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470 | PrognosisTestMeanSquaredError = errorState == OnlineCalculatorError.None ? testMSE : double.NaN;
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471 | double testMAE = OnlineMeanAbsoluteErrorCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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472 | PrognosisTestMeanAbsoluteError = errorState == OnlineCalculatorError.None ? testMAE : double.NaN;
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473 | double testR2 = OnlinePearsonsRSquaredCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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474 | PrognosisTestRSquared = errorState == OnlineCalculatorError.None ? testR2 : double.NaN;
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475 | double testRelError = OnlineMeanAbsolutePercentageErrorCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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476 | PrognosisTestRelativeError = errorState == OnlineCalculatorError.None ? testRelError : double.NaN;
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477 | double testNMSE = OnlineNormalizedMeanSquaredErrorCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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478 | PrognosisTestNormalizedMeanSquaredError = errorState == OnlineCalculatorError.None ? testNMSE : double.NaN;
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479 | double testME = OnlineMeanErrorCalculator.Calculate(originalTestValues, estimatedTestValues, out errorState);
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480 | PrognosisTestMeanError = errorState == OnlineCalculatorError.None ? testME : double.NaN;
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481 |
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482 | PrognosisTestDirectionalSymmetry = OnlineDirectionalSymmetryCalculator.Calculate(testStartValues, testTargetValues, testEstimatedValues, out errorState);
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483 | PrognosisTestDirectionalSymmetry = errorState == OnlineCalculatorError.None ? PrognosisTestDirectionalSymmetry : 0.0;
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484 | PrognosisTestWeightedDirectionalSymmetry = OnlineWeightedDirectionalSymmetryCalculator.Calculate(testStartValues, testTargetValues, testEstimatedValues, out errorState);
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485 | PrognosisTestWeightedDirectionalSymmetry = errorState == OnlineCalculatorError.None ? PrognosisTestWeightedDirectionalSymmetry : 0.0;
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486 | PrognosisTestTheilsUStatisticAR1 = OnlineTheilsUStatisticCalculator.Calculate(testStartValues, testTargetValues, testAR1ModelPredictions, testEstimatedValues, out errorState);
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487 | PrognosisTestTheilsUStatisticAR1 = errorState == OnlineCalculatorError.None ? PrognosisTestTheilsUStatisticAR1 : double.PositiveInfinity;
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488 | PrognosisTestTheilsUStatisticMean = OnlineTheilsUStatisticCalculator.Calculate(testStartValues, testTargetValues, testMeanModelPredictions, testEstimatedValues, out errorState);
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489 | PrognosisTestTheilsUStatisticMean = errorState == OnlineCalculatorError.None ? PrognosisTestTheilsUStatisticMean : double.PositiveInfinity;
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490 | PrognosisTestTheilsUStatisticMovingAverage = OnlineTheilsUStatisticCalculator.Calculate(testStartValues, testTargetValues, testMovingAverageModelPredictions, testEstimatedValues, out errorState);
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491 | PrognosisTestTheilsUStatisticMovingAverage = errorState == OnlineCalculatorError.None ? PrognosisTestTheilsUStatisticMovingAverage : double.PositiveInfinity;
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492 | }
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493 | }
|
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494 | }
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