| 1 | #region License Information
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| 2 | /* HeuristicLab
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| 3 | * Copyright (C) 2002-2011 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.Collections.Generic;
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| 23 | using System.Linq;
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| 24 | using HeuristicLab.Common;
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| 25 | using HeuristicLab.Data;
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| 26 | using HeuristicLab.Optimization;
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| 27 | using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
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| 28 |
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| 29 | namespace HeuristicLab.Problems.DataAnalysis {
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| 30 | [StorableClass]
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| 31 | public abstract class TimeSeriesPrognosisSolutionBase : RegressionSolutionBase, ITimeSeriesPrognosisSolution {
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| 32 | #region result names
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| 33 | protected const string TrainingDirectionalSymmetryResultName = "Average directional symmetry (training)";
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| 34 | protected const string TestDirectionalSymmetryResultName = "Average directional symmetry (test)";
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| 35 | protected const string TrainingWeightedDirectionalSymmetryResultName = "Average weighted directional symmetry (training)";
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| 36 | protected const string TestWeightedDirectionalSymmetryResultName = "Average weighted directional symmetry (test)";
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| 37 | protected const string TrainingTheilsUStatisticAR1ResultName = "Theil's U2 (AR1) (training)";
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| 38 | protected const string TestTheilsUStatisticLastResultName = "Theil's U2 (AR1) (test)";
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| 39 | protected const string TrainingTheilsUStatisticMeanResultName = "Theil's U2 (mean) (training)";
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| 40 | protected const string TestTheilsUStatisticMeanResultName = "Theil's U2 (mean) (test)";
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| 41 | protected const string TrainingTheilsUStatisticMovingAverageResultName = "Theil's U2 (moving average) (training)";
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| 42 | protected const string TestTheilsUStatisticMovingAverageResultName = "Theil's U2 (moving average) (test)";
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| 43 | protected const string TimeSeriesPrognosisResultName = "Prognosis Results";
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| 44 | #endregion
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| 45 |
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| 46 | #region result descriptions
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| 47 | protected const string TrainingDirectionalSymmetryResultDescription = "The average directional symmetry of the forecasts of the model on the training partition";
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| 48 | protected const string TestDirectionalSymmetryResultDescription = "The average directional symmetry of the forecasts of the model on the test partition";
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| 49 | protected const string TrainingWeightedDirectionalSymmetryResultDescription = "The average weighted directional symmetry of the forecasts of the model on the training partition";
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| 50 | protected const string TestWeightedDirectionalSymmetryResultDescription = "The average weighted directional symmetry of the forecasts of the model on the test partition";
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| 51 | protected const string TrainingTheilsUStatisticAR1ResultDescription = "The Theil's U statistic (reference: AR1 model) of the forecasts of the model on the training partition";
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| 52 | protected const string TestTheilsUStatisticAR1ResultDescription = "The Theil's U statistic (reference: AR1 model) of the forecasts of the model on the test partition";
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| 53 | protected const string TrainingTheilsUStatisticMeanResultDescription = "The Theil's U statistic (reference: mean model) of the forecasts of the model on the training partition";
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| 54 | protected const string TestTheilsUStatisticMeanResultDescription = "The Theil's U statistic (reference: mean value) of the forecasts of the model on the test partition";
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| 55 | protected const string TrainingTheilsUStatisticMovingAverageResultDescription = "The Theil's U statistic (reference: moving average model) of the forecasts of the model on the training partition";
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| 56 | protected const string TestTheilsUStatisticMovingAverageResultDescription = "The Theil's U statistic (reference: moving average model) of the forecasts of the model on the test partition";
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| 57 | protected const string TimeSeriesPrognosisResultDescription = "The calculated results of predictions in the future.";
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| 58 | #endregion
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| 59 |
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| 60 | public new ITimeSeriesPrognosisModel Model {
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| 61 | get { return (ITimeSeriesPrognosisModel)base.Model; }
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| 62 | protected set { base.Model = value; }
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| 63 | }
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| 64 |
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| 65 | public new ITimeSeriesPrognosisProblemData ProblemData {
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| 66 | get { return (ITimeSeriesPrognosisProblemData)base.ProblemData; }
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| 67 | set { base.ProblemData = value; }
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| 68 | }
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| 69 |
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| 70 | public abstract IEnumerable<IEnumerable<double>> GetPrognosedValues(IEnumerable<int> rows, IEnumerable<int> horizon);
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| 71 |
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| 72 | #region Results
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| 73 | public double TrainingDirectionalSymmetry {
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| 74 | get { return ((DoubleValue)this[TrainingDirectionalSymmetryResultName].Value).Value; }
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| 75 | private set { ((DoubleValue)this[TrainingDirectionalSymmetryResultName].Value).Value = value; }
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| 76 | }
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| 77 | public double TestDirectionalSymmetry {
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| 78 | get { return ((DoubleValue)this[TestDirectionalSymmetryResultName].Value).Value; }
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| 79 | private set { ((DoubleValue)this[TestDirectionalSymmetryResultName].Value).Value = value; }
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| 80 | }
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| 81 | public double TrainingWeightedDirectionalSymmetry {
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| 82 | get { return ((DoubleValue)this[TrainingWeightedDirectionalSymmetryResultName].Value).Value; }
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| 83 | private set { ((DoubleValue)this[TrainingWeightedDirectionalSymmetryResultName].Value).Value = value; }
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| 84 | }
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| 85 | public double TestWeightedDirectionalSymmetry {
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| 86 | get { return ((DoubleValue)this[TestWeightedDirectionalSymmetryResultName].Value).Value; }
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| 87 | private set { ((DoubleValue)this[TestWeightedDirectionalSymmetryResultName].Value).Value = value; }
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| 88 | }
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| 89 | public double TrainingTheilsUStatisticAR1 {
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| 90 | get { return ((DoubleValue)this[TrainingTheilsUStatisticAR1ResultName].Value).Value; }
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| 91 | private set { ((DoubleValue)this[TrainingTheilsUStatisticAR1ResultName].Value).Value = value; }
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| 92 | }
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| 93 | public double TestTheilsUStatisticAR1 {
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| 94 | get { return ((DoubleValue)this[TestTheilsUStatisticLastResultName].Value).Value; }
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| 95 | private set { ((DoubleValue)this[TestTheilsUStatisticLastResultName].Value).Value = value; }
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| 96 | }
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| 97 | public double TrainingTheilsUStatisticMean {
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| 98 | get { return ((DoubleValue)this[TrainingTheilsUStatisticMeanResultName].Value).Value; }
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| 99 | private set { ((DoubleValue)this[TrainingTheilsUStatisticMeanResultName].Value).Value = value; }
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| 100 | }
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| 101 | public double TestTheilsUStatisticMean {
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| 102 | get { return ((DoubleValue)this[TestTheilsUStatisticMeanResultName].Value).Value; }
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| 103 | private set { ((DoubleValue)this[TestTheilsUStatisticMeanResultName].Value).Value = value; }
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| 104 | }
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| 105 | public double TrainingTheilsUStatisticMovingAverage {
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| 106 | get { return ((DoubleValue)this[TrainingTheilsUStatisticMovingAverageResultName].Value).Value; }
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| 107 | private set { ((DoubleValue)this[TrainingTheilsUStatisticMovingAverageResultName].Value).Value = value; }
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| 108 | }
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| 109 | public double TestTheilsUStatisticMovingAverage {
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| 110 | get { return ((DoubleValue)this[TestTheilsUStatisticMovingAverageResultName].Value).Value; }
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| 111 | private set { ((DoubleValue)this[TestTheilsUStatisticMovingAverageResultName].Value).Value = value; }
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| 112 | }
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| 113 |
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| 114 | public TimeSeriesPrognosisResults TimeSeriesPrognosisResults {
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| 115 | get {
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| 116 | if (!ContainsKey(TimeSeriesPrognosisResultName)) return null;
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| 117 | return (TimeSeriesPrognosisResults)this[TimeSeriesPrognosisResultName];
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| 118 | }
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| 119 | set {
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| 120 | if (ContainsKey(TimeSeriesPrognosisResultName)) Remove(TimeSeriesPrognosisResultName);
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| 121 | Add(new Result(TimeSeriesPrognosisResultName, TimeSeriesPrognosisResultDescription, value));
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| 122 | }
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| 123 | }
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| 124 | #endregion
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| 125 |
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| 126 |
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| 127 | public override IEnumerable<double> EstimatedValues {
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| 128 | get { return GetEstimatedValues(Enumerable.Range(0, ProblemData.Dataset.Rows)); }
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| 129 | }
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| 130 | public override IEnumerable<double> EstimatedTrainingValues {
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| 131 | get { return GetEstimatedValues(ProblemData.TrainingIndices); }
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| 132 | }
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| 133 | public override IEnumerable<double> EstimatedTestValues {
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| 134 | get { return GetEstimatedValues(ProblemData.TestIndices); }
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| 135 | }
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| 136 | public override IEnumerable<double> GetEstimatedValues(IEnumerable<int> rows) {
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| 137 | return Model.GetEstimatedValues(ProblemData.Dataset, rows);
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| 138 | }
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| 139 |
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| 140 | [StorableConstructor]
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| 141 | protected TimeSeriesPrognosisSolutionBase(bool deserializing) : base(deserializing) { }
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| 142 | protected TimeSeriesPrognosisSolutionBase(TimeSeriesPrognosisSolutionBase original, Cloner cloner) : base(original, cloner) { }
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| 143 | protected TimeSeriesPrognosisSolutionBase(ITimeSeriesPrognosisModel model, ITimeSeriesPrognosisProblemData problemData)
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| 144 | : base(model, problemData) {
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| 145 | Add(new Result(TrainingDirectionalSymmetryResultName, TrainingDirectionalSymmetryResultDescription, new DoubleValue()));
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| 146 | Add(new Result(TestDirectionalSymmetryResultName, TestDirectionalSymmetryResultDescription, new DoubleValue()));
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| 147 | Add(new Result(TrainingWeightedDirectionalSymmetryResultName, TrainingWeightedDirectionalSymmetryResultDescription, new DoubleValue()));
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| 148 | Add(new Result(TestWeightedDirectionalSymmetryResultName, TestWeightedDirectionalSymmetryResultDescription, new DoubleValue()));
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| 149 | Add(new Result(TrainingTheilsUStatisticAR1ResultName, TrainingTheilsUStatisticAR1ResultDescription, new DoubleValue()));
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| 150 | Add(new Result(TestTheilsUStatisticLastResultName, TestTheilsUStatisticAR1ResultDescription, new DoubleValue()));
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| 151 | Add(new Result(TrainingTheilsUStatisticMeanResultName, TrainingTheilsUStatisticMeanResultDescription, new DoubleValue()));
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| 152 | Add(new Result(TestTheilsUStatisticMeanResultName, TestTheilsUStatisticMeanResultDescription, new DoubleValue()));
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| 153 | Add(new Result(TrainingTheilsUStatisticMovingAverageResultName, TrainingTheilsUStatisticMovingAverageResultDescription, new DoubleValue()));
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| 154 | Add(new Result(TestTheilsUStatisticMovingAverageResultName, TestTheilsUStatisticMovingAverageResultDescription, new DoubleValue()));
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| 155 | }
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| 156 |
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| 157 | protected override void RecalculateResults() {
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| 158 | base.RecalculateResults();
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| 159 | CalculateTimeSeriesResults();
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| 160 | CalculateTimeSeriesResults(ProblemData.TrainingHorizon, ProblemData.TestHorizon);
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| 161 | }
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| 162 |
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| 163 | protected void CalculateTimeSeriesResults() {
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| 164 | OnlineCalculatorError errorState;
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| 165 | double trainingMean = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices).Average();
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| 166 | var meanModel = new ConstantTimeSeriesPrognosisModel(trainingMean);
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| 167 |
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| 168 | double alpha, beta;
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| 169 | IEnumerable<double> trainingStartValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices.Select(r => r - 1).Where(r => r > 0)).ToList();
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| 170 | OnlineLinearScalingParameterCalculator.Calculate(ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices.Where(x => x > 0)), trainingStartValues, out alpha, out beta, out errorState);
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| 171 | var AR1model = new TimeSeriesPrognosisAutoRegressiveModel(ProblemData.TargetVariable, new double[] { beta }, alpha);
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| 172 |
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| 173 | //MA model
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| 174 | const int movingAverageWindowSize = 10;
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| 175 | var movingAverageModel = new TimeSeriesPrognosisMovingAverageModel(movingAverageWindowSize, ProblemData.TargetVariable);
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| 176 |
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| 177 | #region Calculate training quality measures
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| 178 | IEnumerable<double> trainingTargetValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TrainingIndices).ToList();
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| 179 | IEnumerable<double> trainingEstimatedValues = EstimatedTrainingValues.ToList();
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| 180 | IEnumerable<double> trainingMeanModelPredictions = meanModel.GetEstimatedValues(ProblemData.Dataset, ProblemData.TrainingIndices).ToList();
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| 181 | IEnumerable<double> trainingAR1ModelPredictions = AR1model.GetEstimatedValues(ProblemData.Dataset, ProblemData.TrainingIndices).ToList();
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| 182 | IEnumerable<double> trainingMovingAverageModelPredictions = movingAverageModel.GetEstimatedValues(ProblemData.Dataset, ProblemData.TrainingIndices).ToList();
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| 183 |
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| 184 | TrainingDirectionalSymmetry = OnlineDirectionalSymmetryCalculator.Calculate(trainingTargetValues.First(), trainingTargetValues, trainingEstimatedValues, out errorState);
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| 185 | TrainingDirectionalSymmetry = errorState == OnlineCalculatorError.None ? TrainingDirectionalSymmetry : 0.0;
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| 186 | TrainingWeightedDirectionalSymmetry = OnlineWeightedDirectionalSymmetryCalculator.Calculate(trainingTargetValues.First(), trainingTargetValues, trainingEstimatedValues, out errorState);
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| 187 | TrainingWeightedDirectionalSymmetry = errorState == OnlineCalculatorError.None ? TrainingWeightedDirectionalSymmetry : 0.0;
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| 188 | TrainingTheilsUStatisticAR1 = OnlineTheilsUStatisticCalculator.Calculate(trainingTargetValues.First(), trainingTargetValues, trainingAR1ModelPredictions, trainingEstimatedValues, out errorState);
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| 189 | TrainingTheilsUStatisticAR1 = errorState == OnlineCalculatorError.None ? TrainingTheilsUStatisticAR1 : double.PositiveInfinity;
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| 190 | TrainingTheilsUStatisticMean = OnlineTheilsUStatisticCalculator.Calculate(trainingTargetValues.First(), trainingTargetValues, trainingMeanModelPredictions, trainingEstimatedValues, out errorState);
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| 191 | TrainingTheilsUStatisticMean = errorState == OnlineCalculatorError.None ? TrainingTheilsUStatisticMean : double.PositiveInfinity;
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| 192 | TrainingTheilsUStatisticMovingAverage = OnlineTheilsUStatisticCalculator.Calculate(trainingTargetValues.First(), trainingTargetValues, trainingMovingAverageModelPredictions, trainingEstimatedValues, out errorState);
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| 193 | TrainingTheilsUStatisticMovingAverage = errorState == OnlineCalculatorError.None ? TrainingTheilsUStatisticMovingAverage : double.PositiveInfinity;
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| 194 | #endregion
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| 195 |
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| 196 | #region Calculate test quality measures
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| 197 | IEnumerable<double> testTargetValues = ProblemData.Dataset.GetDoubleValues(ProblemData.TargetVariable, ProblemData.TestIndices).ToList();
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| 198 | IEnumerable<double> testEstimatedValues = EstimatedTestValues.ToList();
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| 199 | IEnumerable<double> testMeanModelPredictions = meanModel.GetEstimatedValues(ProblemData.Dataset, ProblemData.TestIndices).ToList();
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| 200 | IEnumerable<double> testAR1ModelPredictions = AR1model.GetEstimatedValues(ProblemData.Dataset, ProblemData.TestIndices).ToList();
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| 201 | IEnumerable<double> testMovingAverageModelPredictions = movingAverageModel.GetEstimatedValues(ProblemData.Dataset, ProblemData.TestIndices).ToList();
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| 202 |
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| 203 | TestDirectionalSymmetry = OnlineDirectionalSymmetryCalculator.Calculate(testTargetValues.First(), testTargetValues, testEstimatedValues, out errorState);
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| 204 | TestDirectionalSymmetry = errorState == OnlineCalculatorError.None ? TestDirectionalSymmetry : 0.0;
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| 205 | TestWeightedDirectionalSymmetry = OnlineWeightedDirectionalSymmetryCalculator.Calculate(testTargetValues.First(), testTargetValues, testEstimatedValues, out errorState);
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| 206 | TestWeightedDirectionalSymmetry = errorState == OnlineCalculatorError.None ? TestWeightedDirectionalSymmetry : 0.0;
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| 207 | TestTheilsUStatisticAR1 = OnlineTheilsUStatisticCalculator.Calculate(testTargetValues.First(), testTargetValues, testAR1ModelPredictions, testEstimatedValues, out errorState);
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| 208 | TestTheilsUStatisticAR1 = errorState == OnlineCalculatorError.None ? TestTheilsUStatisticAR1 : double.PositiveInfinity;
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| 209 | TestTheilsUStatisticMean = OnlineTheilsUStatisticCalculator.Calculate(testTargetValues.First(), testTargetValues, testMeanModelPredictions, testEstimatedValues, out errorState);
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| 210 | TestTheilsUStatisticMean = errorState == OnlineCalculatorError.None ? TestTheilsUStatisticMean : double.PositiveInfinity;
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| 211 | TestTheilsUStatisticMovingAverage = OnlineTheilsUStatisticCalculator.Calculate(testTargetValues.First(), testTargetValues, testMovingAverageModelPredictions, testEstimatedValues, out errorState);
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| 212 | TestTheilsUStatisticMovingAverage = errorState == OnlineCalculatorError.None ? TestTheilsUStatisticMovingAverage : double.PositiveInfinity;
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| 213 | #endregion
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| 214 | }
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| 215 |
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| 216 | protected void CalculateTimeSeriesResults(int trainingHorizon, int testHorizon) {
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| 217 | TimeSeriesPrognosisResults = new TimeSeriesPrognosisResults(trainingHorizon, testHorizon, this);
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| 218 | }
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| 219 | }
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| 220 | }
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