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source: stable/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineTheilsUStatisticCalculator.cs @ 16373

Last change on this file since 16373 was 15584, checked in by swagner, 7 years ago

#2640: Updated year of copyrights in license headers on stable

File size: 7.2 KB
RevLine 
[6802]1#region License Information
2/* HeuristicLab
[15584]3 * Copyright (C) 2002-2018 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
[6802]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;
[14801]24using HeuristicLab.Common;
[6802]25
26namespace HeuristicLab.Problems.DataAnalysis {
[14801]27  public class OnlineTheilsUStatisticCalculator : DeepCloneable, IOnlineTimeSeriesCalculator {
28    private readonly OnlineMeanAndVarianceCalculator squaredErrorMeanCalculator;
29    private readonly OnlineMeanAndVarianceCalculator unbiasedEstimatorMeanCalculator;
[6802]30
31    public double TheilsUStatistic {
32      get {
33        return Math.Sqrt(squaredErrorMeanCalculator.Mean) / Math.Sqrt(unbiasedEstimatorMeanCalculator.Mean);
34      }
35    }
36
37    private OnlineCalculatorError errorState;
38    public OnlineCalculatorError ErrorState {
39      get { return errorState | squaredErrorMeanCalculator.MeanErrorState | unbiasedEstimatorMeanCalculator.MeanErrorState; }
40    }
41
42    public OnlineTheilsUStatisticCalculator() {
43      squaredErrorMeanCalculator = new OnlineMeanAndVarianceCalculator();
44      unbiasedEstimatorMeanCalculator = new OnlineMeanAndVarianceCalculator();
45      Reset();
46    }
47
[14801]48    protected OnlineTheilsUStatisticCalculator(OnlineTheilsUStatisticCalculator original, Cloner cloner)
49      : base(original, cloner) {
50      squaredErrorMeanCalculator = cloner.Clone(original.squaredErrorMeanCalculator);
51      unbiasedEstimatorMeanCalculator = cloner.Clone(original.unbiasedEstimatorMeanCalculator);
52    }
53    public override IDeepCloneable Clone(Cloner cloner) {
54      return new OnlineTheilsUStatisticCalculator(this, cloner);
55    }
56
[6802]57    #region IOnlineEvaluator Members
58    public double Value {
59      get { return TheilsUStatistic; }
60    }
61
[7099]62    public void Add(double startValue, IEnumerable<double> actualContinuation, IEnumerable<double> predictedContinuation) {
[8468]63      throw new NotSupportedException();
[7160]64    }
65
[8430]66    public void Add(double startValue, IEnumerable<double> actualContinuation, IEnumerable<double> referenceContinuation, IEnumerable<double> predictedContinuation) {
[7099]67      if (double.IsNaN(startValue) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
[6802]68        errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
69      } else {
[7099]70        var actualEnumerator = actualContinuation.GetEnumerator();
71        var predictedEnumerator = predictedContinuation.GetEnumerator();
[7160]72        var referenceEnumerator = referenceContinuation.GetEnumerator();
73        while (actualEnumerator.MoveNext() & predictedEnumerator.MoveNext() & referenceEnumerator.MoveNext()
74          & ErrorState != OnlineCalculatorError.InvalidValueAdded) {
[7099]75          double actual = actualEnumerator.Current;
76          double predicted = predictedEnumerator.Current;
[7160]77          double reference = referenceEnumerator.Current;
78          if (double.IsNaN(actual) || double.IsNaN(predicted) || double.IsNaN(reference)) {
[7099]79            errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
80          } else {
81            // error of predicted change
82            double errorPredictedChange = (predicted - startValue) - (actual - startValue);
83            squaredErrorMeanCalculator.Add(errorPredictedChange * errorPredictedChange);
[6802]84
[7160]85            double errorReference = (reference - startValue) - (actual - startValue);
86            unbiasedEstimatorMeanCalculator.Add(errorReference * errorReference);
[7099]87          }
88        }
89        // check if both enumerators are at the end to make sure both enumerations have the same length
[7160]90        if (actualEnumerator.MoveNext() || predictedEnumerator.MoveNext() || referenceEnumerator.MoveNext()) {
[7099]91          errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
92        } else {
93          errorState = errorState & (~OnlineCalculatorError.InsufficientElementsAdded); // n >= 1
94        }
[6802]95      }
96    }
97
[7160]98
[6802]99    public void Reset() {
100      squaredErrorMeanCalculator.Reset();
101      unbiasedEstimatorMeanCalculator.Reset();
102      errorState = OnlineCalculatorError.InsufficientElementsAdded;
103    }
104
105    #endregion
106
[8468]107    public static double Calculate(double startValue, IEnumerable<double> actualContinuation, IEnumerable<double> referenceContinuation, IEnumerable<double> predictedContinuation, out OnlineCalculatorError errorState) {
108      OnlineTheilsUStatisticCalculator calculator = new OnlineTheilsUStatisticCalculator();
109      calculator.Add(startValue, actualContinuation, referenceContinuation, predictedContinuation);
110      errorState = calculator.ErrorState;
111      return calculator.TheilsUStatistic;
112    }
113
[8010]114    public static double Calculate(IEnumerable<double> startValues, IEnumerable<IEnumerable<double>> actualContinuations, IEnumerable<IEnumerable<double>> referenceContinuations, IEnumerable<IEnumerable<double>> predictedContinuations, out OnlineCalculatorError errorState) {
[7099]115      IEnumerator<double> startValueEnumerator = startValues.GetEnumerator();
116      IEnumerator<IEnumerable<double>> actualContinuationsEnumerator = actualContinuations.GetEnumerator();
[8010]117      IEnumerator<IEnumerable<double>> referenceContinuationsEnumerator = referenceContinuations.GetEnumerator();
[7099]118      IEnumerator<IEnumerable<double>> predictedContinuationsEnumerator = predictedContinuations.GetEnumerator();
[8010]119
[6802]120      OnlineTheilsUStatisticCalculator calculator = new OnlineTheilsUStatisticCalculator();
121
[7099]122      // always move forward all enumerators (do not use short-circuit evaluation!)
[8010]123      while (startValueEnumerator.MoveNext() & actualContinuationsEnumerator.MoveNext() & referenceContinuationsEnumerator.MoveNext() & predictedContinuationsEnumerator.MoveNext()) {
124        calculator.Add(startValueEnumerator.Current, actualContinuationsEnumerator.Current, referenceContinuationsEnumerator.Current, predictedContinuationsEnumerator.Current);
[6802]125        if (calculator.ErrorState != OnlineCalculatorError.None) break;
126      }
127
[7099]128      // check if all enumerators are at the end to make sure both enumerations have the same length
[6802]129      if (calculator.ErrorState == OnlineCalculatorError.None &&
[8010]130          (startValueEnumerator.MoveNext() || actualContinuationsEnumerator.MoveNext() || referenceContinuationsEnumerator.MoveNext() || predictedContinuationsEnumerator.MoveNext())) {
131        throw new ArgumentException("Number of elements in startValues, actualContinuations, referenceContinuation and estimatedValues predictedContinuations doesn't match.");
[6802]132      } else {
133        errorState = calculator.ErrorState;
134        return calculator.TheilsUStatistic;
135      }
136    }
137  }
138}
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