Changeset 7129 for branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic

Timestamp:

12/05/11 20:17:59 (13 years ago)

Author:

gkronber

Message:

#1081 worked on multi-variate time series prognosis

File:

• branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic/3.4/SymbolicDataAnalysisExpressionTreeILEmittingInterpreter.cs (modified) (3 diffs)

branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis.Symbolic/3.4/SymbolicDataAnalysisExpressionTreeILEmittingInterpreter.cs

@@ -179 +179 @@
 
     public IEnumerable<double> GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, IEnumerable<int> rows) {
+      return from prog in GetSymbolicExpressionTreeValues(tree, dataset, new string[] { "#NOTHING#" }, rows, 1)
+             select prog.First().First();
+    }
+
+    // for each row for each target variable one prognosis (=enumerable of future values)
+    public IEnumerable<IEnumerable<IEnumerable<double>>> GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, string[] targetVariables, IEnumerable<int> rows, int horizon) {
       if (CheckExpressionsWithIntervalArithmetic.Value)
         throw new NotSupportedException("Interval arithmetic is not yet supported in the symbolic data analysis interpreter.");
@@ -186 +192 @@
 
       Dictionary<string, int> doubleVariableNames = dataset.DoubleVariables.Select((x, i) => new { x, i }).ToDictionary(e => e.x, e => e.i);
-      IList<double>[] columns = (from v in doubleVariableNames.Keys
-                                 select dataset.GetReadOnlyDoubleValues(v))
-                                .ToArray();
 
       for (int i = 0; i < code.Length; i++) {
@@ -208 +211 @@
       }
       var state = new InterpreterState(code);
-
       Type[] methodArgs = { typeof(int), typeof(IList<double>[]) };
-      DynamicMethod testFun = new DynamicMethod("TestFun", typeof(double), methodArgs, typeof(SymbolicDataAnalysisExpressionTreeILEmittingInterpreter).Module);
-
-      ILGenerator il = testFun.GetILGenerator();
-      CompileInstructions(il, state, dataset);
-      il.Emit(System.Reflection.Emit.OpCodes.Conv_R8);
-      il.Emit(System.Reflection.Emit.OpCodes.Ret);
-      var function = (CompiledFunction)testFun.CreateDelegate(typeof(CompiledFunction));
-
-      foreach (var row in rows) {
-        yield return function(row, columns);
-      }
-    }
-    public IEnumerable<IEnumerable<IEnumerable<double>>> GetSymbolicExpressionTreeValues(ISymbolicExpressionTree tree, Dataset dataset, string[] targetVariables, IEnumerable<int> rows, int horizon) {
-      throw new NotImplementedException();
+
+      CompiledFunction[] function = new CompiledFunction[targetVariables.Length];
+      for (int i = 0; i < function.Length; i++) {
+        DynamicMethod testFun = new DynamicMethod("TestFun", typeof(double), methodArgs, typeof(SymbolicDataAnalysisExpressionTreeILEmittingInterpreter).Module);
+        ILGenerator il = testFun.GetILGenerator();
+        CompileInstructions(il, state, dataset);
+        il.Emit(System.Reflection.Emit.OpCodes.Conv_R8);
+        il.Emit(System.Reflection.Emit.OpCodes.Ret);
+        function[i] = (CompiledFunction)testFun.CreateDelegate(typeof(CompiledFunction));
+      }
+      int nComponents = tree.Root.GetSubtree(0).SubtreeCount;
+      // produce a n-step forecast for each target variable for all rows
+      var values = doubleVariableNames.Keys
+        .Select(v => targetVariables.Contains(v) ?
+          (IList<double>)dataset.GetDoubleValues(v).ToList() :
+          dataset.GetReadOnlyDoubleValues(v))
+        .Concat(new List<double>[] { Enumerable.Repeat(0.0, dataset.Rows).ToList() }) // append list for calculated target variable
+        .ToArray();
+      doubleVariableNames.Add("#NOTHING#", values.Count() - 1);
+      foreach (var rowEnum in rows) {
+        int row = rowEnum;
+        foreach (var horizonRow in Enumerable.Range(row, horizon)) {
+          for (int i = 0; i < nComponents; i++) {
+            var componentProg = function[i](horizonRow, values);
+            // set cachedValues for prognosis of future values
+            values[doubleVariableNames[targetVariables[i]]][horizonRow] = componentProg;
+          }
+        }
+
+        yield return from component in Enumerable.Range(0, nComponents)
+                     select from horizonRow in Enumerable.Range(row, horizon)
+                            select values[doubleVariableNames[targetVariables[component]]][horizonRow];
+        // reset start value
+        foreach (var v in targetVariables) {
+          if (v != "#NOTHING#")
+            values[doubleVariableNames[v]][row] = dataset.GetDoubleValue(v, row);
+        }
+      }
     }