Changeset 7160 for branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineTheilsUStatisticCalculator.cs

Timestamp:

12/09/11 12:56:21 (12 years ago)

Author:

gkronber

Message:

#1081 worked on multi-variate time series prognosis

File:

• branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineTheilsUStatisticCalculator.cs (modified) (5 diffs)

branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineTheilsUStatisticCalculator.cs

@@ -22 +22 @@
 using System;
 using System.Collections.Generic;
+using System.Linq;
 using HeuristicLab.Common;
 
@@ -52 +53 @@
 
     public void Add(double startValue, IEnumerable<double> actualContinuation, IEnumerable<double> predictedContinuation) {
+      Add(startValue, actualContinuation.Select(x => startValue), actualContinuation, predictedContinuation);
+    }
+
+    public void Add(double startValue, IEnumerable<double> referenceContinuation, IEnumerable<double> actualContinuation, IEnumerable<double> predictedContinuation) {
       if (double.IsNaN(startValue) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
         errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
@@ -57 +62 @@
         var actualEnumerator = actualContinuation.GetEnumerator();
         var predictedEnumerator = predictedContinuation.GetEnumerator();
-        while (actualEnumerator.MoveNext() & predictedEnumerator.MoveNext() & ErrorState != OnlineCalculatorError.InvalidValueAdded) {
+        var referenceEnumerator = referenceContinuation.GetEnumerator();
+        while (actualEnumerator.MoveNext() & predictedEnumerator.MoveNext() & referenceEnumerator.MoveNext()
+          & ErrorState != OnlineCalculatorError.InvalidValueAdded) {
           double actual = actualEnumerator.Current;
           double predicted = predictedEnumerator.Current;
-          if (double.IsNaN(actual) || double.IsNaN(predicted)) {
+          double reference = referenceEnumerator.Current;
+          if (double.IsNaN(actual) || double.IsNaN(predicted) || double.IsNaN(reference)) {
             errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
           } else {
@@ -67 +75 @@
             squaredErrorMeanCalculator.Add(errorPredictedChange * errorPredictedChange);
 
-            double errorNoChange = (actual - startValue);
-            unbiasedEstimatorMeanCalculator.Add(errorNoChange * errorNoChange);
+            double errorReference = (reference - startValue) - (actual - startValue);
+            unbiasedEstimatorMeanCalculator.Add(errorReference * errorReference);
           }
         }
         // check if both enumerators are at the end to make sure both enumerations have the same length
-        if (actualEnumerator.MoveNext() || predictedEnumerator.MoveNext()) {
+        if (actualEnumerator.MoveNext() || predictedEnumerator.MoveNext() || referenceEnumerator.MoveNext()) {
           errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
         } else {
@@ -79 +87 @@
       }
     }
+
 
     public void Reset() {