'update'
[talweg.git] / pkg / R / F_Neighbors.R
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25b75559 1#' Neighbors Forecaster
3d69ff21 2#'
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3#' Predict next serie as a weighted combination of curves observed on "similar" days in
4#' the past (and future if 'opera'=FALSE); the nature of the similarity is controlled by
5#' the options 'simtype' and 'local' (see below).
c4c329f6 6#'
4f3fdbb8 7#' Optional arguments:
102bcfda 8#' \itemize{
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9#' \item local: TRUE (default) to constrain neighbors to be "same days in same season"
10#' \item simtype: 'endo' for a similarity based on the series only,<cr>
d2ab47a7 11#' 'exo' for a similarity based on exogenous variables only,<cr>
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12#' 'mix' for the product of 'endo' and 'exo',<cr>
13#' 'none' (default) to apply a simple average: no computed weights
4f3fdbb8 14#' \item window: A window for similarities computations; override cross-validation
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15#' window estimation.
16#' }
17#' The method is summarized as follows:
18#' \enumerate{
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19#' \item Determine N (=20) recent days without missing values, and preceded by a
20#' curve also without missing values.
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21#' \item Optimize the window parameters (if relevant) on the N chosen days.
22#' \item Considering the optimized window, compute the neighbors (with locality
23#' constraint or not), compute their similarities -- using a gaussian kernel if
24#' simtype != "none" -- and average accordingly the "tomorrows of neigbors" to
25#' obtain the final prediction.
26#' }
c4c329f6 27#'
4e821712 28#' @usage # NeighborsForecaster$new(pjump)
689aa1d3 29#'
102bcfda 30#' @docType class
c4c329f6 31#' @format R6 class, inherits Forecaster
3ddf1c12 32#' @aliases F_Neighbors
546b0cb6 33#'
25b75559 34NeighborsForecaster = R6::R6Class("NeighborsForecaster",
a66a84b5 35 inherit = Forecaster,
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36
37 public = list(
d2ab47a7 38 predictShape = function(data, today, memory, predict_from, horizon, ...)
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39 {
40 # (re)initialize computed parameters
a66a84b5 41 private$.params <- list("weights"=NA, "indices"=NA, "window"=NA)
3d69ff21 42
a5a3a294 43 # Do not forecast on days with NAs (TODO: softer condition...)
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44 if (any(is.na(data$getSerie(today-1))) ||
45 (predict_from>=2 && any(is.na(data$getSerie(today)[1:(predict_from-1)]))))
d2ab47a7 46 {
a5a3a294 47 return (NA)
d2ab47a7 48 }
a5a3a294 49
f17665c7 50 # Get optional args
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51 local = ifelse(hasArg("local"), list(...)$local, TRUE) #same level + season?
52 simtype = ifelse(hasArg("simtype"), list(...)$simtype, "none") #or "endo", or "exo"
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53 opera = ifelse(hasArg("opera"), list(...)$opera, FALSE) #operational mode?
54
55 # Determine indices of no-NAs days preceded by no-NAs yerstedays
56 tdays = .getNoNA2(data, max(today-memory,2), ifelse(opera,today-1,data$getSize()))
57 if (!opera)
58 tdays = setdiff(tdays, today) #always exclude current day
59
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60 # Shortcut if window is known or local==TRUE && simtype==none
61 if (hasArg("window") || (local && simtype=="none"))
a66a84b5 62 {
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63 return ( private$.predictShapeAux(data, tdays, today, predict_from, horizon,
64 local, list(...)$window, simtype, opera, TRUE) )
a66a84b5 65 }
3d69ff21 66
6774e53d 67 # Indices of similar days for cross-validation; TODO: 20 = magic number
aa059de7 68 cv_days = getSimilarDaysIndices(today, data, limit=20, same_season=FALSE,
638f27f4 69 days_in=tdays, operational=opera)
5e838b3e 70
445e7bbc 71 # Optimize h : h |--> sum of prediction errors on last N "similar" days
aa059de7 72 errorOnLastNdays = function(window, simtype)
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73 {
74 error = 0
75 nb_jours = 0
5e838b3e 76 for (i in seq_along(cv_days))
3d69ff21 77 {
f17665c7 78 # mix_strategy is never used here (simtype != "mix"), therefore left blank
cf3bb001 79 prediction = private$.predictShapeAux(data, tdays, cv_days[i], predict_from,
638f27f4 80 horizon, local, window, simtype, opera, FALSE)
f17665c7 81 if (!is.na(prediction[1]))
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82 {
83 nb_jours = nb_jours + 1
af3b84f4 84 error = error +
cf3bb001 85 mean((data$getSerie(cv_days[i])[predict_from:horizon] - prediction)^2)
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86 }
87 }
88 return (error / nb_jours)
89 }
90
445e7bbc 91 # TODO: 7 == magic number
eef54517 92 if (simtype=="endo" || simtype=="mix")
af3b84f4 93 {
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94 best_window_endo = optimize(
95 errorOnLastNdays, c(0,7), simtype="endo")$minimum
af3b84f4 96 }
eef54517 97 if (simtype=="exo" || simtype=="mix")
af3b84f4 98 {
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99 best_window_exo = optimize(
100 errorOnLastNdays, c(0,7), simtype="exo")$minimum
3d69ff21 101 }
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102
103 best_window =
104 if (simtype == "endo")
105 best_window_endo
106 else if (simtype == "exo")
107 best_window_exo
108 else if (simtype == "mix")
109 c(best_window_endo,best_window_exo)
110 else #none: value doesn't matter
111 1
112
cf3bb001 113 return( private$.predictShapeAux(data, tdays, today, predict_from, horizon, local,
638f27f4 114 best_window, simtype, opera, TRUE) )
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115 }
116 ),
117 private = list(
638f27f4 118 # Precondition: "yersteday until predict_from-1" is full (no NAs)
cf3bb001 119 .predictShapeAux = function(data, tdays, today, predict_from, horizon, local, window,
638f27f4 120 simtype, opera, final_call)
3d69ff21 121 {
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122 tdays_cut = tdays[ tdays != today ]
123 if (length(tdays_cut) == 0)
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124 return (NA)
125
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126 if (local)
127 {
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128 # limit=Inf to not censor any day (TODO: finite limit? 60?)
129 tdays = getSimilarDaysIndices(today, data, limit=Inf, same_season=TRUE,
638f27f4 130 days_in=tdays_cut, operational=opera)
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131 # TODO: 10 == magic number
132 tdays = .getConstrainedNeighbs(today, data, tdays, min_neighbs=10)
cf3bb001 133 if (length(tdays) == 1)
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134 {
135 if (final_call)
136 {
137 private$.params$weights <- 1
cf3bb001 138 private$.params$indices <- tdays
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139 private$.params$window <- 1
140 }
cf3bb001 141 return ( data$getSerie(tdays[1])[predict_from:horizon] )
aa059de7 142 }
10886062 143 max_neighbs = 12 #TODO: 10 or 12 or... ?
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144 if (length(tdays) > max_neighbs)
145 {
146 distances2 <- .computeDistsEndo(data, today, tdays, predict_from)
147 ordering <- order(distances2)
148 tdays <- tdays[ ordering[1:max_neighbs] ]
149 }
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150 }
151 else
cf3bb001 152 tdays = tdays_cut #no conditioning
aa059de7 153
445e7bbc 154 if (simtype == "endo" || simtype == "mix")
3d69ff21 155 {
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156 # Compute endogen similarities using given window
157 window_endo = ifelse(simtype=="mix", window[1], window)
3d69ff21 158
638f27f4 159 # Distances from last observed day to selected days in the past
dca259e4 160 # TODO: redundant computation if local==TRUE
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161 distances2 <- .computeDistsEndo(data, today, tdays, predict_from)
162
3ddf1c12 163 simils_endo <- .computeSimils(distances2, window_endo)
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164 }
165
445e7bbc 166 if (simtype == "exo" || simtype == "mix")
3d69ff21 167 {
aa059de7 168 # Compute exogen similarities using given window
445e7bbc 169 window_exo = ifelse(simtype=="mix", window[2], window)
3d69ff21 170
638f27f4 171 distances2 <- .computeDistsExo(data, today, tdays)
3d69ff21 172
3ddf1c12 173 simils_exo <- .computeSimils(distances2, window_exo)
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174 }
175
3d69ff21 176 similarities =
f17665c7 177 if (simtype == "exo")
3d69ff21 178 simils_exo
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179 else if (simtype == "endo")
180 simils_endo
445e7bbc 181 else if (simtype == "mix")
f17665c7 182 simils_endo * simils_exo
445e7bbc 183 else #none
cf3bb001 184 rep(1, length(tdays))
ea5c7e56 185 similarities = similarities / sum(similarities)
3d69ff21 186
d2ab47a7 187 prediction = rep(0, horizon-predict_from+1)
cf3bb001 188 for (i in seq_along(tdays))
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189 {
190 prediction = prediction +
cf3bb001 191 similarities[i] * data$getSerie(tdays[i])[predict_from:horizon]
d2ab47a7 192 }
99f83c9a 193
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194 if (final_call)
195 {
a66a84b5 196 private$.params$weights <- similarities
cf3bb001 197 private$.params$indices <- tdays
a66a84b5 198 private$.params$window <-
546b0cb6 199 if (simtype=="endo")
aa059de7 200 window_endo
546b0cb6 201 else if (simtype=="exo")
aa059de7 202 window_exo
eef54517 203 else if (simtype=="mix")
aa059de7 204 c(window_endo,window_exo)
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205 else #none
206 1
3d69ff21 207 }
99f83c9a 208
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209 return (prediction)
210 }
211 )
212)
3ddf1c12 213
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214# getConstrainedNeighbs
215#
216# Get indices of neighbors of similar pollution level (among same season + day type).
217#
218# @param today Index of current day
219# @param data Object of class Data
cf3bb001 220# @param tdays Current set of "second days" (no-NA pairs)
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221# @param min_neighbs Minimum number of points in a neighborhood
222# @param max_neighbs Maximum number of points in a neighborhood
223#
638f27f4 224.getConstrainedNeighbs = function(today, data, tdays, min_neighbs=10)
3ddf1c12 225{
d2ab47a7 226 levelToday = data$getLevelHat(today)
9b9bb2d4 227 distances = sapply( tdays, function(i) abs(data$getLevel(i) - levelToday) )
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228 #TODO: 1, +1, +3 : magic numbers
229 dist_thresh = 1
cf3bb001 230 min_neighbs = min(min_neighbs,length(tdays))
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231 repeat
232 {
233 same_pollution = (distances <= dist_thresh)
234 nb_neighbs = sum(same_pollution)
235 if (nb_neighbs >= min_neighbs) #will eventually happen
236 break
d2ab47a7 237 dist_thresh = dist_thresh + ifelse(dist_thresh>1,3,1)
3ddf1c12 238 }
9b9bb2d4 239 tdays[same_pollution]
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240}
241
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242# compute similarities
243#
244# Apply the gaussian kernel on computed squared distances.
245#
246# @param distances2 Squared distances
247# @param window Window parameter for the kernel
248#
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249.computeSimils <- function(distances2, window)
250{
251 sd_dist = sd(distances2)
252 if (sd_dist < .25 * sqrt(.Machine$double.eps))
253 {
254# warning("All computed distances are very close: stdev too small")
255 sd_dist = 1 #mostly for tests... FIXME:
256 }
257 exp(-distances2/(sd_dist*window^2))
258}
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259
260.computeDistsEndo <- function(data, today, tdays, predict_from)
261{
262 lastSerie = c( data$getSerie(today-1),
263 data$getSerie(today)[if (predict_from>=2) 1:(predict_from-1) else c()] )
264 sapply(tdays, function(i) {
265 delta = lastSerie - c(data$getSerie(i-1),
266 data$getSerie(i)[if (predict_from>=2) 1:(predict_from-1) else c()])
9b9bb2d4 267 sqrt(mean(delta^2))
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268 })
269}
270
271.computeDistsExo <- function(data, today, tdays)
272{
273 M = matrix( ncol=1+length(tdays), nrow=1+length(data$getExo(1)) )
274 M[,1] = c( data$getLevelHat(today), as.double(data$getExoHat(today)) )
275 for (i in seq_along(tdays))
276 M[,i+1] = c( data$getLevel(tdays[i]), as.double(data$getExo(tdays[i])) )
277
278 sigma = cov(t(M)) #NOTE: robust covariance is way too slow
279 # TODO: 10 == magic number; more robust way == det, or always ginv()
280 sigma_inv =
281 if (length(tdays) > 10)
282 solve(sigma)
283 else
284 MASS::ginv(sigma)
285
286 # Distances from last observed day to days in the past
287 sapply(seq_along(tdays), function(i) {
288 delta = M[,1] - M[,i+1]
289 delta %*% sigma_inv %*% delta
290 })
291}