ea27d5c12a002bdbc60ac20bba861c4fc028bb2c
[talweg.git] / pkg / R / F_Neighbors.R
1 #' Neighbors Forecaster
2 #'
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).
6 #'
7 #' Optional arguments:
8 #' \itemize{
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>
11 #' 'exo' for a similarity based on exogenous variables only,<cr>
12 #' 'mix' for the product of 'endo' and 'exo',<cr>
13 #' 'none' (default) to apply a simple average: no computed weights
14 #' \item window: A window for similarities computations; override cross-validation
15 #' window estimation.
16 #' }
17 #' The method is summarized as follows:
18 #' \enumerate{
19 #' \item Determine N (=20) recent days without missing values, and preceded by a
20 #' curve also without missing values.
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 #' }
27 #'
28 #' @usage # NeighborsForecaster$new(pjump)
29 #'
30 #' @docType class
31 #' @format R6 class, inherits Forecaster
32 #' @aliases F_Neighbors
33 #'
34 NeighborsForecaster = R6::R6Class("NeighborsForecaster",
35 inherit = Forecaster,
36
37 public = list(
38 predictShape = function(data, today, memory, predict_from, horizon, ...)
39 {
40 # (re)initialize computed parameters
41 private$.params <- list("weights"=NA, "indices"=NA, "window"=NA)
42
43 # Do not forecast on days with NAs (TODO: softer condition...)
44 if (any(is.na(data$getSerie(today-1))) ||
45 (predict_from>=2 && any(is.na(data$getSerie(today)[1:(predict_from-1)]))))
46 {
47 return (NA)
48 }
49
50 # Get optional args
51 local = ifelse(hasArg("local"), list(...)$local, TRUE) #same level + season?
52 simtype = ifelse(hasArg("simtype"), list(...)$simtype, "none") #or "endo", or "exo"
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
60 # Shortcut if window is known
61 if (hasArg("window"))
62 {
63 return ( private$.predictShapeAux(data, tdays, today, predict_from, horizon,
64 local, list(...)$window, simtype, opera, TRUE) )
65 }
66
67 # Indices of similar days for cross-validation; TODO: 20 = magic number
68 cv_days = getSimilarDaysIndices(today, data, limit=20, same_season=FALSE,
69 days_in=tdays, operational=opera)
70
71 # Optimize h : h |--> sum of prediction errors on last N "similar" days
72 errorOnLastNdays = function(window, simtype)
73 {
74 error = 0
75 nb_jours = 0
76 for (i in seq_along(cv_days))
77 {
78 # mix_strategy is never used here (simtype != "mix"), therefore left blank
79 prediction = private$.predictShapeAux(data, tdays, cv_days[i], predict_from,
80 horizon, local, window, simtype, opera, FALSE)
81 if (!is.na(prediction[1]))
82 {
83 nb_jours = nb_jours + 1
84 error = error +
85 mean((data$getSerie(cv_days[i])[predict_from:horizon] - prediction)^2)
86 }
87 }
88 return (error / nb_jours)
89 }
90
91 # TODO: 7 == magic number
92 if (simtype=="endo" || simtype=="mix")
93 {
94 best_window_endo = optimize(
95 errorOnLastNdays, c(0,7), simtype="endo")$minimum
96 }
97 if (simtype=="exo" || simtype=="mix")
98 {
99 best_window_exo = optimize(
100 errorOnLastNdays, c(0,7), simtype="exo")$minimum
101 }
102 if (local)
103 {
104 best_window_local = optimize(
105 errorOnLastNdays, c(3,30), simtype="none")$minimum
106 }
107
108 best_window =
109 if (simtype == "endo")
110 best_window_endo
111 else if (simtype == "exo")
112 best_window_exo
113 else if (simtype == "mix")
114 c(best_window_endo,best_window_exo)
115 else #none: no value
116 NULL
117 if (local)
118 best_window = c(best_window, best_window_local)
119
120 return( private$.predictShapeAux(data, tdays, today, predict_from, horizon, local,
121 best_window, simtype, opera, TRUE) )
122 }
123 ),
124 private = list(
125 # Precondition: "yersteday until predict_from-1" is full (no NAs)
126 .predictShapeAux = function(data, tdays, today, predict_from, horizon, local, window,
127 simtype, opera, final_call)
128 {
129 tdays_cut = tdays[ tdays != today ]
130 if (length(tdays_cut) == 0)
131 return (NA)
132
133 if (local)
134 {
135 # limit=Inf to not censor any day (TODO: finite limit? 60?)
136 tdays <- getSimilarDaysIndices(today, data, limit=Inf, same_season=TRUE,
137 days_in=tdays_cut, operational=opera)
138 nb_neighbs <- round( window[length(window)] )
139 # TODO: 10 == magic number
140 tdays <- .getConstrainedNeighbs(today, data, tdays, nb_neighbs, opera)
141 if (length(tdays) == 1)
142 {
143 if (final_call)
144 {
145 private$.params$weights <- 1
146 private$.params$indices <- tdays
147 private$.params$window <- window
148 }
149 return ( data$getSerie(tdays[1])[predict_from:horizon] )
150 }
151 max_neighbs = nb_neighbs #TODO: something else?
152 if (length(tdays) > max_neighbs)
153 {
154 distances2 <- .computeDistsEndo(data, today, tdays, predict_from)
155 ordering <- order(distances2)
156 tdays <- tdays[ ordering[1:max_neighbs] ]
157 }
158 }
159 else
160 tdays = tdays_cut #no conditioning
161
162 if (simtype == "endo" || simtype == "mix")
163 {
164 # Distances from last observed day to selected days in the past
165 # TODO: redundant computation if local==TRUE
166 distances2 <- .computeDistsEndo(data, today, tdays, predict_from)
167
168 # Compute endogen similarities using the given window
169 simils_endo <- .computeSimils(distances2, window[1])
170 }
171
172 if (simtype == "exo" || simtype == "mix")
173 {
174 distances2 <- .computeDistsExo(data, today, tdays, opera)
175
176 # Compute exogen similarities using the given window
177 window_exo = ifelse(simtype=="mix", window[2], window[1])
178 simils_exo <- .computeSimils(distances2, window_exo)
179 }
180
181 similarities =
182 if (simtype == "exo")
183 simils_exo
184 else if (simtype == "endo")
185 simils_endo
186 else if (simtype == "mix")
187 simils_endo * simils_exo
188 else #none
189 rep(1, length(tdays))
190 similarities = similarities / sum(similarities)
191
192 prediction = rep(0, horizon-predict_from+1)
193 for (i in seq_along(tdays))
194 {
195 prediction = prediction +
196 similarities[i] * data$getSerie(tdays[i])[predict_from:horizon]
197 }
198
199 if (final_call)
200 {
201 private$.params$weights <- similarities
202 private$.params$indices <- tdays
203 private$.params$window <- window
204 }
205
206 return (prediction)
207 }
208 )
209 )
210
211 # getConstrainedNeighbs
212 #
213 # Get indices of neighbors of similar pollution level (among same season + day type).
214 #
215 # @param today Index of current day
216 # @param data Object of class Data
217 # @param tdays Current set of "second days" (no-NA pairs)
218 # @param min_neighbs Minimum number of points in a neighborhood
219 # @param max_neighbs Maximum number of points in a neighborhood
220 #
221 .getConstrainedNeighbs = function(today, data, tdays, min_neighbs, opera)
222 {
223 levelToday = ifelse(opera, tail(data$getLevelHat(today),1), data$getLevel(today))
224 distances = sapply( tdays, function(i) abs(data$getLevel(i) - levelToday) )
225 #TODO: 1, +1, +3 : magic numbers
226 dist_thresh = 1
227 min_neighbs = min(min_neighbs,length(tdays))
228 repeat
229 {
230 same_pollution = (distances <= dist_thresh)
231 nb_neighbs = sum(same_pollution)
232 if (nb_neighbs >= min_neighbs) #will eventually happen
233 break
234 dist_thresh = dist_thresh + ifelse(dist_thresh>1,3,1)
235 }
236 tdays[same_pollution]
237 }
238
239 # compute similarities
240 #
241 # Apply the gaussian kernel on computed squared distances.
242 #
243 # @param distances2 Squared distances
244 # @param window Window parameter for the kernel
245 #
246 .computeSimils <- function(distances2, window)
247 {
248 sd_dist = sd(distances2)
249 if (sd_dist < .25 * sqrt(.Machine$double.eps))
250 {
251 # warning("All computed distances are very close: stdev too small")
252 sd_dist = 1 #mostly for tests... FIXME:
253 }
254 exp(-distances2/(sd_dist*window^2))
255 }
256
257 .computeDistsEndo <- function(data, today, tdays, predict_from)
258 {
259 lastSerie = c( data$getSerie(today-1),
260 data$getSerie(today)[if (predict_from>=2) 1:(predict_from-1) else c()] )
261 sapply(tdays, function(i) {
262 delta = lastSerie - c(data$getSerie(i-1),
263 data$getSerie(i)[if (predict_from>=2) 1:(predict_from-1) else c()])
264 sqrt(mean(delta^2))
265 })
266 }
267
268 .computeDistsExo <- function(data, today, tdays, opera)
269 {
270 M = matrix( ncol=1+length(tdays), nrow=1+length(data$getExo(1)) )
271 if (opera)
272 M[,1] = c( tail(data$getLevelHat(today),1), as.double(data$getExoHat(today)) )
273 else
274 M[,1] = c( data$getLevel(today), as.double(data$getExo(today)) )
275 for (i in seq_along(tdays))
276 M[,i+1] = c( data$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 }