+++ /dev/null
-#' @include ShapeForecaster.R
-#'
-#' @title Neighbors Shape Forecaster
-#'
-#' @description Predict tomorrow as a weighted combination of "futures of the past" days.
-#' Inherits \code{\link{ShapeForecaster}}
-NeighborsShapeForecaster = setRefClass(
- Class = "NeighborsShapeForecaster",
- contains = "ShapeForecaster",
-
- methods = list(
- initialize = function(...)
- {
- callSuper(...)
- },
- predict = function(today, memory, horizon, ...)
- {
- # (re)initialize computed parameters
- params <<- list("weights"=NA, "indices"=NA, "window"=NA)
-
- first_day = max(today - memory, 1)
- # The first day is generally not complete:
- if (length(data$getCenteredSerie(1)) < length(data$getCenteredSerie(2)))
- first_day = 2
-
- # Predict only on (almost) non-NAs days
- nas_in_serie = is.na(data$getSerie(today))
- if (any(nas_in_serie))
- {
- #TODO: better define "repairing" conditions (and method)
- if (sum(nas_in_serie) >= length(nas_in_serie) / 2)
- return (NA)
- for (i in seq_along(nas_in_serie))
- {
- if (nas_in_serie[i])
- {
- #look left
- left = i-1
- while (left>=1 && nas_in_serie[left])
- left = left-1
- #look right
- right = i+1
- while (right<=length(nas_in_serie) && nas_in_serie[right])
- right = right+1
- #HACK: modify by-reference Data object...
- data$data[[today]]$serie[i] <<-
- if (left==0) data$data[[today]]$serie[right]
- else if (right==0) data$data[[today]]$serie[left]
- else (data$data[[today]]$serie[left] + data$data[[today]]$serie[right]) / 2.
- }
- }
- }
-
- # Determine indices of no-NAs days followed by no-NAs tomorrows
- fdays_indices = c()
- for (i in first_day:(today-1))
- {
- if ( !any(is.na(data$getSerie(i)) | is.na(data$getSerie(i+1))) )
- fdays_indices = c(fdays_indices, i)
- }
-
- #GET OPTIONAL PARAMS
- # Similarity computed with exogenous variables ? endogenous ? both ? ("exo","endo","mix")
- simtype = ifelse(hasArg("simtype"), list(...)$simtype, "exo")
- simthresh = ifelse(hasArg("simthresh"), list(...)$simthresh, 0.)
- kernel = ifelse(hasArg("kernel"), list(...)$kernel, "Gauss")
- mix_strategy = ifelse(hasArg("mix_strategy"), list(...)$mix_strategy, "neighb") #or "mult"
- same_season = ifelse(hasArg("same_season"), list(...)$same_season, TRUE)
- if (hasArg(h_window))
- return (.predictAux(fdays_indices, today, horizon, list(...)$h_window, kernel, simtype,
- simthresh, mix_strategy, FALSE))
- #END GET
-
- # Indices for cross-validation; TODO: 45 = magic number
- indices = getSimilarDaysIndices(today, limit=45, same_season=same_season)
- #indices = (end_index-45):(end_index-1)
-
- # Function to optimize h : h |--> sum of prediction errors on last 45 "similar" days
- errorOnLastNdays = function(h, kernel, simtype)
- {
- error = 0
- nb_jours = 0
- for (i in indices)
- {
- # NOTE: predict only on non-NAs days followed by non-NAs (TODO:)
- if (!any(is.na(data$getSerie(i)) | is.na(data$getSerie(i+1))))
- {
- nb_jours = nb_jours + 1
- # mix_strategy is never used here (simtype != "mix"), therefore left blank
- prediction = .predictAux(fdays_indices, i, horizon, h, kernel, simtype, simthresh,
- "", FALSE)
- if (!is.na(prediction[1]))
- error = error + mean((data$getCenteredSerie(i+1)[1:horizon] - prediction)^2)
- }
- }
- return (error / nb_jours)
- }
-
- h_best_exo = 1.
- if (simtype != "endo" && !(simtype=="mix" && mix_strategy=="neighb"))
- {
- h_best_exo = optimize(errorOnLastNdays, interval=c(0,10), kernel=kernel,
- simtype="exo")$minimum
- }
- if (simtype != "exo")
- {
- h_best_endo = optimize(errorOnLastNdays, interval=c(0,10), kernel=kernel,
- simtype="endo")$minimum
- }
-
- if (simtype == "endo")
- {
- return (.predictAux(fdays_indices, today, horizon, h_best_endo, kernel, "endo",
- simthresh, "", TRUE))
- }
- if (simtype == "exo")
- {
- return (.predictAux(fdays_indices, today, horizon, h_best_exo, kernel, "exo",
- simthresh, "", TRUE))
- }
- if (simtype == "mix")
- {
- return (.predictAux(fdays_indices, today, horizon, c(h_best_endo,h_best_exo), kernel,
- "mix", simthresh, mix_strategy, TRUE))
- }
- },
- # Precondition: "today" is full (no NAs)
- .predictAux = function(fdays_indices, today, horizon, h, kernel, simtype, simthresh,
- mix_strategy, final_call)
- {
- dat = data$data #HACK: faster this way...
-
- fdays_indices = fdays_indices[fdays_indices < today]
- # TODO: 3 = magic number
- if (length(fdays_indices) < 3)
- return (NA)
-
- if (simtype != "exo")
- {
- h_endo = ifelse(simtype=="mix", h[1], h)
-
- # Distances from last observed day to days in the past
- distances2 = rep(NA, length(fdays_indices))
- for (i in seq_along(fdays_indices))
- {
- delta = dat[[today]]$serie - dat[[ fdays_indices[i] ]]$serie
- # Require at least half of non-NA common values to compute the distance
- if (sum(is.na(delta)) <= 0) #length(delta)/2)
- distances2[i] = mean(delta^2) #, na.rm=TRUE)
- }
-
- sd_dist = sd(distances2)
- simils_endo =
- if (kernel=="Gauss") {
- exp(-distances2/(sd_dist*h_endo^2))
- } else { #Epanechnikov
- u = 1 - distances2/(sd_dist*h_endo^2)
- u[abs(u)>1] = 0.
- u
- }
- }
-
- if (simtype != "endo")
- {
- h_exo = ifelse(simtype=="mix", h[2], h)
-
- # TODO: [rnormand] if predict_at == 0h then we should use measures from day minus 1
- M = matrix( nrow=1+length(fdays_indices), ncol=1+length(dat[[today]]$exo_hat) )
- M[1,] = c( dat[[today]]$level, as.double(dat[[today]]$exo_hat) )
- for (i in seq_along(fdays_indices))
- {
- M[i+1,] = c( dat[[ fdays_indices[i] ]]$level,
- as.double(dat[[ fdays_indices[i] ]]$exo_hat) )
- }
-
- sigma = cov(M) #NOTE: robust covariance is way too slow
- sigma_inv = qr.solve(sigma)
-
- # Distances from last observed day to days in the past
- distances2 = rep(NA, nrow(M)-1)
- for (i in 2:nrow(M))
- {
- delta = M[1,] - M[i,]
- distances2[i-1] = delta %*% sigma_inv %*% delta
- }
-
- sd_dist = sd(distances2)
- simils_exo =
- if (kernel=="Gauss") {
- exp(-distances2/(sd_dist*h_exo^2))
- } else { #Epanechnikov
- u = 1 - distances2/(sd_dist*h_exo^2)
- u[abs(u)>1] = 0.
- u
- }
- }
-
- if (simtype=="mix")
- {
- if (mix_strategy == "neighb")
- {
- #Only (60) most similar days according to exogen variables are kept into consideration
- #TODO: 60 = magic number
- keep_indices = sort(simils_exo, index.return=TRUE)$ix[1:(min(60,length(simils_exo)))]
- simils_endo[-keep_indices] = 0.
- } else #mix_strategy == "mult"
- {
- simils_endo = simils_endo * simils_exo
- }
- }
-
- similarities =
- if (simtype != "exo") {
- simils_endo
- } else {
- simils_exo
- }
-
- if (simthresh > 0.)
- {
- max_sim = max(similarities)
- # Set to 0 all similarities s where s / max_sim < simthresh, but keep at least 60
- ordering = sort(similarities / max_sim, index.return=TRUE)
- if (ordering[60] < simthresh)
- {
- similarities[ ordering$ix[ - (1:60) ] ] = 0.
- } else
- {
- limit = 61
- while (limit < length(similarities) && ordering[limit] >= simthresh)
- limit = limit + 1
- similarities[ ordering$ix[ - 1:limit] ] = 0.
- }
- }
-
- prediction = rep(0, horizon)
- for (i in seq_along(fdays_indices))
- prediction = prediction + similarities[i] * dat[[ fdays_indices[i]+1 ]]$serie[1:horizon]
-
- prediction = prediction / sum(similarities, na.rm=TRUE)
- if (final_call)
- {
- params$weights <<- similarities
- params$indices <<- fdays_indices
- params$window <<-
- if (simtype=="endo") {
- h_endo
- } else if (simtype=="exo") {
- h_exo
- } else {
- c(h_endo,h_exo)
- }
- }
- return (prediction)
- }
- )
-)
projects / talweg.git / blobdiff