on the way back without realtime

diff --git a/pkg/DESCRIPTION b/pkg/DESCRIPTION
index b1697df..a897984 100644 (file)
--- a/pkg/DESCRIPTION
+++ b/pkg/DESCRIPTION
@@ -2,7 +2,7 @@ Package: talweg
 Title: Time-Series Samples Forecasted With Exogenous Variables
 Version: 0.1-0
 Description: Forecast a curve sampled within the day (seconds, minutes,
-    hours...), using past measured curves + paste exogenous informations, which
+    hours...), using past measured curves + past exogenous informations, which
     could be some aggregated measure on the past curves, the weather... Main
     starting point: computeForecast().
 Author: Benjamin Auder <Benjamin.Auder@math.u-psud.fr> [aut,cre],
@@ -23,8 +23,8 @@ Suggests:
 LazyData: yes
 URL: http://git.auder.net/?p=talweg.git
 License: MIT + file LICENSE
-RoxygenNote: 6.0.1
-Collate: 
+RoxygenNote: 5.0.1
+Collate:
     'A_NAMESPACE.R'
     'Data.R'
     'Forecaster.R'

diff --git a/pkg/R/A_NAMESPACE.R b/pkg/R/A_NAMESPACE.R
index 4558e59..bcd5df1 100644 (file)
--- a/pkg/R/A_NAMESPACE.R
+++ b/pkg/R/A_NAMESPACE.R
@@ -1,3 +1,7 @@
+#' @include Data.R
+#' @include Forecast.R
+#' @include Forecaster.R
+#'
 #' @importFrom grDevices colors gray.colors
 #' @importFrom graphics abline hist par plot
 #' @importFrom methods hasArg is

diff --git a/pkg/R/Data.R b/pkg/R/Data.R
index 551cfaf..53a8d5b 100644 (file)
--- a/pkg/R/Data.R
+++ b/pkg/R/Data.R
@@ -5,12 +5,14 @@
 #' @docType class
 #' @importFrom R6 R6Class
 #'
-#' @field .data List of \itemize{
+#' @field .data List of
+#' \itemize{
 #'   \item time: vector of times
-#'   \item serie: centered series
+#'   \item centered_serie: centered series
 #'   \item level: corresponding levels
 #'   \item exo: exogenous variables
-#'   \item exo_hat: predicted exogenous variables}
+#'   \item exo_hat: predicted exogenous variables
+#' }
 #'
 #' @section Methods:
 #' \describe{
@@ -18,24 +20,30 @@
 #'   Return number of series in dataset.}
 #' \item{\code{getStdHorizon()}}{
 #'   Return number of time steps from serie[1] until midnight}
-#' \item{\code{appendHat(time, hat_serie, hat_exo)}}{
-#'   New estimated data + time.}
+#' \item{\code{appendHat(time, exo_hat)}}{
+#'   New estimated exogenous variables + time}
 #' \item{\code{append(serie, exo)}}{
 #'   New measured data; call *after* \code{appendHat()}}
 #' \item{\code{getTime(index)}}{
 #'   Get times at specified index.}
-#' \item{\code{getCenteredSerie(index, hat=FALSE)}}{
+#' \item{\code{getCenteredSerie(index)}}{
 #'   Get (measured or predicted) centered serie at specified index.}
-#' \item{\code{getCenteredSeries(indices, hat=FALSE)}}{
+#' \item{\code{getCenteredSeries(indices)}}{
 #'   Get centered series at specified indices (in columns).}
-#' \item{\code{getLevel(index, hat=FALSE)}}{
+#' \item{\code{getLevel(index)}}{
 #'   Get level at specified index.}
-#' \item{\code{getSerie(index, hat=FALSE)}}{
+#' \item{\code{getSerie(index)}}{
 #'   Get serie (centered+level) at specified index.}
-#' \item{\code{getSeries(indices, hat=FALSE)}}{
+#' \item{\code{getSeries(indices)}}{
 #'   Get series at specified indices (in columns).}
-#' \item{\code{getExo(index, hat=FALSE)}}{
+#' \item{\code{getExoHat(index)}}{
+#'   Get predicted exogenous variables at specified index.}
+#' \item{\code{getExo(index)}}{
 #'   Get exogenous variables at specified index.}
+#' \item{\code{removeFirst()}}{
+#'   Remove first list element (if truncated).}
+#' \item{\code{removeLast()}}{
+#'   Remove last list element (if truncated).}
 #' }
 #'
 Data = R6::R6Class("Data",
@@ -49,64 +57,54 @@ Data = R6::R6Class("Data",
                getStdHorizon = function()
                        24 - as.POSIXlt( private$.data[[1]]$time[1] )$hour + 1
                ,
-               appendHat = function(time, hat_serie, hat_exo)
-               {
-                       hat_level = mean(hat_serie, na.rm=TRUE)
-                       hat_centered_serie = hat_serie - hat_level
-                       private$.data[[length(private$.data)+1]] <- list(
-                               "time"=time, "hat_centered_serie"=hat_centered_serie,
-                               "hat_level"=hat_level, "hat_exo"=hat_exo )
-               },
-               append = function(serie, exo)
+               appendHat = function(time, exo_hat)
+                       private$.data[[length(private$.data)+1]] <- list("time"=time,"exo_hat"=exo_hat)
+               ,
+               append = function(time, serie, exo)
                {
+                       index <- length(private$.data)
                        level = mean(serie, na.rm=TRUE)
                        centered_serie = serie - level
-                       private$.data[[length(private$.data)]]$centered_serie <- centered_serie,
-                       private$.data[[length(private$.data)]]$level <- level,
-                       private$.data[[length(private$.data)]]$exo <- exo,
+                       private$.data[[index]]$time <- time
+                       private$.data[[index]]$centered_serie <- centered_serie
+                       private$.data[[index]]$level <- level
+                       private$.data[[index]]$exo <- exo
                },
                getTime = function(index)
                {
                        index = dateIndexToInteger(index, self)
                        private$.data[[index]]$time
                },
-               getCenteredSerie = function(index, hat=FALSE)
+               getCenteredSerie = function(index)
                {
                        index = dateIndexToInteger(index, self)
-                       if (hat)
-                               private$.data[[index]]$hat_centered_serie
-                       else
-                               private$.data[[index]]$centered_serie
+                       private$.data[[index]]$centered_serie
                },
-               getCenteredSeries = function(indices, hat=FALSE)
-                       sapply(indices, function(i) self$getCenteredSerie(i, hat))
+               getCenteredSeries = function(indices)
+                       sapply(indices, function(i) self$getCenteredSerie(i))
                ,
-               getLevel = function(index, hat=FALSE)
+               getLevel = function(index)
                {
                        index = dateIndexToInteger(index, self)
-                       if (hat)
-                               private$.data[[index]]$hat_level
-                       else
-                               private$.data[[index]]$level
+                       private$.data[[index]]$level
                },
-               getSerie = function(index, hat=FALSE)
+               getSerie = function(index)
                {
                        index = dateIndexToInteger(index, self)
-                       if (hat)
-                               private$.data[[index]]$hat_centered_serie + private$.data[[index]]$hat_level
-                       else
-                               private$.data[[index]]$centered_serie + private$.data[[index]]$level
+                       private$.data[[index]]$centered_serie + private$.data[[index]]$level
                },
-               getSeries = function(indices, hat=FALSE)
-                               sapply(indices, function(i) self$getSerie(i, hat))
+               getSeries = function(indices)
+                       sapply(indices, function(i) self$getSerie(i))
                ,
-               getExo = function(index, hat=FALSE)
+               getExoHat = function(index)
+               {
+                       index = dateIndexToInteger(index, self)
+                       private$.data[[index]]$exo_hat
+               },
+               getExo = function(index)
                {
                        index = dateIndexToInteger(index, self)
-                       if (hat)
-                               private$.data[[index]]$hat_exo
-                       else
-                               private$.data[[index]]$exo
+                       private$.data[[index]]$exo
                },
                removeFirst = function()
                        private$.data <- private$.data[2:length(private$.data)]

diff --git a/pkg/R/F_Average.R b/pkg/R/F_Average.R
index c28125e..a5e3c3e 100644 (file)
--- a/pkg/R/F_Average.R
+++ b/pkg/R/F_Average.R
@@ -1,10 +1,9 @@
-#' @include Forecaster.R
-#'
 #' Average Forecaster
 #'
 #' Return the (pointwise) average of the all the (similar) centered day curves
 #' in the past. Inherits \code{\link{Forecaster}}
 #'
+#' @export
 AverageForecaster = R6::R6Class("AverageForecaster",
        inherit = Forecaster,
 

diff --git a/pkg/R/F_Neighbors.R b/pkg/R/F_Neighbors.R
index c9eda05..52c2b35 100644 (file)
--- a/pkg/R/F_Neighbors.R
+++ b/pkg/R/F_Neighbors.R
@@ -1,5 +1,3 @@
-#' @include Forecaster.R
-#'
 #' Neighbors Forecaster
 #'
 #' Predict tomorrow as a weighted combination of "futures of the past" days.
@@ -125,7 +123,7 @@ NeighborsForecaster = R6::R6Class("NeighborsForecaster",
                                                private$.params$indices <- fdays
                                                private$.params$window <- 1
                                        }
-                                       return ( data$getSerie(fdays[1])[1:horizon] ) #what else?!
+                                       return ( data$getSerie(fdays[1])[1:horizon] )
                                }
                        }
                        else

diff --git a/pkg/R/F_Persistence.R b/pkg/R/F_Persistence.R
index 79cfe3c..ad83449 100644 (file)
--- a/pkg/R/F_Persistence.R
+++ b/pkg/R/F_Persistence.R
@@ -1,5 +1,3 @@
-#' @include Forecaster.R
-#'
 #' Persistence Forecaster
 #'
 #' Return the last centered (similar) day curve.
@@ -14,14 +12,12 @@ PersistenceForecaster = R6::R6Class("PersistenceForecaster",
                        # Return centered last (similar) day curve, avoiding NAs until memory is run
                        first_day = max(1, today-memory)
                        same_day = ifelse(hasArg("same_day"), list(...)$same_day, TRUE)
-                       realtime = ifelse(hasArg("realtime"), list(...)$realtime, FALSE)
                        # If 'same_day', get the last known future of similar day: -7 + 1 == -6
                        index = today - ifelse(same_day,6,0)
                        repeat
                        {
                                {
-                                       last_serie =
-                                               data$getCenteredSerie(index,hat=(index==today && realtime))[1:horizon]
+                                       last_serie = data$getCenteredSerie(index)[1:horizon]
                                        index = index - ifelse(same_day,7,1)
                                };
                                if (!any(is.na(last_serie)))

diff --git a/pkg/R/F_Zero.R b/pkg/R/F_Zero.R
index f5d6b89..ac970c4 100644 (file)
--- a/pkg/R/F_Zero.R
+++ b/pkg/R/F_Zero.R
@@ -1,5 +1,3 @@
-#' @include Forecaster.R
-#'
 #' Zero Forecaster
 #'
 #' Return 0 (and then adjust). Inherits \code{\link{Forecaster}}
@@ -9,6 +7,6 @@ ZeroForecaster = R6::R6Class("ZeroForecaster",
 
        public = list(
                predictShape = function(data, today, memory, horizon, ...)
-                       rep(0., horizon)
+                       rep(0, horizon)
        )
 )

diff --git a/pkg/R/J_Neighbors.R b/pkg/R/J_Neighbors.R
index 351fbf9..12fc9d4 100644 (file)
--- a/pkg/R/J_Neighbors.R
+++ b/pkg/R/J_Neighbors.R
@@ -9,13 +9,12 @@ getNeighborsJumpPredict = function(data, today, memory, horizon, params, ...)
        filter = (params$indices >= first_day)
        indices = params$indices[filter]
        weights = params$weights[filter]
-       realtime = ifelse(hasArg("realtime"), list(...)$realtime, FALSE)
 
        if (any(is.na(weights) | is.na(indices)))
                return (NA)
 
        gaps = sapply(indices, function(i) {
-               data$getSerie(i+1,hat=(realtime && i+1==today))[1] - tail(data$getSerie(i), 1)
+               head( data$getSerie(i+1), 1) - tail( data$getSerie(i), 1)
        })
        scal_product = weights * gaps
        norm_fact = sum( weights[!is.na(scal_product)] )

diff --git a/pkg/R/J_Persistence.R b/pkg/R/J_Persistence.R
index 4d3abd2..a85a42a 100644 (file)
--- a/pkg/R/J_Persistence.R
+++ b/pkg/R/J_Persistence.R
@@ -8,13 +8,12 @@ getPersistenceJumpPredict = function(data, today, memory, horizon, params, ...)
        #return gap between end of similar day curve and first day of tomorrow (in the past)
        first_day = max(1, today-memory)
        same_day = ifelse(hasArg("same_day"), list(...)$same_day, TRUE)
-       realtime = ifelse(hasArg("realtime"), list(...)$realtime, FALSE)
        index = today - ifelse(same_day,7,1)
        repeat
        {
                {
                        last_serie_end = tail( data$getSerie(index), 1)
-                       last_tomorrow_begin = data$getSerie(index+1,hat=(realtime && index+1==today))[1]
+                       last_tomorrow_begin = head( data$getSerie(index+1), 1)
                        index = index - ifelse(same_day,7,1)
                };
                if (!is.na(last_serie_end) && !is.na(last_tomorrow_begin))

diff --git a/pkg/R/computeError.R b/pkg/R/computeError.R
index ce05fdb..7da1032 100644 (file)
--- a/pkg/R/computeError.R
+++ b/pkg/R/computeError.R
@@ -4,7 +4,8 @@
 #'
 #' @param data Dataset, object of class \code{Data} output of \code{getData}
 #' @param pred Forecast object, class \code{Forecast} output of \code{computeForecast}
-#' @param horizon Horizon where to compute the error (<= horizon used in \code{computeForecast})
+#' @param horizon Horizon where to compute the error
+#'   (<= horizon used in \code{computeForecast})
 #'
 #' @return A list (abs,MAPE) of lists (day,indices)
 #'

diff --git a/pkg/R/computeForecast.R b/pkg/R/computeForecast.R
index 198f6ec..1e79118 100644 (file)
--- a/pkg/R/computeForecast.R
+++ b/pkg/R/computeForecast.R
@@ -2,8 +2,9 @@
 #'
 #' Predict time-series curves for the selected days indices (lines in data).
 #'
-#' @param data Dataset, object of type \code{Data} output of \code{getData}
-#' @param indices Days indices where to forecast (the day after)
+#' @param data Object of type \code{Data}, output of \code{getData()}
+#' @param indices Indices where to forecast (the day after); integers relative to the
+#'   beginning of data, or (convertible to) Date objects
 #' @param forecaster Name of the main forcaster
 #' \itemize{
 #'   \item Persistence : use values of last (similar, next) day
@@ -20,8 +21,7 @@
 #' @param memory Data depth (in days) to be used for prediction
 #' @param horizon Number of time steps to predict
 #' @param ncores Number of cores for parallel execution (1 to disable)
-#' @param ... Additional parameters for the forecasting models;
-#'   In particular, realtime=TRUE to use predictions instead of measurements
+#' @param ... Additional parameters for the forecasting models
 #'
 #' @return An object of class Forecast
 #'

diff --git a/pkg/R/getData.R b/pkg/R/getData.R
index b944dfb..b095d01 100644 (file)
--- a/pkg/R/getData.R
+++ b/pkg/R/getData.R
@@ -71,12 +71,10 @@ getData = function(ts_data, exo_data, input_tz="GMT", date_format="%d/%m/%Y %H:%
        {
                time = c()
                serie = c()
-               hat_serie = c()
                repeat
                {
                        {
                                time = c(time, ts_df[line,1])
-                               hat_serie = c(serie, ts_df[line,3])
                                serie = c(serie, ts_df[line,2])
                                line = line + 1
                        };
@@ -89,7 +87,7 @@ getData = function(ts_data, exo_data, input_tz="GMT", date_format="%d/%m/%Y %H:%
 
                hat_exo = as.data.frame( exo_df[i,(1+nb_exos+1):(1+2*nb_exos)] )
                exo = as.data.frame( exo_df[i,2:(1+nb_exos)] )
-               data$appendHat(time, hat_serie, hat_exo)
+               data$appendHat(time, hat_exo)
                data$append(serie, exo) #in realtime, this call comes hours later
                if (i >= limit)
                        break