ts-aggregator/project_template/DATrendMultSeasonality.cpp

//
// Ìåòîä ýêñïîíåíöèàëüíîãî ñãëàæèâàíèÿ è ïðîãíîçèðîâàíèÿ:
// äåìïèíã àääèòèâíûé òðåíä, ìóëüòèïëèêàòâíàÿ ñåçîííîñòü
//
#include "StdAfx.h"
#include <iostream>
#include "DATrendMultSeasonality.h"
#include "Param.h"

// êîíñòðóêòîð ñ çàäàííûìè íåïîñðåäñòâåííî ïàðàìåòðàìè
DATrendMultSeasonality::DATrendMultSeasonality(vector<double> timeSeries, int countPointForecast) {
	this->x 					= timeSeries;
	this->countPointForecast 	= countPointForecast;
	this->partition();
}

DATrendMultSeasonality::~DATrendMultSeasonality() {
	// îñâîáîæäàåòñÿ ïàìÿòü
    std::vector<double> ().swap(S);
    std::vector<double> ().swap(x);
	std::vector<double> ().swap(T);
	std::vector<double> ().swap(I);
	std::vector<double> ().swap(forecast);
}

// èíèöèàëèçàöèÿ ìîäåëè, çàäàíèå ïåðâîíà÷àëüíûõ çíà÷åíèé
void DATrendMultSeasonality::init() {
	S.clear();
	T.clear();
	I.clear();
	forecast.clear();

    double sumS    = 0;
	double sumT    = 0;
    for (unsigned int t = 0; t < p; t++) {
		sumS += x[t];
		sumT += x[t+p];
    }

    S.push_back(sumS / p);
	T.push_back((sumT/ p - S[0]) / p);

	for (unsigned int t = 0; t < p; t++) {
		I.push_back(x[t] / S[0]);
	}

	forecast.push_back((S[0] + T[0] * phi) * I[0]);
}

// Çàäàòü ïàðàìåòð 
void DATrendMultSeasonality::setParam(string paramName, double value) {
	if (paramName.compare("alpha") == 0) {
		this->alpha = value;
	} else if (paramName.compare("gamma") == 0) {
		this->gamma = value;
	} else if (paramName.compare("p") == 0) {
		this->p = value;
	} else if (paramName.compare("delta") == 0) {
		this->delta = value;
	} else if (paramName.compare("phi") == 0) {
		this->phi = value;
	}
}

// ñôîðìèðîâàòü ìîäåëü
void DATrendMultSeasonality::createModel() {
	this->init(); // èíèöèàëèçèðîâàòü ìîäåëü
	double e = 0;

	//âûïîëíÿåòñÿ ïðîõîä ìîäåëè ïî ñãëàæèâàíèþ è ïðîãíîçèðîâàíèþ countPointForecast òî÷åê
	for (unsigned int t = 0; t < x.size()-1 + this->countPointForecast; t++) {
		// ïîêà íå äîøëè äî êîíöà ðÿäà - ñãëàæèâàåì, èíà÷å ñòðîèì ïðîãíîç
		if (t < x.size()) {
			e = x[t]-forecast[t];
		} else {
			e = 0;
		}
		
		S.push_back(S[t] + T[t] * phi + alpha * e / I[t]);		//  óðîâåíü
		T.push_back(T[t] * phi + alpha * gamma * e / I[t]);		//  òðåíä
		I.push_back(I[t] + delta * e / (S[t] + T[t] * phi));	//  ñåçîííîñòü
		forecast.push_back((S[t+1] + T[t+1] * phi ) * I[t+1]);	//	ïðîãíîç
	}	
}

// ñôîðìèðîâàòü ìîäåëü
void DATrendMultSeasonality::createModelForEstimation() {
	this->init(); // èíèöèàëèçèðîâàòü ìîäåëü
	double e = 0;

	//âûïîëíÿåòñÿ ïðîõîä ìîäåëè ïî ñãëàæèâàíèþ è ïðîãíîçèðîâàíèþ countPointForecast òî÷åê
	for (unsigned int t = 0; t < xLearning.size()-1 + this->countPointForecast; t++) {
		// ïîêà íå äîøëè äî êîíöà ðÿäà - ñãëàæèâàåì, èíà÷å ñòðîèì ïðîãíîç
		if (t < xLearning.size()) {
			e = xLearning[t]-forecast[t];
		} else {
			e = 0;
		}
		
		S.push_back(S[t] + T[t] * phi + alpha * e / I[t]);		//  óðîâåíü
		T.push_back(T[t] * phi + alpha * gamma * e / I[t]);		//  òðåíä
		I.push_back(I[t] + delta * e / (S[t] + T[t] * phi));	//  ñåçîííîñòü
		forecast.push_back((S[t+1] + T[t+1] * phi ) * I[t+1]);	//	ïðîãíîç
	}	
}

// ìåòîä ïîëó÷åíèÿ ïðîãíîçà
vector<double> DATrendMultSeasonality::getForecast() {
	vector<double> result;
	for (unsigned int i = forecast.size() - countPointForecast; i < forecast.size(); i++) {
		result.push_back(forecast[i]);
	}
	return result;
}

// ìåòîä ïîëó÷åíèÿ îöåíêè ìîäåëè
double DATrendMultSeasonality::calcEstimation(Aic *aic) {
	return aic->getValue(3, this->xEstimation, this->forecast);
}


// ìåòîä ïîëó÷åíèÿ îïòèìèçèðîâàííîãî çíà÷åíèÿ îäíîãî ïàðàìåòðà
// TODO: ðåàëèçîâàòü
Param* DATrendMultSeasonality::optimize(Estimation *est) {
	Param *optimal = new Param();
	double minSmape = 99999;
	for (double al = 0.1; al < 1; al+= 0.05) {
		for (double gam = 0.1; gam < 1; gam+= 0.05) {
			for (double del = 0.1; del < 1;del+= 0.05) {
				for (double ph = 0.1; ph < 1;ph+= 0.05) {
				this->setParam("alpha", al);
				this->setParam("gamma", gam);
				this->setParam("delta", del);
				this->setParam("ph", ph);
				this->createModelForEstimation();
				double smapeValue = est->getValue(getXEstimation(), getForecast());
				if (minSmape > smapeValue) {
					minSmape = smapeValue;
					optimal->alpha = al;
					optimal->gamma = gam;
					optimal->delta = del;
					optimal->phi = ph;
				}
			}
		}
	}
	}
	return optimal;
}