ts-aggregator/project_template/Vovk.cpp

#include "StdAfx.h"
#include "Vovk.h"
#include "Dsa.h"
#include "Fuzzy.h"
#include "FuzzyWithSets.h"
#include "NoTrendNoSeasonality.h"
#include "NoTrendNoSeasonality.h"
#include "NoTrendAddSeasonality.h"
#include "NoTrendMultSeasonality.h"
#include "AddTrendNoSeasonality.h"
#include "AddTrendAddSeasonality.h"
#include "AddTrendMultSeasonality.h"
#include "MultTrendNoSeasonality.h"
#include "MultTrendAddSeasonality.h"
#include "MultTrendMultSeasonality.h"
#include "DATrendNoSeasonality.h"
#include "DATrendAddSeasonality.h"
#include "DATrendMultSeasonality.h"
#include "DMTrendNoSeasonality.h"
#include "DMTrendAddSeasonality.h"
#include "DMTrendMultSeasonality.h"
#include "TrackingControlSignal.h"
#include <iostream>
//Set ts at constructor, get first forecast
//add value(update) ts
//recalculate weights
Vovk::Vovk(vector<double> _timeSeria, int _forecastHorizont, Method **m) {
	prep = new Preparator(true, true);
	useSingleTrashhold = false;
	forecastHorizont = 1;
	singleTrashhold = 0.35;
	useModelTrashhold = false;
	modelTrashhold = 0;
	activeExpertsCount = 0;
	beta = 0.5;
	step = 0;
	forecast = 0;	
	addWeightFromSleepEx = 0.0;
	timeSeria = _timeSeria;
	calculateTimeSeriaDiff(_timeSeria);
	int n = 29; // êîëè÷åñòâî ìåòîäîâ, ÷òîá ëèøíåãî ïàìÿòè íå æðàòü
	expertsCount = n;
	forecastHorizont = _forecastHorizont;
	/*int		p = 1;
	double	alpha = 0.4;
	double	delta = 0.9;
	double	gamma = 0.4;
	double	phi = 0.1;*/
	int		countRulesIn = 1;
	int		countFuzzyParts = 40;
	models = m;
	//models[0] = new NoTrendNoSeasonality(_timeSeria, _forecastHorizont);
	//models[1] = new NoTrendAddSeasonality(_timeSeria, _forecastHorizont);
	//models[2] = new NoTrendMultSeasonality(_timeSeria, _forecastHorizont);

	//models[3] = new AddTrendNoSeasonality(_timeSeria, _forecastHorizont);
	//models[4] = new MultTrendNoSeasonality(_timeSeria, _forecastHorizont);
	//models[5] = new DATrendNoSeasonality(_timeSeria, _forecastHorizont);
	//models[6] = new DMTrendNoSeasonality(_timeSeria, _forecastHorizont);

	//models[7] = new AddTrendAddSeasonality(_timeSeria, _forecastHorizont);
	//models[8] = new MultTrendAddSeasonality(_timeSeria, _forecastHorizont);
	//models[9] = new DATrendAddSeasonality(_timeSeria, _forecastHorizont);
	//models[10] = new DMTrendAddSeasonality(_timeSeria, _forecastHorizont);

	//models[11] = new AddTrendMultSeasonality(_timeSeria, _forecastHorizont);
	//models[12] = new MultTrendMultSeasonality(_timeSeria, _forecastHorizont);
	//models[13] = new DATrendMultSeasonality(_timeSeria, _forecastHorizont);
	//models[14] = new DMTrendMultSeasonality(_timeSeria, _forecastHorizont);
	//models[15] = new Dsa(_timeSeria, _forecastHorizont);		
	//models[16] = new Fuzzy("None", "None", _timeSeria, _forecastHorizont); 
	//models[17] = new Fuzzy("Add", "None", _timeSeria, _forecastHorizont); 
	//models[18] = new Fuzzy("None", "Add", _timeSeria, _forecastHorizont); 
	//models[19] = new Fuzzy("Add", "Add", _timeSeria, _forecastHorizont); 
	//models[20] = new FuzzyWithSets("None", "None", _timeSeria, _forecastHorizont); 
	//models[21] = new FuzzyWithSets("None", "Add", _timeSeria, _forecastHorizont); 
	//models[22] = new FuzzyWithSets("None", "Mult", _timeSeria, _forecastHorizont); 
	//models[23] = new FuzzyWithSets("Add", "None", _timeSeria, _forecastHorizont); 
	//models[24] = new FuzzyWithSets("Add", "Add", _timeSeria, _forecastHorizont);
	//models[25] = new FuzzyWithSets("Add", "Mult", _timeSeria, _forecastHorizont);
	//models[26] = new FuzzyWithSets("Mult", "None", _timeSeria, _forecastHorizont); 
	//models[27] = new FuzzyWithSets("Mult", "Add", _timeSeria, _forecastHorizont);
	//models[28] = new FuzzyWithSets("Mult", "Mult", _timeSeria, _forecastHorizont);

	////add  models
	//for (int i = 0; i < 29; i++) {

	//	// ñîçäàåì ìîäåëü äëÿ òåñòèðîâàíèÿ ïðè ïîìîùè âûáðàííîãî ìåòîäà
	//	// çàäàåì ïàðàìåòðû
	//	models[i]->setParam("alpha", alpha);
	//	models[i]->setParam("gamma", gamma);
	//	models[i]->setParam("delta", delta);
	//	models[i]->setParam("p", p);
	//	models[i]->setParam("phi", phi);

	//	models[i]->setParam("countRulesIn", countRulesIn);
	//	models[i]->setParam("countFuzzyParts", countFuzzyParts);
	//	models[i]->setParam("w", 0.5);
	//	// ñ íóæíî îïðåäåëÿòü êàê îòíîñèòåëüíóþ âåëè÷èíó, áåç ïðèâÿçêè ê çíà÷åíèÿì ðÿäà
	//	// ëèøü ïîòîì ìàñøòàáèðîâàòü 
	//	// íàïðèìåð ìîæíî ðàññ÷èòàòü òàê: ïðè êîëè÷åñòâå èíòåðâàëîâ ðàçáèåíèÿ = 20, åñëè çàäàòü c = 20
	//	// òî òðåóãîëüíèêè áóäóò ïåðåêðûâàòü äðóã äðóãà ðîâíî íà ïîëîâèíó
	//	models[i]->setParam("c", 20);
	//	// ñîçäàåì ìîäåëü
	//	models[i]->createModelForEstimation();
	//}
	//push models to Vovks object
	double check = 0;

	//set weights at first time
	for (int i = 0; i < expertsCount; i++)
	{
		models[i]->weight = (1.0 / expertsCount);
		check += models[i]->weight;
		models[i]->value = models[i]->getForecast()[step];			
		//cout << models[i]->value << "  " << models[i]->weight << " " << forecast << endl;
	}		
	//check experts representation
	checkExperts();
	//calculate first  forecast
	for (int i = 0; i < expertsCount; i++)
	{
		if (models[i]->isActive)
			forecast += models[i]->value * (models[i]->weight + addWeightFromSleepEx/activeExpertsCount);
	}
	getNewExpertsValues();
	//step++;
}
void Vovk::setBeta(double _beta){
	beta = _beta;
}
Vovk::~Vovk() {

}

void Vovk::calculateTimeSeriaDiff(vector<double> timeSeria){
	double diff = 0.0;
	for (int i = 0; i < timeSeria.size() - 1; i++){
		diff += fabs(timeSeria[i] - timeSeria[i + 1]);
	}
	timeSeriaDiff = (diff / (timeSeria.size() - 1)) * (1 + singleTrashhold);
}

void Vovk::checkExperts(){
	TrackingControlSignal *tcs = new TrackingControlSignal();
	activeExpertsCount = expertsCount;	
	addWeightFromSleepEx = 0.0;
	vector<bool> expertsActivity = tcs->HistoricalExpertControl(models, timeSeriaDiff, expertsCount);
	for (int i = 0; i < expertsCount; i++)
	{				
		models[i]->isActive = expertsActivity[i];
		if (!expertsActivity[i]){			
			addWeightFromSleepEx += models[i]->weight;
			activeExpertsCount--;
		}
	}
}

void Vovk::getNewExpertsValues(){
	for (int i = 0; i < expertsCount; i++){
		//for 1 scale forecast		
		models[i]->value = models[i]->getForecast()[step];
	}
	step++;
}

//ret  gt(x)
double Vovk::recalculateWeights(double nextRealValue){
	double weightsSum = 0;
	for (int i = 0; i < expertsCount; i++){
		models[i]->weight = models[i]->weight * pow(beta, fabs(models[i]->value - nextRealValue));
		weightsSum += models[i]->weight;
	}

	//normalize weights
	double check = 0.0;
	for (int i = 0; i < expertsCount; i++){
		models[i]->weight = models[i]->weight / weightsSum;
		check += models[i]->weight;
	}
	return log(weightsSum) / log(beta);//beta, weightsSum);
}

void Vovk::updateTS(double nextRealValue){
	//change models weights with new real value
	double gtx = recalculateWeights(nextRealValue);
	forecast = 0.0;
	//create new forecast from experts
	getNewExpertsValues();	
	checkExperts();	
	//create aggregated forecast
	double check = 0.0;
	for (int i = 0; i < expertsCount; i++)
	{
		/*cout << i << ") ";
		if (models[i]->isActive){
			cout << "true  ";
		}
		else{
			cout << "false  ";
		}
			cout << " " << models[i]->value << " " << models[i]->weight <<  endl;*/
		if (models[i]->isActive){
			check += models[i]->weight;
			forecast += models[i]->value * (models[i]->weight + addWeightFromSleepEx / activeExpertsCount);
		}
	}
}

double Vovk::getForecast(){		
	return forecast;		
}

//void Vovk::addMethod(AggModel model){
//	models.push_back(model);
//}