# pyFTS.models.nonstationary.cvfts — pyFTS 1.4 documentation

# Source code for pyFTS.models.nonstationary.cvfts

    import numpy as np
    from pyFTS.models import hofts
    from pyFTS.models.nonstationary import common,nsfts
    from pyFTS.common import FLR, flrg, tree

    class HighOrderNonstationaryFLRG(hofts.HighOrderFTS):
        """Conventional High Order Fuzzy Logical Relationship Group"""
        def __init__(self, order, **kwargs):
            super(HighOrderNonstationaryFLRG, self).__init__(order, **kwargs)
            self.LHS = []
            self.RHS = {}
            self.strlhs = ""

        def append_rhs(self, c, **kwargs):
            if c not in self.RHS:
                self.RHS[c] = c

        def append_lhs(self, c):
            self.LHS.append(c)

        def __str__(self):
            tmp = ""
            for c in sorted(self.RHS):
                if len(tmp) > 0:
                    tmp = tmp + ","
                tmp = tmp + c
            return self.get_key() + " -> " + tmp

        def __len__(self):
            return len(self.RHS)

    class ConditionalVarianceFTS(hofts.HighOrderFTS):
        def __init__(self, **kwargs):
            super(ConditionalVarianceFTS, self).__init__(**kwargs)
            self.name = "Conditional Variance FTS"
            self.shortname = "CVFTS "
            self.detail = ""
            self.flrgs = {}
            self.is_high_order = False
            if self.partitioner is not None:
                self.append_transformation(self.partitioner.transformation)

            self.min_stack = [0,0,0]
            self.max_stack = [0,0,0]
            self.uod_clip = False
            self.order = 1
            self.min_order = 1
            self.max_lag = 1
            self.inputs = []
            self.forecasts = []
            self.residuals = []
            self.variance_residual = 0.
            self.mean_residual = 0.
            self.memory_window = kwargs.get("memory_window",5)

        def train(self, ndata, **kwargs):

            tmpdata = common.fuzzySeries(ndata, self.sets,
                                         self.partitioner.ordered_sets,
                                         method='fuzzy', const_t=0)
            flrs = FLR.generate_non_recurrent_flrs(tmpdata)
            self.generate_flrg(flrs)

            self.forecasts = self.forecast(ndata, no_update=True)
            self.residuals = np.array(ndata[1:]) - np.array(self.forecasts[:-1])

            self.variance_residual = np.var(self.residuals) # np.max(self.residuals
            self.mean_residual = np.mean(self.residuals)

            self.residuals = self.residuals[-self.memory_window:].tolist()
            self.forecasts = self.forecasts[-self.memory_window:]
            self.inputs = np.array(ndata[-self.memory_window:]).tolist()

        def generate_flrg(self, flrs, **kwargs):
            for flr in flrs:
                if flr.LHS.name in self.flrgs:
                    self.flrgs[flr.LHS.name].append_rhs(flr.RHS.name)
                else:
                    self.flrgs[flr.LHS.name] = nsfts.ConventionalNonStationaryFLRG(flr.LHS.name)
                    self.flrgs[flr.LHS.name].append_rhs(flr.RHS.name)

        def _smooth(self, a):
            return .1 * a[0] + .3 * a[1] + .6 * a[2]

        def perturbation_factors(self, data, **kwargs):
            npart = len(self.partitioner.sets)
            _max = 0
            _min = 0
            if data < self.original_min:
                _min = data - self.original_min if data < 0 else self.original_min - data
            elif data > self.original_max:
                _max = data - self.original_max if data > 0 else self.original_max - data
            self.min_stack.pop(2)
            self.min_stack.insert(0, _min)
            _min = min(self.min_stack)
            self.max_stack.pop(2)
            self.max_stack.insert(0, _max)
            _max = max(self.max_stack)

            _range = (_max - _min)/2

            translate = np.linspace(_min, _max, npart)

            var = np.std(self.residuals)

            var = 0 if var < 1 else var

            loc = (self.mean_residual + np.mean(self.residuals))

            location = [_range + w + loc + k for k in np.linspace(-var,var, npart) for w in translate]

            scale = [abs(location[0] - location[2])]
            scale.extend([abs(location[k - 1] - location[k + 1]) for k in np.arange(1, npart)])
            scale.append(abs(location[-1] - location[-3]))

            perturb = [[location[k], scale[k]] for k in np.arange(npart)]

            return perturb

        def perturbation_factors__old(self, data):
            npart = len(self.partitioner.sets)
            _max = 0
            _min = 0
            if data < self.original_min:
                _min = data - self.original_min if data < 0 else self.original_min - data
            elif data > self.original_max:
                _max = data - self.original_max if data > 0 else self.original_max - data
            self.min_stack.pop(2)
            self.min_stack.insert(0,_min)
            _min = min(self.min_stack)
            self.max_stack.pop(2)
            self.max_stack.insert(0, _max)
            _max = max(self.max_stack)

            location = np.linspace(_min, _max, npart)
            scale = [abs(location[0] - location[2])]
            scale.extend([abs(location[k-1] - location[k+1]) for k in np.arange(1, npart)])
            scale.append(abs(location[-1] - location[-3]))

            perturb = [[location[k], scale[k]] for k in np.arange(0, npart)]

            return perturb

        def _fsset_key(self, ix):
            return self.partitioner.ordered_sets[ix]

        def _affected_sets(self, sample, perturb):

            affected_sets = [[ct, self.sets[self._fsset_key(ct)].membership(sample, perturb[ct])]
                             for ct in np.arange(len(self.partitioner.sets))
                             if self.sets[self._fsset_key(ct)].membership(sample, perturb[ct]) > 0.0]

            if len(affected_sets) == 0:

                if sample < self.partitioner.lower_set().get_lower(perturb[0]):
                    affected_sets.append([0, 1])
                elif sample > self.partitioner.upper_set().get_upper(perturb[-1]):
                    affected_sets.append([len(self.sets) - 1, 1])

            return affected_sets

        def forecast(self, ndata, **kwargs):
            l = len(ndata)

            ret = []

            no_update = kwargs.get("no_update",False)

            for k in np.arange(0, l):

                sample = ndata[k]

                if not no_update:
                    perturb = self.perturbation_factors(sample)
                else:
                    perturb = [[0, 1] for k in np.arange(len(self.partitioner.sets))]

                affected_sets = self._affected_sets(sample, perturb)

                numerator = []
                denominator = []

                if len(affected_sets) == 1:
                    ix = affected_sets[0][0]
                    aset = self.partitioner.ordered_sets[ix]
                    if aset in self.flrgs:
                        numerator.append(self.flrgs[aset].get_midpoint(self.sets, perturb[ix]))
                    else:
                        fuzzy_set = self.sets[aset]
                        numerator.append(fuzzy_set.get_midpoint(perturb[ix]))
                    denominator.append(1)
                else:
                    for aset in affected_sets:
                        ix = aset[0]
                        fs = self.partitioner.ordered_sets[ix]
                        tdisp = perturb[ix]
                        if fs in self.flrgs:
                            numerator.append(self.flrgs[fs].get_midpoint(self.sets, tdisp) * aset[1])
                        else:
                            fuzzy_set = self.sets[fs]
                            numerator.append(fuzzy_set.get_midpoint(tdisp) * aset[1])
                        denominator.append(aset[1])

                if sum(denominator) > 0:
                    pto = sum(numerator) /sum(denominator)
                else:
                    pto = sum(numerator)

                ret.append(pto)

                if not no_update:
                    self.forecasts.append(pto)
                    self.residuals.append(self.inputs[-1] - self.forecasts[-1])
                    self.inputs.append(sample)

                    self.inputs.pop(0)
                    self.forecasts.pop(0)
                    self.residuals.pop(0)

            return ret

        def forecast_interval(self, ndata, **kwargs):
            l = len(ndata)

            ret = []

            for k in np.arange(0, l):

                sample = ndata[k]

                perturb = self.perturbation_factors(sample)

                affected_sets = self._affected_sets(sample, perturb)

                upper = []
                lower = []

                if len(affected_sets) == 1:
                    ix = affected_sets[0][0]
                    aset = self.partitioner.ordered_sets[ix]
                    if aset in self.flrgs:
                        lower.append(self.flrgs[aset].get_lower(perturb[ix]))
                        upper.append(self.flrgs[aset].get_upper(perturb[ix]))
                    else:
                        fuzzy_set = self.sets[aset]
                        lower.append(fuzzy_set.get_lower(perturb[ix]))
                        upper.append(fuzzy_set.get_upper(perturb[ix]))
                else:
                    for aset in affected_sets:
                        ix = aset[0]
                        fs = self.partitioner.ordered_sets[ix]
                        tdisp = perturb[ix]
                        if fs in self.flrgs:
                            lower.append(self.flrgs[fs].get_lower(tdisp) * aset[1])
                            upper.append(self.flrgs[fs].get_upper(tdisp) * aset[1])
                        else:
                            fuzzy_set = self.sets[fs]
                            lower.append(fuzzy_set.get_lower(tdisp) * aset[1])
                            upper.append(fuzzy_set.get_upper(tdisp) * aset[1])

                itvl = [sum(lower), sum(upper)]

                ret.append(itvl)

            return ret