- new sliding window benchmarks

- statsmodels ARIMA wrapper for benchmarks
 - method refactoring at PWFTS
 - auto_update at PWFTS
 - method refactoring at ResidualAnalysis

benchmarks/Measures.py

@@ -2,6 +2,7 @@
 
 import numpy as np
 import pandas as pd
+from pyFTS.common import FuzzySet,SortedCollection
 
 
 # Autocorrelation function estimative
@@ -32,7 +33,6 @@ def mape(targets, forecasts):
 
 
 def smape(targets, forecasts, type=2):
-    return mape(targets, forecasts)
     if type == 1:
         return np.mean(np.abs(forecasts - targets) / ((forecasts + targets)/2))
     elif type == 2:
@@ -52,10 +52,8 @@ def UStatistic(targets, forecasts):
     naive = []
     y = []
     for k in np.arange(0,l-1):
-        #y.append((forecasts[k ] - targets[k ]) ** 2)
+        y.append((forecasts[k ] - targets[k ]) ** 2)
-        y.append(((forecasts[k + 1] - targets[k + 1]) / targets[k]) ** 2)
+        naive.append((targets[k + 1] - targets[k]) ** 2)
-        #naive.append((targets[k + 1] - targets[k]) ** 2)
-        naive.append(((targets[k + 1] - targets[k]) / targets[k]) ** 2)
     return np.sqrt(sum(y) / sum(naive))
 
 
@@ -111,3 +109,39 @@ def coverage(targets, forecasts):
         else:
             preds.append(0)
     return np.mean(preds)
+
+
+def pmf_to_cdf(density):
+    ret = []
+    for row in density.index:
+        tmp = []
+        prev = 0
+        for col in density.columns:
+            prev += density[col][row]
+            tmp.append( prev )
+        ret.append(tmp)
+    df = pd.DataFrame(ret, columns=density.columns)
+    return df
+
+
+def heavyside_cdf(bins, targets):
+    ret = []
+    for t in targets:
+        result = [1 if b >= t else 0 for b in bins]
+        ret.append(result)
+    df = pd.DataFrame(ret, columns=bins)
+    return df
+
+
+# Continuous Ranked Probability Score
+def crps(targets, densities):
+    l = len(densities.columns)
+    n = len(densities.index)
+    Ff = pmf_to_cdf(densities)
+    Fa = heavyside_cdf(densities.columns, targets)
+
+    _crps = float(0.0)
+    for k in densities.index:
+        _crps += sum([ (Ff[col][k]-Fa[col][k])**2 for col in densities.columns])
+
+    return _crps / float(l * n)

benchmarks/ProbabilityDistribution.py

@@ -38,6 +38,12 @@ class ProbabilityDistribution(object):
             ret.append(self.distribution[v] / self.count)
         return ret
 
+    def cummulative(self, values):
+        pass
+
+    def quantile(self, qt):
+        pass
+
     def entropy(self):
         h = -sum([self.distribution[k] * np.log(self.distribution[k]) if self.distribution[k] > 0 else 0
                   for k in self.bins])

benchmarks/ResidualAnalysis.py

@@ -71,7 +71,7 @@ def plotResiduals(targets, models, tam=[8, 8], save=False, file=None):
     Util.showAndSaveImage(fig, file, save)
 
 
-def plotResiduals2(targets, models, tam=[8, 8], save=False, file=None):
+def plot_residuals(targets, models, tam=[8, 8], save=False, file=None):
     fig, axes = plt.subplots(nrows=len(models), ncols=3, figsize=tam)
 
     for c, mfts in enumerate(models, start=0):

benchmarks/arima.py

@@ -0,0 +1,52 @@
+#!/usr/bin/python
+# -*- coding: utf8 -*-
+
+import numpy as np
+from statsmodels.tsa.arima_model import ARIMA as stats_arima
+from pyFTS import fts
+
+
+class ARIMA(fts.FTS):
+    def __init__(self, name):
+        super(ARIMA, self).__init__(1, "ARIMA")
+        self.name = "ARIMA"
+        self.detail = "Auto Regressive Integrated Moving Average"
+        self.isHighOrder = True
+        self.model = None
+        self.model_fit = None
+        self.trained_data = None
+        self.p = 1
+        self.d = 0
+        self.q = 0
+        self.benchmark_only = True
+        self.minOrder = 1
+
+    def train(self, data, sets, order=1, parameters=None):
+        if parameters is not None:
+            self.p = parameters[0]
+            self.d = parameters[1]
+            self.q = parameters[2]
+            self.order = max([self.p, self.d, self.q])
+            self.shortname = "ARIMA(" + str(self.p) + "," + str(self.d) + "," + str(self.q) + ")"
+
+        old_fit = self.model_fit
+        self.model =  stats_arima(data, order=(self.p, self.d, self.q))
+        try:
+            self.model_fit = self.model.fit(disp=0)
+        except:
+            try:
+                self.model = stats_arima(data, order=(self.p, self.d, self.q))
+                self.model_fit = self.model.fit(disp=1)
+            except:
+                self.model_fit = old_fit
+
+        self.trained_data = data #.tolist()
+
+    def forecast(self, data):
+        ret = []
+        for t in data:
+            output = self.model_fit.forecast()
+            ret.append( output[0] )
+            self.trained_data = np.append(self.trained_data, t) #.append(t)
+            self.train(self.trained_data,None,order=self.order, parameters=(self.p, self.d, self.q))
+        return ret

benchmarks/naive.py

@@ -6,9 +6,11 @@ from pyFTS import fts
 
 class Naive(fts.FTS):
     def __init__(self, name):
-        super(Naive, self).__init__(1, "Naïve " + name)
+        super(Naive, self).__init__(1, "Naive " + name)
         self.name = "Naïve Model"
         self.detail = "Naïve Model"
+        self.benchmark_only = True
+        self.isHighOrder = False
 
     def forecast(self, data):
         return [k for k in data]

fts.py

@@ -26,6 +26,8 @@ class FTS(object):
         self.original_max = 0
         self.original_min = 0
         self.partitioner = None
+        self.auto_update = False
+        self.benchmark_only = False
 
     def fuzzy(self, data):
         best = {"fuzzyset": "", "membership": 0.0}

partitioners/Grid.py

@@ -7,7 +7,7 @@ from pyFTS.partitioners import partitioner
 
 
 class GridPartitioner(partitioner.Partitioner):
-    def __init__(self, data,npart,func = Membership.trimf, transformation=None):
+    def __init__(self, data, npart, func = Membership.trimf, transformation=None):
         super(GridPartitioner, self).__init__("Grid", data, npart, func=func, transformation=transformation)
 
     def build(self, data):

pfts.py

@@ -1,487 +0,0 @@
-#!/usr/bin/python
-# -*- coding: utf8 -*-
-
-import numpy as np
-import pandas as pd
-import math
-from operator import itemgetter
-from pyFTS.common import FuzzySet, SortedCollection
-from pyFTS import hofts, ifts, tree
-
-
-class ProbabilisticFLRG(hofts.HighOrderFLRG):
-    def __init__(self, order):
-        super(ProbabilisticFLRG, self).__init__(order)
-        self.RHS = {}
-        self.frequencyCount = 0.0
-
-    def appendRHS(self, c):
-        self.frequencyCount += 1.0
-        if c.name in self.RHS:
-            self.RHS[c.name] += 1.0
-        else:
-            self.RHS[c.name] = 1.0
-
-    def getProbability(self, c):
-        return self.RHS[c] / self.frequencyCount
-
-    def __str__(self):
-        tmp2 = ""
-        for c in sorted(self.RHS):
-            if len(tmp2) > 0:
-                tmp2 = tmp2 + ", "
-            tmp2 = tmp2 + "(" + str(round(self.RHS[c] / self.frequencyCount, 3)) + ")" + c
-        return self.strLHS() + " -> " + tmp2
-
-
-class ProbabilisticFTS(ifts.IntervalFTS):
-    def __init__(self, name):
-        super(ProbabilisticFTS, self).__init__("PFTS")
-        self.shortname = "PFTS " + name
-        self.name = "Probabilistic FTS"
-        self.detail = "Silva, P.; Guimarães, F.; Sadaei, H."
-        self.flrgs = {}
-        self.globalFrequency = 0
-        self.hasPointForecasting = True
-        self.hasIntervalForecasting = True
-        self.hasDistributionForecasting = True
-        self.isHighOrder = True
-
-    def generateFLRG(self, flrs):
-        flrgs = {}
-        l = len(flrs)
-        for k in np.arange(self.order, l+1):
-            if self.dump: print("FLR: " + str(k))
-            flrg = ProbabilisticFLRG(self.order)
-
-            for kk in np.arange(k - self.order, k):
-                flrg.appendLHS(flrs[kk].LHS)
-                if self.dump: print("LHS: " + str(flrs[kk]))
-
-            if flrg.strLHS() in flrgs:
-                flrgs[flrg.strLHS()].appendRHS(flrs[k-1].RHS)
-            else:
-                flrgs[flrg.strLHS()] = flrg;
-                flrgs[flrg.strLHS()].appendRHS(flrs[k-1].RHS)
-            if self.dump: print("RHS: " + str(flrs[k-1]))
-
-            self.globalFrequency += 1
-        return (flrgs)
-
-    def addNewPFLGR(self,flrg):
-        if flrg.strLHS() not in self.flrgs:
-            tmp = ProbabilisticFLRG(self.order)
-            for fs in flrg.LHS: tmp.appendLHS(fs)
-            tmp.appendRHS(flrg.LHS[-1])
-            self.flrgs[tmp.strLHS()] = tmp;
-            self.globalFrequency += 1
-
-    def getProbability(self, flrg):
-        if flrg.strLHS() in self.flrgs:
-            return self.flrgs[flrg.strLHS()].frequencyCount / self.globalFrequency
-        else:
-            self.addNewPFLGR(flrg)
-            return self.getProbability(flrg)
-
-    def getMidpoints(self, flrg):
-        if flrg.strLHS() in self.flrgs:
-            tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].centroid for s in tmp.RHS]))
-        else:
-            pi = 1 / len(flrg.LHS)
-            ret = sum(np.array([pi * s.centroid for s in flrg.LHS]))
-        return ret
-
-    def getUpper(self, flrg):
-        if flrg.strLHS() in self.flrgs:
-            tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].upper for s in tmp.RHS]))
-        else:
-            pi = 1 / len(flrg.LHS)
-            ret = sum(np.array([pi * s.upper for s in flrg.LHS]))
-        return ret
-
-    def getLower(self, flrg):
-        if flrg.strLHS() in self.flrgs:
-            tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].lower for s in tmp.RHS]))
-        else:
-            pi = 1 / len(flrg.LHS)
-            ret = sum(np.array([pi * s.lower for s in flrg.LHS]))
-        return ret
-
-    def forecast(self, data):
-
-        ndata = np.array(self.doTransformations(data))
-
-        l = len(ndata)
-
-        ret = []
-
-        for k in np.arange(self.order - 1, l):
-
-            # print(k)
-
-            affected_flrgs = []
-            affected_flrgs_memberships = []
-            norms = []
-
-            mp = []
-
-            # Find the sets which membership > 0 for each lag
-            count = 0
-            lags = {}
-            if self.order > 1:
-                subset = ndata[k - (self.order - 1): k + 1]
-
-                for instance in subset:
-                    mb = FuzzySet.fuzzyInstance(instance, self.sets)
-                    tmp = np.argwhere(mb)
-                    idx = np.ravel(tmp)  # flatten the array
-
-                    if idx.size == 0:  # the element is out of the bounds of the Universe of Discourse
-                        if instance <= self.sets[0].lower:
-                            idx = [0]
-                        elif instance >= self.sets[-1].upper:
-                            idx = [len(self.sets) - 1]
-                        else:
-                            raise Exception(instance)
-
-                    lags[count] = idx
-                    count = count + 1
-
-                # Build the tree with all possible paths
-
-                root = tree.FLRGTreeNode(None)
-
-                self.buildTree(root, lags, 0)
-
-                # Trace the possible paths and build the PFLRG's
-
-                for p in root.paths():
-                    path = list(reversed(list(filter(None.__ne__, p))))
-                    flrg = hofts.HighOrderFLRG(self.order)
-                    for kk in path: flrg.appendLHS(self.sets[kk])
-
-                    assert len(flrg.LHS) == subset.size, str(subset) + " -> " + str([s.name for s in flrg.LHS])
-
-                    ##
-                    affected_flrgs.append(flrg)
-
-                    # Find the general membership of FLRG
-                    affected_flrgs_memberships.append(min(self.getSequenceMembership(subset, flrg.LHS)))
-
-            else:
-
-                mv = FuzzySet.fuzzyInstance(ndata[k], self.sets)  # get all membership values
-                tmp = np.argwhere(mv)  # get the indices of values > 0
-                idx = np.ravel(tmp)  # flatten the array
-
-                if idx.size == 0:  # the element is out of the bounds of the Universe of Discourse
-                    if ndata[k] <= self.sets[0].lower:
-                        idx = [0]
-                    elif ndata[k] >= self.sets[-1].upper:
-                        idx = [len(self.sets) - 1]
-                    else:
-                        raise Exception(ndata[k])
-
-                for kk in idx:
-                    flrg = hofts.HighOrderFLRG(self.order)
-                    flrg.appendLHS(self.sets[kk])
-                    affected_flrgs.append(flrg)
-                    affected_flrgs_memberships.append(mv[kk])
-
-            count = 0
-            for flrg in affected_flrgs:
-                # achar o os bounds de cada FLRG, ponderados pela probabilidade e pertinência
-                norm = self.getProbability(flrg) * affected_flrgs_memberships[count]
-                if norm == 0:
-                    norm = self.getProbability(flrg)  # * 0.001
-                mp.append(norm * self.getMidpoints(flrg))
-                norms.append(norm)
-                count = count + 1
-
-            # gerar o intervalo
-            norm = sum(norms)
-            if norm == 0:
-                ret.append(0)
-            else:
-                ret.append(sum(mp) / norm)
-
-        ret = self.doInverseTransformations(ret, params=[data[self.order - 1:]])
-
-        return ret
-
-    def forecastInterval(self, data):
-
-        ndata = np.array(self.doTransformations(data))
-
-        l = len(ndata)
-
-        ret = []
-
-        for k in np.arange(self.order - 1, l):
-
-            # print(k)
-
-            affected_flrgs = []
-            affected_flrgs_memberships = []
-            norms = []
-
-            up = []
-            lo = []
-
-            # Find the sets which membership > 0 for each lag
-            count = 0
-            lags = {}
-            if self.order > 1:
-                subset = ndata[k - (self.order - 1): k + 1]
-
-                for instance in subset:
-                    mb = FuzzySet.fuzzyInstance(instance, self.sets)
-                    tmp = np.argwhere(mb)
-                    idx = np.ravel(tmp)  # flatten the array
-
-                    if idx.size == 0:  # the element is out of the bounds of the Universe of Discourse
-                        if instance <= self.sets[0].lower:
-                            idx = [0]
-                        elif instance >= self.sets[-1].upper:
-                            idx = [len(self.sets) - 1]
-                        else:
-                            raise Exception(instance)
-
-                    lags[count] = idx
-                    count = count + 1
-
-                # Build the tree with all possible paths
-
-                root = tree.FLRGTreeNode(None)
-
-                self.buildTree(root, lags, 0)
-
-                # Trace the possible paths and build the PFLRG's
-
-                for p in root.paths():
-                    path = list(reversed(list(filter(None.__ne__, p))))
-                    flrg = hofts.HighOrderFLRG(self.order)
-                    for kk in path: flrg.appendLHS(self.sets[kk])
-
-                    assert len(flrg.LHS) == subset.size, str(subset) + " -> " + str([s.name for s in flrg.LHS])
-
-                    ##
-                    affected_flrgs.append(flrg)
-
-                    # Find the general membership of FLRG
-                    affected_flrgs_memberships.append(min(self.getSequenceMembership(subset, flrg.LHS)))
-
-            else:
-
-                mv = FuzzySet.fuzzyInstance(ndata[k], self.sets)  # get all membership values
-                tmp = np.argwhere(mv)  # get the indices of values > 0
-                idx = np.ravel(tmp)  # flatten the array
-
-                if idx.size == 0:  # the element is out of the bounds of the Universe of Discourse
-                    if ndata[k] <= self.sets[0].lower:
-                        idx = [0]
-                    elif ndata[k] >= self.sets[-1].upper:
-                        idx = [len(self.sets) - 1]
-                    else:
-                        raise Exception(ndata[k])
-
-                for kk in idx:
-                    flrg = hofts.HighOrderFLRG(self.order)
-                    flrg.appendLHS(self.sets[kk])
-                    affected_flrgs.append(flrg)
-                    affected_flrgs_memberships.append(mv[kk])
-
-            count = 0
-            for flrg in affected_flrgs:
-                # achar o os bounds de cada FLRG, ponderados pela probabilidade e pertinência
-                norm = self.getProbability(flrg) * affected_flrgs_memberships[count]
-                if norm == 0:
-                    norm = self.getProbability(flrg)  # * 0.001
-                up.append(norm * self.getUpper(flrg))
-                lo.append(norm * self.getLower(flrg))
-                norms.append(norm)
-                count = count + 1
-
-            # gerar o intervalo
-            norm = sum(norms)
-            if norm == 0:
-                ret.append([0, 0])
-            else:
-                lo_ = self.doInverseTransformations(sum(lo) / norm, params=[data[k - (self.order - 1): k + 1]])
-                up_ = self.doInverseTransformations(sum(up) / norm, params=[data[k - (self.order - 1): k + 1]])
-                ret.append([lo_, up_])
-
-        return ret
-
-    def forecastAhead(self, data, steps):
-        ret = [data[k] for k in np.arange(len(data) - self.order, len(data))]
-
-        for k in np.arange(self.order - 1, steps):
-
-            if ret[-1] <= self.sets[0].lower or ret[-1] >= self.sets[-1].upper:
-                ret.append(ret[-1])
-            else:
-                mp = self.forecast([ret[x] for x in np.arange(k - self.order, k)])
-
-                ret.append(mp)
-
-        return ret
-
-    def forecastAheadInterval(self, data, steps):
-        ret = [[data[k], data[k]] for k in np.arange(len(data) - self.order, len(data))]
-
-        for k in np.arange(self.order, steps+self.order):
-
-            if ret[-1][0] <= self.sets[0].lower and ret[-1][1] >= self.sets[-1].upper:
-                ret.append(ret[-1])
-            else:
-                lower = self.forecastInterval([ret[x][0] for x in np.arange(k - self.order, k)])
-                upper = self.forecastInterval([ret[x][1] for x in np.arange(k - self.order, k)])
-
-                ret.append([np.min(lower), np.max(upper)])
-
-        return ret
-
-    def getGridClean(self, resolution):
-        grid = {}
-
-        if len(self.transformations) == 0:
-            _min = self.sets[0].lower
-            _max = self.sets[-1].upper
-        else:
-            _min = self.original_min
-            _max = self.original_max
-
-        for sbin in np.arange(_min,_max, resolution):
-            grid[sbin] = 0
-
-        return grid
-
-    def gridCount(self, grid, resolution, index, interval):
-        #print(interval)
-        for k in index.inside(interval[0],interval[1]):
-            #print(k)
-            grid[k] += 1
-        return grid
-
-    def gridCountPoint(self, grid, resolution, index, point):
-        k = index.find_ge(point)
-        # print(k)
-        grid[k] += 1
-        return grid
-
-    def buildTreeWithoutOrder(self, node, lags, level):
-
-        if level not in lags:
-            return
-
-        for s in lags[level]:
-            node.appendChild(tree.FLRGTreeNode(s))
-
-        for child in node.getChildren():
-            self.buildTreeWithoutOrder(child, lags, level + 1)
-
-    def forecastAheadDistribution(self, data, steps, resolution, parameters=None):
-
-        ret = []
-
-        intervals = self.forecastAheadInterval(data, steps)
-
-        grid = self.getGridClean(resolution)
-
-        index = SortedCollection.SortedCollection(iterable=grid.keys())
-
-        if parameters is None:
-
-            grids = []
-            for k in np.arange(0, steps):
-                grids.append(self.getGridClean(resolution))
-
-            for k in np.arange(self.order, steps + self.order):
-
-                lags = {}
-
-                cc = 0
-
-                for i in intervals[k - self.order : k]:
-
-                    quantiles = []
-
-                    for qt in np.arange(0, 50, 2):
-                        quantiles.append(i[0] + qt * ((i[1] - i[0]) / 100))
-                        quantiles.append(i[1] - qt * ((i[1] - i[0]) / 100))
-                    quantiles.append(i[0] + ((i[1] - i[0]) / 2))
-
-                    quantiles = list(set(quantiles))
-
-                    quantiles.sort()
-
-                    lags[cc] = quantiles
-
-                    cc += 1
-
-                # Build the tree with all possible paths
-
-                root = tree.FLRGTreeNode(None)
-
-                self.buildTreeWithoutOrder(root, lags, 0)
-
-                # Trace the possible paths
-
-                for p in root.paths():
-                    path = list(reversed(list(filter(None.__ne__, p))))
-
-                    qtle = self.forecastInterval(path)
-
-                    grids[k - self.order] = self.gridCount(grids[k - self.order], resolution, index, np.ravel(qtle))
-
-            for k in np.arange(0, steps):
-                tmp = np.array([grids[k][q] for q in sorted(grids[k])])
-                ret.append(tmp / sum(tmp))
-
-            grid = self.getGridClean(resolution)
-            df = pd.DataFrame(ret, columns=sorted(grid))
-            return df
-        else:
-
-            print("novo")
-
-            ret = []
-
-            for k in np.arange(self.order, steps + self.order):
-
-                grid = self.getGridClean(resolution)
-                grid = self.gridCount(grid, resolution, index, intervals[k])
-
-                for qt in np.arange(0, 50, 1):
-                    # print(qt)
-                    qtle_lower = self.forecastInterval(
-                        [intervals[x][0] + qt * ((intervals[x][1] - intervals[x][0]) / 100) for x in
-                         np.arange(k - self.order, k)])
-                    grid = self.gridCount(grid, resolution, index, np.ravel(qtle_lower))
-                    qtle_upper = self.forecastInterval(
-                        [intervals[x][1] - qt * ((intervals[x][1] - intervals[x][0]) / 100) for x in
-                         np.arange(k - self.order, k)])
-                    grid = self.gridCount(grid, resolution, index, np.ravel(qtle_upper))
-                qtle_mid = self.forecastInterval(
-                    [intervals[x][0] + (intervals[x][1] - intervals[x][0]) / 2 for x in np.arange(k - self.order, k)])
-                grid = self.gridCount(grid, resolution, index, np.ravel(qtle_mid))
-
-                tmp = np.array([grid[k] for k in sorted(grid)])
-
-                ret.append(tmp / sum(tmp))
-
-            grid = self.getGridClean(resolution)
-            df = pd.DataFrame(ret, columns=sorted(grid))
-            return df
-
-
-    def __str__(self):
-        tmp = self.name + ":\n"
-        for r in sorted(self.flrgs):
-            p = round(self.flrgs[r].frequencyCount / self.globalFrequency, 3)
-            tmp = tmp + "(" + str(p) + ") " + str(self.flrgs[r]) + "\n"
-        return tmp

pwfts.py

@@ -29,7 +29,7 @@ class ProbabilisticWeightedFLRG(hofts.HighOrderFLRG):
         else:
             self.RHS[c.name] = mv
 
-    def getProbability(self, c):
+    def get_probability(self, c):
         return self.RHS[c] / self.frequencyCount
 
     def __str__(self):
@@ -42,7 +42,7 @@ class ProbabilisticWeightedFLRG(hofts.HighOrderFLRG):
 
 
 class ProbabilisticWeightedFTS(ifts.IntervalFTS):
-    def __init__(self, name):
+    def __init__(self, name, update=True):
         super(ProbabilisticWeightedFTS, self).__init__("PWFTS")
         self.shortname = "PWFTS " + name
         self.name = "Probabilistic FTS"
@@ -53,6 +53,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
         self.hasIntervalForecasting = True
         self.hasDistributionForecasting = True
         self.isHighOrder = True
+        self.auto_update = update
 
     def train(self, data, sets, order=1,parameters=None):
 
@@ -125,14 +126,30 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             if flrg.strLHS() in flrgs:
                 flrgs[flrg.strLHS()].appendRHS(flrs[k-1].RHS)
             else:
-                flrgs[flrg.strLHS()] = flrg;
+                flrgs[flrg.strLHS()] = flrg
                 flrgs[flrg.strLHS()].appendRHS(flrs[k-1].RHS)
             if self.dump: print("RHS: " + str(flrs[k-1]))
 
             self.globalFrequency += 1
         return (flrgs)
 
-    def addNewPFLGR(self,flrg):
+    def update_model(self,data):
+
+        fzzy = FuzzySet.fuzzySeries(data, self.sets)
+
+        flrg = ProbabilisticWeightedFLRG(self.order)
+
+        for k in np.arange(0, self.order): flrg.appendLHS(fzzy[k])
+
+        if flrg.strLHS() in self.flrgs:
+            self.flrgs[flrg.strLHS()].appendRHS(fzzy[self.order])
+        else:
+            self.flrgs[flrg.strLHS()] = flrg
+            self.flrgs[flrg.strLHS()].appendRHS(fzzy[self.order])
+
+        self.globalFrequency += 1
+
+    def add_new_PWFLGR(self, flrg):
         if flrg.strLHS() not in self.flrgs:
             tmp = ProbabilisticWeightedFLRG(self.order)
             for fs in flrg.LHS: tmp.appendLHS(fs)
@@ -140,17 +157,17 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             self.flrgs[tmp.strLHS()] = tmp;
             self.globalFrequency += 1
 
-    def getProbability(self, flrg):
+    def get_probability(self, flrg):
         if flrg.strLHS() in self.flrgs:
             return self.flrgs[flrg.strLHS()].frequencyCount / self.globalFrequency
         else:
-            self.addNewPFLGR(flrg)
+            self.add_new_PWFLGR(flrg)
-            return self.getProbability(flrg)
+            return self.get_probability(flrg)
 
     def getMidpoints(self, flrg):
         if flrg.strLHS() in self.flrgs:
             tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].centroid for s in tmp.RHS]))
+            ret = sum(np.array([tmp.get_probability(s) * self.setsDict[s].centroid for s in tmp.RHS]))
         else:
             pi = 1 / len(flrg.LHS)
             ret = sum(np.array([pi * s.centroid for s in flrg.LHS]))
@@ -159,7 +176,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
     def getUpper(self, flrg):
         if flrg.strLHS() in self.flrgs:
             tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].upper for s in tmp.RHS]))
+            ret = sum(np.array([tmp.get_probability(s) * self.setsDict[s].upper for s in tmp.RHS]))
         else:
             pi = 1 / len(flrg.LHS)
             ret = sum(np.array([pi * s.upper for s in flrg.LHS]))
@@ -168,7 +185,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
     def getLower(self, flrg):
         if flrg.strLHS() in self.flrgs:
             tmp = self.flrgs[flrg.strLHS()]
-            ret = sum(np.array([tmp.getProbability(s) * self.setsDict[s].lower for s in tmp.RHS]))
+            ret = sum(np.array([tmp.get_probability(s) * self.setsDict[s].lower for s in tmp.RHS]))
         else:
             pi = 1 / len(flrg.LHS)
             ret = sum(np.array([pi * s.lower for s in flrg.LHS]))
@@ -187,6 +204,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             # print(k)
 
             affected_flrgs = []
+            affected_rhs = []
             affected_flrgs_memberships = []
             norms = []
 
@@ -258,9 +276,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             count = 0
             for flrg in affected_flrgs:
                 # achar o os bounds de cada FLRG, ponderados pela probabilidade e pertinência
-                norm = self.getProbability(flrg) * affected_flrgs_memberships[count]
+                norm = self.get_probability(flrg) * affected_flrgs_memberships[count]
                 if norm == 0:
-                    norm = self.getProbability(flrg)  # * 0.001
+                    norm = self.get_probability(flrg)  # * 0.001
                 mp.append(norm * self.getMidpoints(flrg))
                 norms.append(norm)
                 count = count + 1
@@ -272,6 +290,8 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             else:
                 ret.append(sum(mp) / norm)
 
+        if self.auto_update and k > self.order+1: self.update_model(ndata[k - self.order - 1 : k])
+
         ret = self.doInverseTransformations(ret, params=[data[self.order - 1:]])
 
         return ret
@@ -361,9 +381,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS):
             count = 0
             for flrg in affected_flrgs:
                 # achar o os bounds de cada FLRG, ponderados pela probabilidade e pertinência
-                norm = self.getProbability(flrg) * affected_flrgs_memberships[count]
+                norm = self.get_probability(flrg) * affected_flrgs_memberships[count]
                 if norm == 0:
-                    norm = self.getProbability(flrg)  # * 0.001
+                    norm = self.get_probability(flrg)  # * 0.001
                 up.append(norm * self.getUpper(flrg))
                 lo.append(norm * self.getLower(flrg))
                 norms.append(norm)

tests/general.py

@@ -11,15 +11,15 @@ from mpl_toolkits.mplot3d import Axes3D
 import pandas as pd
 from pyFTS.partitioners import Grid, Entropy, FCM, Huarng
 from pyFTS.common import FLR,FuzzySet,Membership,Transformations
-from pyFTS import fts,hofts,ifts,pwfts,tree, chen, pfts
+from pyFTS import fts,hofts,ifts,pwfts,tree, chen
 from pyFTS.benchmarks import benchmarks as bchmk
-from pyFTS.benchmarks import naive
+from pyFTS.benchmarks import naive, arima
 from pyFTS.benchmarks import Measures
 from numpy import random
 
 #print(FCM.FCMPartitionerTrimf.__module__)
 
-#gauss = random.normal(0,1.0,2000)
+#gauss = random.normal(0,1.0,5000)
 #gauss_teste = random.normal(0,1.0,400)
 
 
@@ -28,9 +28,12 @@ os.chdir("/home/petronio/dados/Dropbox/Doutorado/Disciplinas/AdvancedFuzzyTimeSe
 #taiexpd = pd.read_csv("DataSets/TAIEX.csv", sep=",")
 #taiex = np.array(taiexpd["avg"][:5000])
 
-taiex = pd.read_csv("DataSets/TAIEX.csv", sep=",")
+nasdaqpd = pd.read_csv("DataSets/NASDAQ_IXIC.csv", sep=",")
-taiex_treino = np.array(taiex["avg"][2500:3900])
+nasdaq = np.array(nasdaqpd["avg"][:5000])
-taiex_teste = np.array(taiex["avg"][3901:4500])
+
+#taiex = pd.read_csv("DataSets/TAIEX.csv", sep=",")
+#taiex_treino = np.array(taiex["avg"][2500:3900])
+#taiex_teste = np.array(taiex["avg"][3901:4500])
 
 #print(len(taiex))
 
@@ -38,30 +41,38 @@ taiex_teste = np.array(taiex["avg"][3901:4500])
 
 #, ,
 
-diff = Transformations.Differential(1)
+#diff = Transformations.Differential(1)
-
-#bchmk.sliding_window(taiex,2000,train=0.8, #transformation=diff, #models=[pwfts.ProbabilisticWeightedFTS],
-#                     partitioners=[Grid.GridPartitioner, FCM.FCMPartitioner, Entropy.EntropyPartitioner],
-#                     partitions=[10, 15, 20, 25, 30, 35, 40], dump=True, save=True, file="experiments/points.csv")
 
 
-bchmk.allPointForecasters(taiex_treino, taiex_treino, 7, transformation=diff,
+bchmk.external_point_sliding_window([naive.Naive, arima.ARIMA, arima.ARIMA, arima.ARIMA, arima.ARIMA, arima.ARIMA, arima.ARIMA],
-                          models=[ naive.Naive, pfts.ProbabilisticFTS, pwfts.ProbabilisticWeightedFTS],
+                                    [None, (1,0,0),(1,1,0),(2,0,0), (2,1,0), (1,1,1), (1,0,1)],
-                         statistics=True, residuals=False, series=False)
+                                    nasdaq,2000,train=0.8, #transformation=diff, #models=[pwfts.ProbabilisticWeightedFTS], # #
+                                    dump=True, save=True, file="experiments/arima_nasdaq.csv")
 
-data_train_fs = Grid.GridPartitioner(taiex_treino, 10, transformation=diff).sets
 
-fts1 = pfts.ProbabilisticFTS("")
+#bchmk.point_sliding_window(taiex,2000,train=0.8, #transformation=diff, #models=[pwfts.ProbabilisticWeightedFTS], # #
-fts1.appendTransformation(diff)
+#                     partitioners=[Grid.GridPartitioner], #Entropy.EntropyPartitioner], # FCM.FCMPartitioner, ],
-fts1.train(taiex_treino, data_train_fs, order=1)
+#                     partitions= [45,55, 65, 75, 85, 95,105,115,125,135, 150], #np.arange(5,150,step=10), #
+#                     dump=True, save=True, file="experiments/taiex_point_new.csv")
 
-print(fts1.forecast([5000, 5000]))
 
-fts2 = pwfts.ProbabilisticWeightedFTS("")
+#bchmk.allPointForecasters(taiex_treino, taiex_treino, 95, #transformation=diff,
-fts2.appendTransformation(diff)
+#                          models=[ naive.Naive, pfts.ProbabilisticFTS, pwfts.ProbabilisticWeightedFTS],
-fts2.train(taiex_treino, data_train_fs, order=1)
+#                         statistics=True, residuals=False, series=False)
 
-print(fts2.forecast([5000, 5000]))
+#data_train_fs = Grid.GridPartitioner(taiex_treino, 10, transformation=diff).sets
+
+#fts1 = pfts.ProbabilisticFTS("")
+#fts1.appendTransformation(diff)
+#fts1.train(taiex_treino, data_train_fs, order=1)
+
+#print(fts1.forecast([5000, 5000]))
+
+#fts2 = pwfts.ProbabilisticWeightedFTS("")
+#fts2.appendTransformation(diff)
+#fts2.train(taiex_treino, data_train_fs, order=1)
+
+#print(fts2.forecast([5000, 5000]))
 
 
 #tmp = Grid.GridPartitioner(taiex_treino,7,transformation=diff)