diff --git a/pyFTS/benchmarks/benchmarks.py b/pyFTS/benchmarks/benchmarks.py index 5103f02..e43a9a6 100644 --- a/pyFTS/benchmarks/benchmarks.py +++ b/pyFTS/benchmarks/benchmarks.py @@ -19,6 +19,7 @@ from mpl_toolkits.mplot3d import Axes3D from pyFTS.probabilistic import ProbabilityDistribution from pyFTS.common import Transformations from pyFTS.models import song, chen, yu, ismailefendi, sadaei, hofts, pwfts, ifts, cheng, hwang +from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts from pyFTS.models.ensemble import ensemble from pyFTS.benchmarks import Measures, naive, arima, ResidualAnalysis, quantreg, knn from pyFTS.benchmarks import Util as bUtil @@ -57,10 +58,16 @@ def get_benchmark_point_methods(): def get_point_methods(): """Return all FTS methods for point forecasting""" return [song.ConventionalFTS, chen.ConventionalFTS, yu.WeightedFTS, ismailefendi.ImprovedWeightedFTS, - cheng.TrendWeightedFTS, sadaei.ExponentialyWeightedFTS, hofts.HighOrderFTS, hwang.HighOrderFTS, + cheng.TrendWeightedFTS, sadaei.ExponentialyWeightedFTS, + hofts.HighOrderFTS, hofts.WeightedHighOrderFTS, hwang.HighOrderFTS, pwfts.ProbabilisticWeightedFTS] +def get_point_multivariate_methods(): + """Return all multivariate FTS methods por point forecasting""" + return [mvfts.MVFTS, wmvfts.WeightedMVFTS, cmvfts.ClusteredMVFTS] + + def get_benchmark_interval_methods(): """Return all non FTS methods for point_to_interval forecasting""" return [ arima.ARIMA, quantreg.QuantileRegression] diff --git a/pyFTS/models/hofts.py b/pyFTS/models/hofts.py index b464eeb..917f32e 100644 --- a/pyFTS/models/hofts.py +++ b/pyFTS/models/hofts.py @@ -36,6 +36,48 @@ class HighOrderFLRG(flrg.FLRG): return len(self.RHS) +class WeightedHighOrderFLRG(flrg.FLRG): + """Weighted High Order Fuzzy Logical Relationship Group""" + + def __init__(self, order, **kwargs): + super(WeightedHighOrderFLRG, self).__init__(order, **kwargs) + self.LHS = [] + self.RHS = {} + self.count = 0.0 + self.strlhs = "" + self.w = None + + def append_rhs(self, fset, **kwargs): + if fset not in self.RHS: + self.RHS[fset] = 1.0 + else: + self.RHS[fset] += 1.0 + self.count += 1.0 + + def append_lhs(self, c): + self.LHS.append(c) + + def weights(self): + if self.w is None: + self.w = np.array([self.RHS[c] / self.count for c in self.RHS.keys()]) + return self.w + + def get_midpoint(self, sets): + mp = np.array([sets[c].centroid for c in self.RHS.keys()]) + return mp.dot(self.weights()) + + def __str__(self): + _str = "" + for k in self.RHS.keys(): + _str += ", " if len(_str) > 0 else "" + _str += k + " (" + str(round(self.RHS[k] / self.count, 3)) + ")" + + return self.get_key() + " -> " + _str + + def __len__(self): + return len(self.RHS) + + class HighOrderFTS(fts.FTS): """Conventional High Order Fuzzy Time Series""" def __init__(self, **kwargs): @@ -145,7 +187,6 @@ class HighOrderFTS(fts.FTS): else: self.generate_flrg_fuzzyfied(data) - def forecast(self, ndata, **kwargs): explain = kwargs.get('explain', False) @@ -181,7 +222,6 @@ class HighOrderFTS(fts.FTS): if explain: print("\t {} -> {} (Naïve)\t Midpoint: {}\n".format(str(flrg.LHS), flrg.LHS[-1], mp)) - else: flrg = self.flrgs[flrg.get_key()] mp = flrg.get_midpoint(self.partitioner.sets) @@ -197,3 +237,38 @@ class HighOrderFTS(fts.FTS): print("Deffuzyfied value: {} \n".format(final)) return ret + + +class WeightedHighOrderFTS(HighOrderFTS): + """Weighted High Order Fuzzy Time Series""" + def __init__(self, **kwargs): + super(WeightedHighOrderFTS, self).__init__(**kwargs) + self.name = "Weighted High Order FTS" + self.shortname = "WHOFTS" + + def generate_lhs_flrg_fuzzyfied(self, sample, explain=False): + lags = {} + + flrgs = [] + + for ct, o in enumerate(self.lags): + lags[ct] = sample[o-1] + + if explain: + print("\t (Lag {}) {} -> {} \n".format(o, sample[o-1], lhs)) + + root = tree.FLRGTreeNode(None) + + tree.build_tree_without_order(root, lags, 0) + + # Trace the possible paths + for p in root.paths(): + flrg = WeightedHighOrderFLRG(self.order) + path = list(reversed(list(filter(None.__ne__, p)))) + + for lhs in path: + flrg.append_lhs(lhs) + + flrgs.append(flrg) + + return flrgs diff --git a/pyFTS/tests/general.py b/pyFTS/tests/general.py index c43f393..ac078b7 100644 --- a/pyFTS/tests/general.py +++ b/pyFTS/tests/general.py @@ -25,7 +25,7 @@ p = Grid.GridPartitioner(data=dataset, npart=20) print(p) -model = hofts.HighOrderFTS(partitioner=p, order=2) +model = hofts.WeightedHighOrderFTS(partitioner=p, order=2) model.fit(dataset) #[22, 22, 23, 23, 24])