Bugfix on forecast_ahead

pyFTS/common/fts.py

@@ -223,13 +223,11 @@ class FTS(object):
         :return: a list with the forecasted values
         """
 
-
-
         if isinstance(data, np.ndarray):
             data = data.tolist()
 
         ret = []
-        for k in np.arange(0,steps):
+        for k in np.arange(0, steps):
             tmp = self.forecast(data[-self.max_lag:], **kwargs)
 
             if isinstance(tmp,(list, np.ndarray)):

pyFTS/models/ensemble/ensemble.py

@@ -135,7 +135,7 @@ class EnsembleFTS(fts.FTS):
         ret = []
 
         for k in np.arange(self.order, l+1):
-            sample = data[k - self.order : k]
+            sample = data[k - self.max_lag : k]
             tmp = self.get_models_forecasts(sample)
             point = self.get_point(tmp)
             ret.append(point)

pyFTS/models/hofts.py

@@ -195,6 +195,8 @@ class HighOrderFTS(fts.FTS):
 
         if l < self.max_lag:
             return ndata
+        elif l == self.max_lag:
+            l += 1
 
         for k in np.arange(self.max_lag, l):
 

pyFTS/models/incremental/IncrementalEnsemble.py

@@ -1,17 +1,19 @@
 '''
-Incremental Ensemble of FTS methods
+Time Variant/Incremental Ensemble of FTS methods
 '''
 
 
 import numpy as np
 import pandas as pd
 from pyFTS.common import FuzzySet, FLR, fts, flrg
+from pyFTS.partitioners import Grid
+from pyFTS.models import hofts
 from pyFTS.models.ensemble import ensemble
 
 
 class IncrementalEnsembleFTS(ensemble.EnsembleFTS):
     """
-    Ensemble FTS
+    Time Variant/Incremental Ensemble of FTS methods
     """
     def __init__(self, **kwargs):
         super(IncrementalEnsembleFTS, self).__init__(**kwargs)
@@ -20,16 +22,12 @@ class IncrementalEnsembleFTS(ensemble.EnsembleFTS):
 
         self.order = kwargs.get('order',1)
 
-        self.order = kwargs.get('order', 1)
-
         self.partitioner_method = kwargs.get('partitioner_method', Grid.GridPartitioner)
         """The partitioner method to be called when a new model is build"""
         self.partitioner_params = kwargs.get('partitioner_params', {'npart': 10})
         """The partitioner method parameters"""
-        self.partitioner = None
-        """The most recent trained partitioner"""
 
-        self.fts_method = kwargs.get('fts_method', None)
+        self.fts_method = kwargs.get('fts_method', hofts.WeightedHighOrderFTS)
         """The FTS method to be called when a new model is build"""
         self.fts_params = kwargs.get('fts_params', {})
         """The FTS method specific parameters"""
@@ -39,19 +37,51 @@ class IncrementalEnsembleFTS(ensemble.EnsembleFTS):
 
         self.batch_size = kwargs.get('batch_size', 10)
         """The batch interval between each retraining"""
+
         self.is_high_order = True
         self.uod_clip = False
-        self.max_lag = self.window_length + self.max_lag
+        #self.max_lag = self.window_length + self.max_lag
 
     def train(self, data, **kwargs):
 
-        self.partitioner = self.partitioner_method(data=data, **self.partitioner_params)
-        self.model = self.fts_method(partitioner=self.partitioner, **self.fts_params)
+        partitioner = self.partitioner_method(data=data, **self.partitioner_params)
+        model = self.fts_method(partitioner=partitioner, **self.fts_params)
         if self.model.is_high_order:
-            self.model.order = self.model = self.fts_method(partitioner=self.partitioner,
-                                                            order=self.order, **self.fts_params)
-        self.model.fit(data, **kwargs)
-        self.shortname = self.model.shortname
+            self.model = self.fts_method(partitioner=partitioner, order=self.order, **self.fts_params)
+        model.fit(data, **kwargs)
+        self.models.pop(0)
+        self.models.append(model)
+
+    def _point_smoothing(self, forecasts):
+        l = len(self.models)
+
+        ret = np.nansum([np.exp(-(l-k)) * forecasts[k] for k in range(l)])
+
+        return ret
+
+    def forecast(self, data, **kwargs):
+        l = len(data)
+
+        data_window = []
+
+        ret = []
+
+        for k in np.arange(self.max_lag, l):
+
+            data_window.append(data[k - self.max_lag])
+
+            if k >= self.window_length:
+                data_window.pop(0)
+
+            if k % self.batch_size == 0 and k >= self.window_length:
+                self.train(data_window, **kwargs)
+
+            sample = data[k - self.max_lag: k]
+            tmp = self.get_models_forecasts(sample)
+            point = self._point_smoothing(tmp)
+            ret.append(point)
+
+        return ret
 
 
 

pyFTS/tests/general.py

@@ -31,7 +31,4 @@ y = [np.sin(k) for k in x]
 part = Grid.GridPartitioner(data=y, npart=35)
 model = hofts.HighOrderFTS(order=2, partitioner=part)
 model.fit(y)
-forecasts = model.predict(y)
-
-print([round(k,2) for k in y[2:]])
-print([round(k,2) for k in forecasts[:-1]])
+forecasts = model.predict(y, steps_ahead=10)