Source code for pyFTS.models.hwang

"""
High Order Fuzzy Time Series by Hwang, Chen and Lee (1998)

Jeng-Ren Hwang, Shyi-Ming Chen, and Chia-Hoang Lee, “Handling forecasting problems using fuzzy time series,” 
Fuzzy Sets Syst., no. 100, pp. 217–228, 1998.
"""

import numpy as np
from pyFTS.common import FuzzySet, FLR, fts


class HighOrderFTS(fts.FTS):
    def __init__(self, **kwargs):
        super(HighOrderFTS, self).__init__(**kwargs)
        self.is_high_order = True
        self.min_order = 2
        self.name = "Hwang High Order FTS"
        self.shortname = "Hwang"
        self.detail = "Hwang"
        self.configure_lags(**kwargs)

    def configure_lags(self, **kwargs):
        if "order" in kwargs:
            self.order = kwargs.get("order", 2)

        self.max_lag = self.order

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

        l = len(self.partitioner)

        cn = np.array([0.0 for k in range(l)])
        ow = np.array([[0.0 for k in range(l)] for z in range(self.order - 1)])
        rn = np.array([[0.0 for k in range(l)] for z in range(self.order - 1)])
        ft = np.array([0.0 for k in range(l)])

        ret = []

        for t in np.arange(self.order-1, len(ndata)):

            for ix in range(l):
                s = self.partitioner.ordered_sets[ix]
                cn[ix] = self.partitioner.sets[s].membership( FuzzySet.grant_bounds(ndata[t], self.partitioner.sets, self.partitioner.ordered_sets))
                for w in np.arange(self.order-1):
                    ow[w, ix] = self.partitioner.sets[s].membership(FuzzySet.grant_bounds(ndata[t - w], self.partitioner.sets, self.partitioner.ordered_sets))
                    rn[w, ix] = ow[w, ix] * cn[ix]
                    ft[ix] = max(ft[ix], rn[w, ix])
            mft = max(ft)
            out = 0.0
            count = 0.0
            for ix in range(l):
                s = self.partitioner.ordered_sets[ix]
                if ft[ix] == mft:
                    out = out + self.partitioner.sets[s].centroid
                    count += 1.0
            ret.append(out / count)

        return ret

    def train(self, data, **kwargs):
        self.configure_lags(**kwargs)