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262 lines
33 KiB
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<h1>Source code for pyFTS.benchmarks.knn</h1><div class="highlight"><pre>
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<span></span><span class="ch">#!/usr/bin/python</span>
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<span class="c1"># -*- coding: utf8 -*-</span>
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<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
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<span class="kn">from</span> <span class="nn">statsmodels.tsa.tsatools</span> <span class="k">import</span> <span class="n">lagmat</span>
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<span class="kn">from</span> <span class="nn">pyFTS.common</span> <span class="k">import</span> <span class="n">fts</span>
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<span class="kn">from</span> <span class="nn">pyFTS.probabilistic</span> <span class="k">import</span> <span class="n">ProbabilityDistribution</span>
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<span class="kn">from</span> <span class="nn">sklearn.neighbors</span> <span class="k">import</span> <span class="n">KDTree</span>
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<span class="kn">from</span> <span class="nn">itertools</span> <span class="k">import</span> <span class="n">product</span>
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<span class="kn">from</span> <span class="nn">pyFTS.models.ensemble.ensemble</span> <span class="k">import</span> <span class="n">sampler</span>
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<div class="viewcode-block" id="KNearestNeighbors"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors">[docs]</a><span class="k">class</span> <span class="nc">KNearestNeighbors</span><span class="p">(</span><span class="n">fts</span><span class="o">.</span><span class="n">FTS</span><span class="p">):</span>
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<span class="sd">"""</span>
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<span class="sd"> A façade for sklearn.neighbors</span>
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<span class="sd"> """</span>
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<span class="k">def</span> <span class="nf">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="nb">super</span><span class="p">(</span><span class="n">KNearestNeighbors</span><span class="p">,</span> <span class="bp">self</span><span class="p">)</span><span class="o">.</span><span class="fm">__init__</span><span class="p">(</span><span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">name</span> <span class="o">=</span> <span class="s2">"kNN"</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">shortname</span> <span class="o">=</span> <span class="s2">"kNN"</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">detail</span> <span class="o">=</span> <span class="s2">"K-Nearest Neighbors"</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">uod_clip</span> <span class="o">=</span> <span class="kc">False</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">is_high_order</span> <span class="o">=</span> <span class="kc">True</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">has_point_forecasting</span> <span class="o">=</span> <span class="kc">True</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">has_interval_forecasting</span> <span class="o">=</span> <span class="kc">True</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">has_probability_forecasting</span> <span class="o">=</span> <span class="kc">True</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">benchmark_only</span> <span class="o">=</span> <span class="kc">True</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">min_order</span> <span class="o">=</span> <span class="mi">1</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">alpha</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"alpha"</span><span class="p">,</span> <span class="mf">0.05</span><span class="p">)</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">max_lag</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">lag</span> <span class="o">=</span> <span class="kc">None</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">k</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"k"</span><span class="p">,</span> <span class="mi">30</span><span class="p">)</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">uod</span> <span class="o">=</span> <span class="kc">None</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">kdtree</span> <span class="o">=</span> <span class="kc">None</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">values</span> <span class="o">=</span> <span class="kc">None</span>
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<span class="k">def</span> <span class="nf">_prepare_x</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
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<span class="n">l</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
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<span class="n">X</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="k">if</span> <span class="n">l</span> <span class="o">==</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">:</span>
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<span class="n">l</span> <span class="o">+=</span> <span class="mi">1</span>
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<span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="n">l</span><span class="p">):</span>
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<span class="n">X</span><span class="o">.</span><span class="n">append</span><span class="p">([</span><span class="n">data</span><span class="p">[</span><span class="n">t</span> <span class="o">-</span> <span class="n">k</span> <span class="o">-</span> <span class="mi">1</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)])</span>
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<span class="k">return</span> <span class="n">X</span>
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<span class="k">def</span> <span class="nf">_prepare_xy</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
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<span class="n">l</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
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<span class="n">X</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="n">Y</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="n">l</span><span class="p">):</span>
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<span class="n">X</span><span class="o">.</span><span class="n">append</span><span class="p">([</span><span class="n">data</span><span class="p">[</span><span class="n">t</span> <span class="o">-</span> <span class="n">k</span> <span class="o">-</span> <span class="mi">1</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)])</span>
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<span class="n">Y</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">data</span><span class="p">[</span><span class="n">t</span><span class="p">])</span>
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<span class="k">return</span> <span class="p">(</span><span class="n">X</span><span class="p">,</span><span class="n">Y</span><span class="p">)</span>
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<div class="viewcode-block" id="KNearestNeighbors.train"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.train">[docs]</a> <span class="k">def</span> <span class="nf">train</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="n">X</span><span class="p">,</span><span class="n">Y</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">_prepare_xy</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">kdtree</span> <span class="o">=</span> <span class="n">KDTree</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">array</span><span class="p">(</span><span class="n">X</span><span class="p">))</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">values</span> <span class="o">=</span> <span class="n">Y</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">shortname</span> <span class="o">=</span> <span class="s2">"kNN(</span><span class="si">{}</span><span class="s2">)-</span><span class="si">{}</span><span class="s2">"</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">alpha</span><span class="p">)</span></div>
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<div class="viewcode-block" id="KNearestNeighbors.knn"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.knn">[docs]</a> <span class="k">def</span> <span class="nf">knn</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">sample</span><span class="p">):</span>
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<span class="n">X</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">_prepare_x</span><span class="p">(</span><span class="n">sample</span><span class="p">)</span>
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<span class="n">_</span><span class="p">,</span> <span class="n">ix</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">kdtree</span><span class="o">.</span><span class="n">query</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">array</span><span class="p">(</span><span class="n">X</span><span class="p">),</span> <span class="bp">self</span><span class="o">.</span><span class="n">k</span><span class="p">)</span>
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<span class="k">return</span> <span class="p">[</span><span class="bp">self</span><span class="o">.</span><span class="n">values</span><span class="p">[</span><span class="n">k</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">ix</span><span class="o">.</span><span class="n">flatten</span><span class="p">()</span> <span class="p">]</span></div>
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<div class="viewcode-block" id="KNearestNeighbors.forecast"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.forecast">[docs]</a> <span class="k">def</span> <span class="nf">forecast</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="n">l</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
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<span class="n">ret</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="n">l</span><span class="o">+</span><span class="p">(</span><span class="mi">1</span> <span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span> <span class="o">==</span> <span class="n">l</span> <span class="k">else</span> <span class="mi">0</span><span class="p">)):</span>
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<span class="n">sample</span> <span class="o">=</span> <span class="n">data</span><span class="p">[</span><span class="n">k</span><span class="o">-</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span> <span class="p">:</span> <span class="n">k</span><span class="p">]</span>
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<span class="n">forecasts</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">knn</span><span class="p">(</span><span class="n">sample</span><span class="p">)</span>
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<span class="n">ret</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">nanmean</span><span class="p">(</span><span class="n">forecasts</span><span class="p">))</span>
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<span class="k">return</span> <span class="n">ret</span></div>
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<div class="viewcode-block" id="KNearestNeighbors.forecast_interval"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.forecast_interval">[docs]</a> <span class="k">def</span> <span class="nf">forecast_interval</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="n">alpha</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'alpha'</span><span class="p">,</span><span class="bp">self</span><span class="o">.</span><span class="n">alpha</span><span class="p">)</span>
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<span class="n">ret</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="p">)):</span>
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<span class="n">sample</span> <span class="o">=</span> <span class="n">data</span><span class="p">[</span><span class="n">k</span><span class="o">-</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span> <span class="p">:</span> <span class="n">k</span><span class="p">]</span>
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<span class="n">forecasts</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">knn</span><span class="p">(</span><span class="n">sample</span><span class="p">)</span>
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<span class="n">i</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">percentile</span><span class="p">(</span><span class="n">forecasts</span><span class="p">,</span> <span class="p">[</span><span class="n">alpha</span><span class="o">*</span><span class="mi">100</span><span class="p">,</span> <span class="p">(</span><span class="mi">1</span><span class="o">-</span><span class="n">alpha</span><span class="p">)</span><span class="o">*</span><span class="mi">100</span><span class="p">])</span><span class="o">.</span><span class="n">tolist</span><span class="p">()</span>
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<span class="n">ret</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">i</span><span class="p">)</span>
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<span class="k">return</span> <span class="n">ret</span></div>
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<div class="viewcode-block" id="KNearestNeighbors.forecast_ahead_interval"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.forecast_ahead_interval">[docs]</a> <span class="k">def</span> <span class="nf">forecast_ahead_interval</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="n">steps</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="n">alpha</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'alpha'</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">alpha</span><span class="p">)</span>
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<span class="n">ret</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="n">start</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'start'</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)</span>
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<span class="n">sample</span> <span class="o">=</span> <span class="p">[[</span><span class="n">k</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">data</span><span class="p">[</span><span class="n">start</span> <span class="o">-</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">:</span> <span class="n">start</span><span class="p">]]</span>
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<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="n">steps</span> <span class="o">+</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">):</span>
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<span class="n">forecasts</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="n">lags</span> <span class="o">=</span> <span class="p">[</span><span class="n">sample</span><span class="p">[</span><span class="n">k</span> <span class="o">-</span> <span class="n">i</span> <span class="o">-</span> <span class="mi">1</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)]</span>
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<span class="c1"># Trace the possible paths</span>
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<span class="k">for</span> <span class="n">path</span> <span class="ow">in</span> <span class="n">product</span><span class="p">(</span><span class="o">*</span><span class="n">lags</span><span class="p">):</span>
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<span class="n">forecasts</span><span class="o">.</span><span class="n">extend</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">knn</span><span class="p">(</span><span class="n">path</span><span class="p">))</span>
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<span class="n">sample</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">sampler</span><span class="p">(</span><span class="n">forecasts</span><span class="p">,</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="o">.</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">),</span> <span class="n">bounds</span><span class="o">=</span><span class="kc">True</span><span class="p">))</span>
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<span class="n">interval</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">percentile</span><span class="p">(</span><span class="n">forecasts</span><span class="p">,</span> <span class="p">[</span><span class="n">alpha</span><span class="o">*</span><span class="mi">100</span><span class="p">,</span> <span class="p">(</span><span class="mi">1</span><span class="o">-</span><span class="n">alpha</span><span class="p">)</span><span class="o">*</span><span class="mi">100</span><span class="p">])</span><span class="o">.</span><span class="n">tolist</span><span class="p">()</span>
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<span class="n">ret</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">interval</span><span class="p">)</span>
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<span class="k">return</span> <span class="n">ret</span></div>
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<div class="viewcode-block" id="KNearestNeighbors.forecast_distribution"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.forecast_distribution">[docs]</a> <span class="k">def</span> <span class="nf">forecast_distribution</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="n">ret</span> <span class="o">=</span> <span class="p">[]</span>
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<span class="n">smooth</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"smooth"</span><span class="p">,</span> <span class="s2">"histogram"</span><span class="p">)</span>
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<span class="n">uod</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">get_UoD</span><span class="p">()</span>
|
|
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<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="nb">len</span><span class="p">(</span><span class="n">data</span><span class="p">)):</span>
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<span class="n">sample</span> <span class="o">=</span> <span class="n">data</span><span class="p">[</span><span class="n">k</span><span class="o">-</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span> <span class="p">:</span> <span class="n">k</span><span class="p">]</span>
|
|
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|
<span class="n">forecasts</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">knn</span><span class="p">(</span><span class="n">sample</span><span class="p">)</span>
|
|
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|
<span class="n">dist</span> <span class="o">=</span> <span class="n">ProbabilityDistribution</span><span class="o">.</span><span class="n">ProbabilityDistribution</span><span class="p">(</span><span class="n">smooth</span><span class="p">,</span> <span class="n">uod</span><span class="o">=</span><span class="n">uod</span><span class="p">,</span> <span class="n">data</span><span class="o">=</span><span class="n">forecasts</span><span class="p">,</span>
|
|
<span class="n">name</span><span class="o">=</span><span class="s2">""</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
|
|
<span class="n">ret</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">dist</span><span class="p">)</span>
|
|
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<span class="k">return</span> <span class="n">ret</span></div>
|
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<div class="viewcode-block" id="KNearestNeighbors.forecast_ahead_distribution"><a class="viewcode-back" href="../../../pyFTS.benchmarks.html#pyFTS.benchmarks.knn.KNearestNeighbors.forecast_ahead_distribution">[docs]</a> <span class="k">def</span> <span class="nf">forecast_ahead_distribution</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data</span><span class="p">,</span> <span class="n">steps</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
|
<span class="n">smooth</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"smooth"</span><span class="p">,</span> <span class="s2">"histogram"</span><span class="p">)</span>
|
|
|
|
<span class="n">ret</span> <span class="o">=</span> <span class="p">[]</span>
|
|
|
|
<span class="n">start</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'start'</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)</span>
|
|
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|
<span class="n">uod</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">get_UoD</span><span class="p">()</span>
|
|
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|
<span class="n">sample</span> <span class="o">=</span> <span class="p">[[</span><span class="n">k</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">data</span><span class="p">[</span><span class="n">start</span> <span class="o">-</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">:</span> <span class="n">start</span><span class="p">]]</span>
|
|
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|
<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">,</span> <span class="n">steps</span> <span class="o">+</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">):</span>
|
|
<span class="n">forecasts</span> <span class="o">=</span> <span class="p">[]</span>
|
|
|
|
<span class="n">lags</span> <span class="o">=</span> <span class="p">[</span><span class="n">sample</span><span class="p">[</span><span class="n">k</span> <span class="o">-</span> <span class="n">i</span> <span class="o">-</span> <span class="mi">1</span><span class="p">]</span> <span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">order</span><span class="p">)]</span>
|
|
|
|
<span class="c1"># Trace the possible paths</span>
|
|
<span class="k">for</span> <span class="n">path</span> <span class="ow">in</span> <span class="n">product</span><span class="p">(</span><span class="o">*</span><span class="n">lags</span><span class="p">):</span>
|
|
<span class="n">forecasts</span><span class="o">.</span><span class="n">extend</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">knn</span><span class="p">(</span><span class="n">path</span><span class="p">))</span>
|
|
|
|
<span class="n">dist</span> <span class="o">=</span> <span class="n">ProbabilityDistribution</span><span class="o">.</span><span class="n">ProbabilityDistribution</span><span class="p">(</span><span class="n">smooth</span><span class="p">,</span> <span class="n">uod</span><span class="o">=</span><span class="n">uod</span><span class="p">,</span> <span class="n">data</span><span class="o">=</span><span class="n">forecasts</span><span class="p">,</span>
|
|
<span class="n">name</span><span class="o">=</span><span class="s2">""</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
|
|
<span class="n">ret</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">dist</span><span class="p">)</span>
|
|
|
|
<span class="n">sample</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">sampler</span><span class="p">(</span><span class="n">forecasts</span><span class="p">,</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="o">.</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">),</span> <span class="n">bounds</span><span class="o">=</span><span class="kc">True</span><span class="p">))</span>
|
|
|
|
<span class="k">return</span> <span class="n">ret</span></div></div>
|
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</pre></div>
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