103 lines
3.0 KiB
Python
103 lines
3.0 KiB
Python
"""
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First Order Improved Weighted Fuzzy Time Series by Efendi, Ismail and Deris (2013)
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R. Efendi, Z. Ismail, and M. M. Deris, “Improved weight Fuzzy Time Series as used in the exchange rates forecasting of
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US Dollar to Ringgit Malaysia,” Int. J. Comput. Intell. Appl., vol. 12, no. 1, p. 1350005, 2013.
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"""
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import numpy as np
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from pyFTS.common import FuzzySet,FLR
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from pyFTS import fts
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class ImprovedWeightedFLRG(object):
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"""First Order Improved Weighted Fuzzy Logical Relationship Group"""
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def __init__(self, LHS):
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self.LHS = LHS
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self.RHS = {}
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self.count = 0.0
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def append(self, c):
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if c.name not in self.RHS:
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self.RHS[c.name] = 1.0
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else:
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self.RHS[c.name] = self.RHS[c.name] + 1.0
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self.count = self.count + 1.0
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def weights(self):
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return np.array([self.RHS[c] / self.count for c in self.RHS.keys()])
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def __str__(self):
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tmp = self.LHS.name + " -> "
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tmp2 = ""
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for c in sorted(self.RHS):
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if len(tmp2) > 0:
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tmp2 = tmp2 + ","
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tmp2 = tmp2 + c + "(" + str(round(self.RHS[c] / self.count, 3)) + ")"
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return tmp + tmp2
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def __len__(self):
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return len(self.RHS)
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class ImprovedWeightedFTS(fts.FTS):
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"""First Order Improved Weighted Fuzzy Time Series"""
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def __init__(self, name, **kwargs):
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super(ImprovedWeightedFTS, self).__init__(1, "IWFTS " + name)
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self.name = "Improved Weighted FTS"
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self.detail = "Ismail & Efendi"
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self.setsDict = {}
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def generateFLRG(self, flrs):
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flrgs = {}
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for flr in flrs:
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if flr.LHS.name in flrgs:
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flrgs[flr.LHS.name].append(flr.RHS)
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else:
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flrgs[flr.LHS.name] = ImprovedWeightedFLRG(flr.LHS);
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flrgs[flr.LHS.name].append(flr.RHS)
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return (flrgs)
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def train(self, data, sets, order=1, parameters=None):
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self.sets = sets
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for s in self.sets: self.setsDict[s.name] = s
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ndata = self.doTransformations(data)
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tmpdata = FuzzySet.fuzzySeries(ndata, self.sets)
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flrs = FLR.generateRecurrentFLRs(tmpdata)
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self.flrgs = self.generateFLRG(flrs)
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def getMidpoints(self, flrg):
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ret = np.array([self.setsDict[s].centroid for s in flrg.RHS])
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return ret
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def forecast(self, data, **kwargs):
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l = 1
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data = np.array(data)
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ndata = self.doTransformations(data)
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l = len(ndata)
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ret = []
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for k in np.arange(0, l):
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mv = FuzzySet.fuzzyInstance(ndata[k], self.sets)
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actual = self.sets[np.argwhere(mv == max(mv))[0, 0]]
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if actual.name not in self.flrgs:
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ret.append(actual.centroid)
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else:
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flrg = self.flrgs[actual.name]
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mp = self.getMidpoints(flrg)
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ret.append(mp.dot(flrg.weights()))
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ret = self.doInverseTransformations(ret, params=[data[self.order - 1:]])
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return ret
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