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<div class="navpath"><a class="el" href="dir_cfc6129efafb4deb1379318d01a4b532.html">modules</a> » <a class="el" href="dir_4a975c66df64d91ea50e31e1c6371883.html">forecast</a>
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<h1>timeseries.cpp</h1><a href="a00251.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/***************************************************************************</span>
<a name="l00002"></a>00002 <span class="comment"> file : $URL: https://frepple.svn.sourceforge.net/svnroot/frepple/trunk/modules/forecast/forecastsolver.cpp $</span>
<a name="l00003"></a>00003 <span class="comment"> version : $LastChangedRevision: 1302 $ $LastChangedBy: jdetaeye $</span>
<a name="l00004"></a>00004 <span class="comment"> date : $LastChangedDate: 2010-07-06 18:23:42 +0200 (Tue, 06 Jul 2010) $</span>
<a name="l00005"></a>00005 <span class="comment"> ***************************************************************************/</span>
<a name="l00006"></a>00006
<a name="l00007"></a>00007 <span class="comment">/***************************************************************************</span>
<a name="l00008"></a>00008 <span class="comment"> * *</span>
<a name="l00009"></a>00009 <span class="comment"> * Copyright (C) 2007-2010 by Johan De Taeye *</span>
<a name="l00010"></a>00010 <span class="comment"> * *</span>
<a name="l00011"></a>00011 <span class="comment"> * This library is free software; you can redistribute it and/or modify it *</span>
<a name="l00012"></a>00012 <span class="comment"> * under the terms of the GNU Lesser General Public License as published *</span>
<a name="l00013"></a>00013 <span class="comment"> * by the Free Software Foundation; either version 2.1 of the License, or *</span>
<a name="l00014"></a>00014 <span class="comment"> * (at your option) any later version. *</span>
<a name="l00015"></a>00015 <span class="comment"> * *</span>
<a name="l00016"></a>00016 <span class="comment"> * This library is distributed in the hope that it will be useful, *</span>
<a name="l00017"></a>00017 <span class="comment"> * but WITHOUT ANY WARRANTY; without even the implied warranty of *</span>
<a name="l00018"></a>00018 <span class="comment"> * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser *</span>
<a name="l00019"></a>00019 <span class="comment"> * General Public License for more details. *</span>
<a name="l00020"></a>00020 <span class="comment"> * *</span>
<a name="l00021"></a>00021 <span class="comment"> * You should have received a copy of the GNU Lesser General Public *</span>
<a name="l00022"></a>00022 <span class="comment"> * License along with this library; if not, write to the Free Software *</span>
<a name="l00023"></a>00023 <span class="comment"> * Foundation Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301,*</span>
<a name="l00024"></a>00024 <span class="comment"> * USA *</span>
<a name="l00025"></a>00025 <span class="comment"> * *</span>
<a name="l00026"></a>00026 <span class="comment"> ***************************************************************************/</span>
<a name="l00027"></a>00027
<a name="l00028"></a>00028 <span class="preprocessor">#include "<a class="code" href="a00204.html" title="Header file for the module forecast.">forecast.h</a>"</span>
<a name="l00029"></a>00029
<a name="l00030"></a>00030 <span class="keyword">namespace </span>module_forecast
<a name="l00031"></a>00031 {
<a name="l00032"></a>00032
<a name="l00033"></a><a class="code" href="a00251.html#af270a96662132d0385cb6b4637c5a689">00033</a> <span class="preprocessor">#define ACCURACY 0.01</span>
<a name="l00034"></a>00034 <span class="preprocessor"></span>
<a name="l00035"></a><a class="code" href="a00072.html#a5c266d5446015daf35d15abd4ba8368c">00035</a> <span class="keywordtype">void</span> <a class="code" href="a00072.html#a5c266d5446015daf35d15abd4ba8368c">Forecast::generateFutureValues</a>(
<a name="l00036"></a>00036 <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> historycount,
<a name="l00037"></a>00037 <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount,
<a name="l00038"></a>00038 <span class="keywordtype">bool</span> debug)
<a name="l00039"></a>00039 {
<a name="l00040"></a>00040 <span class="comment">// Validate the input</span>
<a name="l00041"></a>00041 <span class="keywordflow">if</span> (!history || !buckets)
<a name="l00042"></a>00042 <span class="keywordflow">throw</span> <a class="code" href="a00162.html" title="An exception of this type is thrown when the library runs into problems that are...">RuntimeException</a>(<span class="stringliteral">"Null argument to forecast function"</span>);
<a name="l00043"></a>00043 <span class="keywordflow">if</span> (bucketcount < 2)
<a name="l00044"></a>00044 <span class="keywordflow">throw</span> <a class="code" href="a00048.html" title="An exception of this type is thrown when data errors are found.">DataException</a>(<span class="stringliteral">"Need at least 2 forecast dates"</span>);
<a name="l00045"></a>00045
<a name="l00046"></a>00046 <span class="comment">// Strip zero demand buckets at the start. </span>
<a name="l00047"></a>00047 <span class="comment">// Eg when demand only starts in the middle of horizon, we only want to </span>
<a name="l00048"></a>00048 <span class="comment">// use the second part of the horizon for forecasting. The zeros before the</span>
<a name="l00049"></a>00049 <span class="comment">// demand start would distort the results. </span>
<a name="l00050"></a>00050 <span class="keywordflow">while</span> (historycount >= 1 && *history == 0.0)
<a name="l00051"></a>00051 {
<a name="l00052"></a>00052 ++history;
<a name="l00053"></a>00053 --historycount;
<a name="l00054"></a>00054 }
<a name="l00055"></a>00055
<a name="l00056"></a>00056 <span class="comment">// We create the forecasting objects in stack memory for best performance.</span>
<a name="l00057"></a>00057 <a class="code" href="a00116.html" title="A class to calculate a forecast based on a moving average.">MovingAverage</a> moving_avg;
<a name="l00058"></a>00058 <a class="code" href="a00043.html" title="A class to calculate a forecast with Croston&#39;s method.">Croston</a> croston;
<a name="l00059"></a>00059 <a class="code" href="a00169.html" title="A class to perform single exponential smoothing on a time series.">SingleExponential</a> single_exp;
<a name="l00060"></a>00060 <a class="code" href="a00055.html" title="A class to perform double exponential smoothing on a time series.">DoubleExponential</a> double_exp;
<a name="l00061"></a>00061 <a class="code" href="a00164.html" title="A class to perform seasonal forecasting on a time series.">Seasonal</a> seasonal;
<a name="l00062"></a>00062 <span class="keywordtype">int</span> numberOfMethods = 4;
<a name="l00063"></a>00063 <a class="code" href="a00074.html" title="Abstract base class for all forecasting methods.">ForecastMethod</a>* methods[4];
<a name="l00064"></a>00064
<a name="l00065"></a>00065 <span class="comment">// Rules to determine which forecast methods can be applied</span>
<a name="l00066"></a>00066 methods[0] = &moving_avg;
<a name="l00067"></a>00067 <span class="keywordflow">if</span> (historycount < <a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>() + 5)
<a name="l00068"></a>00068 <span class="comment">// Too little history: only use moving average</span>
<a name="l00069"></a>00069 numberOfMethods = 1;
<a name="l00070"></a>00070 <span class="keywordflow">else</span>
<a name="l00071"></a>00071 {
<a name="l00072"></a>00072 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> zero = 0;
<a name="l00073"></a>00073 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 0; i < historycount; ++i)
<a name="l00074"></a>00074 <span class="keywordflow">if</span> (!history[i]) ++zero;
<a name="l00075"></a>00075 <span class="keywordflow">if</span> (zero > <a class="code" href="a00043.html#a5701eb3d22717ec14451f40d1481d72f">Croston::getMinIntermittence</a>() * historycount)
<a name="l00076"></a>00076 {
<a name="l00077"></a>00077 <span class="comment">// If there are too many zeros: use croston or moving average.</span>
<a name="l00078"></a>00078 numberOfMethods = 2;
<a name="l00079"></a>00079 methods[1] = &croston;
<a name="l00080"></a>00080 }
<a name="l00081"></a>00081 <span class="keywordflow">else</span>
<a name="l00082"></a>00082 {
<a name="l00083"></a>00083 <span class="comment">// The most common case: enough values and not intermittent</span>
<a name="l00084"></a>00084 methods[1] = &single_exp;
<a name="l00085"></a>00085 methods[2] = &double_exp;
<a name="l00086"></a>00086 methods[3] = &seasonal;
<a name="l00087"></a>00087 }
<a name="l00088"></a>00088 }
<a name="l00089"></a>00089
<a name="l00090"></a>00090 <span class="comment">// Initialize a vector with the smape weights</span>
<a name="l00091"></a>00091 <span class="keywordtype">double</span> *weight = <span class="keyword">new</span> <span class="keywordtype">double</span>[historycount+1];
<a name="l00092"></a>00092 weight[historycount] = 1.0;
<a name="l00093"></a>00093 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i=historycount-1; i>=0; --i)
<a name="l00094"></a>00094 weight[i] = weight[i+1] * <a class="code" href="a00072.html#a37beb97f7441b3f382c347713e788635">Forecast::getForecastSmapeAlfa</a>();
<a name="l00095"></a>00095
<a name="l00096"></a>00096 <span class="comment">// Evaluate each forecast method</span>
<a name="l00097"></a>00097 <span class="keywordtype">double</span> best_error = DBL_MAX;
<a name="l00098"></a>00098 <span class="keywordtype">int</span> best_method = -1;
<a name="l00099"></a>00099 <span class="keywordtype">double</span> error;
<a name="l00100"></a>00100 <span class="keywordflow">try</span>
<a name="l00101"></a>00101 {
<a name="l00102"></a>00102 <span class="keywordflow">for</span> (<span class="keywordtype">int</span> i=0; i<numberOfMethods; ++i)
<a name="l00103"></a>00103 {
<a name="l00104"></a>00104 error = methods[i]-><a class="code" href="a00074.html#a72078544ba513ac4d9bae0ef64045480">generateForecast</a>(<span class="keyword">this</span>, history, historycount, weight, debug);
<a name="l00105"></a>00105 <span class="keywordflow">if</span> (error<best_error)
<a name="l00106"></a>00106 {
<a name="l00107"></a>00107 best_error = error;
<a name="l00108"></a>00108 best_method = i;
<a name="l00109"></a>00109 }
<a name="l00110"></a>00110 }
<a name="l00111"></a>00111 }
<a name="l00112"></a>00112 <span class="keywordflow">catch</span> (...)
<a name="l00113"></a>00113 {
<a name="l00114"></a>00114 <span class="keyword">delete</span> weight;
<a name="l00115"></a>00115 <span class="keywordflow">throw</span>;
<a name="l00116"></a>00116 }
<a name="l00117"></a>00117 <span class="keyword">delete</span> weight;
<a name="l00118"></a>00118
<a name="l00119"></a>00119 <span class="comment">// Apply the most appropriate forecasting method</span>
<a name="l00120"></a>00120 <span class="keywordflow">if</span> (best_method >= 0)
<a name="l00121"></a>00121 {
<a name="l00122"></a>00122 <span class="keywordflow">if</span> (debug)
<a name="l00123"></a>00123 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << <a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() << <span class="stringliteral">": chosen method: "</span> << methods[best_method]-><a class="code" href="a00074.html#a5dff95401a41f796fbc243f4996afd27">getName</a>() << endl;
<a name="l00124"></a>00124 methods[best_method]-><a class="code" href="a00074.html#a5b6313466ac20ca0e9a74139e868f04a">applyForecast</a>(<span class="keyword">this</span>, buckets, bucketcount, debug);
<a name="l00125"></a>00125 }
<a name="l00126"></a>00126 }
<a name="l00127"></a>00127
<a name="l00128"></a>00128
<a name="l00129"></a>00129 <span class="comment">//</span>
<a name="l00130"></a>00130 <span class="comment">// MOVING AVERAGE FORECAST</span>
<a name="l00131"></a>00131 <span class="comment">//</span>
<a name="l00132"></a>00132
<a name="l00133"></a>00133
<a name="l00134"></a>00134 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> Forecast::MovingAverage::defaultbuckets = 5;
<a name="l00135"></a>00135
<a name="l00136"></a>00136
<a name="l00137"></a>00137 <span class="keywordtype">double</span> <a class="code" href="a00116.html#ab58b0e26e945b213dff768d92470733b">Forecast::MovingAverage::generateForecast</a>
<a name="l00138"></a><a class="code" href="a00116.html#ab58b0e26e945b213dff768d92470733b">00138</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* fcst, <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count, <span class="keyword">const</span> <span class="keywordtype">double</span> weight[], <span class="keywordtype">bool</span> debug)
<a name="l00139"></a>00139 {
<a name="l00140"></a>00140 <span class="keywordtype">double</span> error_smape = 0.0;
<a name="l00141"></a>00141
<a name="l00142"></a>00142 <span class="comment">// Calculate the forecast and forecast error.</span>
<a name="l00143"></a>00143 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i <= count; ++i)
<a name="l00144"></a>00144 {
<a name="l00145"></a>00145 <span class="keywordtype">double</span> sum = 0.0;
<a name="l00146"></a>00146 <span class="keywordflow">if</span> (i > buckets)
<a name="l00147"></a>00147 {
<a name="l00148"></a>00148 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> j = 0; j < buckets; ++j)
<a name="l00149"></a>00149 sum += history[i-j-1];
<a name="l00150"></a>00150 avg = sum / buckets;
<a name="l00151"></a>00151 }
<a name="l00152"></a>00152 <span class="keywordflow">else</span>
<a name="l00153"></a>00153 {
<a name="l00154"></a>00154 <span class="comment">// For the first few values</span>
<a name="l00155"></a>00155 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> j = 0; j < i; ++j)
<a name="l00156"></a>00156 sum += history[i-j-1];
<a name="l00157"></a>00157 avg = sum / i;
<a name="l00158"></a>00158 }
<a name="l00159"></a>00159 <span class="keywordflow">if</span> (i >= fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>() && i < count && avg + history[i] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00160"></a>00160 error_smape += fabs(avg - history[i]) / (avg + history[i]) * weight[i];
<a name="l00161"></a>00161 }
<a name="l00162"></a>00162
<a name="l00163"></a>00163 <span class="comment">// Echo the result</span>
<a name="l00164"></a>00164 <span class="keywordflow">if</span> (debug)
<a name="l00165"></a>00165 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << (fcst ? fcst-><a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() : <span class="stringliteral">""</span>) << <span class="stringliteral">": moving average : "</span>
<a name="l00166"></a>00166 << <span class="stringliteral">"smape "</span> << error_smape
<a name="l00167"></a>00167 << <span class="stringliteral">", forecast "</span> << avg << endl;
<a name="l00168"></a>00168 <span class="keywordflow">return</span> error_smape;
<a name="l00169"></a>00169 }
<a name="l00170"></a>00170
<a name="l00171"></a>00171
<a name="l00172"></a>00172 <span class="keywordtype">void</span> <a class="code" href="a00116.html#ae131a917e8a5aec9d09c81dd7aa0e453">Forecast::MovingAverage::applyForecast</a>
<a name="l00173"></a><a class="code" href="a00116.html#ae131a917e8a5aec9d09c81dd7aa0e453">00173</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* forecast, <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount, <span class="keywordtype">bool</span> debug)
<a name="l00174"></a>00174 {
<a name="l00175"></a>00175 <span class="comment">// Loop over all buckets and set the forecast to a constant value</span>
<a name="l00176"></a>00176 <span class="keywordflow">if</span> (avg < 0) <span class="keywordflow">return</span>;
<a name="l00177"></a>00177 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i < bucketcount; ++i)
<a name="l00178"></a>00178 forecast-><a class="code" href="a00072.html#a6a95cdf8571fcb91179a215e40f991e2">setTotalQuantity</a>(
<a name="l00179"></a>00179 <a class="code" href="a00050.html" title="This class defines a date-range, i.e. a start-date and end-date pair.">DateRange</a>(buckets[i-1], buckets[i]),
<a name="l00180"></a>00180 avg
<a name="l00181"></a>00181 );
<a name="l00182"></a>00182 }
<a name="l00183"></a>00183
<a name="l00184"></a>00184
<a name="l00185"></a>00185 <span class="comment">//</span>
<a name="l00186"></a>00186 <span class="comment">// SINGLE EXPONENTIAL FORECAST</span>
<a name="l00187"></a>00187 <span class="comment">//</span>
<a name="l00188"></a>00188
<a name="l00189"></a>00189
<a name="l00190"></a>00190 <span class="keywordtype">double</span> Forecast::SingleExponential::initial_alfa = 0.2;
<a name="l00191"></a>00191 <span class="keywordtype">double</span> Forecast::SingleExponential::min_alfa = 0.03;
<a name="l00192"></a>00192 <span class="keywordtype">double</span> Forecast::SingleExponential::max_alfa = 1.0;
<a name="l00193"></a>00193
<a name="l00194"></a>00194
<a name="l00195"></a>00195 <span class="keywordtype">double</span> <a class="code" href="a00169.html#af3071583d861c5cb288b57076bbaac7e">Forecast::SingleExponential::generateForecast</a>
<a name="l00196"></a><a class="code" href="a00169.html#af3071583d861c5cb288b57076bbaac7e">00196</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* fcst, <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count, <span class="keyword">const</span> <span class="keywordtype">double</span> weight[], <span class="keywordtype">bool</span> debug)
<a name="l00197"></a>00197 {
<a name="l00198"></a>00198 <span class="comment">// Verify whether this is a valid forecast method.</span>
<a name="l00199"></a>00199 <span class="comment">// - We need at least 5 buckets after the warmup period.</span>
<a name="l00200"></a>00200 <span class="keywordflow">if</span> (count < fcst->getForecastSkip() + 5)
<a name="l00201"></a>00201 <span class="keywordflow">return</span> DBL_MAX;
<a name="l00202"></a>00202
<a name="l00203"></a>00203 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> iteration = 1;
<a name="l00204"></a>00204 <span class="keywordtype">bool</span> upperboundarytested = <span class="keyword">false</span>;
<a name="l00205"></a>00205 <span class="keywordtype">bool</span> lowerboundarytested = <span class="keyword">false</span>;
<a name="l00206"></a>00206 <span class="keywordtype">double</span> error = 0.0, error_smape = 0.0, best_smape = 0.0, delta, df_dalfa_i, sum_11, sum_12;
<a name="l00207"></a>00207 <span class="keywordtype">double</span> best_error = DBL_MAX, best_alfa = initial_alfa, best_f_i = 0.0;
<a name="l00208"></a>00208 <span class="keywordflow">for</span> (; iteration <= <a class="code" href="a00072.html#af9ea44ab209fecd114b9f111d2b65634">Forecast::getForecastIterations</a>(); ++iteration)
<a name="l00209"></a>00209 {
<a name="l00210"></a>00210 <span class="comment">// Initialize variables</span>
<a name="l00211"></a>00211 df_dalfa_i = sum_11 = sum_12 = error_smape = error = 0.0;
<a name="l00212"></a>00212
<a name="l00213"></a>00213 <span class="comment">// Initialize the iteration with the average of the first 3 values.</span>
<a name="l00214"></a>00214 f_i = (history[0] + history[1] + history[2]) / 3;
<a name="l00215"></a>00215
<a name="l00216"></a>00216 <span class="comment">// Calculate the forecast and forecast error.</span>
<a name="l00217"></a>00217 <span class="comment">// We also compute the sums required for the Marquardt optimization.</span>
<a name="l00218"></a>00218 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 1; i <= count; ++i)
<a name="l00219"></a>00219 {
<a name="l00220"></a>00220 df_dalfa_i = history[i-1] - f_i + (1 - alfa) * df_dalfa_i;
<a name="l00221"></a>00221 f_i = history[i-1] * alfa + (1 - alfa) * f_i;
<a name="l00222"></a>00222 <span class="keywordflow">if</span> (i == count) <span class="keywordflow">break</span>;
<a name="l00223"></a>00223 sum_12 += df_dalfa_i * (history[i] - f_i) * weight[i];
<a name="l00224"></a>00224 sum_11 += df_dalfa_i * df_dalfa_i * weight[i];
<a name="l00225"></a>00225 <span class="keywordflow">if</span> (i >= fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>())
<a name="l00226"></a>00226 {
<a name="l00227"></a>00227 error += (f_i - history[i]) * (f_i - history[i]) * weight[i];
<a name="l00228"></a>00228 <span class="keywordflow">if</span> (f_i + history[i] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00229"></a>00229 error_smape += fabs(f_i - history[i]) / (f_i + history[i]) * weight[i];
<a name="l00230"></a>00230 }
<a name="l00231"></a>00231 }
<a name="l00232"></a>00232
<a name="l00233"></a>00233 <span class="comment">// Better than earlier iterations?</span>
<a name="l00234"></a>00234 <span class="keywordflow">if</span> (error < best_error)
<a name="l00235"></a>00235 {
<a name="l00236"></a>00236 best_error = error;
<a name="l00237"></a>00237 best_smape = error_smape;
<a name="l00238"></a>00238 best_alfa = alfa;
<a name="l00239"></a>00239 best_f_i = f_i;
<a name="l00240"></a>00240 }
<a name="l00241"></a>00241
<a name="l00242"></a>00242 <span class="comment">// Add Levenberg - Marquardt damping factor</span>
<a name="l00243"></a>00243 <span class="keywordflow">if</span> (fabs(sum_11 + error / iteration) > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00244"></a>00244 sum_11 += error / iteration;
<a name="l00245"></a>00245
<a name="l00246"></a>00246 <span class="comment">// Calculate a delta for the alfa parameter</span>
<a name="l00247"></a>00247 <span class="keywordflow">if</span> (fabs(sum_11) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>) <span class="keywordflow">break</span>;
<a name="l00248"></a>00248 delta = sum_12 / sum_11;
<a name="l00249"></a>00249
<a name="l00250"></a>00250 <span class="comment">// Stop when we are close enough and have tried hard enough</span>
<a name="l00251"></a>00251 <span class="keywordflow">if</span> (fabs(delta) < <a class="code" href="a00251.html#af270a96662132d0385cb6b4637c5a689">ACCURACY</a> && iteration > 3) <span class="keywordflow">break</span>;
<a name="l00252"></a>00252
<a name="l00253"></a>00253 <span class="comment">// New alfa</span>
<a name="l00254"></a>00254 alfa += delta;
<a name="l00255"></a>00255
<a name="l00256"></a>00256 <span class="comment">// Stop when we repeatedly bounce against the limits.</span>
<a name="l00257"></a>00257 <span class="comment">// Testing a limits once is allowed.</span>
<a name="l00258"></a>00258 <span class="keywordflow">if</span> (alfa > max_alfa)
<a name="l00259"></a>00259 {
<a name="l00260"></a>00260 alfa = max_alfa;
<a name="l00261"></a>00261 <span class="keywordflow">if</span> (upperboundarytested) <span class="keywordflow">break</span>;
<a name="l00262"></a>00262 upperboundarytested = <span class="keyword">true</span>;
<a name="l00263"></a>00263 }
<a name="l00264"></a>00264 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (alfa < min_alfa)
<a name="l00265"></a>00265 {
<a name="l00266"></a>00266 alfa = min_alfa;
<a name="l00267"></a>00267 <span class="keywordflow">if</span> (lowerboundarytested) <span class="keywordflow">break</span>;
<a name="l00268"></a>00268 lowerboundarytested = <span class="keyword">true</span>;
<a name="l00269"></a>00269 }
<a name="l00270"></a>00270 }
<a name="l00271"></a>00271
<a name="l00272"></a>00272 <span class="comment">// Keep the best result</span>
<a name="l00273"></a>00273 f_i = best_f_i;
<a name="l00274"></a>00274
<a name="l00275"></a>00275 <span class="comment">// Echo the result</span>
<a name="l00276"></a>00276 <span class="keywordflow">if</span> (debug)
<a name="l00277"></a>00277 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << (fcst ? fcst-><a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() : <span class="stringliteral">""</span>) << <span class="stringliteral">": single exponential : "</span>
<a name="l00278"></a>00278 << <span class="stringliteral">"alfa "</span> << best_alfa
<a name="l00279"></a>00279 << <span class="stringliteral">", smape "</span> << best_smape
<a name="l00280"></a>00280 << <span class="stringliteral">", "</span> << iteration << <span class="stringliteral">" iterations"</span>
<a name="l00281"></a>00281 << <span class="stringliteral">", forecast "</span> << f_i << endl;
<a name="l00282"></a>00282 <span class="keywordflow">return</span> best_smape;
<a name="l00283"></a>00283 }
<a name="l00284"></a>00284
<a name="l00285"></a>00285
<a name="l00286"></a>00286 <span class="keywordtype">void</span> <a class="code" href="a00169.html#a794f9e1de08be94cad1df91e5090853d">Forecast::SingleExponential::applyForecast</a>
<a name="l00287"></a><a class="code" href="a00169.html#a794f9e1de08be94cad1df91e5090853d">00287</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* forecast, <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount, <span class="keywordtype">bool</span> debug)
<a name="l00288"></a>00288 {
<a name="l00289"></a>00289 <span class="comment">// Loop over all buckets and set the forecast to a constant value</span>
<a name="l00290"></a>00290 <span class="keywordflow">if</span> (f_i < 0) <span class="keywordflow">return</span>;
<a name="l00291"></a>00291 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i < bucketcount; ++i)
<a name="l00292"></a>00292 forecast-><a class="code" href="a00072.html#a6a95cdf8571fcb91179a215e40f991e2">setTotalQuantity</a>(
<a name="l00293"></a>00293 <a class="code" href="a00050.html" title="This class defines a date-range, i.e. a start-date and end-date pair.">DateRange</a>(buckets[i-1], buckets[i]),
<a name="l00294"></a>00294 f_i
<a name="l00295"></a>00295 );
<a name="l00296"></a>00296 }
<a name="l00297"></a>00297
<a name="l00298"></a>00298
<a name="l00299"></a>00299 <span class="comment">//</span>
<a name="l00300"></a>00300 <span class="comment">// DOUBLE EXPONENTIAL FORECAST</span>
<a name="l00301"></a>00301 <span class="comment">//</span>
<a name="l00302"></a>00302
<a name="l00303"></a>00303 <span class="keywordtype">double</span> Forecast::DoubleExponential::initial_alfa = 0.2;
<a name="l00304"></a>00304 <span class="keywordtype">double</span> Forecast::DoubleExponential::min_alfa = 0.02;
<a name="l00305"></a>00305 <span class="keywordtype">double</span> Forecast::DoubleExponential::max_alfa = 1.0;
<a name="l00306"></a>00306 <span class="keywordtype">double</span> Forecast::DoubleExponential::initial_gamma = 0.2;
<a name="l00307"></a>00307 <span class="keywordtype">double</span> Forecast::DoubleExponential::min_gamma = 0.05;
<a name="l00308"></a>00308 <span class="keywordtype">double</span> Forecast::DoubleExponential::max_gamma = 1.0;
<a name="l00309"></a>00309 <span class="keywordtype">double</span> Forecast::DoubleExponential::dampenTrend = 0.8;
<a name="l00310"></a>00310
<a name="l00311"></a>00311
<a name="l00312"></a>00312 <span class="keywordtype">double</span> <a class="code" href="a00055.html#a2ab0d08f2c0b5e8c4a48396e4b26e93b">Forecast::DoubleExponential::generateForecast</a>
<a name="l00313"></a><a class="code" href="a00055.html#a2ab0d08f2c0b5e8c4a48396e4b26e93b">00313</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* fcst, <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count, <span class="keyword">const</span> <span class="keywordtype">double</span> weight[], <span class="keywordtype">bool</span> debug)
<a name="l00314"></a>00314 {
<a name="l00315"></a>00315 <span class="comment">// Verify whether this is a valid forecast method.</span>
<a name="l00316"></a>00316 <span class="comment">// - We need at least 5 buckets after the warmup period.</span>
<a name="l00317"></a>00317 <span class="keywordflow">if</span> (count < fcst->getForecastSkip() + 5)
<a name="l00318"></a>00318 <span class="keywordflow">return</span> DBL_MAX;
<a name="l00319"></a>00319
<a name="l00320"></a>00320 <span class="comment">// Define variables</span>
<a name="l00321"></a>00321 <span class="keywordtype">double</span> error = 0.0, error_smape = 0.0, delta_alfa, delta_gamma, determinant;
<a name="l00322"></a>00322 <span class="keywordtype">double</span> constant_i_prev, trend_i_prev, d_constant_d_gamma_prev,
<a name="l00323"></a>00323 d_constant_d_alfa_prev, d_constant_d_alfa, d_constant_d_gamma,
<a name="l00324"></a>00324 d_trend_d_alfa, d_trend_d_gamma, d_forecast_d_alfa, d_forecast_d_gamma,
<a name="l00325"></a>00325 sum11, sum12, sum22, sum13, sum23;
<a name="l00326"></a>00326 <span class="keywordtype">double</span> best_error = DBL_MAX, best_smape = 0, best_alfa = initial_alfa,
<a name="l00327"></a>00327 best_gamma = initial_gamma, best_constant_i = 0.0, best_trend_i = 0.0;
<a name="l00328"></a>00328
<a name="l00329"></a>00329 <span class="comment">// Iterations</span>
<a name="l00330"></a>00330 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> iteration = 1, boundarytested = 0;
<a name="l00331"></a>00331 <span class="keywordflow">for</span> (; iteration <= <a class="code" href="a00072.html#af9ea44ab209fecd114b9f111d2b65634">Forecast::getForecastIterations</a>(); ++iteration)
<a name="l00332"></a>00332 {
<a name="l00333"></a>00333 <span class="comment">// Initialize variables</span>
<a name="l00334"></a>00334 error = error_smape = sum11 = sum12 = sum22 = sum13 = sum23 = 0.0;
<a name="l00335"></a>00335 d_constant_d_alfa = d_constant_d_gamma = d_trend_d_alfa = d_trend_d_gamma = 0.0;
<a name="l00336"></a>00336 d_forecast_d_alfa = d_forecast_d_gamma = 0.0;
<a name="l00337"></a>00337
<a name="l00338"></a>00338 <span class="comment">// Initialize the iteration</span>
<a name="l00339"></a>00339 constant_i = (history[0] + history[1] + history[2]) / 3;
<a name="l00340"></a>00340 trend_i = (history[3] - history[0]) / 3;
<a name="l00341"></a>00341
<a name="l00342"></a>00342 <span class="comment">// Calculate the forecast and forecast error.</span>
<a name="l00343"></a>00343 <span class="comment">// We also compute the sums required for the Marquardt optimization.</span>
<a name="l00344"></a>00344 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 1; i <= count; ++i)
<a name="l00345"></a>00345 {
<a name="l00346"></a>00346 constant_i_prev = constant_i;
<a name="l00347"></a>00347 trend_i_prev = trend_i;
<a name="l00348"></a>00348 constant_i = history[i-1] * alfa + (1 - alfa) * (constant_i_prev + trend_i_prev);
<a name="l00349"></a>00349 trend_i = gamma * (constant_i - constant_i_prev) + (1 - gamma) * trend_i_prev;
<a name="l00350"></a>00350 <span class="keywordflow">if</span> (i == count) <span class="keywordflow">break</span>;
<a name="l00351"></a>00351 d_constant_d_gamma_prev = d_constant_d_gamma;
<a name="l00352"></a>00352 d_constant_d_alfa_prev = d_constant_d_alfa;
<a name="l00353"></a>00353 d_constant_d_alfa = history[i-1] - constant_i_prev - trend_i_prev
<a name="l00354"></a>00354 + (1 - alfa) * d_forecast_d_alfa;
<a name="l00355"></a>00355 d_constant_d_gamma = (1 - alfa) * d_forecast_d_gamma;
<a name="l00356"></a>00356 d_trend_d_alfa = gamma * (d_constant_d_alfa - d_constant_d_alfa_prev)
<a name="l00357"></a>00357 + (1 - gamma) * d_trend_d_alfa;
<a name="l00358"></a>00358 d_trend_d_gamma = constant_i - constant_i_prev - trend_i_prev
<a name="l00359"></a>00359 + gamma * (d_constant_d_gamma - d_constant_d_gamma_prev)
<a name="l00360"></a>00360 + (1 - gamma) * d_trend_d_gamma;
<a name="l00361"></a>00361 d_forecast_d_alfa = d_constant_d_alfa + d_trend_d_alfa;
<a name="l00362"></a>00362 d_forecast_d_gamma = d_constant_d_gamma + d_trend_d_gamma;
<a name="l00363"></a>00363 sum11 += weight[i] * d_forecast_d_alfa * d_forecast_d_alfa;
<a name="l00364"></a>00364 sum12 += weight[i] * d_forecast_d_alfa * d_forecast_d_gamma;
<a name="l00365"></a>00365 sum22 += weight[i] * d_forecast_d_gamma * d_forecast_d_gamma;
<a name="l00366"></a>00366 sum13 += weight[i] * d_forecast_d_alfa * (history[i] - constant_i - trend_i);
<a name="l00367"></a>00367 sum23 += weight[i] * d_forecast_d_gamma * (history[i] - constant_i - trend_i);
<a name="l00368"></a>00368 <span class="keywordflow">if</span> (i >= fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>()) <span class="comment">// Don't measure during the warmup period</span>
<a name="l00369"></a>00369 {
<a name="l00370"></a>00370 error += (constant_i + trend_i - history[i]) * (constant_i + trend_i - history[i]) * weight[i];
<a name="l00371"></a>00371 <span class="keywordflow">if</span> (constant_i + trend_i + history[i] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00372"></a>00372 error_smape += fabs(constant_i + trend_i - history[i]) / (constant_i + trend_i + history[i]) * weight[i];
<a name="l00373"></a>00373 }
<a name="l00374"></a>00374 }
<a name="l00375"></a>00375
<a name="l00376"></a>00376 <span class="comment">// Better than earlier iterations?</span>
<a name="l00377"></a>00377 <span class="keywordflow">if</span> (error < best_error)
<a name="l00378"></a>00378 {
<a name="l00379"></a>00379 best_error = error;
<a name="l00380"></a>00380 best_smape = error_smape;
<a name="l00381"></a>00381 best_alfa = alfa;
<a name="l00382"></a>00382 best_gamma = gamma;
<a name="l00383"></a>00383 best_constant_i = constant_i;
<a name="l00384"></a>00384 best_trend_i = trend_i;
<a name="l00385"></a>00385 }
<a name="l00386"></a>00386
<a name="l00387"></a>00387 <span class="comment">// Add Levenberg - Marquardt damping factor</span>
<a name="l00388"></a>00388 sum11 += error / iteration;
<a name="l00389"></a>00389 sum22 += error / iteration;
<a name="l00390"></a>00390
<a name="l00391"></a>00391 <span class="comment">// Calculate a delta for the alfa and gamma parameters</span>
<a name="l00392"></a>00392 determinant = sum11 * sum22 - sum12 * sum12;
<a name="l00393"></a>00393 <span class="keywordflow">if</span> (fabs(determinant) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00394"></a>00394 {
<a name="l00395"></a>00395 <span class="comment">// Almost singular matrix. Try without the damping factor.</span>
<a name="l00396"></a>00396 sum11 -= error / iteration;
<a name="l00397"></a>00397 sum22 -= error / iteration;
<a name="l00398"></a>00398 determinant = sum11 * sum22 - sum12 * sum12;
<a name="l00399"></a>00399 <span class="keywordflow">if</span> (fabs(determinant) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00400"></a>00400 <span class="comment">// Still singular - stop iterations here</span>
<a name="l00401"></a>00401 <span class="keywordflow">break</span>;
<a name="l00402"></a>00402 }
<a name="l00403"></a>00403 delta_alfa = (sum13 * sum22 - sum23 * sum12) / determinant;
<a name="l00404"></a>00404 delta_gamma = (sum23 * sum11 - sum13 * sum12) / determinant;
<a name="l00405"></a>00405
<a name="l00406"></a>00406 <span class="comment">// Stop when we are close enough and have tried hard enough</span>
<a name="l00407"></a>00407 <span class="keywordflow">if</span> (fabs(delta_alfa) + fabs(delta_gamma) < 2 * <a class="code" href="a00251.html#af270a96662132d0385cb6b4637c5a689">ACCURACY</a> && iteration > 3)
<a name="l00408"></a>00408 <span class="keywordflow">break</span>;
<a name="l00409"></a>00409
<a name="l00410"></a>00410 <span class="comment">// New values for the next iteration</span>
<a name="l00411"></a>00411 alfa += delta_alfa;
<a name="l00412"></a>00412 gamma += delta_gamma;
<a name="l00413"></a>00413
<a name="l00414"></a>00414 <span class="comment">// Limit the parameters in their allowed range.</span>
<a name="l00415"></a>00415 <span class="keywordflow">if</span> (alfa > max_alfa)
<a name="l00416"></a>00416 alfa = max_alfa;
<a name="l00417"></a>00417 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (alfa < min_alfa)
<a name="l00418"></a>00418 alfa = min_alfa;
<a name="l00419"></a>00419 <span class="keywordflow">if</span> (gamma > max_gamma)
<a name="l00420"></a>00420 gamma = max_gamma;
<a name="l00421"></a>00421 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (gamma < min_gamma)
<a name="l00422"></a>00422 gamma = min_gamma;
<a name="l00423"></a>00423
<a name="l00424"></a>00424 <span class="comment">// Verify repeated running with both parameters at the boundary</span>
<a name="l00425"></a>00425 <span class="keywordflow">if</span> ((gamma == min_gamma || gamma == max_gamma)
<a name="l00426"></a>00426 && (alfa == min_alfa || alfa == max_alfa))
<a name="l00427"></a>00427 {
<a name="l00428"></a>00428 <span class="keywordflow">if</span> (boundarytested++ > 5) <span class="keywordflow">break</span>;
<a name="l00429"></a>00429 }
<a name="l00430"></a>00430 }
<a name="l00431"></a>00431
<a name="l00432"></a>00432 <span class="comment">// Keep the best result</span>
<a name="l00433"></a>00433 constant_i = best_constant_i;
<a name="l00434"></a>00434 trend_i = best_trend_i;
<a name="l00435"></a>00435
<a name="l00436"></a>00436 <span class="comment">// Echo the result</span>
<a name="l00437"></a>00437 <span class="keywordflow">if</span> (debug)
<a name="l00438"></a>00438 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << (fcst ? fcst-><a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() : <span class="stringliteral">""</span>) << <span class="stringliteral">": double exponential : "</span>
<a name="l00439"></a>00439 << <span class="stringliteral">"alfa "</span> << best_alfa
<a name="l00440"></a>00440 << <span class="stringliteral">", gamma "</span> << best_gamma
<a name="l00441"></a>00441 << <span class="stringliteral">", smape "</span> << best_smape
<a name="l00442"></a>00442 << <span class="stringliteral">", "</span> << iteration << <span class="stringliteral">" iterations"</span>
<a name="l00443"></a>00443 << <span class="stringliteral">", constant "</span> << constant_i
<a name="l00444"></a>00444 << <span class="stringliteral">", trend "</span> << trend_i
<a name="l00445"></a>00445 << <span class="stringliteral">", forecast "</span> << (trend_i + constant_i) << endl;
<a name="l00446"></a>00446 <span class="keywordflow">return</span> best_smape;
<a name="l00447"></a>00447 }
<a name="l00448"></a>00448
<a name="l00449"></a>00449
<a name="l00450"></a>00450 <span class="keywordtype">void</span> <a class="code" href="a00055.html#a86cd527c2908e510cbe90882e1c91423">Forecast::DoubleExponential::applyForecast</a>
<a name="l00451"></a><a class="code" href="a00055.html#a86cd527c2908e510cbe90882e1c91423">00451</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* forecast, <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount, <span class="keywordtype">bool</span> debug)
<a name="l00452"></a>00452 {
<a name="l00453"></a>00453 <span class="comment">// Loop over all buckets and set the forecast to a linearly changing value</span>
<a name="l00454"></a>00454 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i < bucketcount; ++i)
<a name="l00455"></a>00455 {
<a name="l00456"></a>00456 constant_i += trend_i;
<a name="l00457"></a>00457 trend_i *= dampenTrend; <span class="comment">// Reduce slope in the future</span>
<a name="l00458"></a>00458 <span class="keywordflow">if</span> (constant_i > 0)
<a name="l00459"></a>00459 forecast-><a class="code" href="a00072.html#a6a95cdf8571fcb91179a215e40f991e2">setTotalQuantity</a>(
<a name="l00460"></a>00460 <a class="code" href="a00050.html" title="This class defines a date-range, i.e. a start-date and end-date pair.">DateRange</a>(buckets[i-1], buckets[i]),
<a name="l00461"></a>00461 constant_i
<a name="l00462"></a>00462 );
<a name="l00463"></a>00463 }
<a name="l00464"></a>00464 }
<a name="l00465"></a>00465
<a name="l00466"></a>00466
<a name="l00467"></a>00467 <span class="comment">//</span>
<a name="l00468"></a>00468 <span class="comment">// SEASONAL FORECAST</span>
<a name="l00469"></a>00469 <span class="comment">//</span>
<a name="l00470"></a>00470
<a name="l00471"></a>00471 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> Forecast::Seasonal::min_period = 2;
<a name="l00472"></a>00472 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> Forecast::Seasonal::max_period = 14;
<a name="l00473"></a>00473 <span class="keywordtype">double</span> Forecast::Seasonal::dampenTrend = 0.8;
<a name="l00474"></a>00474 <span class="keywordtype">double</span> Forecast::Seasonal::initial_alfa = 0.2;
<a name="l00475"></a>00475 <span class="keywordtype">double</span> Forecast::Seasonal::min_alfa = 0.02;
<a name="l00476"></a>00476 <span class="keywordtype">double</span> Forecast::Seasonal::max_alfa = 1.0;
<a name="l00477"></a>00477 <span class="keywordtype">double</span> Forecast::Seasonal::initial_beta = 0.2;
<a name="l00478"></a>00478 <span class="keywordtype">double</span> Forecast::Seasonal::min_beta = 0.2;
<a name="l00479"></a>00479 <span class="keywordtype">double</span> Forecast::Seasonal::max_beta = 1.0;
<a name="l00480"></a>00480 <span class="keywordtype">double</span> Forecast::Seasonal::initial_gamma = 0.3;
<a name="l00481"></a>00481 <span class="keywordtype">double</span> Forecast::Seasonal::min_gamma = 0.05;
<a name="l00482"></a>00482 <span class="keywordtype">double</span> Forecast::Seasonal::max_gamma = 1.0;
<a name="l00483"></a>00483
<a name="l00484"></a>00484
<a name="l00485"></a>00485 <span class="keywordtype">void</span> Forecast::Seasonal::detectCycle(<span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count)
<a name="l00486"></a>00486 {
<a name="l00487"></a>00487 <span class="comment">// We need at least 2 cycles</span>
<a name="l00488"></a>00488 <span class="keywordflow">if</span> (count < min_period*2) <span class="keywordflow">return</span>;
<a name="l00489"></a>00489
<a name="l00490"></a>00490 <span class="comment">// Compute the average value </span>
<a name="l00491"></a>00491 <span class="keywordtype">double</span> average = 0.0;
<a name="l00492"></a>00492 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 0; i < count; ++i)
<a name="l00493"></a>00493 average += history[i];
<a name="l00494"></a>00494 average /= count;
<a name="l00495"></a>00495
<a name="l00496"></a>00496 <span class="comment">// Compute variance</span>
<a name="l00497"></a>00497 <span class="keywordtype">double</span> variance = 0.0;
<a name="l00498"></a>00498 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 0; i < count; ++i)
<a name="l00499"></a>00499 variance += (history[i]-average)*(history[i]-average);
<a name="l00500"></a>00500 variance /= count;
<a name="l00501"></a>00501
<a name="l00502"></a>00502 <span class="comment">// Compute autocorrelation for different periods</span>
<a name="l00503"></a>00503 <span class="keywordtype">double</span> prev = 10.0;
<a name="l00504"></a>00504 <span class="keywordtype">double</span> prevprev = 10.0;
<a name="l00505"></a>00505 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">short</span> p = min_period; p <= max_period && p < count/2; ++p)
<a name="l00506"></a>00506 {
<a name="l00507"></a>00507 <span class="comment">// Compute correlation</span>
<a name="l00508"></a>00508 <span class="keywordtype">double</span> correlation = 0.0;
<a name="l00509"></a>00509 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = p; i < count; ++i)
<a name="l00510"></a>00510 correlation += (history[i]-average)*(history[i-p]-average);
<a name="l00511"></a>00511 correlation /= count - p;
<a name="l00512"></a>00512 correlation /= variance;
<a name="l00513"></a>00513 <span class="comment">// Detect cycles if we find a period with a big autocorrelation which</span>
<a name="l00514"></a>00514 <span class="comment">// is significantly larger than the adjacent periods.</span>
<a name="l00515"></a>00515 <span class="keywordflow">if</span> ((p > min_period + 1 && prev > prevprev*1.1) && prev > correlation*1.1 && prev > 0.3)
<a name="l00516"></a>00516 {
<a name="l00517"></a>00517 period = p - 1;
<a name="l00518"></a>00518 <span class="keywordflow">return</span>;
<a name="l00519"></a>00519 }
<a name="l00520"></a>00520 prevprev = prev;
<a name="l00521"></a>00521 prev = correlation;
<a name="l00522"></a>00522 }
<a name="l00523"></a>00523 }
<a name="l00524"></a>00524
<a name="l00525"></a>00525
<a name="l00526"></a>00526 <span class="keywordtype">double</span> <a class="code" href="a00164.html#ac833784cd01b9729013fb75799a6368e">Forecast::Seasonal::generateForecast</a>
<a name="l00527"></a><a class="code" href="a00164.html#ac833784cd01b9729013fb75799a6368e">00527</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* fcst, <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count, <span class="keyword">const</span> <span class="keywordtype">double</span> weight[], <span class="keywordtype">bool</span> debug)
<a name="l00528"></a>00528 {
<a name="l00529"></a>00529 <span class="comment">// Check for seasonal cycles</span>
<a name="l00530"></a>00530 detectCycle(history, count);
<a name="l00531"></a>00531
<a name="l00532"></a>00532 <span class="comment">// Return if no seasonality is found</span>
<a name="l00533"></a>00533 <span class="keywordflow">if</span> (!period) <span class="keywordflow">return</span> DBL_MAX;
<a name="l00534"></a>00534
<a name="l00535"></a>00535 <span class="comment">// Define variables</span>
<a name="l00536"></a>00536 <span class="keywordtype">double</span> error = 0.0, error_smape = 0.0, delta_alfa, delta_beta, delta_gamma;
<a name="l00537"></a>00537 <span class="keywordtype">double</span> sum11, sum12, sum13, sum14, sum22, sum23, sum24, sum33, sum34;
<a name="l00538"></a>00538 <span class="keywordtype">double</span> best_error = DBL_MAX, best_smape = 0, best_alfa = initial_alfa,
<a name="l00539"></a>00539 best_beta = initial_beta, best_gamma = initial_gamma;
<a name="l00540"></a>00540 S_i = <span class="keyword">new</span> <span class="keywordtype">double</span>[period];
<a name="l00541"></a>00541
<a name="l00542"></a>00542 <span class="comment">// Iterations</span>
<a name="l00543"></a>00543 <span class="keywordtype">double</span> L_i_prev;
<a name="l00544"></a>00544 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> iteration = 1, boundarytested = 0;
<a name="l00545"></a>00545 <span class="keywordflow">for</span> (; iteration <= <a class="code" href="a00072.html#af9ea44ab209fecd114b9f111d2b65634">Forecast::getForecastIterations</a>(); ++iteration)
<a name="l00546"></a>00546 {
<a name="l00547"></a>00547 <span class="comment">// Initialize variables</span>
<a name="l00548"></a>00548 error = error_smape = sum11 = sum12 = sum13 = sum14 = 0.0;
<a name="l00549"></a>00549 sum22 = sum23 = sum24 = sum33 = sum34 = 0.0;
<a name="l00550"></a>00550
<a name="l00551"></a>00551 <span class="comment">// Initialize the iteration</span>
<a name="l00552"></a>00552 <span class="comment">// L_i = average over first cycle</span>
<a name="l00553"></a>00553 <span class="comment">// T_i = average delta measured in second cycle </span>
<a name="l00554"></a>00554 <span class="comment">// S_i[index] = actual divided by average in first cycle</span>
<a name="l00555"></a>00555 L_i = 0.0;
<a name="l00556"></a>00556 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 0; i < period; ++i)
<a name="l00557"></a>00557 L_i += history[i];
<a name="l00558"></a>00558 L_i /= period;
<a name="l00559"></a>00559 T_i = 0.0;
<a name="l00560"></a>00560 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 0; i < period; ++i)
<a name="l00561"></a>00561 {
<a name="l00562"></a>00562 T_i += history[i+period] - history[i];
<a name="l00563"></a>00563 S_i[i] = history[i] / L_i;
<a name="l00564"></a>00564 }
<a name="l00565"></a>00565 T_i /= period * period;
<a name="l00566"></a>00566
<a name="l00567"></a>00567 <span class="comment">// Calculate the forecast and forecast error.</span>
<a name="l00568"></a>00568 <span class="comment">// We also compute the sums required for the Marquardt optimization.</span>
<a name="l00569"></a>00569 cycleindex = 0;
<a name="l00570"></a>00570 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = period; i <= count; ++i)
<a name="l00571"></a>00571 {
<a name="l00572"></a>00572 L_i_prev = L_i;
<a name="l00573"></a>00573 <span class="keywordflow">if</span> (S_i[cycleindex] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00574"></a>00574 L_i = alfa * history[i-1] / S_i[cycleindex] + (1 - alfa) * (L_i + T_i);
<a name="l00575"></a>00575 <span class="keywordflow">else</span>
<a name="l00576"></a>00576 L_i = (1 - alfa) * (L_i + T_i);
<a name="l00577"></a>00577 T_i = beta * (L_i - L_i_prev) + (1 - beta) * T_i;
<a name="l00578"></a>00578 S_i[cycleindex] = gamma * history[i-1] / L_i + (1 - gamma) * S_i[cycleindex];
<a name="l00579"></a>00579 <span class="keywordflow">if</span> (i == count) <span class="keywordflow">break</span>;
<a name="l00580"></a>00580 <span class="keywordflow">if</span> (i >= fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>()) <span class="comment">// Don't measure during the warmup period</span>
<a name="l00581"></a>00581 {
<a name="l00582"></a>00582 <span class="keywordtype">double</span> fcst = (L_i + T_i) * S_i[cycleindex];
<a name="l00583"></a>00583 error += (fcst - history[i]) * (fcst - history[i]) * weight[i];
<a name="l00584"></a>00584 <span class="keywordflow">if</span> (fcst + history[i] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00585"></a>00585 error_smape += fabs(fcst - history[i]) / (fcst + history[i]) * weight[i];
<a name="l00586"></a>00586 }
<a name="l00587"></a>00587 <span class="keywordflow">if</span> (++cycleindex >= period) cycleindex = 0;
<a name="l00588"></a>00588 }
<a name="l00589"></a>00589
<a name="l00590"></a>00590 <span class="comment">// Better than earlier iterations?</span>
<a name="l00591"></a>00591 best_smape = error_smape;
<a name="l00592"></a>00592 <span class="keywordflow">if</span> (error < best_error)
<a name="l00593"></a>00593 {
<a name="l00594"></a>00594 best_error = error;
<a name="l00595"></a>00595 best_smape = error_smape;
<a name="l00596"></a>00596 best_alfa = alfa;
<a name="l00597"></a>00597 best_beta = beta;
<a name="l00598"></a>00598 best_gamma = gamma;
<a name="l00599"></a>00599 }
<a name="l00600"></a>00600 <span class="keywordflow">break</span>; <span class="comment">// @todo no iterations yet to tune the seasonal parameters</span>
<a name="l00601"></a>00601
<a name="l00602"></a>00602 <span class="comment">// Add Levenberg - Marquardt damping factor</span>
<a name="l00603"></a>00603 sum11 += error / iteration;
<a name="l00604"></a>00604 sum22 += error / iteration;
<a name="l00605"></a>00605 sum33 += error / iteration;
<a name="l00606"></a>00606
<a name="l00607"></a>00607 <span class="comment">// Calculate a delta for the alfa, beta and gamma parameters.</span>
<a name="l00608"></a>00608 <span class="comment">// We're using Cramer's rule to solve a set of linear equations.</span>
<a name="l00609"></a>00609 <span class="keywordtype">double</span> det = determinant(sum11, sum12, sum13,
<a name="l00610"></a>00610 sum12, sum22, sum23,
<a name="l00611"></a>00611 sum13, sum23, sum33);
<a name="l00612"></a>00612 <span class="keywordflow">if</span> (fabs(det) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00613"></a>00613 {
<a name="l00614"></a>00614 <span class="comment">// Almost singular matrix. Try without the damping factor.</span>
<a name="l00615"></a>00615 sum11 -= error / iteration;
<a name="l00616"></a>00616 sum22 -= error / iteration;
<a name="l00617"></a>00617 sum33 -= error / iteration;
<a name="l00618"></a>00618 det = determinant(sum11, sum12, sum13,
<a name="l00619"></a>00619 sum12, sum22, sum23,
<a name="l00620"></a>00620 sum13, sum23, sum33);
<a name="l00621"></a>00621 <span class="keywordflow">if</span> (fabs(det) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00622"></a>00622 <span class="comment">// Still singular - stop iterations here</span>
<a name="l00623"></a>00623 <span class="keywordflow">break</span>;
<a name="l00624"></a>00624 }
<a name="l00625"></a>00625 delta_alfa = determinant(sum14, sum12, sum13,
<a name="l00626"></a>00626 sum24, sum22, sum23,
<a name="l00627"></a>00627 sum34, sum23, sum33) / det;
<a name="l00628"></a>00628 delta_beta = determinant(sum11, sum14, sum13,
<a name="l00629"></a>00629 sum12, sum24, sum23,
<a name="l00630"></a>00630 sum13, sum34, sum33) / det;
<a name="l00631"></a>00631 delta_gamma = determinant(sum11, sum12, sum14,
<a name="l00632"></a>00632 sum12, sum22, sum24,
<a name="l00633"></a>00633 sum13, sum23, sum34) / det;
<a name="l00634"></a>00634
<a name="l00635"></a>00635 <span class="comment">// Stop when we are close enough and have tried hard enough</span>
<a name="l00636"></a>00636 <span class="keywordflow">if</span> (fabs(delta_alfa) + fabs(delta_beta) + fabs(delta_gamma) < 3 * <a class="code" href="a00251.html#af270a96662132d0385cb6b4637c5a689">ACCURACY</a>
<a name="l00637"></a>00637 && iteration > 3)
<a name="l00638"></a>00638 <span class="keywordflow">break</span>;
<a name="l00639"></a>00639
<a name="l00640"></a>00640 <span class="comment">// New values for the next iteration</span>
<a name="l00641"></a>00641 alfa += delta_alfa;
<a name="l00642"></a>00642 alfa += delta_beta;
<a name="l00643"></a>00643 gamma += delta_gamma;
<a name="l00644"></a>00644
<a name="l00645"></a>00645 <span class="comment">// Limit the parameters in their allowed range.</span>
<a name="l00646"></a>00646 <span class="keywordflow">if</span> (alfa > max_alfa)
<a name="l00647"></a>00647 alfa = max_alfa;
<a name="l00648"></a>00648 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (alfa < min_alfa)
<a name="l00649"></a>00649 alfa = min_alfa;
<a name="l00650"></a>00650 <span class="keywordflow">if</span> (beta > max_beta)
<a name="l00651"></a>00651 beta = max_beta;
<a name="l00652"></a>00652 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (beta < min_beta)
<a name="l00653"></a>00653 beta = min_beta;
<a name="l00654"></a>00654 <span class="keywordflow">if</span> (gamma > max_gamma)
<a name="l00655"></a>00655 gamma = max_gamma;
<a name="l00656"></a>00656 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (gamma < min_gamma)
<a name="l00657"></a>00657 gamma = min_gamma;
<a name="l00658"></a>00658
<a name="l00659"></a>00659 <span class="comment">// Verify repeated running with any parameters at the boundary</span>
<a name="l00660"></a>00660 <span class="keywordflow">if</span> (gamma == min_gamma || gamma == max_gamma ||
<a name="l00661"></a>00661 beta == min_beta || beta == max_beta ||
<a name="l00662"></a>00662 alfa == min_alfa || alfa == max_alfa)
<a name="l00663"></a>00663 {
<a name="l00664"></a>00664 <span class="keywordflow">if</span> (boundarytested++ > 5) <span class="keywordflow">break</span>;
<a name="l00665"></a>00665 }
<a name="l00666"></a>00666 }
<a name="l00667"></a>00667
<a name="l00668"></a>00668 <span class="keywordflow">if</span> (period > fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>())
<a name="l00669"></a>00669 <span class="comment">// Correction on the error: we counted less buckets. We now </span>
<a name="l00670"></a>00670 <span class="comment">// proportionally increase the error to account for this and have a</span>
<a name="l00671"></a>00671 <span class="comment">// value that can be compared with the other forecast methods.</span>
<a name="l00672"></a>00672 best_smape *= (count - fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>()) / (count - period);
<a name="l00673"></a>00673
<a name="l00674"></a>00674 <span class="comment">// Keep the best result</span>
<a name="l00675"></a>00675
<a name="l00676"></a>00676 <span class="comment">// Echo the result</span>
<a name="l00677"></a>00677 <span class="keywordflow">if</span> (debug)
<a name="l00678"></a>00678 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << (fcst ? fcst-><a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() : <span class="stringliteral">""</span>) << <span class="stringliteral">": seasonal : "</span>
<a name="l00679"></a>00679 << <span class="stringliteral">"alfa "</span> << best_alfa
<a name="l00680"></a>00680 << <span class="stringliteral">", beta "</span> << best_beta
<a name="l00681"></a>00681 << <span class="stringliteral">", gamma "</span> << best_gamma
<a name="l00682"></a>00682 << <span class="stringliteral">", smape "</span> << best_smape
<a name="l00683"></a>00683 << <span class="stringliteral">", "</span> << iteration << <span class="stringliteral">" iterations"</span>
<a name="l00684"></a>00684 << <span class="stringliteral">", period "</span> << period
<a name="l00685"></a>00685 << <span class="stringliteral">", constant "</span> << L_i
<a name="l00686"></a>00686 << <span class="stringliteral">", trend "</span> << T_i
<a name="l00687"></a>00687 << <span class="stringliteral">", forecast "</span> << (L_i + T_i) * S_i[count % period]
<a name="l00688"></a>00688 << endl;
<a name="l00689"></a>00689 <span class="keywordflow">return</span> best_smape;
<a name="l00690"></a>00690 }
<a name="l00691"></a>00691
<a name="l00692"></a>00692
<a name="l00693"></a>00693 <span class="keywordtype">void</span> <a class="code" href="a00164.html#ab23016bb3cf139abe2905331679ea93e">Forecast::Seasonal::applyForecast</a>
<a name="l00694"></a><a class="code" href="a00164.html#ab23016bb3cf139abe2905331679ea93e">00694</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* forecast, <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount, <span class="keywordtype">bool</span> debug)
<a name="l00695"></a>00695 {
<a name="l00696"></a>00696 <span class="comment">// Loop over all buckets and set the forecast to a linearly changing value</span>
<a name="l00697"></a>00697 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i < bucketcount; ++i)
<a name="l00698"></a>00698 {
<a name="l00699"></a>00699 L_i += T_i;
<a name="l00700"></a>00700 T_i *= dampenTrend; <span class="comment">// Reduce slope in the future</span>
<a name="l00701"></a>00701 <span class="keywordflow">if</span> (L_i * S_i[cycleindex] > 0)
<a name="l00702"></a>00702 forecast-><a class="code" href="a00072.html#a6a95cdf8571fcb91179a215e40f991e2">setTotalQuantity</a>(
<a name="l00703"></a>00703 <a class="code" href="a00050.html" title="This class defines a date-range, i.e. a start-date and end-date pair.">DateRange</a>(buckets[i-1], buckets[i]),
<a name="l00704"></a>00704 L_i * S_i[cycleindex]
<a name="l00705"></a>00705 );
<a name="l00706"></a>00706 <span class="keywordflow">if</span> (++cycleindex >= period) cycleindex = 0;
<a name="l00707"></a>00707 }
<a name="l00708"></a>00708 }
<a name="l00709"></a>00709
<a name="l00710"></a>00710
<a name="l00711"></a>00711 <span class="comment">//</span>
<a name="l00712"></a>00712 <span class="comment">// CROSTON'S FORECAST METHOD</span>
<a name="l00713"></a>00713 <span class="comment">//</span>
<a name="l00714"></a>00714
<a name="l00715"></a>00715
<a name="l00716"></a>00716 <span class="keywordtype">double</span> Forecast::Croston::initial_alfa = 0.1;
<a name="l00717"></a>00717 <span class="keywordtype">double</span> Forecast::Croston::min_alfa = 0.03;
<a name="l00718"></a>00718 <span class="keywordtype">double</span> Forecast::Croston::max_alfa = 1.0;
<a name="l00719"></a>00719 <span class="keywordtype">double</span> Forecast::Croston::min_intermittence = 0.33;
<a name="l00720"></a>00720
<a name="l00721"></a>00721
<a name="l00722"></a>00722 <span class="keywordtype">double</span> <a class="code" href="a00043.html#a6d771f314418b878562305f4f24bbeae">Forecast::Croston::generateForecast</a>
<a name="l00723"></a><a class="code" href="a00043.html#a6d771f314418b878562305f4f24bbeae">00723</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* fcst, <span class="keyword">const</span> <span class="keywordtype">double</span> history[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> count, <span class="keyword">const</span> <span class="keywordtype">double</span> weight[], <span class="keywordtype">bool</span> debug)
<a name="l00724"></a>00724 {
<a name="l00725"></a>00725 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> iteration = 1;
<a name="l00726"></a>00726 <span class="keywordtype">bool</span> upperboundarytested = <span class="keyword">false</span>;
<a name="l00727"></a>00727 <span class="keywordtype">bool</span> lowerboundarytested = <span class="keyword">false</span>;
<a name="l00728"></a>00728 <span class="keywordtype">double</span> error = 0.0, error_smape = 0.0, best_smape = 0.0, delta;
<a name="l00729"></a>00729 <span class="keywordtype">double</span> q_i, p_i, d_p_i, d_q_i, d_f_i, sum1, sum2;
<a name="l00730"></a>00730 <span class="keywordtype">double</span> best_error = DBL_MAX, best_alfa = initial_alfa, best_f_i = 0.0;
<a name="l00731"></a>00731 <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> between_demands = 1;
<a name="l00732"></a>00732 <span class="keywordflow">for</span> (; iteration <= <a class="code" href="a00072.html#af9ea44ab209fecd114b9f111d2b65634">Forecast::getForecastIterations</a>(); ++iteration)
<a name="l00733"></a>00733 {
<a name="l00734"></a>00734 <span class="comment">// Initialize variables</span>
<a name="l00735"></a>00735 error_smape = error = d_p_i = d_q_i = d_f_i = sum1 = sum2 = 0.0;
<a name="l00736"></a>00736
<a name="l00737"></a>00737 <span class="comment">// Initialize the iteration.</span>
<a name="l00738"></a>00738 q_i = f_i = history[0];
<a name="l00739"></a>00739 p_i = 0;
<a name="l00740"></a>00740
<a name="l00741"></a>00741 <span class="comment">// Calculate the forecast and forecast error.</span>
<a name="l00742"></a>00742 <span class="comment">// We also compute the sums required for the Marquardt optimization.</span>
<a name="l00743"></a>00743 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> i = 1; i <= count; ++i)
<a name="l00744"></a>00744 {
<a name="l00745"></a>00745 <span class="keywordflow">if</span> (history[i-1])
<a name="l00746"></a>00746 {
<a name="l00747"></a>00747 <span class="comment">// Non-zero bucket</span>
<a name="l00748"></a>00748 d_p_i = between_demands - p_i + (1 - alfa) * d_p_i;
<a name="l00749"></a>00749 d_q_i = history[i-1] - q_i + (1 - alfa) * d_q_i;
<a name="l00750"></a>00750 q_i = alfa * history[i-1] + (1 - alfa) * q_i;
<a name="l00751"></a>00751 p_i = alfa * between_demands + (1 - alfa) * q_i;
<a name="l00752"></a>00752 f_i = q_i / p_i;
<a name="l00753"></a>00753 d_f_i = (d_q_i - d_p_i * q_i / p_i) / p_i;
<a name="l00754"></a>00754 between_demands = 1;
<a name="l00755"></a>00755 }
<a name="l00756"></a>00756 <span class="keywordflow">else</span>
<a name="l00757"></a>00757 ++between_demands;
<a name="l00758"></a>00758 <span class="keywordflow">if</span> (i == count) <span class="keywordflow">break</span>;
<a name="l00759"></a>00759 sum1 += weight[i] * d_f_i * (history[i] - f_i);
<a name="l00760"></a>00760 sum2 += weight[i] * d_f_i * d_f_i;
<a name="l00761"></a>00761 <span class="keywordflow">if</span> (i >= fcst-><a class="code" href="a00072.html#abbe52d034dbfb502470864b0b7597e0c">getForecastSkip</a>() && p_i > 0)
<a name="l00762"></a>00762 {
<a name="l00763"></a>00763 error += (f_i - history[i]) * (f_i - history[i]) * weight[i];
<a name="l00764"></a>00764 <span class="keywordflow">if</span> (f_i + history[i] > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00765"></a>00765 error_smape += fabs(f_i - history[i]) / (f_i + history[i]) * weight[i];
<a name="l00766"></a>00766 }
<a name="l00767"></a>00767 }
<a name="l00768"></a>00768
<a name="l00769"></a>00769 <span class="comment">// Better than earlier iterations?</span>
<a name="l00770"></a>00770 <span class="keywordflow">if</span> (error < best_error)
<a name="l00771"></a>00771 {
<a name="l00772"></a>00772 best_error = error;
<a name="l00773"></a>00773 best_smape = error_smape;
<a name="l00774"></a>00774 best_alfa = alfa;
<a name="l00775"></a>00775 best_f_i = f_i;
<a name="l00776"></a>00776 }
<a name="l00777"></a>00777
<a name="l00778"></a>00778 <span class="comment">// Add Levenberg - Marquardt damping factor</span>
<a name="l00779"></a>00779 <span class="keywordflow">if</span> (fabs(sum2 + error / iteration) > <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>)
<a name="l00780"></a>00780 sum2 += error / iteration;
<a name="l00781"></a>00781
<a name="l00782"></a>00782 <span class="comment">// Calculate a delta for the alfa parameter</span>
<a name="l00783"></a>00783 <span class="keywordflow">if</span> (fabs(sum2) < <a class="code" href="a00252.html#a42d90a6275119e1b4ce73c50f1867e60">ROUNDING_ERROR</a>) <span class="keywordflow">break</span>;
<a name="l00784"></a>00784 delta = sum1 / sum2;
<a name="l00785"></a>00785
<a name="l00786"></a>00786 <span class="comment">// Stop when we are close enough and have tried hard enough</span>
<a name="l00787"></a>00787 <span class="keywordflow">if</span> (fabs(delta) < <a class="code" href="a00251.html#af270a96662132d0385cb6b4637c5a689">ACCURACY</a> && iteration > 3) <span class="keywordflow">break</span>;
<a name="l00788"></a>00788
<a name="l00789"></a>00789 <span class="comment">// New alfa</span>
<a name="l00790"></a>00790 alfa += delta;
<a name="l00791"></a>00791
<a name="l00792"></a>00792 <span class="comment">// Stop when we repeatedly bounce against the limits.</span>
<a name="l00793"></a>00793 <span class="comment">// Testing a limits once is allowed.</span>
<a name="l00794"></a>00794 <span class="keywordflow">if</span> (alfa > max_alfa)
<a name="l00795"></a>00795 {
<a name="l00796"></a>00796 alfa = max_alfa;
<a name="l00797"></a>00797 <span class="keywordflow">if</span> (upperboundarytested) <span class="keywordflow">break</span>;
<a name="l00798"></a>00798 upperboundarytested = <span class="keyword">true</span>;
<a name="l00799"></a>00799 }
<a name="l00800"></a>00800 <span class="keywordflow">else</span> <span class="keywordflow">if</span> (alfa < min_alfa)
<a name="l00801"></a>00801 {
<a name="l00802"></a>00802 alfa = min_alfa;
<a name="l00803"></a>00803 <span class="keywordflow">if</span> (lowerboundarytested) <span class="keywordflow">break</span>;
<a name="l00804"></a>00804 lowerboundarytested = <span class="keyword">true</span>;
<a name="l00805"></a>00805 }
<a name="l00806"></a>00806 }
<a name="l00807"></a>00807
<a name="l00808"></a>00808 <span class="comment">// Keep the best result</span>
<a name="l00809"></a>00809 f_i = best_f_i;
<a name="l00810"></a>00810 alfa = best_alfa;
<a name="l00811"></a>00811
<a name="l00812"></a>00812 <span class="comment">// Echo the result</span>
<a name="l00813"></a>00813 <span class="keywordflow">if</span> (debug)
<a name="l00814"></a>00814 <a class="code" href="a00257.html#a4af9f241e955122820c5e81ceb33edb5">logger</a> << (fcst ? fcst-><a class="code" href="a00182.html#a7416ca220c55147bc1276becc5b9de01">getName</a>() : <span class="stringliteral">""</span>) << <span class="stringliteral">": croston : "</span>
<a name="l00815"></a>00815 << <span class="stringliteral">"alfa "</span> << best_alfa
<a name="l00816"></a>00816 << <span class="stringliteral">", smape "</span> << best_smape
<a name="l00817"></a>00817 << <span class="stringliteral">", "</span> << iteration << <span class="stringliteral">" iterations"</span>
<a name="l00818"></a>00818 << <span class="stringliteral">", forecast "</span> << f_i << endl;
<a name="l00819"></a>00819 <span class="keywordflow">return</span> best_smape;
<a name="l00820"></a>00820 }
<a name="l00821"></a>00821
<a name="l00822"></a>00822
<a name="l00823"></a>00823 <span class="keywordtype">void</span> <a class="code" href="a00043.html#afe2fcb57e279d7b9a5dfcbbed45cabd8">Forecast::Croston::applyForecast</a>
<a name="l00824"></a><a class="code" href="a00043.html#afe2fcb57e279d7b9a5dfcbbed45cabd8">00824</a> (<a class="code" href="a00072.html" title="This class represents a bucketized demand signal.">Forecast</a>* forecast, <span class="keyword">const</span> <a class="code" href="a00049.html" title="This class represents a date and time with an accuracy of one second.">Date</a> buckets[], <span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> bucketcount, <span class="keywordtype">bool</span> debug)
<a name="l00825"></a>00825 {
<a name="l00826"></a>00826 <span class="comment">// Loop over all buckets and set the forecast to a constant value</span>
<a name="l00827"></a>00827 <span class="keywordflow">if</span> (f_i < 0) <span class="keywordflow">return</span>;
<a name="l00828"></a>00828 <span class="keywordflow">for</span> (<span class="keywordtype">unsigned</span> <span class="keywordtype">int</span> i = 1; i < bucketcount; ++i)
<a name="l00829"></a>00829 forecast-><a class="code" href="a00072.html#a6a95cdf8571fcb91179a215e40f991e2">setTotalQuantity</a>(
<a name="l00830"></a>00830 <a class="code" href="a00050.html" title="This class defines a date-range, i.e. a start-date and end-date pair.">DateRange</a>(buckets[i-1], buckets[i]),
<a name="l00831"></a>00831 f_i
<a name="l00832"></a>00832 );
<a name="l00833"></a>00833 }
<a name="l00834"></a>00834
<a name="l00835"></a>00835 } <span class="comment">// end namespace</span>
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