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Basic fixes. Needs many further fixes!

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This commit is contained in:
Dennis Eichhorn 2017-01-14 15:45:26 +01:00
parent f042137c30
commit be324d0d04
1 changed files with 94 additions and 90 deletions
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184
Math/Finance/Forecasting/ExponentialSmoothing/ExponentialSmoothing.php
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@ -19,7 +19,7 @@ use phpOMS\Math\Finance\Forecasting\SmoothingType;
use phpOMS\Math\Statistic\Average;
use phpOMS\Math\Statistic\Forecast\Error;
class Holt implements ExponentialSmoothingInterface
class ExponentialSmoothing
{
private $data = [];
@ -63,7 +63,7 @@ class Holt implements ExponentialSmoothingInterface
return $this->errors;
}
public function forecast(int $future, int $trendType = TrendType::NONE, int $seasonalType = SeasonalType::NONE, int $cycle = 12, float $damping = 1) : array
public function getForecast(int $future, int $trendType = TrendType::NONE, int $seasonalType = SeasonalType::NONE, int $cycle = 12, float $damping = 1) : array
{
$this->rmse = PHP_INT_MAX;
@ -82,7 +82,7 @@ class Holt implements ExponentialSmoothingInterface
$bestError = PHP_INT_MAX;
foreach($trends as $trend) {
foreach($seasonals as $seasonal) {
$tempForecast = $this->forecast($future, $trends, $seasonals, $cycle, $damping);
$tempForecast = $this->getForecast($future, $trend, $seasonal, $cycle, $damping);
if ($this->rmse < $bestError) {
$bestError = $this->rmse;
@ -117,6 +117,10 @@ class Holt implements ExponentialSmoothingInterface
private function dampingSum(float $damping, int $length) : float
{
if(abs($damping - 1) < 0.001) {
return $length;
}
$sum = 0;
for($i = 0; $i < $length; $i++) {
$sum += pow($damping, $i);
@ -125,9 +129,9 @@ class Holt implements ExponentialSmoothingInterface
return $sum;
}
public function getNoneNone($future, $alpha) : array
public function getNoneNone(int $future) : array
{
$level = [$data[0]];
$level = [$this->data[0]];
$dataLength = count($this->data) + $future;
$forecast = [];
@ -137,10 +141,10 @@ class Holt implements ExponentialSmoothingInterface
$tempForecast = [];
for($i = 1; $i < $dataLength; $i++) {
$level[] = $alpha * $this->data[$i-1] + (1 - $alpha) * $level[$i-1];
$level[$i] = $alpha * ($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) + (1 - $alpha) * $level[$i-1];
$tempForecast[] = $level[$i];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -150,7 +154,7 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -163,20 +167,20 @@ class Holt implements ExponentialSmoothingInterface
public function getNoneAdditive(int $future, int $cycle) : array
{
$level = [$data[0]];
$level = [$this->data[0]];
$dataLength = count($this->data) + $future;
$forecast = [];
$seasonal = [];
for($i = 0; $i < $cycle; $i++) {
$seasonal[$i] = $data[$i] - $level[0];
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i-1] - $level[0];
}
$alpha = 0.00;
while ($alpha < 1) {
$gamma = 0.00;
while($gamma < 0) {
while($gamma < 1) {
$gamma_ = $gamma * (1 - $alpha);
$error = [];
$tempForecast = [];
@ -184,11 +188,11 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] - $seasonal[$i]) + (1 - $alpha) * $level[$i-1];
$seasonal[] = $gamma_*($this->data[$i-1] - $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $seasonal[$i]) + (1 - $alpha) * $level[$i-1];
$seasonal[$i+$cycle] = $gamma_*(($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = $level[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -198,10 +202,10 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -214,12 +218,12 @@ class Holt implements ExponentialSmoothingInterface
public function getNoneMultiplicative(int $future, int $cycle) : array
{
$level = [$data[0]];
$level = [$this->data[0]];
$dataLength = count($this->data) + $future;
$forecast = [];
$seasonal = [];
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i] / $level[0];
}
@ -227,7 +231,7 @@ class Holt implements ExponentialSmoothingInterface
while ($alpha < 1) {
$gamma = 0.00;
while($gamma < 0) {
while($gamma < 1) {
$gamma_ = $gamma * (1 - $alpha);
$error = [];
$tempForecast = [];
@ -235,11 +239,11 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] / $seasonal[$i]) + (1 - $alpha) * $level[$i-1];
$seasonal[] = $gamma_*($this->data[$i-1] / $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / $seasonal[$i]) + (1 - $alpha) * $level[$i-1];
$seasonal[$i+$cycle] = $gamma_*(($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = $level[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -249,10 +253,10 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -274,16 +278,16 @@ class Holt implements ExponentialSmoothingInterface
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$error = [];
$tempForecast = [];
for($i = 1; $i < $dataLength; $i++) {
$level[] = $alpha * $this->data[$i-1] + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$level[$i] = $alpha * ($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[$i] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$tempForecast[] = $level[$i] + $this->dampingSum($damping, $i) * $trend[$i];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] + $this->dampingSum($damping, $i) * $trend[$i];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -293,10 +297,10 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -309,28 +313,28 @@ class Holt implements ExponentialSmoothingInterface
public function getAdditiveAdditive(int $future, int $cycle, float $damping) : array
{
$level = [1 / $cycle * array_sum($this->data, 0, $cycle)];
$level = [1 / $cycle * array_sum(array_slice($this->data, 0, $cycle))];
$trend = [1 / $cycle];
$dataLength = count($this->data) + $future;
$forecast = [];
$seasonal = [];
$sum = 0;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$sum += ($this->data[$cycle] - $this->data[$i]) / $cycle;
}
$trend[0] *= $sum;
for($i = 0; $i < $cycle; $i++) {
$seasonal[$i] = $data[$i] - $level[0];
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i-1] - $level[0];
}
$alpha = 0.00;
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$gamma = 0.00;
while($gamma < 1) {
@ -341,14 +345,14 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] - $seasonal[$i]) + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$seasonal[] = $gamma_*($this->data[$i-1] - $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $seasonal[$i]) + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[$i] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$seasonal[$i+$cycle] = $gamma_*(($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $level[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = $level[$i] + $this->dampingSum($damping, $i) * $trend[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] + $this->dampingSum($damping, $i) * $trend[$i] + $seasonal[$i+$hm];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
if ($tempRMSE < $this->rmse) {
@ -356,13 +360,13 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -375,7 +379,7 @@ class Holt implements ExponentialSmoothingInterface
public function getAdditiveMultiplicative(int $future, int $cycle, float $damping) : array
{
$level = [1 / $cycle * array_sum($this->data, 0, $cycle)];
$level = [1 / $cycle * array_sum(array_slice($this->data, 0, $cycle))];
$trend = [1 / $cycle];
$dataLength = count($this->data) + $future;
$forecast = [];
@ -383,13 +387,13 @@ class Holt implements ExponentialSmoothingInterface
$gamma_ = $gamma * (1 - $alpha);
$sum = 0;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$sum += ($this->data[$cycle] - $this->data[$i]) / $cycle;
}
$trend[0] *= $sum;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i] / $level[0];
}
@ -397,7 +401,7 @@ class Holt implements ExponentialSmoothingInterface
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$gamma = 0.00;
while($gamma < 1) {
@ -408,12 +412,12 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] / $seasonal[$i]) + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$seasonal[] = $gamma_*$this->data[$i-1] / ($level[$i-1] + $damping * $trend[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / $seasonal[$i]) + (1 - $alpha) * ($level[$i-1] + $damping * $trend[$i-1]);
$trend[$i] = $beta * ($level[$i] - $level[$i-1]) + (1 - $beta) * $damping * $trend[$i-1];
$seasonal[$i+$cycle] = $gamma_*($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / ($level[$i-1] + $damping * $trend[$i-1]) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = ($level[$i] + $this->dampingSum($damping, $i) * $trend[$i-1]) * $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -423,13 +427,13 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -451,16 +455,16 @@ class Holt implements ExponentialSmoothingInterface
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$error = [];
$tempForecast = [];
for($i = 1; $i < $dataLength; $i++) {
$level[] = $alpha * $this->data[$i-1] + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$level[$i] = $alpha * ($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[$i] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$tempForecast[] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i));
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i));
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -470,9 +474,9 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -492,21 +496,21 @@ class Holt implements ExponentialSmoothingInterface
$seasonal = [];
$sum = 0;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$sum += ($this->data[$cycle] - $this->data[$i]) / $cycle;
}
$trend[0] *= $sum;
for($i = 0; $i < $cycle; $i++) {
$seasonal[$i] = $data[$i] - $level[0];
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i-1] - $level[0];
}
$alpha = 0.00;
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$gamma = 0.00;
while($gamma < 1) {
@ -517,12 +521,12 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] - $seasonal[$i]) + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$seasonal[] = $gamma_*($this->data[$i-1] - $level[$i-1] * pow($trend[$i-1], $damping)) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $seasonal[$i]) + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[$i] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$seasonal[$i+$cycle] = $gamma_*(($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) - $level[$i-1] * pow($trend[$i-1], $damping)) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i)) + $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i)) + $seasonal[$i+$hm];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -532,13 +536,13 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;
@ -558,13 +562,13 @@ class Holt implements ExponentialSmoothingInterface
$seasonal = [];
$sum = 0;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$sum += ($this->data[$cycle] - $this->data[$i]) / $cycle;
}
$trend[0] *= $sum;
for($i = 0; $i < $cycle; $i++) {
for($i = 1; $i < $cycle+1; $i++) {
$seasonal[$i] = $this->data[$i] / $level[0];
}
@ -572,7 +576,7 @@ class Holt implements ExponentialSmoothingInterface
while ($alpha < 1) {
$beta = 0.00;
while($beta < 0) {
while($beta < 1) {
$gamma = 0.00;
while($gamma < 1) {
@ -583,12 +587,12 @@ class Holt implements ExponentialSmoothingInterface
for($i = 1; $i < $dataLength; $i++) {
$hm = (int) floor(($i-1) % $cycle) + 1;
$level[] = $alpha * ($this->data[$i-1] / $seasonal[$i]) + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$seasonal[] = $gamma_*$this->data[$i-1] / ($level[$i-1] * pow($trend[$i-1], $damping)) + (1 - $gamma_) * $seasonal[$i];
$level[$i] = $alpha * (($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / $seasonal[$i]) + (1 - $alpha) * $level[$i-1] * pow($trend[$i-1], $damping);
$trend[$i] = $beta * ($level[$i] / $level[$i-1]) + (1 - $beta) * pow($trend[$i-1], $damping);
$seasonal[$i+$cycle] = $gamma_*($i < $dataLength - $future ? $this->data[$i-1] : $tempForecast[$i-1]) / ($level[$i-1] * pow($trend[$i-1], $damping)) + (1 - $gamma_) * $seasonal[$i];
$tempForecast[] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i)) * $seasonal[$i+$hm];
$error[] = $i < $dataLength ? $this->data[$i] - $tempForecast[$i] : 0;
$tempForecast[$i] = $level[$i] * pow($trend[$i], $this->dampingSum($damping, $i)) * $seasonal[$i+$hm];
$error[] = $i < $dataLength - $future ? $this->data[$i] - $tempForecast[$i] : 0;
}
$tempRMSE = Error::getRootMeanSquaredError($error);
@ -598,13 +602,13 @@ class Holt implements ExponentialSmoothingInterface
$forecast = $tempForecast;
}
$gamma += 0.001;
$gamma += 0.01;
}
$beta += 0.001;
$beta += 0.01;
}
$alpha += 0.001;
$alpha += 0.01;
}
$this->errors = $error;