class KalmanTest(unittest.TestCase):
def setUp(self):
self.DEWMA = Ewma()
def testKalmanDelta(self):
self.DEWMA = Ewma(x_init=10., x_dinit=1 / 64.)
sse = 0.
for i in xrange(1, 2001):
z = ((i / 64.) + 10.)
v = self.DEWMA.filter(z, i * 1024)
err = v[0] - z
sse += err * err
print v[0]
print v[1]
print sse
self.assertEquals(v[0], 10. + 2000. / 64.)
self.assertEquals(v[1], 1. / 64.)
self.assertEquals(sse, 0.)
def testKalmanDelta2(self):
self.DEWMA = Ewma(x_init=10., x_dinit=1 / 64., alpha=0.01, beta=0.001)
sse = 0.
sse2 = 0.
for i in xrange(1, 6001):
z = ((i / 64.) + 10.) + random.gauss(0, 1.)
v = self.DEWMA.filter(z, i * 1024)
err = v[0] - z
err2 = v[1] - 1 / 64.
sse += err * err
sse2 += err2 * err2
print v[0]
print v[1]
print sse
print sse2
self.assertEquals(v[0], 10. + 6000. / 64.)
self.assertEquals(v[1], 1. / 64.)
self.assertEquals(sse, 0.)
class KalmanTest(unittest.TestCase):
def setUp(self):
self.DEWMA = Ewma()
def testKalmanDelta(self):
self.DEWMA = Ewma(x_init=10.0, x_dinit=1 / 64.0)
sse = 0.0
for i in xrange(1, 2001):
z = (i / 64.0) + 10.0
v = self.DEWMA.filter(z, i * 1024)
err = v[0] - z
sse += err * err
print v[0]
print v[1]
print sse
self.assertEquals(v[0], 10.0 + 2000.0 / 64.0)
self.assertEquals(v[1], 1.0 / 64.0)
self.assertEquals(sse, 0.0)
def testKalmanDelta2(self):
self.DEWMA = Ewma(x_init=10.0, x_dinit=1 / 64.0, alpha=0.01, beta=0.001)
sse = 0.0
sse2 = 0.0
for i in xrange(1, 6001):
z = ((i / 64.0) + 10.0) + random.gauss(0, 1.0)
v = self.DEWMA.filter(z, i * 1024)
err = v[0] - z
err2 = v[1] - 1 / 64.0
sse += err * err
sse2 += err2 * err2
print v[0]
print v[1]
print sse
print sse2
self.assertEquals(v[0], 10.0 + 6000.0 / 64.0)
self.assertEquals(v[1], 1.0 / 64.0)
self.assertEquals(sse, 0.0)
def test():
kd = None
first_time = None
with open("testVOC.csv", "rb") as ff:
rdr = csv.reader(ff)
print "time,x,xhat,dx"
for r in rdr:
n = int(r[0])
dt = datetime.strptime(r[1], "%Y-%m-%d %H:%M:%S")
v = float(r[2])
if kd is None:
first_time = dt
kd = Ewma(
x_init = v,
x_dinit = 0.,
alpha = 0.05,
beta = 0.05)
else:
z2 = v
x = kd.filter(z2, (dt - first_time).seconds)
print dt.strftime("%s")+","+str(v)+","+str(x[0])+","+str(x[1])