def test_eval_measures():
#mainly regression tests
x = np.arange(20).reshape(4,5)
y = np.ones((4,5))
assert_equal(iqr(x, y), 5*np.ones(5))
assert_equal(iqr(x, y, axis=1), 2*np.ones(4))
assert_equal(iqr(x, y, axis=None), 9)
assert_equal(mse(x, y),
np.array([ 73.5, 87.5, 103.5, 121.5, 141.5]))
assert_equal(mse(x, y, axis=1),
np.array([ 3., 38., 123., 258.]))
assert_almost_equal(rmse(x, y),
np.array([ 8.5732141 , 9.35414347, 10.17349497,
11.02270384, 11.89537725]))
assert_almost_equal(rmse(x, y, axis=1),
np.array([ 1.73205081, 6.164414,
11.09053651, 16.0623784 ]))
assert_equal(maxabs(x, y),
np.array([ 14., 15., 16., 17., 18.]))
assert_equal(maxabs(x, y, axis=1),
np.array([ 3., 8., 13., 18.]))
assert_equal(meanabs(x, y),
np.array([ 7. , 7.5, 8.5, 9.5, 10.5]))
assert_equal(meanabs(x, y, axis=1),
np.array([ 1.4, 6. , 11. , 16. ]))
assert_equal(meanabs(x, y, axis=0),
np.array([ 7. , 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianabs(x, y),
np.array([ 6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianabs(x, y, axis=1),
np.array([ 1., 6., 11., 16.]))
assert_equal(bias(x, y),
np.array([ 6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(bias(x, y, axis=1),
np.array([ 1., 6., 11., 16.]))
assert_equal(medianbias(x, y),
np.array([ 6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianbias(x, y, axis=1),
np.array([ 1., 6., 11., 16.]))
assert_equal(vare(x, y),
np.array([ 31.25, 31.25, 31.25, 31.25, 31.25]))
assert_equal(vare(x, y, axis=1),
np.array([ 2., 2., 2., 2.]))
def moving_average(dataframe, window, ahead, file_name):
# Datetime format
date_format = '%b-%y'
# Create ahead-day entries in future
date_range = pd.date_range(start=dataframe.index[0], periods=dataframe.count() + ahead, format=date_format,
freq='MS')
# Create new dataframe for forecasting
forecast_full_frame = pd.Series(data=[np.nan] * (len(date_range)), index=date_range)
# Begin forecasting
for idx in range(window, len(forecast_full_frame.index)):
# Estimation of actual data
if idx < dataframe.count():
forecast_full_frame.iloc[idx] = round(
np.mean([dataframe.iloc[idx - i] for i in range(1, window + 1)]))
# Calculation of future data
else:
forecast_full_frame.iloc[idx] = round(
np.mean([forecast_full_frame.iloc[idx - i] for i in range(1, window + 1)]))
# Drop all NaN values
forecast_full_frame.dropna(inplace=True)
# Future timeframe only
forecast_partial_frame = forecast_full_frame[~forecast_full_frame.index.isin(dataframe.index)]
# Root mean squared error
rmse = eval_measures.rmse(dataframe[window:dataframe.count()], forecast_full_frame[:dataframe.count() - window])
# Return result
return forecast_full_frame, forecast_partial_frame, rmse
def get_rmse():
""" Compute the RMSE based on the relevant parameterization.
"""
fname = '../truth/start/data.respy.info'
probs_true = get_choice_probabilities(fname, is_flatten=True)
fname = 'start/data.respy.info'
probs_start = get_choice_probabilities(fname, is_flatten=True)
fname = 'stop/data.respy.info'
probs_stop = get_choice_probabilities(fname, is_flatten=True)
rmse_stop = rmse(probs_stop, probs_true)
rmse_start = rmse(probs_start, probs_true)
return rmse_start, rmse_stop
def RMSE(params, *args):
dataframe = args[0]
type = args[1] # multiplicative
rmse = 0
alpha, beta, gamma = params
period_len = args[2]
smooth = [0] * period_len
trend = [0] * period_len
smooth[-1] = sum(dataframe.iloc[0:period_len]) / float(period_len)
trend[-1] = (sum(dataframe.iloc[period_len:2 * period_len]) - sum(dataframe.iloc[0:period_len])) / period_len ** 2
forecast = []
if type == 'multiplicative':
season = [dataframe.iloc[i] / smooth[-1] for i in range(period_len)]
for i in range(period_len, dataframe.count()):
smooth.append(alpha * (dataframe.iloc[i] / season[-period_len]) + (1 - alpha) * (smooth[-1] + trend[-1]))
trend.append(beta * (smooth[i] - smooth[-1]) + (1 - beta) * trend[-1])
season.append(gamma * (dataframe.iloc[i] / (smooth[i])) + (1 - gamma) * season[-period_len])
forecast.append((smooth[-1] + trend[-1]) * season[-period_len])
else:
exit('Type must be multiplicative')
rmse = eval_measures.rmse(dataframe[period_len:], forecast)
return rmse
def sarimax_fc(train,
test,
order,
seas_order,
exog_train=None,
exog_test=None):
model = SARIMAX(train,
order=order,
exog=exog_train,
seasonal_order=seas_order)
results = model.fit()
start, end = len(train), len(test) + len(train) - 1
pred = results.predict(start, end, exog=exog_test,
typ='levels').rename('sarima_predictions')
rmse_pred, rmse_pred_pct = rmse(test, pred), rmse(test, pred) / test.mean()
results = {
'prediction': pred,
'rmse': rmse_pred,
'rmse_pct': rmse_pred_pct
}
return results
def insample_performance(test, forecast_dict, dict=False):
forecasts = forecast_frame(test, forecast_dict)
dict_perf = {}
for col, _ in forecasts.iteritems():
dict_perf[col] = {}
dict_perf[col]["rmse"] = rmse(forecasts["Target"], forecasts[col])
dict_perf[col]["mse"] = dict_perf[col]["rmse"]**2
dict_perf[col]["mean"] = forecasts[col].mean()
if dict:
return dict_perf
else:
return pd.DataFrame.from_dict(dict_perf)
def get_rms(model, df, y):
"""
Get the RMSE for a stats.models model and new data
:param model: a stats.models model
:param df: pandas dataframe containing all the data
:param y: (array-like) the true responses of the response variable
:return: a numeric RMSE
"""
result = model.fit()
predictions = result.predict(df)
return rmse(predictions, y)
def printErrors(test, pred, model):
'''
Objective: to print errors of the models
Inputs:
test: test dataframe
pred: predictions
model: model that is used
Outputs:
Mean absolute error, mean squared error, root mean squared error
'''
print('MAE of ' + model + ': {:.4}'.format(meanabs(test, pred, axis=0)))
print('MSE of ' + model + ': {:.4}'.format(mse(test, pred, axis=0)))
print('RMSE of ' + model + ': {:.4}'.format(rmse(test, pred, axis=0)))
def log_rrmse(y_tst, y_hat):
try:
y_tst = y_tst.values
except:
pass
try:
y_hat = y_hat.values
except:
pass
y_tst = np.exp(y_tst)
y_hat = np.exp(y_hat)
rrmse = em.rmse(y_tst, y_hat, axis=0) / y_tst.mean() * 100
return rrmse
def insample_performance(forecast_frame, as_dict=False):
dict_perf = {}
for col, _ in forecast_frame.iteritems():
dict_perf[col] = {}
dict_perf[col]["rmse"] = rmse(forecast_frame["Target"],
forecast_frame[col])
dict_perf[col]["mse"] = dict_perf[col]["rmse"]**2
dict_perf[col]["mean"] = forecast_frame[col].mean()
if as_dict:
return dict_perf
return pd.DataFrame.from_dict(dict_perf)
def rrmse(y_tst, y_hat):
try:
y_tst = y_tst.values
except:
pass
try:
y_hat = y_hat.values
except:
pass
y_tst = y_tst
y_hat = y_hat
rrmse = em.rmse(y_tst, y_hat, axis=0) / y_tst.mean() * 100
return rrmse
def test_eval_measures():
#mainly regression tests
x = np.arange(20).reshape(4, 5)
y = np.ones((4, 5))
assert_equal(iqr(x, y), 5 * np.ones(5))
assert_equal(iqr(x, y, axis=1), 2 * np.ones(4))
assert_equal(iqr(x, y, axis=None), 9)
assert_equal(mse(x, y), np.array([73.5, 87.5, 103.5, 121.5, 141.5]))
assert_equal(mse(x, y, axis=1), np.array([3., 38., 123., 258.]))
assert_almost_equal(
rmse(x, y),
np.array(
[8.5732141, 9.35414347, 10.17349497, 11.02270384, 11.89537725]))
assert_almost_equal(
rmse(x, y, axis=1),
np.array([1.73205081, 6.164414, 11.09053651, 16.0623784]))
assert_equal(maxabs(x, y), np.array([14., 15., 16., 17., 18.]))
assert_equal(maxabs(x, y, axis=1), np.array([3., 8., 13., 18.]))
assert_equal(meanabs(x, y), np.array([7., 7.5, 8.5, 9.5, 10.5]))
assert_equal(meanabs(x, y, axis=1), np.array([1.4, 6., 11., 16.]))
assert_equal(meanabs(x, y, axis=0), np.array([7., 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianabs(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianabs(x, y, axis=1), np.array([1., 6., 11., 16.]))
assert_equal(bias(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(bias(x, y, axis=1), np.array([1., 6., 11., 16.]))
assert_equal(medianbias(x, y), np.array([6.5, 7.5, 8.5, 9.5, 10.5]))
assert_equal(medianbias(x, y, axis=1), np.array([1., 6., 11., 16.]))
assert_equal(vare(x, y), np.array([31.25, 31.25, 31.25, 31.25, 31.25]))
assert_equal(vare(x, y, axis=1), np.array([2., 2., 2., 2.]))
def setErrorData(self, trainingFit, testPredictions):
auxList = []
# Root Mean Squared Error - RMSE
trainingErrorRMSE = round(ms.rmse(self.trainData, trainingFit),
ModelSelector._decimalPlaces)
testErrorRMSE = round(ms.rmse(self.testData, testPredictions),
ModelSelector._decimalPlaces)
auxList.append(obj.ForecastErro('RMSE', testErrorRMSE, 'TEST'))
auxList.append(obj.ForecastErro('RMSE', trainingErrorRMSE, 'TRAIN'))
#MAPE only all values > 0
if 0 not in self.data.values:
trainingErrorMAPE = round(
ut.Utils.mape(self.trainData, trainingFit),
ModelSelector._decimalPlaces)
testErrorMape = round(
ut.Utils.mape(self.testData, testPredictions),
ModelSelector._decimalPlaces)
auxList.append(obj.ForecastErro('MAPE', trainingErrorMAPE,
'TRAIN'))
auxList.append(obj.ForecastErro('MAPE', testErrorMape, 'TEST'))
# Mean Absolute Scaled Error
trainingErrorMASE = round(
ut.Utils.mase(self.trainData.to_numpy(), self.trainData.to_numpy(),
trainingFit.to_numpy()),
ModelSelector._decimalPlaces)
testErrorMASE = round(
ut.Utils.mase(self.trainData.to_numpy(), self.testData.to_numpy(),
testPredictions.to_numpy()),
ModelSelector._decimalPlaces)
auxList.append(obj.ForecastErro('MASE', trainingErrorMASE, 'TRAIN'))
auxList.append(obj.ForecastErro('MASE', testErrorMASE, 'TEST'))
return auxList
def app(window, train, test, pred, interval, windo):
window = window.append(
{
'Current test': test.values,
'Current prediction': pred,
'MSE': np.square(np.subtract(test.values, pred)).mean(),
'Glycemia prediction RMSE (mg/dl)': rmse(test.values, pred),
'PSW': int(round(windo)),
'Prediction Horizon (minutes)': interval
},
ignore_index=True)
return window
def accuracy(y1, y2):
accuracy_df = pandas.DataFrame()
rms_error = numpy.round(rmse(y1, y2), 4)
map_error = numpy.round(MAPE(y1, y2), 4)
accuracy_df = accuracy_df.append({
"RMSE": rms_error,
"%MAPE": map_error
},
ignore_index=True)
return accuracy_df
def croston_method(dataframe, next_periods, alpha=None):
# Datetime format
date_format = '%Y-%m'
# Get size of original dataframe
size = dataframe.count()
# Create ahead-day entries in future
date_range = pd.date_range(start=dataframe.index[0], periods=size + next_periods, format=date_format, freq='MS')
# Create new dataframe for forecasting
forecast_full_frame = pd.Series(data=[0] * (len(date_range)), index=date_range)
# prepare non-zero demand
non_zero_demand, q, map = prepare(dataframe)
# n-th non-zero demand
n = len(q)
forecast_non_zero_demand = [0] * n
inter_arrival = [0] * n
if alpha is None:
initial_values = np.array([0.0])
boundaries = [(0, 1)]
parameters = fmin_l_bfgs_b(RMSE, x0=initial_values, args=(non_zero_demand, next_periods), bounds=boundaries,
approx_grad=True)
alpha = parameters[0]
forecast_non_zero_demand[1] = non_zero_demand[0]
inter_arrival[1] = q[0]
for i in range(2, n):
forecast_non_zero_demand[i] = alpha * non_zero_demand[i - 1] + (1 - alpha) * forecast_non_zero_demand[i - 1]
inter_arrival[i] = alpha * q[i - 1] + (1 - alpha) * inter_arrival[i - 1]
# predict values
for i in range(n):
forecast_full_frame.iloc[map[i]] = forecast_non_zero_demand[i]
# forecast new values
for i in range(size, size + next_periods):
forecast_full_frame.iloc[i] = forecast_non_zero_demand[n - 1] / inter_arrival[n - 1]
rmse = eval_measures.rmse(non_zero_demand[1:], forecast_non_zero_demand[1:])
return forecast_full_frame, forecast_full_frame[-next_periods:], rmse, alpha
def prophet_analysis(df,split,freq,changepoints=3):
train = df.iloc[:split]
test = df.iloc[split:]
# m_eval = Prophet(growth='linear')
m_eval = Prophet(
growth='linear',
n_changepoints=changepoints,
changepoint_range=0.8,
yearly_seasonality=False,
weekly_seasonality=False,
daily_seasonality=False,
seasonality_mode='additive',
seasonality_prior_scale=20,
changepoint_prior_scale=.5,
mcmc_samples=0,
interval_width=0.8,
uncertainty_samples=500,
).add_seasonality(
name='monthly',
period=30.5,
fourier_order=5
).add_seasonality(
name='yearly',
period=365.25,
fourier_order=20
).add_seasonality(
name='quarterly',
period=365.25/4,
fourier_order=5,
prior_scale=15)
m_eval.fit(train)
eval_future=m_eval.make_future_dataframe(periods=test.shape[0],freq=freq)
eval_forecast=m_eval.predict(eval_future)
fig,axs=plt.subplots(1,1,figsize=(15,4))
ax1 = sns.lineplot(x='ds',y='yhat',data=eval_forecast,label='Predictions',legend='full')
ax1 = sns.lineplot(x='ds',y='y',data=train,label='Train True',legend='full',linestyle='-.')
ax1 = sns.lineplot(x='ds',y='y',data=test,label='Test True',legend='full')
ax =m_eval.plot(eval_forecast)
ax = add_changepoints_to_plot(fig.gca(),m_eval,eval_forecast)
predictions = eval_forecast.iloc[-test.shape[0]:]['yhat'] #grab predictions to compare with test set
print('MAPE = ' + str((abs(np.array(test.y)-predictions)/(np.array(test.y))).mean()))
print('RMSE = ' + str(rmse(predictions,test['y'])))
print('MEAN = ' + str(df.y.mean()))
return
def predict(X, Y):
pre = model.predict(X)
actual_y_test = np.exp(Y)
actual_predicted = np.exp(pre)
diff = abs(Y - actual_predicted)
compare_actual = pd.DataFrame({
'Test Data': actual_y_test,
'Predicted Price': actual_predicted,
'Difference': diff
})
compare_actual = compare_actual.astype(int)
print("Root Mean Squared Error: ", rmse(actual_predicted, actual_y_test))
print("Variance Score: ",
explained_variance_score(actual_y_test, actual_predicted))
compare_actual.to_csv('results.csv')
def RMSE(params, *args):
data_frame = args[0]
alpha = params
rmse = 0
forecast = [0] * len(data_frame)
forecast[1] = data_frame[0]
for index in range(2, len(data_frame)):
forecast[index] = alpha * data_frame[index - 1] + (1 - alpha) * forecast[index - 1]
rmse = eval_measures.rmse(forecast[1:], data_frame[1:])
return rmse
def accuracy(y1, y2):
accuracy_df = pd.DataFrame()
rms_error = np.round(rmse(y1, y2), 1)
map_error = np.round(
np.mean(np.abs((np.array(y1) - np.array(y2)) / np.array(y1))) * 100, 1)
accuracy_df = accuracy_df.append({
"RMSE": rms_error,
"%MAPE": map_error
},
ignore_index=True)
return accuracy_df
def train_and_fit_arima(x, test_split = 0.2):
# run auto-arima grid search
stepwise_model= auto_arima(x, exogenous=None, start_p=0, d=1, start_q=0,
max_p=3, max_d=1, max_q=3,
start_P=0, D=1, start_Q=0, max_P=3, max_D=3,
max_Q=3, max_order=10, m=12, seasonal=True,
trace=True,error_action='ignore',
suppress_warnings=True,stepwise=False,
approximation=False)
print(stepwise_model.aic())
print(stepwise_model.summary())
split=len(x) - int(test_split * len(x))
train = x[0:split]
test = x[split:]
stepwise_model.fit(train)
future_forecast = stepwise_model.predict(n_periods=len(test))
future_forecast = pd.DataFrame(future_forecast, index=test.index, columns=['Prediction'])
lineObjects=plt.plot(pd.concat([test, future_forecast], axis=1))
plt.xlabel("Years")
plt.ylabel("CO2 Levels (ppm)")
plt.legend(iter(lineObjects), ('CO2 Levels', 'Predictions'))
plt.savefig("Forecast.png")
plt.show()
plt.close()
line1bjects=plt.plot(pd.concat([x, future_forecast], axis=1))
plt.xlabel("Years")
plt.ylabel("CO2 Levels (ppm)")
plt.legend(iter(line1bjects), ('CO2 Levels', 'Predictions'))
plt.savefig("Forecast_conc.png")
plt.show()
plt.close()
pred_error = rmse(test, future_forecast)
print("rmse:", pred_error)
stepwise_model.plot_diagnostics(figsize=(15, 12))
plt.savefig("Diagnostic.png")
plt.show()
plt.close()
def regression_stats(model):
y_preds_test = model.predict(X_test)
# create df for model results
model_vals = [
model.score(X_train, y_train),
model.score(X_test, y_test),
mean_absolute_error(y_test, y_preds_test),
mse(y_test, y_preds_test),
rmse(y_test, y_preds_test),
np.mean(np.abs((y_test - y_preds_test) / y_test)) * 100,
]
mapping = {
"stat": ["train R^2", "test R^2", "MAE", "MSE", "RMSE", "MAPE"],
"model": model_vals,
}
stats_df = pd.DataFrame.from_dict(mapping)
return stats_df
def gen_results(d):
#exp = d.query('Trial > 10 and Time > 5')
exp = d.query('Time > 5')
error = exp.groupby(('Day', 'Subject', 'Trial')).ae.mean().reset_index()
error.columns = ['Day', 'Subject', 'Trial', 'AbsoluteError']
rms = exp.groupby(
('Day', 'Subject',
'Trial')).apply(lambda x: rmse(x.y, x.yg)).reset_index()
rms.columns = ['Day', 'Subject', 'Trial', 'RMSE']
var = exp.groupby(
('Day', 'Subject',
'Trial')).apply(lambda x: vare(x.y, x.yg)).reset_index()
var.columns = ['Day', 'Subject', 'Trial', 'VARE']
crossings = exp.groupby(
('Day', 'Subject',
'Trial')).apply(lambda x: len(cross(x.e))).reset_index()
crossings.columns = ['Day', 'Subject', 'Trial', 'Crossings']
rt = find_response_times(exp, trials)
response_time = rt.groupby(
('Day', 'Subject', 'Trial')).mean().ResponseTime.reset_index()
td = exp.groupby(('Day', 'Subject', 'Trial')).apply(
lambda x: recover_shift(x['Time'], x['y'], x['yg'])).reset_index()
time_delay = td.groupby(
('Day', 'Subject', 'Trial')).mean()[0].reset_index().abs()
time_delay.columns = ['Day', 'Subject', 'Trial', 'LagTime']
#entropy = generate_entropy_results(exp)
#res = error.merge(rms).merge(var).merge(crossings).merge(response_time, how='outer').merge(time_delay).merge(entropy)
res = error.merge(rms).merge(var).merge(crossings).merge(
response_time, how='outer').merge(time_delay)
res['Feedback'] = res.Subject % 2 == 1
res = res.merge(trials[['Trial']])
res = res.sort(['Day', 'Subject', 'Trial'])
#res['SecondaryTask'] = res['Secondary_Task']
res = res[[
'Day', 'Subject', 'Trial', 'AbsoluteError', 'RMSE', 'VARE',
'ResponseTime', 'LagTime', 'Crossings', 'Feedback'
]]
res = res.reset_index(drop=True)
res['ID'] = (res.Day - 1) * res.Trial.max() + res.Trial
return res
def multiplicative(input_dataframe, period_len, next_periods, alpha=None, beta=None, gamma=None):
dataframe = input_dataframe.copy()
# Datetime format
date_format = '%Y-%m'
# Get size of original dataframe
t = dataframe.count()
# Create ahead-day entries in future
date_range = pd.date_range(start=dataframe.index[period_len], periods=t, format=date_format, freq='MS')
forecast = pd.Series(data=[np.nan] * len(date_range), index=date_range)
if alpha is None or beta is None or gamma is None:
initial_values = np.array([0.0, 1.0, 0.0])
boundaries = [(0, 1), (0, 1), (0, 1)]
type = 'multiplicative'
parameters = fmin_l_bfgs_b(RMSE, x0=initial_values, args=(dataframe, type, period_len),
bounds=boundaries, approx_grad=True)
alpha, beta, gamma = parameters[0]
smooth = [0] * period_len
trend = [0] * period_len
smooth[-1] = sum(dataframe.iloc[0:period_len]) / float(period_len)
trend[-1] = (sum(dataframe.iloc[period_len:2 * period_len]) - sum(dataframe.iloc[0:period_len])) / period_len ** 2
season = [dataframe.iloc[i] / smooth[-1] for i in range(period_len)]
rmse = 0
for i in range(period_len, t + next_periods):
if i >= t:
T = i - t
forecast.iloc[i - period_len] = (smooth[t - 1] + T * trend[t - 1]) * season[i - period_len]
else:
smooth.append(alpha * (dataframe[i] / season[-period_len]) + (1 - alpha) * (smooth[-1] + trend[-1]))
trend.append(beta * (smooth[i] - smooth[-1]) + (1 - beta) * trend[-1])
season.append(gamma * (dataframe[i] / (smooth[i])) + (1 - gamma) * season[-period_len])
forecast.iloc[i - period_len] = (smooth[-1] + trend[-1]) * season[-period_len]
rmse = eval_measures.rmse(dataframe[period_len:], forecast[:-period_len])
return forecast, alpha, beta, gamma, rmse
def Function(params):
a, b = params
res = []
for ibasin in xrange(0, 1): #10):
for istation in good_stations[ibasin]:
# print ibasin, istation
data = scipy.io.loadmat('%s/%s_AP.mat' %(datadir, ibasin+1))
index = np.where(geoinfo[:, 0]==data['station_name'][0, istation])[0]
# pan_obs = data['pan'][0, istation][0:tstep].flatten()
pan_obs_gapfill = Gapfill(data['pan'][0, istation][0:tstep].flatten())
## Prepare for the input data for Epan calculation
INPUT = {vars_penpan[i]: Gapfill(data[v][0, istation][0:tstep].flatten()) for i, v in enumerate(vars_penpan[:-2])}
INPUT['doy'] = doys.flatten()
INPUT['lat'] = geoinfo[index, 1]
INPUT['elev'] = geoinfo[index, 3]
pan_mod = Data(INPUT, 'cloud').Penpan_u2(a, b)
res.append(evaluate.rmse(daily2monthly(pan_mod), daily2monthly(pan_obs_gapfill)))
return vstack(res).mean()
def simple_exponential_smoothing(dataframe, next_periods, alpha=None):
# Datetime format
date_format = '%b-%y'
# Get size of original dataframe
size = dataframe.count()
# Create ahead-day entries in future
date_range = pd.date_range(start=dataframe.index[0], periods=size + next_periods, format=date_format, freq='MS')
# Create new dataframe for forecasting
forecast_full_frame = pd.Series(data=[np.nan] * (len(date_range)), index=date_range)
if alpha is None:
initial_values = np.array([0.0])
boundaries = [(0, 1)]
parameters = fmin_l_bfgs_b(RMSE, x0=initial_values, args=(dataframe, next_periods), bounds=boundaries,
approx_grad=True)
alpha = parameters[0]
# Begin forecasting
for idx in range(len(forecast_full_frame.index) - 1):
if idx == 0:
forecast_full_frame.iloc[idx + 1] = dataframe.iloc[idx]
elif idx < size:
forecast_full_frame.iloc[idx + 1] = alpha * dataframe.iloc[idx] + (1 - alpha) * forecast_full_frame.iloc[
idx]
else:
forecast_full_frame.iloc[idx + 1] = forecast_full_frame.iloc[idx]
# Drop all NaN values
forecast_full_frame.dropna(inplace=True)
# Future timeframe only
forecast_partial_frame = forecast_full_frame[~forecast_full_frame.index.isin(dataframe.index)]
# Root mean squared error
rmse = eval_measures.rmse(dataframe[1:size], forecast_full_frame[0:size - 1])
# Return result
return forecast_full_frame, forecast_partial_frame, rmse, alpha
def get_best_model(train, test):
# Step 1: specify the form of the model
model_formula = "total_cases ~ 1 + " \
"reanalysis_specific_humidity_g_per_kg + " \
"reanalysis_dew_point_temp_k + " \
"reanalysis_min_air_temp_k + " \
"station_min_temp_c + " \
"station_max_temp_c + " \
"station_avg_temp_c"
full_dataset = pd.concat([train, test])
model = smf.glm(formula=model_formula,
data=full_dataset,
family=sm.families.Gaussian())
fitted_model = model.fit()
acc = eval_measures.rmse(sj_best_model.predict(full_dataset).astype(int), full_dataset.total_cases)
return fitted_model, acc
def rolling_tscv(series, trend, seasonal, seasonal_periods, damped, boxcox,
initial_train_window, test_window):
i = 0
x = initial_train_window
t = test_window
errors_roll = []
while (i + x + t) < len(series):
train_ts = series[(i):(i + x)].values
test_ts = series[(i + x):(i + x + t)].values
model_roll = ExponentialSmoothing(
train_ts,
trend=trend,
seasonal=seasonal,
seasonal_periods=seasonal_periods,
damped=damped).fit(use_boxcox=boxcox)
fcast = model_roll.forecast(t)
error_roll = rmse(test_ts, fcast)
errors_roll.append(error_roll)
i = i + 1
return np.mean(errors_roll).round(1)
def eval_metrics(forecast, observed):
'''Return forecast evaluation metrics.
Parameters
----------
forecast : pd.Series
Forecasted values.
observed : pd.Series
Observed values.
Return
------
mae : float
Mean Absolute Error metric.
rmserr : float
Root Mean Squared Error metric. Named rmserr to avoid
conflicting with statsmodels rmse function.
'''
return meanabs(forecast, observed), rmse(
forecast,
observed), (((forecast - observed).abs() / observed).mean()) * 100
def RMSE(params, *args):
data_frame = args[0]
rmse = 0
alpha, beta = params
# Init
smooth, trend = data_frame.iloc[0], data_frame.iloc[1] - data_frame.iloc[0]
forecast = pd.Series(data=[np.nan] * data_frame.count(), index=data_frame.index)
forecast.iloc[0] = data_frame.iloc[0]
size = data_frame.count()
for n in range(1, size):
last_smooth, smooth = smooth, alpha * data_frame[n] + (1 - alpha) * (smooth + trend)
trend = beta * (smooth - last_smooth) + (1 - beta) * trend
forecast.iloc[n] = smooth + trend
rmse = eval_measures.rmse(data_frame, forecast)
return rmse
def plotPrediction(self, fit, ax):
"""Plot predicted vs. test"""
sub = self.sub
if len(sub) == 0:
sub = X.index
Xout = self.X.ix[-self.X.index.isin(sub)]
yout = self.y.ix[-self.y.index.isin(sub)]
ypred = fit.predict(Xout)
ax.scatter(yout, ypred, alpha=0.6, edgecolor='black',
color='blue', lw=0.5, label='fit')
ax.plot(ax.get_xlim(), ax.get_xlim(), ls="--", lw=2, c=".2")
ax.set_xlabel('test')
ax.set_ylabel('predicted')
ax.set_title('predicted vs test data')
import statsmodels.tools.eval_measures as em
yt = yout.squeeze().values
rmse = em.rmse(yt, ypred)
ax.text(0.9,0.1,'rmse: '+ str(round(rmse,3)),ha='right',
va='top', transform=ax.transAxes)
return
def calculate_total_error(actual, predictions, df):
"""
Calculate root mean square error (RMSE), mean and error as a percentage of mean
Inputs:
actual: values of actual data series
predictions: values of prediction data series
df: dataframe of all values
Outputs:
root mean squared error of the two series
mean of the actual series
percent: percentage of rmse of the actual mean
Means and errors are formatted as integers
Percent is formatted as one decimal point
"""
end_date = df.index[-1]
actual = actual[:end_date]
predictions = predictions[:end_date]
error = rmse(actual, predictions)
print(f'{error:.0f}', 'RMSE')
CancMean = actual.mean()
print(f'{CancMean:.0f}', 'Mean')
percent = error/CancMean*100
print(f'{percent:.1f}', '% Error')
def mlr_array(Y, X, MASK=None, MASKnodata=None, Ynodata=None, Xnodata=None):
if MASK is not None:
X = [np.where(MASK == MASKnodata, np.NaN, x) for x in X]
Y = np.where(MASK == MASKnodata, np.NaN, Y)
# also mask array's nodata (X's must have same nodata value!):
if Ynodata is not None:
Y = np.where(Y == Ynodata, np.NaN, Y)
if Xnodata is not None:
X = [np.where(X == Xnodata, np.NaN, x) for x in X]
# reshape arrays:
Y = np.reshape(Y, (Y.shape[0] * Y.shape[1]))
X = [np.reshape(x, (x.shape[0] * x.shape[1])) for x in X]
# mask NaNs:
mask = 0
for x in X:
mask = np.where(np.isnan(x), 1, mask)
mask = np.where(np.isnan(Y), 1, mask)
X = [np.where(mask == 1, np.NaN, x) for x in X]
Y = np.where(mask == 1, np.NaN, Y)
# retrieve valid values:
X = [x[~np.isnan(x)] for x in X]
Y = Y[~np.isnan(Y)]
# prepare predictors
X = np.array(X).T
X = sm.add_constant(X)
model = sm.OLS(Y, X).fit()
m_predict = model.predict(X)
print('Model', 'RMSE', 'Predict', 'Y', 'X')
m_list = [model, rmse(Y, m_predict), m_predict, Y, X]
return m_list
def forecast_arima(df: pd.DataFrame, cols: list, with_graph: bool = True):
lag = 0
order = 1
moving_avg_model = 0
steps = 50
for col in cols:
model = ARIMA(df[col].iloc[:-steps],
order=(lag, order, moving_avg_model))
model_fit = model.fit()
model_for = model_fit.get_forecast(steps=steps, alpha=0.05)
print('\t==== Summary of forecast ARIMA(%d, %d, %d) ====\n' %
(lag, order, moving_avg_model))
print(model_for.summary_frame(), model_for.conf_int(), sep='\n')
print('RMSE: %f\nMAE: %f' %
(rmse(df[col][-50:], model_for.predicted_mean),
meanabs(df[col][-50:], model_for.predicted_mean)))
print()
if with_graph is True:
plt.figure(figsize=(12, 5))
plt.xlabel(col)
plt.title('Forecast for %s using ARIMA(%d, %d, %d)' %
(col, lag, order, moving_avg_model))
ax1 = model_for.predicted_mean.plot(color='blue',
grid=True,
label='Actual')
ax2 = df[col][-50:].plot(color='red',
grid=True,
secondary_y=True,
label='Estimated')
h1, l1 = ax1.get_legend_handles_labels()
h2, l2 = ax2.get_legend_handles_labels()
plt.legend(h1 + h2, l1 + l2, loc=2)
plt.show()
def execute(self,filename):
df1= pd.read_csv('data/'+filename,index_col='Date',parse_dates=True)
df1.index.freq='MS'
df = pd.read_csv('./data/'+filename)
df.columns = ['ds','y']
df['ds'] = pd.to_datetime(df['ds'])
m = Prophet()
m.fit(df)
future = m.make_future_dataframe(periods=24,freq = 'MS')
forecast = m.predict(future)
filename=filename[:-4]
m.plot(forecast).savefig(os.path.join('static/', secure_filename(filename+'_prophetPredict.jpg')))
# 80% for training
train = df.iloc[:int(len(df)*0.8)]
test = df.iloc[len(train):]
m = Prophet()
m.fit(train)
future = m.make_future_dataframe(periods=len(test),freq='MS')
forecast = m.predict(future)
#print(forecast.tail())
ax = forecast.plot(x='ds',y='yhat',label='Predictions',legend=True,figsize=(12,8))
g=test.plot(x='ds',y='y',label='True Miles',legend=True,ax=ax,xlim=('2018-01-01','2019-01-01'))
g.figure.savefig(os.path.join('static/', secure_filename(filename+'_prophetCompare.jpg')))
predictions = forecast.iloc[len(train):]['yhat']
error=rmse(predictions,test['y'])
mean=test.mean()
print('percentage')
self.accuracy=100-(error/mean*100)
data=dict()
data['stationary']=self.adf_test(df1)
data['accuracy']=str(self.accuracy)
return data
#a=ProphetModel()
#print(a.execute('BeerWineLiquor.csv'))
def double_exponential_smoothing(series, next_periods, alpha=None, beta=None):
# Datetime format
date_format = '%Y-%m'
# Get size of original dataframe
size = series.count()
# Create ahead-day entries in future
date_range = pd.date_range(start=series.index[0], periods=size + next_periods, format=date_format, freq='MS')
forecast = pd.Series(data=[np.nan] * len(date_range), index=date_range)
forecast.iloc[0] = series.iloc[0]
# Init
smooth, trend = series.iloc[0], series.iloc[1] - series.iloc[0]
# Calculate alpha, beta if it's None
if alpha is None or beta is None:
initial_values = np.array([0.0, 1.0])
boundaries = [(0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(RMSE, x0=initial_values, args=(series, next_periods), bounds=boundaries,
approx_grad=True)
alpha, beta = parameters[0]
for n in range(1, size):
last_smooth, smooth = smooth, alpha * series[n] + (1 - alpha) * (smooth + trend)
trend = beta * (smooth - last_smooth) + (1 - beta) * trend
forecast.iloc[n] = smooth + trend
for n in range(size, size + next_periods):
m = n - size + 1
forecast.iloc[n] = smooth + m * trend
rmse = eval_measures.rmse(series, forecast[:-next_periods])
return forecast, rmse, alpha, beta
def regframe(X, Y, mod, idx):
##rsq,mae,mse,rmse,mape
x_train, x_test, y_train, y_test = train_test_split(X,
Y,
test_size=0.2,
shuffle=False)
model = mod.fit(x_train, y_train)
y_pred = model.predict(x_test)
k_fold = KFold(n_splits=10, shuffle=False)
df = pd.Series(
{
'rsq_train':
model.score(x_train, y_train),
'rsq_test':
model.score(x_test, y_test),
'subt_rsq':
model.score(x_train, y_train) - model.score(x_test, y_test),
'mae_test':
mean_absolute_error(y_test, y_pred),
'mse_test':
mse(y_test, y_pred),
'rmse_test':
rmse(y_test, y_pred),
'mape_test': (np.mean(np.abs((y_test - y_pred) / y_test)) * 100),
'cross-score':
cross_val_score(estimator=mod, X=X, y=Y, cv=k_fold).mean(),
'cross-train':
cross_val_score(estimator=mod, X=x_train, y=y_train,
cv=k_fold).mean()
},
name=idx)
return df
def sm_fit(X, Y, alpha=None, L1_wt=0.0):
actual_v_predicted_plot = bokeh.plotting.figure(tools=['save'],
x_axis_type='log',
y_axis_type='log')
resid_v_actual_plot = bokeh.plotting.figure(tools=['save'])
cv_rmse = []
ts = TimeSeriesSplit(7)
for train_index, test_index in ts.split(X):
X_train, Y_train = X[train_index], Y[train_index]
X_test, Y_test = X[test_index], Y[test_index]
model = sm.OLS(Y_train, X_train)
if alpha is None:
reg_results = model.fit()
else:
reg_results = model.fit_regularized(alpha=alpha, L1_wt=L1_wt)
sm_plot_actual_v_predicted(actual_v_predicted_plot, reg_results,
X_test, Y_test[:, 0])
sm_plot_resid_v_actual(resid_v_actual_plot, reg_results, X_test,
Y_test[:, 0])
cv_rmse.append(rmse(reg_results.predict(X_test), Y_test[:, 0]))
cv_rmse = pd.Series(cv_rmse, name='rmse').reset_index()
return reg_results, resid_v_actual_plot, actual_v_predicted_plot, cv_rmse
def calc_nrmse(df_target, df_new):
"""
Calculates the normalized root mean square error of the target input dataframe and the simulated output dataframe to determine if the rmse decreased with a new mutation or not.
Input(s):
df_target is the user-inputted tsv file containing transcript abundances for each gene.
df_new is the simulator-generated tsv file containng transcript abundances for each gene.
Output(s):
RMSE is a floating point number that refers to the root mean square error calculated.
"""
#Confirms that the dataframes are the same shape
assert df_target.shape == df_new.shape
assert all(df_target.columns == df_new.columns)
assert all(df_target.index == df_new.index)
norm_errs = []
#Performs a normalized RMSE to help determine the fitness of the new genome
for column in df_target.columns:
nrmse = rmse(df_target[column], df_new[column])/\
np.mean(df_target[column])
norm_errs.append(nrmse)
return np.mean(norm_errs)
def sm_forest_fit(X, Y, tuning_parameters=None):
if tuning_parameters is not None:
max_depth, min_samples_leaf, n_estimators, max_features = tuning_parameters
max_depth, min_samples_leaf, n_estimators, max_features = int(
round(max_depth)), int(round(min_samples_leaf)), int(
round(n_estimators)), max_features
else:
max_depth = 3
min_samples_leaf = 1
n_estimators = 10
max_features = 'auto'
actual_v_predicted_plot = bokeh.plotting.figure(tools=['save'],
x_axis_type='log',
y_axis_type='log')
resid_v_actual_plot = bokeh.plotting.figure(tools=['save'])
cv_rmse = []
ts = TimeSeriesSplit(7)
for train_index, test_index in ts.split(X):
X_train, Y_train = X[train_index], Y[train_index]
X_test, Y_test = X[test_index], Y[test_index]
model = sm.OLS(Y_train, X_train)
reg_results = RandomForestRegressor(max_depth=max_depth,
min_samples_leaf=min_samples_leaf,
n_estimators=n_estimators,
max_features=max_features,
n_jobs=-1)
reg_results.fit(X, Y)
sm_plot_actual_v_predicted(actual_v_predicted_plot, reg_results,
X_test, Y_test[:, 0])
sm_plot_resid_v_actual(resid_v_actual_plot, reg_results, X_test,
Y_test[:, 0])
cv_rmse.append(rmse(reg_results.predict(X_test), Y_test[:, 0]))
cv_rmse = pd.Series(cv_rmse, name='rmse').reset_index()
return reg_results, resid_v_actual_plot, actual_v_predicted_plot, cv_rmse
lstm_predictions_scaled.append(lstm_pred)
current_batch = np.append(current_batch[:, 1:, :], [[lstm_pred]], axis=1)
lstm_predictions_scaled
lstm_predictions = scaler.inverse_transform(lstm_predictions_scaled)
lstm_predictions
test_data_sa['LSTM_Predictions'] = lstm_predictions
test_data_sa
test_data_sa['New Cases'].plot(figsize=(16, 5), legend=True)
test_data_sa['LSTM_Predictions'].plot(legend=True)
lstm_rmse_error_sa = rmse(test_data_sa['New Cases'],
test_data_sa["LSTM_Predictions"])
lstm_mse_error_sa = lstm_rmse_error_sa**2
mean_value = sa['value'].mean()
#%%
scaler = MinMaxScaler()
scaler.fit(train_data_korea)
scaled_train_data = scaler.transform(train_data_korea)
scaled_test_data = scaler.transform(test_data_korea)
n_input = 7
n_features = 1
generator = TimeseriesGenerator(scaled_train_data,
scaled_train_data,
length=n_input,
def regression(dependent_str, model_list, dataset, independents_filter):
# first we create the model for this dependent variable with the entire dataset
independents_str = " + ".join(model_list)
print(independents_str)
# https://stackoverflow.com/questions/48522609/how-to-retrieve-model-estimates-from-statsmodels
X = dataset[sorted(independents_filter)]
y = dataset[dependent_str]
model = smf.ols(formula=dependent_str + " ~ " + independents_str,
data=dataset).fit()
# then we calculate the average fitness (rsme normalized) using k fold cross validation
kf = KFold(configuration.kfold, True, 1)
#print("########################################################################")
fitness_norm = 0
fitness = 0
for train, test in kf.split(dataset):
model_t = smf.ols(formula=dependent_str + " ~ " + independents_str,
data=dataset.iloc[train]).fit()
# filter columns
X = dataset[sorted(independents_filter)]
y = dataset[dependent_str]
# filter rows
X = X.iloc[test]
y = y.iloc[test]
# generate predictions and metric
ypred = model_t.predict(X)
r = rmse(y, ypred)
rmse_norm = round(r / (max(y) - min(y)), 3)
#print("rmse_norm = ", rmse_norm)
fitness_norm = fitness_norm + rmse_norm
fitness = fitness + r
# to be able to check manually
#print(y)
#print(ypred)
fitness_norm = round(fitness_norm / configuration.kfold, 3)
fitness = round(fitness / configuration.kfold, 3)
#print("########################################################################")
#print(fitness_norm, fitness)
#print("########################################################################")
rsquared = round(model.rsquared, 3)
rsquared_adj = round(model.rsquared_adj, 3)
X = dataset[sorted(independents_filter)]
model_y = dataset[dependent_str]
#model_y_pred = model_t.predict(X)
# compare with random values
#df_random = pd.DataFrame(np.random.randint(1,100,size=(len(model_y), 1)))
randomlist = random.sample(range(1, 100), len(model_y))
rmse_random = rmse(model_y, randomlist)
#print("########################################################################")
#print(model_y)
#print(model_y_pred)
#print("########################################################################")
#print(model_y)
#print(randomlist)
#print("########################################################################")
#print("rmse_random", rmse_random)
#return (dep + " ~ " + independents, rsquared, rsquared_adj, fitness_norm, fitness, model.summary(), model_y, model_y_pred)
return (dependent_str + " ~ " + independents_str, rsquared, rsquared_adj,
fitness_norm, fitness, model.summary(), 0, 0, rmse_random)
def hw(x, horizon, params, quantile=None, verbose=True, boxcox=False):
"""
Holt-Winters point prediction
:param x: input time series (assume equally spaced)
:param horizon: number of points to predict
:param params: dict with keys and values for specified parameters. Keys must be in the set level, trend, season, damped
All keys must be specified.
Examples:
The first component in the tuple prevails
- params['level'] = None: compute the optimal level alpha
- params['level'] = <positive_number>: set alpha = <positive_number> (between 0 and 1)
- params['trend'] = [None, None]: set beta = 0
- params['trend'] = ['A', None]: use additive trend and compute optimal beta
- params['trend'] = ['M', <positive_number>]: use multiplicative trend and set beta = <positive_number> (between 0 and 1)
- params['season'] = [None, <seasonality>, None]: set s_len = 1, gamma = 0 (no seasons). The value of <seasonality> is ignored
- params['season'] = ['A', None, None]: try season detection to set the 2nd component (season length)
- params['season'] = ['A', <seasonality>, None]: use additive seasonality, compute optimal gamma assuming season length equals <seasonality>
- params['season'] = ['M', <seasonality>, <positive_number>]: use multiplicative seasonality, set gamma = <positive_number> and assume season length equals <seasonality>
- params['damped'] = [None, <anything>]: error: damped can only be True or False
- params['damped'] = [False, <anything>]: set <anything> = 1. No damping
- params['damped'] = [True, None]: damping present. Compute optimal value for phi
- params['damped'] = [True, <positive_number>]: damping present. Set phi = <positive_number> (between 0 and 1)
:param quantile: error band to return, when not None
:param verbose: whether to print some information while executing
:return: df_out, rmse, params, yint, df_errs
df_out is a DataFrame with columns:
- y input data
- yhat (point forecasts and forecasts)
- ylwr (lower forecast bound on forecasts)
- yupr (upper forecast bound on forecasts)
- lj_pval (Ljung-Box independence test p-values on transformed errors. the min of p_values is shown -worst case-)
- sw_pval (Shapiro-Wilks test p_value on transformed errors)
- lbda (BoxCox transform parameter used for the forecast bounds)
rms_err is the rmse on the data
params is the model parameter dictionary includes the values for alpha, beta, gamma, phi and s_len that minimize the one step prediction rmse or that were supplied.
mdl is the type of model used (trend, season, damped)
"""
if set(params.keys()) != {'level', 'trend', 'season', 'damped'}:
print('invalid params keys: ' + str(params.keys()))
return None
opt_pars = list() # list of params to optimze
# damping
if len(params['damped']) != 2:
print('invalid damping parameters: ' + str(params['damped']))
return None
if params['damped'][0] not in [True, False]:
print('invalid damped parameter: ' + str(params['damped']))
return None
if params['damped'][0] is True:
if params['damped'][1] is None:
opt_pars.append('damped')
else:
if not(0.0 < params['damped'][1] <= 0.98): # 0.98 See Hyndman
print('invalid damped parameter: ' + str(params['damped']))
return None
else:
params['damped'][1] = 1.0
# seasons
if len(params['season']) != 3:
print('invalid seasonality parameters: ' + str(params['season']))
return None
if params['season'][0] not in [None, 'A', 'M']:
print('invalid seasonality parameters: ' + str(params['season']))
return None
if params['season'][0] is None:
params['season'] = [None, 1, 0.0]
else:
if params['season'][1] <= 1:
params['season'][1] = hwu.get_season(x)
if params['season'][1] <= 1.0:
print('invalid seasonality parameters: ' + str(params['season']))
return None
else:
if verbose:
print('using automated season detection. Seasonality: ' + str(params['season'][1]))
if params['season'][2] is None:
opt_pars.append('season')
else:
if not(0.0 <= params['season'][2] <= 1.0):
print('invalid season parameter: ' + str(params['season']))
return None
if params['season'][1] > 1 and len(x) < 4 * params['season'][1]:
print('not enough data for seasonality')
return None
# trend
if len(params['trend']) != 2:
print('invalid trend parameters: ' + str(params['trend']))
return None
if params['trend'][0] not in [None, 'A', 'M']:
print('invalid trend parameters: ' + str(params['trend']))
return None
if params['trend'][0] is None:
params['trend'][1] = 0.0
else:
if params['trend'][1] is None:
opt_pars.append('trend')
else:
if not(0.0 <= params['trend'][1] <= 1.0):
print('invalid trend parameter: ' + str(params['trend']))
return None
# level
if params['level'] is None:
opt_pars.append('level')
else:
if not(0.0 <= params['level'] <= 1.0):
print('invalid trend parameter: ' + str(params['level']))
return None
# update params to get optimal parameters if needed
Y = list(x[:])
if len(opt_pars) > 0:
get_pars(Y, params, opt_pars)
alpha = params['level']
trend, beta = params['trend']
season, s_len, gamma = params['season']
phi = params['damped'][1]
if beta <= EPS:
trend, beta = None, 0.0
params['trend'] = [None, 0.0]
if gamma <= EPS:
season, s_len, gamma = None, 1, 0.0
params['season'] = [None, 1, 0.0]
if phi <= EPS:
phi = 0.0
params['season'] = [True, 0.0]
if verbose: print('model parameters: ' + str(params))
# initialize: set a[0], b[0], s[0]
a, b, s = hwu.initialize(trend, season, Y, s_len, verbose)
# HW main iteration
yhat = list() # one step point forecast: yhat_{t|t-1}, 1 <= t <= N.
yint = list() # list of multi step predictions: yhat_{t+h|t-1}, 0 <= h <= N-t, 1 <= t <= N
for i in range(len(Y)): # note that index = i fills position i+1
# update the HW parameters
a.append(hwu.level(alpha, phi, Y[i], a[i], b[i], s[i], trend, season))
b.append(hwu.trend(beta, phi, hwu.get_aval(a[i + 1], a[i], trend), b[i], trend, season))
s.append(hwu.season(gamma, phi, Y[i], a[i], b[i], s[i], trend, season))
# one step prediction. s is initialized with s_len values. s[i] is s_len values behind, as it should
# yhat[i] = y(i+1|Y_0, ..., Y_i), 0 <= i < N
yhat.append(hwu.one_step_pred(a[i], b[i], s[i], phi, trend, season))
# multi-step forecasts (used for error bounds): generate all the predictions at each step
# yint[i][h] = y(i + 1 + h|y_0, .., y_i), 0 <= h < N - i, 0 <= i < N
if quantile is not None:
yint.append(hwu.point_fcast(len(Y), phi, s_len, a[i], b[i], s[-s_len:], trend, season))
# states
df_states = pd.DataFrame({'level': a, 'trend': b, 'season': s})
# point predictions outside the data range
yhat += hwu.point_fcast(horizon, phi, s_len, a[-1], b[-1], s[-s_len:], trend, season)
rms_err = sm.rmse(Y, yhat[:len(Y)])
yhat = np.array(yhat)
df_hat = pd.DataFrame({'yhat': yhat[:len(Y)], 'y': Y})
# interval predictions (errors)
if quantile is not None and horizon > 0:
df_int, df_errs, df_detail = hwu.interval_fcast(np.array(x), np.array(yint), horizon, quantile)
df_int['yhat'] = yhat[-horizon:]
df_int['yupr'], df_int['ylwr'] = df_int['yhat'] + df_int['upr'], df_int['yhat'] + df_int['lwr']
df_hat['yupr'], df_hat['ylwr'] = df_hat['yhat'], df_hat['yhat']
df_int.drop(['upr', 'lwr'], axis=1, inplace=True)
df_out = pd.concat([df_hat, df_int], axis=0) if horizon > 0 else df_hat
else: # no errors computed
df_int = pd.DataFrame({'yhat': yhat[-horizon:], 'yupr': yhat[-horizon:], 'ylwr': yhat[-horizon:]})
df_out = pd.concat([df_hat, df_int], axis=0) if horizon > 0 else df_hat
df_out.reset_index(inplace=True, drop=True)
return {'df_out': df_out, 'rmse': rms_err, 'params': params, 'states': df_states}
vars.remove('TRAIN') # this is also useless for prediction
vars.remove('ID') # as is ID
min_rmse = 100 # initialise with something large
f_val = "" # variable to hold our formula
resample_count = 3 # number of CV folds
for iter in xrange(1000):
# generate a random expression
f = 'DEATHS ~ {0}'.format(rand_expr(vars))
# for 3 re-samples of the training set fit the lm on the fitting set
# and calculate the rmse on the validation set
rmse_val = 0
for _ in xrange(resample_count):
sampleIndices = random.sample( train_data.index, int(0.75 * recs) )
fitting_data = train_data.ix[sampleIndices]
validation_data = train_data.drop(sampleIndices)
death_glm = smf.ols(formula = f, data = fitting_data).fit()
rmse_val += rmse(death_glm.predict(validation_data), validation_data.DEATHS)
rmse_val /= resample_count
if rmse_val < min_rmse:
print 'new minimum: {0}'.format(rmse_val)
min_rmse = rmse_val
f_val = f
print 'BEST EXPRESSION : {0} \n\n {1}'.format(min_rmse, f_val)
def rmse(par_vals, *args):
Y, par_names, param_dict = args[0], args[1], args[2]
set_dict(par_names, par_vals, param_dict)
results = hw(Y, 0, param_dict, verbose=False, quantile=None)
Yhat = results['df_out']['yhat'].values
return sm.rmse(Y, Yhat)
def make_plot(image_dir, run_dirs, run_names=None, cmu0=0.5544):
""" Make plot of runs against analytical solution.
params:
-------
image_dir - str
- Directory to save the file
run_dirs - list
- Names of the simulation directories
run_names - str, optional
- Names of simulation for legend
cmu0 - float, optional
- Parameter in GLS to calculate TKE (default 0.5544 Kantha-Clayson)
"""
names = []
m_sed = []
m_vel = []
m_dif = []
for r in run_dirs:
print r
names.append(r)
fileBase = r+'/Warner/data/profile'
dataFile = os.path.join(fileBase, 'Warner-1K_trcr_1_0_2012-01-01_2012-01-02.nc')
m_sed.append(dc.loadFromNetCDF(dataFile))
dataFile = os.path.join(fileBase, 'Warner-1K_hvel_0_2012-01-01_2012-01-02.nc')
m_vel.append(dc.loadFromNetCDF(dataFile))
dataFile = os.path.join(fileBase, 'Warner-1K_tdff_0_2012-01-01_2012-01-02.nc')
m_dif.append(dc.loadFromNetCDF(dataFile))
# Calculate analytical values using actual water column depth H
# z - Height above the bed.
# H - Water column height
z = abs(m_sed[0].z[0, -1] - m_sed[0].z[:, -1])
z[0] = Z0
depths = m_sed[0].z[:, -1]
H = z[-1]
u_star = calcFrictionVelocity(U, H, Z0)
a_vel = calcVelocity(z, u_star, Z0)
a_vis = calcEddyViscosity(z, u_star, H)
a_dif = calcEddyDiffusivity(a_vis)
a_sed = calcSediment(z)
# "Analytical" values from imposing parabolic eddy viscosity
print ' - test_warner_channel_analytical'
fileBase = 'test_warner_channel_analytical/Warner/data/profile'
dataFile = os.path.join(fileBase, 'Warner-1K_trcr_1_0_2012-01-01_2012-01-03.nc')
m_sed.append(dc.loadFromNetCDF(dataFile))
dataFile = os.path.join(fileBase, 'Warner-1K_hvel_0_2012-01-01_2012-01-03.nc')
m_vel.append(dc.loadFromNetCDF(dataFile))
dataFile = os.path.join(fileBase, 'Warner-1K_tdff_0_2012-01-01_2012-01-03.nc')
m_dif.append(dc.loadFromNetCDF(dataFile))
# Calculate RMSE
vel_rmse = []
dif_rmse = []
sed_rmse = []
for i, r in enumerate(run_dirs):
vel_rmse.append(stats.rmse(m_vel[i].data[:, 0, -1], a_vel))
dif_rmse.append(stats.rmse(m_dif[i].data[:, 0, -1], a_dif))
sed_rmse.append(stats.rmse(m_sed[i].data[:, 0, -1], a_sed))
# Plots
ticks_font = matplotlib.font_manager.FontProperties(size=6)
f, ax = plt.subplots(1, 3, sharey=True, figsize=(18, 7))
f.subplots_adjust(wspace=0.4, top=0.9)
#plt.rc('axes', color_cycle=['r', 'g', 'b', 'y'])
for vel in m_vel:
ax[0].plot(np.squeeze(vel.data[:, 0, -1]), depths, marker='.')
p2 = ax[0].plot(a_vel, depths, color='k')
ax[0].set_xlim([0, 1.5])
ax[0].set_ylim([-10, 0.5])
ax[0].xaxis.set_ticks([0, 0.5, 1, 1.5])
ax[0].grid(True)
ax[0].set_ylabel('Z-coordinate $m$')
ax[0].set_xlabel('Velocity $m/s$')
#ax[0].set_title('RMSE: %4.3f' % vel_rmse, fontsize=12)
if run_names is None:
legend_str = names
else:
legend_str = run_names
legend_str.append('Analytical')
ax[0].legend(legend_str, loc='upper left', fontsize=8)
ax[0].fill_between([0, 1.5], -10, m_sed[0].z[0, -1], facecolor='brown')
ax[0].fill_between([0, 1.5], -10, m_sed[0].z[-1, -1], facecolor='blue', alpha=0.1)
for dif in m_dif:
ax[1].plot(np.squeeze(dif.data[:, :, -1]), depths, marker='.')
ax[1].plot(a_dif, depths, color='k')
ax[1].set_xlim([0, 0.1])
#ax[1].xaxis.set_ticks([0, 002, 0.04, 0.06, 0.08])
ax[1].grid(True)
ax[1].set_xlabel('Edddy diffusivity $m^2/s$')
#ax[1].set_title('RMSE: %4.3f' % dif_rmse, fontsize=12)
ax[1].fill_between([0, 0.1], -10, m_sed[0].z[0, -1], facecolor='brown')
ax[1].fill_between([0, 0.1], -10, m_sed[0].z[-1, -1], facecolor='blue', alpha=0.1)
for sed in m_sed:
ax[2].plot(np.squeeze(sed.data[:, :, -1]), depths, marker='.')
ax[2].plot(a_sed, depths, color='k')
# ax[4].xaxis.set_ticks([0.150, 0.2, 0.25, 0.3, 0.35, 0.4])
ax[2].set_xlim([0.05, 0.35])
ax[2].grid(True)
ax[2].set_xlabel('Sediment $kg/m^3$')
ax[2].fill_between([0.05, 0.35], -10, m_sed[0].z[0, -1], facecolor='brown')
ax[2].fill_between([0.05, 0.35], -10, m_sed[0].z[-1, -1], facecolor='blue', alpha=0.1)
f.suptitle('Warner et al. 2008 open channel test', fontsize=14)
# Save fig
print 'saving image : warner_comparison.png'
runName = 'warner_comparison'
f.savefig(runName, dpi=200)
plt.close('all')
