def fit(self):
'''
Fit a Holt-winters method of type={linear, additive, multiplicative} on data
Return
----------
params: Array-like Parameters of the model [alpha, beta, gamma, m] depending on the type
RMSE: Root Mean Squared Error of the model when fit to the data
'''
rmse = 0.0
y = self.data
if self.type == 'linear':
initial_values = array([0.3, 0.1])
boundaries = [(0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type), bounds = boundaries, approx_grad = True)
self.alpha, self.beta = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta], rmse
elif self.type == 'additive':
self.m = tsutils.findDominentSeason(y)
initial_values = array([0.3, 0.1, 0.1])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
elif self.type == 'multiplicative':
self.m = tsutils.findDominentSeason(y)
initial_values = array([0.0, 1.0, 0.0])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
def fit(self):
'''
Fit a Holt-winters method of type={linear, additive, multiplicative} on data
Return
----------
params: Array-like Parameters of the model [alpha, beta, gamma, m] depending on the type
RMSE: Root Mean Squared Error of the model when fit to the data
'''
rmse = 0.0
y = self.data[:]
if self.type == 'linear':
initial_values = array([0.3, 0.1])
boundaries = [(0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type), bounds = boundaries, approx_grad = True)
self.alpha, self.beta = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta], rmse
elif self.type == 'additive':
self.m = tsutils.findDominentSeason(y)
initial_values = array([0.3, 0.1, 0.1])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
elif self.type == 'multiplicative':
self.m = tsutils.findDominentSeason(y)
initial_values = array([0.0, 1.0, 0.0])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
def update(self,data):
'''
Updates the Holt-winters model by re-estimating the paramters {alpha, beta, gamma, m} depending
on the model type
'''
self.data = data[:].tolist()
y = self.data[:]
if self.type == 'linear':
initial_values = array([self.alpha, self.beta])
boundaries = [(0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type), bounds = boundaries, approx_grad = True)
self.alpha, self.beta = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta], rmse
elif self.type == 'additive':
self.m = tsutils.findDominentSeason(y)
initial_values = array([self.alpha, self.beta, self.gamma])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
elif self.type == 'multiplicative':
self.m = tsutils.findDominentSeason(y)
initial_values = array([self.alpha, self.beta, self.gamma])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
def update(self,data):
'''
Updates the Holt-winters model by re-estimating the paramters {alpha, beta, gamma, m} depending
on the model type
'''
self.data = data[:]
y = self.data[:]
if self.type == 'linear':
initial_values = array([self.alpha, self.beta])
boundaries = [(0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type), bounds = boundaries, approx_grad = True)
self.alpha, self.beta = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta], rmse
elif self.type == 'additive':
self.m = tsutils.findDominentSeason(y)
initial_values = array([self.alpha, self.beta, self.gamma])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
return [self.alpha, self.beta, self.gamma, self.m], rmse
elif self.type == 'multiplicative':
self.m = tsutils.findDominentSeason(y)
initial_values = array([self.alpha, self.beta, self.gamma])
boundaries = [(0, 1), (0, 1), (0, 1)]
parameters = fmin_l_bfgs_b(self.RMSE, x0 = initial_values, args = (y, self.type, self.m), bounds = boundaries, approx_grad = True)
self.alpha, self.beta, self.gamma = parameters[0]
rmse = parameters[1]
def fit(self):
'''
Fits a model: First smoothes the data using a Median filter. Then determines if a pattern exists
by calculating the dominant period and splitting the time series into pattern windows.
For each adjacent pair of the pattern widows, the Pearson-Correlation is calculated and compared
to the threshold together with the two pattern means. If the pattern exists for more than the match_ratio
a Signature pattern is calculated using the original data and pattern windows that match.
**Note: If no pattern is found, a 1st order Markov model is trained on the data instead
'''
self.markov.fit()
# Smooth data and dominant period
smooth = signal.medfilt(self.data, self.window)
Z = tsutils.findDominentSeason(self.data)
# Z=288
# Determine the number of pattern windows and split smoothed data
Q = np.int(np.ceil(1.0 * self.N / Z))
if Q > 2:
idx = range(Z, Q * Z, Z)
P = np.array(np.split(smooth, idx))
self.P = P
self.warp = P[-1].shape[0] != P[-2].shape[0]
# Check pattern exist
PC = []
MR = []
for i in range(Q - 1 - self.warp):
PC.append(stats.pearsonr(P[i], P[i + 1])[0])
MR.append(np.mean(P[i]) / np.mean(P[i + 1]))
# Test if pattern exist
if np.all(PC > self.corr_thres):
self.contain_pat = True
Pr = np.array(np.split(self.data, idx))
if self.warp:
self.sig = np.average(Pr[:-1], axis=0)
else:
self.sig = np.average(Pr, axis=0)
def fit(self):
'''
Fits a model: First smoothes the data using a Median filter. Then determines if a pattern exists
by calculating the dominant period and splitting the time series into pattern windows.
For each adjacent pair of the pattern widows, the Pearson-Correlation is calculated and compared
to the threshold together with the two pattern means. If the pattern exists for more than the match_ratio
a Signature pattern is calculated using the original data and pattern windows that match.
**Note: If no pattern is found, a 1st order Markov model is trained on the data instead
'''
self.markov.fit()
# Smooth data and dominant period
smooth = signal.medfilt(self.data, self.window)
Z = tsutils.findDominentSeason(self.data)
# Z=288
# Determine the number of pattern windows and split smoothed data
Q = np.int(np.ceil(1.0*self.N/Z))
if Q > 2:
idx = range(Z,Q*Z,Z)
P = np.array(np.split(smooth, idx))
self.P = P
self.warp = P[-1].shape[0] != P[-2].shape[0]
# Check pattern exist
PC = []
MR = []
for i in range(Q-1-self.warp):
PC.append(stats.pearsonr(P[i], P[i+1])[0])
MR.append(np.mean(P[i])/np.mean(P[i+1]))
# Test if pattern exist
if np.all(PC>self.corr_thres):
self.contain_pat = True
Pr = np.array(np.split(self.data, idx))
if self.warp:
self.sig = np.average(Pr[:-1],axis=0)
else:
self.sig = np.average(Pr,axis=0)
