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More consistent naming in CTimeSeriesModel and avoid lots of overload…
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…s of the name prior
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@tveasey
tveasey committed Mar 9, 2018
1 parent 4ae37eb commit 5fb3037
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Showing 11 changed files with 546 additions and 558 deletions.
27 changes: 15 additions & 12 deletions include/core/Constants.h
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Original file line number Diff line number Diff line change
Expand Up @@ -18,8 +18,8 @@

#include <core/CoreTypes.h>

#include <cmath>
#include <limits>
#include <math.h>

namespace ml
{
Expand All @@ -28,38 +28,41 @@ namespace core
namespace constants
{

//! A minute in seconds.
const core_t::TTime MINUTE{60};

//! An hour in seconds.
const core_t::TTime HOUR = 3600;
const core_t::TTime HOUR{3600};

//! A day in seconds.
const core_t::TTime DAY = 86400;
const core_t::TTime DAY{86400};

//! A (two day) weekend in seconds.
const core_t::TTime WEEKEND = 172800;
const core_t::TTime WEEKEND{172800};

//! Five weekdays in seconds.
const core_t::TTime WEEKDAYS = 432000;
const core_t::TTime WEEKDAYS{432000};

//! A week in seconds.
const core_t::TTime WEEK = 604800;
const core_t::TTime WEEK{604800};

//! A (364 day) year in seconds.
const core_t::TTime YEAR = 31449600;
const core_t::TTime YEAR{31449600};

//! Log of min double.
const double LOG_MIN_DOUBLE = ::log(std::numeric_limits<double>::min());
const double LOG_MIN_DOUBLE{std::log(std::numeric_limits<double>::min())};

//! Log of max double.
const double LOG_MAX_DOUBLE = ::log(std::numeric_limits<double>::max());
const double LOG_MAX_DOUBLE{std::log(std::numeric_limits<double>::max())};

//! Log of double epsilon.
const double LOG_DOUBLE_EPSILON = ::log(std::numeric_limits<double>::epsilon());
const double LOG_DOUBLE_EPSILON{std::log(std::numeric_limits<double>::epsilon())};

//! Log of two.
const double LOG_TWO = 0.693147180559945;
const double LOG_TWO{0.693147180559945};

//! Log of two pi.
const double LOG_TWO_PI = 1.83787706640935;
const double LOG_TWO_PI{1.83787706640935};

#ifdef Windows
const char PATH_SEPARATOR = '\\';
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99 changes: 52 additions & 47 deletions include/maths/CTimeSeriesModel.h
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Original file line number Diff line number Diff line change
Expand Up @@ -50,16 +50,16 @@ class MATHS_EXPORT CUnivariateTimeSeriesModel : public CModel
public:
//! \param[in] params The model parameters.
//! \param[in] id The *unique* identifier for this time series.
//! \param[in] trend The time series trend decomposition.
//! \param[in] prior The time series residuals' prior.
//! \param[in] trendModel The time series trend decomposition.
//! \param[in] residualModel The prior for the time series residual model.
//! \param[in] controllers Optional decay rate controllers for the trend
//! and prior.
//! and residual model.
//! \param[in] modelAnomalies If true we use a separate model to capture
//! the characteristics of anomalous time periods.
CUnivariateTimeSeriesModel(const CModelParams &params,
std::size_t id,
const CTimeSeriesDecompositionInterface &trend,
const CPrior &prior,
const CTimeSeriesDecompositionInterface &trendModel,
const CPrior &residualModel,
const TDecayRateController2Ary *controllers = 0,
bool modelAnomalies = true);
CUnivariateTimeSeriesModel(const SModelRestoreParams &params,
Expand All @@ -72,7 +72,8 @@ class MATHS_EXPORT CUnivariateTimeSeriesModel : public CModel
//! Create a copy of this model passing ownership to the caller.
virtual CUnivariateTimeSeriesModel *clone(std::size_t id) const;

//! Create a copy of the state we need to persist passing ownership to the caller.
//! Create a copy of the state we need to persist passing ownership
//! to the caller.
virtual CUnivariateTimeSeriesModel *cloneForPersistence(void) const;

//! Create a copy of the state we need to run forecasting.
Expand Down Expand Up @@ -102,8 +103,8 @@ class MATHS_EXPORT CUnivariateTimeSeriesModel : public CModel
const maths_t::TWeightStyleVec &weightStyles,
const TDouble2Vec4Vec &weights) const;

//! Get the most likely value for each correlate time series at
//! \p time, if there are any.
//! Get the most likely value for each correlate time series
//! at \p time, if there are any.
virtual TDouble2Vec1Vec correlateModes(core_t::TTime time,
const maths_t::TWeightStyleVec &weightStyles,
const TDouble2Vec4Vec1Vec &weights) const;
Expand Down Expand Up @@ -182,10 +183,10 @@ class MATHS_EXPORT CUnivariateTimeSeriesModel : public CModel
const TTimeDoublePrCBuf &slidingWindow(void) const;

//! Get the trend.
const CTimeSeriesDecompositionInterface &trend(void) const;
const CTimeSeriesDecompositionInterface &trendModel(void) const;

//! Get the prior.
const CPrior &prior(void) const;
//! Get the residual model.
const CPrior &residualModel(void) const;
//@}

private:
Expand Down Expand Up @@ -233,18 +234,18 @@ class MATHS_EXPORT CUnivariateTimeSeriesModel : public CModel
//! A random number generator for sampling the sliding window.
CPRNG::CXorOShiro128Plus m_Rng;

//! These control the trend and prior decay rates (see CDecayRateController
//! for more details).
//! These control the trend and residual model decay rates (see
//! CDecayRateController for more details).
TDecayRateController2AryPtr m_Controllers;

//! The time series trend decomposition.
TDecompositionPtr m_Trend;
TDecompositionPtr m_TrendModel;

//! The prior for the time series' residual model.
TPriorPtr m_Prior;
//! The time series' residual model.
TPriorPtr m_ResidualModel;

//! A model for time periods when the basic model can't predict the value
//! of the time series.
//! A model for time periods when the basic model can't predict the
//! value of the time series.
TAnomalyModelPtr m_AnomalyModel;

//! A sliding window of the recent samples (used to reinitialize the
Expand Down Expand Up @@ -327,9 +328,9 @@ class MATHS_EXPORT CTimeSeriesCorrelations
TSize1Vec s_Tags;
//! The sample weights.
TDouble4Vec1Vec s_Weights;
//! The interval by which to age the prior.
//! The interval by which to age the correlation model.
double s_Interval;
//! The prior decay rate multiplier.
//! The decay rate multiplier.
double s_Multiplier;
};

Expand All @@ -342,7 +343,8 @@ class MATHS_EXPORT CTimeSeriesCorrelations
//! Create a copy of this model passing ownership to the caller.
CTimeSeriesCorrelations *clone(void) const;

//! Create a copy of the state we need to persist passing ownership to the caller.
//! Create a copy of the state we need to persist passing ownership
//! to the caller.
CTimeSeriesCorrelations *cloneForPersistence(void) const;

//! Process all samples added from individual time series models.
Expand All @@ -359,7 +361,7 @@ class MATHS_EXPORT CTimeSeriesCorrelations
void refresh(const CTimeSeriesCorrelateModelAllocator &allocator);

//! Get the correlation joint distribution models.
const TSizeSizePrMultivariatePriorPtrDoublePrUMap &correlatePriors(void) const;
const TSizeSizePrMultivariatePriorPtrDoublePrUMap &correlationModels(void) const;

//! Debug the memory used by this object.
void debugMemoryUsage(core::CMemoryUsage::TMemoryUsagePtr mem) const;
Expand All @@ -386,20 +388,22 @@ class MATHS_EXPORT CTimeSeriesCorrelations
CTimeSeriesCorrelations(const CTimeSeriesCorrelations &other,
bool isForPersistence = false);

//! Restore the correlate priors reading state from \p traverser.
bool restoreCorrelatePriors(const SDistributionRestoreParams &params,
core::CStateRestoreTraverser &traverser);
//! Restore the correlation distribution models reading state from
//! \p traverser.
bool restoreCorrelationModels(const SDistributionRestoreParams &params,
core::CStateRestoreTraverser &traverser);

//! Persist the correlate priors passing information to \p inserter.
void persistCorrelatePriors(core::CStatePersistInserter &inserter) const;
//! Persist the correlation distribution models passing information
//! to \p inserter.
void persistCorrelationModels(core::CStatePersistInserter &inserter) const;

//! Restore the correlate priors reading state from \p traverser.
//! Restore the \p model reading state from \p traverser.
static bool restore(const SDistributionRestoreParams &params,
TSizeSizePrMultivariatePriorPtrDoublePrPr &prior,
TSizeSizePrMultivariatePriorPtrDoublePrPr &model,
core::CStateRestoreTraverser &traverser);

//! Persist the correlate priors passing information to \p inserter.
static void persist(const TSizeSizePrMultivariatePriorPtrDoublePrPr &prior,
//! Persist the \p model passing information to \p inserter.
static void persist(const TSizeSizePrMultivariatePriorPtrDoublePrPr &model,
core::CStatePersistInserter &inserter);

//! Add the time series identified by \p id.
Expand Down Expand Up @@ -468,15 +472,15 @@ class MATHS_EXPORT CMultivariateTimeSeriesModel : public CModel

public:
//! \param[in] params The model parameters.
//! \param[in] trend The time series trend decomposition.
//! \param[in] prior The time series residuals' prior.
//! \param[in] trendModel The time series trend decomposition.
//! \param[in] residualModel The prior for the time series residual model.
//! \param[in] controllers Optional decay rate controllers for the trend
//! and prior.
//! and residual model.
//! \param[in] modelAnomalies If true we use a separate model to capture
//! the characteristics of anomalous time periods.
CMultivariateTimeSeriesModel(const CModelParams &params,
const CTimeSeriesDecompositionInterface &trend,
const CMultivariatePrior &prior,
const CTimeSeriesDecompositionInterface &trendModel,
const CMultivariatePrior &residualModel,
const TDecayRateController2Ary *controllers = 0,
bool modelAnomalies = true);
CMultivariateTimeSeriesModel(const CMultivariateTimeSeriesModel &other);
Expand All @@ -489,7 +493,8 @@ class MATHS_EXPORT CMultivariateTimeSeriesModel : public CModel
//! Create a copy of this model passing ownership to the caller.
virtual CMultivariateTimeSeriesModel *clone(std::size_t id) const;

//! Create a copy of the state we need to persist passing ownership to the caller.
//! Create a copy of the state we need to persist passing ownership
//! to the caller.
virtual CMultivariateTimeSeriesModel *cloneForPersistence(void) const;

//! Create a copy of the state we need to run forecasting.
Expand Down Expand Up @@ -596,10 +601,10 @@ class MATHS_EXPORT CMultivariateTimeSeriesModel : public CModel
const TTimeDouble2VecPrCBuf &slidingWindow(void) const;

//! Get the trend.
const TDecompositionPtr10Vec &trend(void) const;
const TDecompositionPtr10Vec &trendModel(void) const;

//! Get the prior.
const CMultivariatePrior &prior(void) const;
//! Get the residual model.
const CMultivariatePrior &residualModel(void) const;
//@}

private:
Expand Down Expand Up @@ -633,18 +638,18 @@ class MATHS_EXPORT CMultivariateTimeSeriesModel : public CModel
//! A random number generator for sampling the sliding window.
CPRNG::CXorOShiro128Plus m_Rng;

//! These control the trend and prior decay rates (see CDecayRateController
//! for more details).
//! These control the trend and residual model decay rates (see
//! CDecayRateController for more details).
TDecayRateController2AryPtr m_Controllers;

//! The time series trend decomposition.
TDecompositionPtr10Vec m_Trend;
TDecompositionPtr10Vec m_TrendModel;

//! The prior for the time series' residual model.
TMultivariatePriorPtr m_Prior;
//! The time series residual model.
TMultivariatePriorPtr m_ResidualModel;

//! A model for time periods when the basic model can't predict the value
//! of the time series.
//! A model for time periods when the basic model can't predict the
//! value of the time series.
TAnomalyModelPtr m_AnomalyModel;

//! A sliding window of the recent samples (used to reinitialize the
Expand Down
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