root/applications/robust/main.cpp @ 1408

/*!
\file
\brief Robust
\author Vasek Smidl 

 */

#include "estim/arx.h"
#include "robustlib.h"
#include <vector>
#include <iostream>
#include <fstream>
//#include <itpp/itsignal.h>
#include "windows.h"
#include "ddeml.h"
#include "stdio.h"
#include <itpp/itoptim.h>

//#include "DDEClient.h"
//#include <conio.h>


using namespace itpp;
using namespace bdm;

//const int emlig_size = 2;
//const int utility_constant = 5;

const int max_model_order = 2;
const double apriorno     = 0.01;
const int max_window_size = 40;
const int utility_order   = 19;
const int prediction_time = 30;

/*
HDDEDATA CALLBACK DdeCallback(
        UINT uType,     // Transaction type.
        UINT uFmt,      // Clipboard data format.
        HCONV hconv,    // Handle to the conversation.
        HSZ hsz1,       // Handle to a string.
        HSZ hsz2,       // Handle to a string.
        HDDEDATA hdata, // Handle to a global memory object.
        DWORD dwData1,  // Transaction-specific data.
        DWORD dwData2)  // Transaction-specific data.
{
        return 0;
}

void DDERequest(DWORD idInst, HCONV hConv, char* szItem)
{
        HSZ hszItem = DdeCreateStringHandle(idInst, szItem, 0);
        HDDEDATA hData = DdeClientTransaction(NULL,0,hConv,hszItem,CF_TEXT, 
                                                                        XTYP_ADVSTART,TIMEOUT_ASYNC , NULL); //TIMEOUT_ASYNC
        if (hData==NULL)
        {
                printf("Request failed: %s\n", szItem);
        }

        if (hData==0)
        {
                printf("Request failed: %s\n", szItem);
        }
}

DWORD WINAPI ThrdFunc( LPVOID n )
{    
    return 0;
}
*/

double valueCRRAUtility(const double &position, const vec &samples, const int order)
{
        double value = 0;
                        
        for(int i=0;i<samples.length();i++)
        {
                double sample = samples.get(i);
                value += sample/pow(position*sample+1,order+1);
        }       
        
        return value;
}

double gradientCRRAUtility(const double &position, const vec &samples, const int order)
{       
        double value = 0;
        
        for(int i=0;i<samples.length();i++)
        {
                double sample = samples.get(i);
                value += (-(order+1)*pow(sample,2))/pow(position*sample+1,order+2);
        }

        return value;
}

double newtonRaphson(double startingPoint, double epsilon, vec samples, int order)
{
        if(samples.length()>800)
        {
                samples.del(801,samples.size()-1);
        }
        
        int count = 0;
        
        bool epsilon_reached = false;

        while(count<1000&&!epsilon_reached)
        {
                double cur_value = valueCRRAUtility(startingPoint,samples,order);
                double cur_gradient = gradientCRRAUtility(startingPoint,samples,order);

                startingPoint = startingPoint - cur_value/cur_gradient;

                if(cur_value<epsilon)
                {
                        epsilon_reached = true;
                }
        }

        if(count==100)
        {
                return startingPoint; // can be different!
        }
        else
        {
                return startingPoint;
        }
}
        
        

        



class model
{
public:
        set<pair<int,int>> ar_components;

        // Best thing would be to inherit the two models from a single souce, this is planned, but now structurally
        // problematic.
        RARX* my_rarx; //vzmenovane parametre pre triedu model
        ARXwin* my_arx;

        bool has_constant;
        int  window_size;  //musi byt vacsia ako pocet krokov ak to nema ovplyvnit
        int  predicted_channel;
        mat* data_matrix;
        vec  predictions;
        char name[80];

        double previous_lognc;
        
        model(set<pair<int,int>> ar_components, //funkcie treidz model-konstruktor
                  bool robust, 
                  bool has_constant, 
                  int window_size, 
                  int predicted_channel,
                  mat* data_matrix)
        {               
                this->ar_components.insert(ar_components.begin(),ar_components.end());

                strcpy(name,"M");

                for(set<pair<int,int>>::iterator ar_ref = ar_components.begin();ar_ref!=ar_components.end();ar_ref++)
                {
                        char buffer1[2];
                        char buffer2[2];
                        itoa((*ar_ref).first,buffer1,10);
                        itoa((*ar_ref).second,buffer2,10);

                        strcat(name,buffer1);
                        strcat(name,buffer2);
                        strcat(name,"_");
                }

                this->has_constant      = has_constant;

                if(has_constant)
                {
                        strcat(name,"C");
                }

                this->window_size       = window_size;
                this->predicted_channel = predicted_channel;
                this->data_matrix       = data_matrix;

                if(robust)
                {
                        previous_lognc = 0;
                        strcat(name,"R");

                        if(has_constant)
                        {
                                my_rarx = new RARX(ar_components.size()+1,window_size,true,sqrt(2*apriorno),sqrt(2*apriorno),ar_components.size()+3);
                                my_arx  = NULL;
                        }
                else
                        {
                                my_rarx = new RARX(ar_components.size(),window_size,false,sqrt(2*apriorno),sqrt(2*apriorno),ar_components.size()+2);
                                my_arx  = NULL;
                        }
                }
                else
                {
                        my_rarx = NULL;
                        my_arx  = new ARXwin();
                        mat V0;

                        if(has_constant)
                        {                               
                                V0  = apriorno * eye(ar_components.size()+2); //aj tu konst
                                V0(0,0) = 0;
                                my_arx->set_constant(true);
                                my_arx->set_statistics(1, V0, V0.rows()+1); 
                        }
                        else
                        {
                                
                                V0  = apriorno * eye(ar_components.size()+1);//menit konstantu
                                V0(0,0) = 0;
                                //V0(0,1) = -0.01;
                                //V0(1,0) = -0.01;
                                my_arx->set_constant(false);
                                my_arx->set_statistics(1, V0, V0.rows()+1); 
                                
                        }                                               
                        
                        my_arx->set_parameters(window_size);
                        my_arx->validate();

                        previous_lognc = my_arx->posterior().lognc();

                        /*
                        vec mean = my_arx->posterior().mean();
                        cout << mean << endl;
                        */
                }
        }

        void data_update(int time) 
        {
                vec data_vector;
                for(set<pair<int,int>>::iterator ar_iterator = ar_components.begin();ar_iterator!=ar_components.end();ar_iterator++)
                {  
                        data_vector.ins(data_vector.size(),(*data_matrix).get(ar_iterator->first,time-ar_iterator->second));
                }
                if(my_rarx!=NULL)
                {       
                        data_vector.ins(0,(*data_matrix).get(predicted_channel,time));
                        my_rarx->bayes(data_vector);
                }
                else
                {
                        vec pred_vec;
                        pred_vec.ins(0,(*data_matrix).get(predicted_channel,time));
                        my_arx->bayes(pred_vec,data_vector);
                }
        }

        pair<vec,vec> predict(int sample_size, int time, itpp::Laplace_RNG* LapRNG)  //nerozumiem, ale vraj to netreba, nepouziva to
        {
                vec condition_vector;
                for(set<pair<int,int>>::iterator ar_iterator = ar_components.begin();ar_iterator!=ar_components.end();ar_iterator++)
                {
                        condition_vector.ins(condition_vector.size(),(*data_matrix).get(ar_iterator->first,time-ar_iterator->second+1));
                }

                if(my_rarx!=NULL)
                {
                        pair<vec,mat> imp_samples = my_rarx->posterior->sample(sample_size,true);

                        //cout << imp_samples.first << endl;                    
                        
                        vec sample_prediction;                  
                        for(int t = 0;t<imp_samples.second.cols();t++)
                        {
                                vec lap_sample = condition_vector;
                                
                                if(has_constant)
                                {
                                        lap_sample.ins(lap_sample.size(),1.0);
                                }
                                
                                lap_sample.ins(lap_sample.size(),(*LapRNG)());

                                sample_prediction.ins(0,lap_sample*imp_samples.second.get_col(t));                              
                        }

                        return pair<vec,vec>(imp_samples.first,sample_prediction);
                }       
                else
                {
                        mat samples = my_arx->posterior().sample_mat(sample_size);                      
                        
                        vec sample_prediction;
                        for(int t = 0;t<sample_size;t++)
                        {
                                vec gau_sample = condition_vector;
                                
                                if(has_constant)
                                {
                                        gau_sample.ins(gau_sample.size(),1.0);
                                }
                                
                                gau_sample.ins(gau_sample.size(),randn());

                                sample_prediction.ins(0,gau_sample*samples.get_col(t));                         
                        }

                        return pair<vec,vec>(ones(sample_prediction.size()),sample_prediction);
                }
        
        }


        static set<set<pair<int,int>>> possible_models_recurse(int max_order,int number_of_channels)
        {
                set<set<pair<int,int>>> created_model_types;            

                if(max_order == 1)//ukoncovacia vetva
                {                       
                        for(int channel = 0;channel<number_of_channels;channel++)//pre AR 1 model vytvori kombinace kanalov v prvom kroku poyadu
                        {
                                set<pair<int,int>> returned_type;
                                returned_type.insert(pair<int,int>(channel,1));  //??
                                created_model_types.insert(returned_type);
                        }

                        return created_model_types;
                }
                else
                {
                        created_model_types = possible_models_recurse(max_order-1,number_of_channels);//tu uz mame ulozene kombinace o jeden krok dozadu  //rekuryivne volanie
                        set<set<pair<int,int>>> returned_types;
                        
                        for(set<set<pair<int,int>>>::iterator model_ref = created_model_types.begin();model_ref!=created_model_types.end();model_ref++)
                        {                               
                                
                                for(int order = 1; order<=max_order; order++)
                                {
                                        for(int channel = 0;channel<number_of_channels;channel++)
                                        {
                                                set<pair<int,int>> returned_type;
                                                pair<int,int> new_pair = pair<int,int>(channel,order);//??
                                                if(find((*model_ref).begin(),(*model_ref).end(),new_pair)==(*model_ref).end()) //??
                                                {
                                                        returned_type.insert((*model_ref).begin(),(*model_ref).end()); //co vlozi na zaciatok retuned_type?
                                                        returned_type.insert(new_pair);                                                 

                                                        returned_types.insert(returned_type);                                                   
                                                }
                                        }
                                }
                        }

                        created_model_types.insert(returned_types.begin(),returned_types.end());

                        return created_model_types;
                }               
        }
};




int main ( int argc, char* argv[] ) 
{
        
        // EXPERIMENT: A moving window estimation and prediction of RARX is tested on data generated from 
    // y_t=0.95*y_(t-1)+0.05*y_(t-2)+0.2*e_t, where e_t is normally, student(4) and cauchy distributed. It
    // can be compared to the classical setup.
        
        itpp::Laplace_RNG LapRNG = Laplace_RNG();       
        
        vector<vector<string>> strings;

        char* file_string =  "C:\\CD2"; // "C:\\dataADClosePercDiff"; //  

        char dfstring[80];
        strcpy(dfstring,file_string);
        strcat(dfstring,".txt");
        
        
        mat data_matrix;
        ifstream myfile(dfstring);
        if (myfile.is_open())
        {               
                string line;
                while(getline(myfile,line))
                {                       
                        vec data_vector;
                        while(line.find(',') != string::npos) //zmenil som ciarku za medzeru
                        {
                                //line.erase(0,1); // toto som sem pridal
                                int loc2 = line.find('\n');
                                int loc  = line.find(',');
                                data_vector.ins(data_vector.size(),atof(line.substr(0,loc).c_str()));                           
                                line.erase(0,loc+1);                                    
                        }

                        data_matrix.ins_row(data_matrix.rows(),data_vector);
                }               

                myfile.close(); 
        }
        else
        {
                cout << "Can't open data file!" << endl;
        }
        
        //konec nacitavania dat
        set<set<pair<int,int>>> model_types = model::possible_models_recurse(max_model_order,data_matrix.rows()); //volanie funkce kde robi kombinace modelov
                                                                                                //to priradime do model_types, data_matrix.row urcuje pocet kanalov dat
        vector<model*> models;
        for(set<set<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++)
        {// prechadza rozne typy kanalov, a poctu regresorov
                for(int window_size = max_window_size-1;window_size < max_window_size;window_size++)
                {
                        models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix));   // to su len konstruktory, len inicializujeme rozne typy
                        models.push_back(new model((*model_type),false,true,window_size,0,&data_matrix));
                        models.push_back(new model((*model_type),true,false,window_size,0,&data_matrix));
                        models.push_back(new model((*model_type),false,false,window_size,0,&data_matrix));              
                }

                //set<pair<int,int>> empty_list;
                //models.push_back(new model(empty_list,false,true,100,0,&data_matrix));
        }
        
        mat result_lognc;
        // mat result_preds;

        ofstream myfilew;
        char fstring[80];                                       
        strcpy(fstring,file_string);
        //strcat(fstring,"lognc.txt");
        strcat(fstring,"preds.txt");    

        for(int time = max_model_order;time<data_matrix.cols();time++) //time<data_matrix.cols() 
        {       
                cout << "Steps: " << time << endl;
                
                /*
                if(time==max_window_size)
                {
                        exit(1);
                }*/
                
                //pocet stlpcov data_matrix je pocet casovych krokov
                vec cur_res_lognc;
                // vec preds;
                vector<string> nazvy;
                for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
                {//posuvam s apo models, co je pole modelov urobene o cyklus vyssie. Teda som v case time a robim to tam pre vsetky typy modelov, kombinace regresorov
                        (*model_ref)->data_update(time); //pozret sa preco je toto tu nutne

                        //cout << "Updated." << endl;
                        //if (time = max_model_order) nazvy.push_back(models.model_ref]);// ako by som mohol dostat nazov modelu?

                        if((*model_ref)->my_rarx!=NULL) //vklada normalizacni faktor do cur_res_lognc
                        {
                                //cout << "Maxlik vertex:" << (*model_ref)->my_rarx->posterior->minimal_vertex->get_coordinates() << endl;
                                cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_rarx->posterior->_ll());                                
                        }
                        else
                        {
                                double cur_lognc = (*model_ref)->my_arx->posterior().lognc();
                                double cur_ll = cur_lognc-(*model_ref)->previous_lognc;
                                
                                /*
                                if(time<(*model_ref)->window_size)
                                {
                                        cur_ll-=1.83787706640935;
                                }*/
                                
                                (*model_ref)->my_arx->_ll();

                                cur_res_lognc.ins(cur_res_lognc.size(),cur_ll);
                                
                                (*model_ref)->previous_lognc = cur_lognc;                               
                        }
                        
                        /*
                        if(time == max_window_size-1)
                        {
                                //***********************
                                int sample_size = 100000;
                                //***********************
                                
                                pair<vec,mat> samples;
                                if((*model_ref)->my_arx!=NULL)
                                {
                                        mat samp_mat = (*model_ref)->my_arx->posterior().sample_mat(sample_size);
                                        samples = pair<vec,mat>(ones(samp_mat.cols()),samp_mat);
                                }
                                else
                                {
                                        samples = (*model_ref)->my_rarx->posterior->sample(sample_size,true);                                   
                                }

                                char fstring[80];                                       
                                strcpy(fstring,file_string);
                                strcat(fstring,(*model_ref)->name);
                                strcat(fstring,".txt");
                                
                                //cout << samples.first << endl;
                                
                                myfilew.open(fstring,ios::app);
                                
                                
                                //for(int i = 0;i<samples.first.size();i++)
                                //{
                                //      myfilew << samples.first.get(i) << ",";
                                //}
                                //myfilew << endl;
                                

                                for(int j = 0;j<samples.second.rows()+1;j++)
                                {                       
                                        for(int i = 0;i<samples.second.cols();i++)
                                        {
                                                if(j!=samples.second.rows())
                                                {
                                                        myfilew << samples.second.get(j,i) << ",";
                                                }
                                                
                                                //else
                                                //{
                                                //      myfilew << "0,";
                                                //}
                                                
                                        }                               
                                        myfilew << endl;
                                }

                                cout << "*************************************" << endl;

                                myfilew.close();                                
                        }
                        */              

                        if(time>prediction_time)
                        {                       
                                // PREDICTIONS
                                pair<vec,vec> predictions = (*model_ref)->predict(5000,time,&LapRNG);

                                /*
                                cout << predictions.first << endl << endl << predictions.second << endl << "*************************************" ;
                                pause(5);
                                */      

                                double optimalInvestment = newtonRaphson(0,0.00001,predictions.second,utility_order);

                                /*
                                vec utilityValues;
                                for(int j=0;j<1000;j++)
                                {
                                        utilityValues.ins(utilityValues.length(),valueCRRAUtility(-0.5+0.001*j, predictions.second, utility_order));
                                }*/

                                double avg_prediction = (predictions.first*predictions.second)/(predictions.first*ones(predictions.first.size()));

                                (*model_ref)->predictions.ins((*model_ref)->predictions.size(),avg_prediction);
                                                
                                myfilew.open(fstring,ios::app);
                                
                                /*
                                for(int j=0;j<utilityValues.length();j++)
                                {
                                        myfilew << utilityValues.get(j) << ",";
                                }
                                myfilew << endl;
                                */

                                myfilew << avg_prediction << "," << optimalInvestment << ","; 
                                myfilew.close();
                        }
                        

                        //preds.ins(0,data_matrix.get(0,time+1));
                }

                if(time>prediction_time)
                {
                        // REAL PRICE           
                        myfilew.open(fstring,ios::app);
                        myfilew << data_matrix.get(0,time+1) << endl;
                        myfilew.close();
                }
                
                

                result_lognc.ins_col(result_lognc.cols(),cur_res_lognc);
                //result_preds.ins_col(result_preds.cols(),preds);

                // cout << "Updated." << endl;  
                                                        
                /*
                myfilew.open(fstring,ios::app);
                
                // myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0];
                
                if(time == max_model_order)
                { 
                        for(int i = 0;i<cur_res_lognc.size();i++)
                        {
                                for(set<pair<int,int>>::iterator ar_ref = models[i]->ar_components.begin();ar_ref != models[i]->ar_components.end();ar_ref++)
                                {
                                        myfilew << (*ar_ref).second << (*ar_ref).first;                                                 
                                }

                                myfilew << ".";

                                if(models[i]->my_arx == NULL)
                                {
                                        myfilew << "1";
                                }
                                else
                                {
                                        myfilew << "0";
                                }
                                        
                                if(models[i]->has_constant)
                                {
                                        myfilew << "1";
                                }
                                else
                                {
                                        myfilew << "0";
                                }

                                myfilew << ",";
                        }

                        myfilew << endl;
                }
                
                
                for(int i = 0;i<cur_res_lognc.size();i++)
                {
                   myfilew << cur_res_lognc[i] << ' ';//zmenil som ciarku ze medzeru
                }

                myfilew << endl;                
                myfilew.close();        
                */
}

        // EXPERIMENT: One step ahead price prediction. Comparison of classical and robust model using optimal trading
    //             with maximization of logarithm of one-step ahead wealth.

        
                
                /*
                cout << "One experiment finished." << endl;

                ofstream myfile;
                myfile.open("c:\\robust_ar1.txt",ios::app);
                myfile << endl;
                myfile.close();

                myfile.open("c:\\robust_ar2.txt",ios::app);
                myfile << endl;
                myfile.close();*/
        

        //emlig* emlig1 = new emlig(emlig_size);

        //emlig1->step_me(0);
        //emlig* emlig2 = new emlig(emlig_size);
        
        /*
        emlig1->set_correction_factors(4);

        for(int j = 0;j<emlig1->correction_factors.size();j++)
        {
                for(set<my_ivec>::iterator vec_ref = emlig1->correction_factors[j].begin();vec_ref!=emlig1->correction_factors[j].end();vec_ref++)
                {
                        cout << j << "    ";
                        
                        for(int i=0;i<(*vec_ref).size();i++)
                        {
                                cout << (*vec_ref)[i];
                        }

                        cout << endl;
                }
        }*/
        
        /*
    vec condition5 = "1.0 1.0 1.01";//"-0.3 1.7 1.5";

        emlig1->add_condition(condition5);
        //emlig1->step_me(0);


        vec condition1a = "-1.0 1.02 0.5";
        //vec condition1b = "1.0 1.0 1.01";
        emlig1->add_condition(condition1a);
        //emlig2->add_condition(condition1b);

        vec condition2a = "-0.3 1.7 1.5";
        //vec condition2b = "-1.0 1.0 1.0";
        emlig1->add_condition(condition2a);
        //emlig2->add_condition(condition2b);

        vec condition3a = "0.5 -1.01 1.0";
        //vec condition3b = "0.5 -1.01 1.0";

        emlig1->add_condition(condition3a);
        //emlig2->add_condition(condition3b);   

        vec condition4a = "-0.5 -1.0 1.0";
        //vec condition4b = "-0.5 -1.0 1.0";    

        emlig1->add_condition(condition4a);
        //cout << "************************************************" << endl;
        //emlig2->add_condition(condition4b);
        //cout << "************************************************" << endl;
        
        //cout << emlig1->minimal_vertex->get_coordinates();
        
        //emlig1->remove_condition(condition3a);
        //emlig1->step_me(0);
        //emlig1->remove_condition(condition2a);
        //emlig1->remove_condition(condition1a);
        //emlig1->remove_condition(condition5);
        

        //emlig1->step_me(0);
        //emlig2->step_me(0);
        

        // DA SE POUZIT PRO VYPIS DO SOUBORU
        // emlig1->step_me(0);

        //emlig1->remove_condition(condition1);
        
        

        
        
        /*
        for(int i = 0;i<100;i++)
        {
                cout << endl << "Step:" << i << endl;           

                double condition[emlig_size+1];         

                for(int k = 0;k<=emlig_size;k++)
                {
                        condition[k] = (rand()-RAND_MAX/2)/1000.0;              
                }
                        

                vec* condition_vec = new vec(condition,emlig_size+1);
                emlig1->add_condition(*condition_vec);

                /*
                for(polyhedron* toprow_ref = emlig1->statistic.rows[emlig_size]; toprow_ref != emlig1->statistic.end_poly; toprow_ref = toprow_ref->next_poly)
                {
                        cout << ((toprow*)toprow_ref)->probability << endl;
                }
                */
                /*
                cout << emlig1->statistic_rowsize(emlig_size) << endl << endl;
        
                /*
                if(i-emlig1->number_of_parameters >= 0)
                {
                        pause(30);
                }
                */

                // emlig1->step_me(i);
                
                /*
                vector<int> sizevector;
                for(int s = 0;s<=emlig1->number_of_parameters;s++)
                {
                        sizevector.push_back(emlig1->statistic_rowsize(s));
                }
                */
        //}
    


        
        /*
        emlig1->step_me(1);

        vec condition = "2.0 0.0 1.0";  

        emlig1->add_condition(condition);

        vector<int> sizevector;
        for(int s = 0;s<=emlig1->number_of_parameters;s++)
        {
                sizevector.push_back(emlig1->statistic_rowsize(s));
        }

        emlig1->step_me(2);

        condition = "2.0 1.0 0.0";

        emlig1->add_condition(condition);

        sizevector.clear();
        for(int s = 0;s<=emlig1->number_of_parameters;s++)
        {
                sizevector.push_back(emlig1->statistic_rowsize(s));
        }
        */

        return 0;
}