root/applications/trading_models/trading_models_main.cpp @ 1355

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

 */

//<<<<<<< .mine
#include "robustlib.h"
#include "trading_models_lib.h"
#include <iostream> 
#include "estim/arx.h"

//=======
//#include "application/robust/robustlib.h"  ma tu byt aj daka cesta k tomu suboru?
#include "trading_models_lib.h"
#include "estim/arx.h"
#include <vector>
#include <string>
#include <sstream>
#include <fstream>


//>>>>>>> .r1284
using namespace bdm;

double sumastlpec(int k,vector<vec> pole,vector<vec> pravd) {  
        double r=0;
        for (int i=0;i < pole.size();i++)
        {
                r+=pole[i][k+4]*pravd[i][k];
                //r=r+exp(pole[i][k+4]-m[k+4]+pravd[i][k]);  
        }
        //cout <<"r"<< log(r);
        return r; //log
                }

int main () {
        
        char* outfile_strings[18] = {"prsti_BO_.txt", "prsti_PA_.txt", "prsti_PL_.txt", "prsti_AD_.txt", "prsti_BP_.txt", "prsti_C__.txt", "prsti_CC_.txt", "prsti_CD_.txt", "prsti_CL_.txt", "prsti_CT_.txt", "prsti_CU_.txt", "prsti_ED_.txt", "prsti_FC2.txt", "prsti_FV2.txt", "prsti_GC_.txt", "prsti_HG_.txt", "prsti_HO_.txt", "prsti_HU_.txt"};
        char* file_strings[18] = {"c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\BO_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\PA_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\PL_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\AD_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\BP_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\C__.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CC_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CD_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CL_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CT_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\CU_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\ED_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\FC2.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\FV2.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\GC_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HG_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HO_.txt", "c:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-MATHEMATIKA\\HU_.txt"};
        //for (int a=0;a<18;a++)
        //{
        int a=3;
        vector<vector<string>> ADdata;     //nacitavanie dat do pola ADdata -funguje spravne
                ifstream myfile(file_strings[a]);                               //"C:\\Users\\Peto\\Desktop\\PROG-BAK\\DATA-Mathematika\\CL_.txt");
                if (myfile.is_open())
                {
                        while ( myfile.good() )
                        {
                                string line;
                                getline(myfile,line);
                                vector<string> parsed_line;                              
                                while(line.find(' ') != string::npos) //jeden kanal je jeden riadok, na zaciatku a na konci {,}, data oddelene ciarkou a medzerou.
                                {
                                        line.erase(0,1);   //toto nie je yrovna peknz sposob,ale pri poslednom nacitani cisla v riadku sme uz nemali ziadnu medyeru a cyklus by sa posledny krat nevykonal, tak tu medzeru odstranujeme vzdy tu
                                        int loc = line.find(',');   //ale pri poslednom cisla to nenajde ziadnu ciaarku, tak potom co prida do parsed_line?
                                        parsed_line.push_back(line.substr(0,loc));      
                                        line.erase(0,loc+1);                            //odstranujeme ciarku za kazdym cislom
                                }                               
                                ADdata.push_back(parsed_line); //3927 dat v riadku, 6 riadkov
                        }
                }
                myfile.close();  //konec nacitavania dat
                /*              //to malo byt rpevedenie str na double, aspon mysslim
                std::istringstream stme,stmd;   //je to dake chybne, aj cisla z toho ADdata cita/zapisuje trochu ine
                double d,e;
                vector<vec> data_rozdiel;
                for (int b=0;b<ADdata.size();b++)
                {
                        vec pom;
                        stmd.str(ADdata[b][0]);
                        stmd >>d;
                        for (int c=1;c<ADdata[b].size();c++)
                        {       
                                stme.str(ADdata[b][c]);
                                stme >>e;
                                cout<<e<<' '<<d ;
                                pom.ins(pom.size(),e-d);
                                cout<<pom;
                        }
                }*/
                vector<vec> norm; //do norm zapisujeme normalizacne faktory
                for (int h=1;h<=2;h++) //cyklus ktory ovplzvnuje konstantu h=1- model s konstantou, h=2, bez konstanty
                { 
                        bool b;                 //b pouzivame pri set_constant
                        if(h==2)
                                b=false;   
                        else
                                b=true;
                        int g=2;
                        while (g<=4)  //cyklus co meni rozmery matice V
                        {
                                mat V0 = 0.0001*eye ( g ); // aj tato matica ma vplyv na normalizacny faktor, nemoze byt aj preto taky velky, ako inak by sa dala zvolit?
                                
                                int p=0;
                                while (p<=1)  //tento cyklus prechadza vacsinou len raz, vtedy p=0 a nic to neovplvni, ale pri AR(2) modely to bude vykonavat 2 krat aj pre p=1, ked bude brat do condition aj rozne kanale z toho isteho casu 
                                {
                                        int i=0;
                                        while(i < ADdata.size()-p) //niekedy sa ten cyklus ma vykonat len raz, preto nepouzivam for cyklus
                                        {       
                                                int j=p*(i+1); //j=0 alebo j=i+1
                                        
                                                while(j < ADdata.size())
                                                {
                                                        ARX Ar;
                                                        RARX RAr(g+h-3,0,b);
                                                        Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
                                                        Ar.set_constant ( b );
                                                        Ar.validate();  // forgetting is default: 1.0
                                                        vec pomocka;  //pri kazdej jednej hypoteze zapisujeme normalizacne faktory do pomocky, tu potom ako riadok pridame do norm
                                                        for(int k = 0;k<341;k++) //prechadyame "po riadkoch", teda v case. Nejake hodnoty su len po index 340, dalej uz #INF000
                                                        {
                                                                vec condition;  
                                                                vec predikce;
                                                                predikce.ins(0,ADdata[3][k+2]);                 //predpovede nacitavame a zadavame do Bayes zvlast
                                                                condition.ins(0,ADdata[i][k+1]);                                
                                                                condition.ins(1,ADdata[j][k+p]);//zalezi na poradi v conditions? Teraz su na zaciatku starsie data
                                                                //cout<<condition;
                                                                RAr.bayes(condition.right(g+h-3));
                                                                Ar.bayes(predikce,condition.right(g+h-3));      //z condition berem len urcity pocet prvkov, bud 0, 1,alebo 2, lebo nepotrebujem vzdy vsetky (AR(1) model)                                      
                                                                pomocka.ins(pomocka.size(),Ar.posterior().lognc()); //nie je tu exponenciala! -aby to bolo mensie
                                                        }  
                                                        //cout<<pomocka;
                                                        pomocka.ins(0,j+1);
                                                        pomocka.ins(0,i+1);
                                                        pomocka.ins(0,g);
                                                        pomocka.ins(0,h);
                                                        RAr.posterior->log_nc;
                                                        norm.push_back(pomocka);  
                                                        if ((g==3 && h==2) || (g==4))  //tento cyklus sa bude opakovat, len ak mame maticu V0 roymeru 4x4, to je AR(2) model s konst, alebo podobne len g=3, h=2, teda AR(2)bez kons
                                                        {
                                                                j++;
                                                        } else
                                                        {
                                                                j=ADdata.size();        //priradenim tejto hodnoty do j sa cyklus uz viac krat nevykona
                                                        }
                                                }
                                                if (b==true && g==2) //pre model AR(0) s konstantou robi tento cyklus len raz, v ostatnych pripadoch viac-krat
                                                {
                                                        i=ADdata.size();
                                                } else
                                                {
                                                        i++;
                                                }
                                        }
                                        if ((g==3 && h==2) || (g==4) )
                                        {p++;} else {p=2;}
                                }
                                if (h==2 && g==3) //pripad g=4, a konstanta zaroven nas uz nezaujima, vtedy to ukoncime
                                {
                                        g=5; //ak priradime takuto hodnotu, cyklus while sa uz nevykona
                                } else
                                {
                                        g++;
                                }
                        }
                }
                //pocitanie maxima y kaydeho stlpcu norm
                vector<double> max;
                for (int i=4;i<345;i++)
                {
                        double pom=norm[0][i];
                        for (int j=1;j<norm.size();j++)
                        {
                                if (pom<norm[j][i])
                                {
                                        pom=norm[j][i];
                                }                       
                        }
                        max.push_back(pom);
                }
                //nove pole namiesto norm, kde bude odcitane max a bude v spravnej forme, teda aj s exponencialov
                vector<vec> nfaktor;
                for (int j=1;j<norm.size();j++)
                {
                        for (int i=1;j<norm[j].size();j++)
                        {
                                nfaktor[j][i]=exp(norm[j][i+4]-max[i]);                 
                        }
                }


                        vector<vec> prsti; 
                        int m,n,p;
                        for(p=0;p<115;p++) 
                        {
                                vec k;
                                k.ins(0,1/115.);        //log
                                prsti.push_back(k);
                        }
                        // v ramci riadku v poli norm su hodnoty pre jednu hypotezu v roznych casoch, pocitanie pravdepodobnosti z norm. faktorov
                        for (m=0;m<norm[1].size()-4;m++) 
                        {       double k=sumastlpec(m,norm,prsti);
                                for(n=0;n < norm.size();n++)
                                {
                                        prsti[n].ins(prsti[n].size(),norm[n][m+4]*prsti[n][m]/k);
                                        //prsti[n].ins(prsti[n].size(),norm[n][m+4]+prsti[n][m]-k);                             
                                }
                        }               
                        ofstream file;  
                        
                        file.open(outfile_strings[a]);                  //"prsti_hypot.txt",ios::app);
                        for(int i=0;i < prsti.size();i++)
                        {
                                file << norm[i][0] <<" "<<norm[i][1]<<" "<<norm[i][2]<<" "<<norm[i][3]<<" ";
                                for(int j=0;j < prsti[i].size();j++)
                                {
                                        if(j!=prsti[i].size()-1)
                                        {
                                                file << prsti[i][j]<<" "; //exp
                                        }else
                                        {
                                                file<<prsti[i][j]<<endl; //exp
                                        }                                       
                                }
                        }
                        file<<endl;
                        file.close();
        //}     
        }