Changeset 1337

Timestamp:

04/22/11 18:35:46 (14 years ago)

Author:

sindj

Message:

Zacatky experimentovani s knihovnou robustlib. JS

Location:

applications/robust

Files:

• main.cpp (modified) (8 diffs)
• robustlib.h (modified) (3 diffs)

applications/robust/main.cpp

@@ -7 +7 @@
  */
 
+#include "estim/arx.h"
 #include "robustlib.h"
 #include <vector>
 #include <iostream>
 #include <fstream>
+#include <itpp/signal/poly.h>
 
 using namespace itpp;
-//using namespace bdm;
+using namespace bdm;
 
 const int emlig_size = 2;
@@ -20 +22 @@
 int main ( int argc, char* argv[] ) {
         
+        itpp::Laplace_RNG LapRNG = Laplace_RNG();
+
         /*
         // EXPERIMENT: 100 AR model generated time series of length of 30 from y_t=0.95*y_(t-1)+0.05*y_(t-2)+0.2*e_t, 
@@ -134 +138 @@
         vector<vector<string>> strings;
 
-        char* file_strings[3] = {"c:\\ar_student_single.txt", "c:\\ar_student_single.txt","c:\\ar_cauchy_single.txt"};
+        char* file_strings[3] = {"c:\\dataADClosePercDiff", "c:\\ar_student_single","c:\\ar_cauchy_single"};
 
         for(int i = 0;i<3;i++)
         {                       
-                ifstream myfile(file_strings[i]);
+                char dfstring[80];
+                strcpy(dfstring,file_strings[i]);
+                strcat(dfstring,".txt");
+                
+                ifstream myfile(dfstring);
                 if (myfile.is_open())
                 {                       
@@ -162 +170 @@
                 vector<vec> conditions;
                 //emlig* emliga = new emlig(2);
-                RARX* my_rarx = new RARX(3,20,true);
+                RARX* my_rarx = new RARX(2,30,false);
+                
+                /*
+                mat V0 = 0.0001 * eye ( 3 );
+                ARX* my_arx = new ARX(0.97);
+                my_arx->set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                my_arx->set_constant ( false );
+                my_arx->validate();
+                */
 
                 for(int k = 1;k<170;k++)
@@ -186 +202 @@
 
                                 my_rarx->bayes(conditions[k-3]);
-
-                                        
                                 
-                                if(k>10)
+                                vec cond_vec;
+                                cond_vec.ins(0,conditions[k-3][0]);
+                                
+                                // my_arx->bayes(cond_vec,conditions[k-3].right(2));
+                                        
+                                
+                                if(k>5)
                                 {
                                         //my_rarx->posterior->step_me(0);
@@ -195 +215 @@
                                         mat samples = my_rarx->posterior->sample_mat(50);
                                         
+                                        vec sample_prediction;
+                                        for(int t = 0;t<50;t++)
+                                        {
+                                                vec lap_sample = conditions[k-3].left(2);
+                                                
+                                                lap_sample.ins(0,LapRNG());
+
+                                                sample_prediction.ins(0,lap_sample*samples.get_col(t));
+                                        }
+
+                                        vec sample_pow = sample_prediction;
+                                        vec poly_coefs;
+                                        bool stop_iteration = false;
+                                        int en = 0;
+                                        do
+                                        {
+                                                double poly_coef = ones(sample_pow.size())*sample_pow/sample_pow.size();
+
+                                                if(abs(poly_coef)>numeric_limits<double>::epsilon())
+                                                {
+                                                        sample_pow = elem_mult(sample_pow,sample_prediction);
+                                                        poly_coefs.ins(poly_coefs.size(),pow(-1,en)*poly_coef);
+                                                }
+                                                else
+                                                {
+                                                        stop_iteration = true;
+                                                }
+                                                
+                                                en++;
+                                        }
+                                        while(!stop_iteration);
+
+                                        cvec action = 
+                                        
                                         
                                         cout << "MaxLik coords:" << my_rarx->posterior->minimal_vertex->get_coordinates() << endl;
 
-                                        for(int s = 0;s<samples.rows();s++)
-                                        {
-                                                
-                                                double avg_parameter = samples.get_row(s)*ones(samples.cols())/samples.cols();                                          
-                                                
+                                        double prediction = 0;
+                                        for(int s = 1;s<samples.rows();s++)
+                                        {
+                                                
+                                                double avg_parameter = samples.get_row(s)*ones(samples.cols())/samples.cols();
+
+                                                prediction += avg_parameter*conditions[k-3][s-1];
+
+                                                
+                                                
+                                                /*
                                                 ofstream myfile;
                                                 char fstring[80];
@@ -227 +287 @@
                                                 }
                                                 myfile.close();
-                                        }
+                                                */
+                                        }
+
+                                        /*
+                                        enorm<ldmat>* pred_mat = my_arx->epredictor(conditions[k-3].left(2));
+                                        double prediction2 = pred_mat->mean()[0];
+                                        */
+
+                                        ofstream myfile;
+                                        char fstring[80];
+                                        //char f2string[80];
+                                        strcpy(fstring,file_strings[j]);
+                                        //strcpy(f2string,fstring);
+
+                                        strcat(fstring,"pred.txt");
+                                        //strcat(f2string,"2pred.txt");
+                                        
+
+                                        myfile.open(fstring,ios::app);
+                                        
+                                        //myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0];
+                                        myfile << prediction;
+                                        
+                                        if(k!=strings[j].size()-1)
+                                        {
+                                                myfile << ",";
+                                        }
+                                        else
+                                        {
+                                                myfile << endl;
+                                        }
+                                        myfile.close();
+
+                                        /*
+                                        myfile.open(f2string,ios::app);
+                                        myfile << prediction2;
+                                        
+                                        if(k!=strings[j].size()-1)
+                                        {
+                                                myfile << ",";
+                                        }
+                                        else
+                                        {
+                                                myfile << endl;
+                                        }
+                                        myfile.close();
+                                        */
+
                                 }                                       
                         }       
@@ -246 +353 @@
                         cout << "Step: " << i << endl;*/
                 }
+
+
         }
+
+
+        // EXPERIMENT: One step ahead price prediction. Comparison of classical and robust model using optimal trading
+    //             with maximization of logarithm of one-step ahead wealth.
+
+        
                 
                 /*

applications/robust/robustlib.h

@@ -10 +10 @@
 #include <stat/exp_family.h>
 #include <itpp/itbase.h>
+#include <itpp/base/random.h>
 #include <map>
 #include <limits>
@@ -30 +31 @@
 class vertex;
 class emlig;
-
 
 /*
@@ -2402 +2402 @@
                 
         }
-
-
-        
         
 };