Changeset 1338 for applications/trading_models

Timestamp:

04/27/11 19:00:36 (15 years ago)

Author:

sindj

Message:

Zacatky experimentovani v robustlib. Zacleneni vypoctu polynomialni rovnice pro optimalni akci s vyuzitim funkce itpp::roots(). Odstranovani zbylych chyb. JS

Files:

• applications/trading_models/trading_models_main.cpp (modified) (1 diff)

applications/trading_models/trading_models_main.cpp

@@ -7 +7 @@
  */
 
+//<<<<<<< .mine
+#include "trading_models_lib.h"
+#include <iostream> 
+#include "estim/arx.h"
+//=======
 #include "trading_models_lib.h"
 #include "estim/arx.h"
+#include <vector>
+#include <string>
+#include <sstream>
+#include <fstream>
+
+
+//>>>>>>> .r1284
 using namespace bdm;
 
-
-
-int main ( int argc, char* argv[] ) {
-
-        for(int i=0;i<10000;i++)
+/*
+string cislo(string s)   // tato procedura spracova tie cisla z toho textoveho suboru tak aby sa odstranilo to e-001 a boli v spravnom 
+                                                //formate. Lebo predtym to vyhadyovalo divne cisla, nevedel som ci je to zato, ze bayes si  stym neporadi, ale yjavne nepomohlo
+{
+        int b=s.find('e');
+        string t=s.substr(0,b);
+        string poz=s.substr(b+1,s.size());
+
+        istringstream g(poz);
+        int pozc;
+        g>>pozc;
+        istringstream k(t);
+        double csl;
+        k>>csl;
+        if (pozc<0) //pozc moze byt niekedy aj kladne
         {
-                cout << i;
+                for(int i=1;i<=-pozc;i++)
+                csl/=10;
+        } else
+        { 
+                for(int j=1;j<=pozc;j++)
+                csl*=10;
         }
-         //prior
-    mat V0 = 0.00001 * eye ( 2 );
-    V0 ( 0, 0 ) = 0.1; //
-    ARX Ar;
-    Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
-    Ar.set_constant ( true );
-    Ar.validate();
-    // forgetting is default: 1.0
-    mat Data = concat_vertical ( randn ( 1, 100 ), ones ( 1, 100 ) );
-    Ar.bayes_batch ( Data );
-
-
-}
-
+        
+        ostringstream o;
+        o<<csl;
+        return o.str();
+} */
+
+double sumastlpec(int k,vector<vec> pole,vector<vec> pravd) {  //robi sumu k-teho stlpca, pouzivam na konci pri ratani pravdepodobnosti
+        double r=0;
+        for (int i=0;i<pole.size();i++)
+        {
+                r+=pole[i][k]*pravd[i][k];
+        }
+        return r;
+                }
+
+int main () {
+        vector<vector<string>> ADdata;     //nacitavanie dat do pola ADdata -funguje spravne
+                ifstream myfile("C:\\AD_dataupravene.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
+
+                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;
+                                                        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(0,ADdata[j][k+p]);//zmena i -> j aby to bralo regresory z roznych riadkov, ak p=1 bereme data z toho isteho casu
+                                                                
+                                                                cout << "Pred:" << predikce << ", ";
+                                                                cout << "Cond:" << condition << endl;
+                                                                
+                                                                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
+                                                        }                                       
+                                                        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++;
+                                }
+                        }
+                }
+
+                /*  //tu je to povodne
+                mat V0 = 0.0001 * eye ( 2 );  //pre pripad samotnej konstanty
+                ARX Ar;
+                Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                Ar.set_constant ( true );
+                Ar.validate();                  // forgetting is default: 1.0
+                vector<double> pom1;
+                for(int k = 0;k<140;k++) //prechadyame "po riadkoch" 
+                        {
+                                vec predikce;
+                                vec cond;
+                                cond.ins(0,ADdata[3][3]);
+                                predikce.ins(0,ADdata[3][k+2]);                 //predpovede nacitavame a zadavame do Bayes zvlast
+                                Ar.bayes(predikce,cond.right(0));                                       
+                                pom1.push_back(exp(Ar.posterior().lognc()));
+                        }  
+                norm.push_back(pom1);  
+                
+                for (int a=2;a<=3;a++)  //AR(1) bez a potom s konstantou
+                {
+                        bool b=false;                   //b pouzivame pri set_constant
+                        if(a==3)
+                                b=true;
+                        mat V0 = 0.0001 * eye ( a );  //pre pripad samotnej konstanty
+                        
+                        for (int p=0;p < ADdata.size();p++)
+                        {
+                                ARX Ar;
+                                Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                                Ar.set_constant ( b );
+                                Ar.validate();                  // forgetting is default: 1.0
+                                vector<double> pom1;
+                                for(int k = 0;k<140;k++) //prechadyame "po riadkoch" 
+                                {
+                                        vec predikce;
+                                        vec condition;
+                                        condition.ins(0,ADdata[p][k]);
+                                        predikce.ins(0,ADdata[3][k+1]);                 //predpovede nacitavame a zadavame do Bayes zvlast
+                                        Ar.bayes(predikce,condition);                                   
+                                        pom1.push_back(exp(Ar.posterior().lognc()));
+                                }  
+                                norm.push_back(pom1);  //normalizacne faktory pre urcitu kombinaciu regresorov(teda po kazdom riadku) ulozi do pola norm
+                        }
+                }
+                
+                
+                for (int g=3;g<=4;g++)  //tento cyklus je az do konca, raz to robime s konstantou, raz bez.
+                {
+                        bool b;                 //b pouzivame pri set_constant
+                        if(g==3)
+                                b=false;   
+                        else
+                                b=true;
+                        mat V0 = 0.0001 * eye ( g );
+                        for(int i = 0;i < ADdata.size();i++) //po pocet riadkov, co bz malo byt 6
+                        {
+                                for(int j = i+1; j<ADdata.size();j++)
+                                {
+                                        ARX Ar;
+                                        Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                                        Ar.set_constant ( b );
+                                        Ar.validate();
+                                                        // forgetting is default: 1.0
+                                        vector<double> pomocka;
+                                        for(int k = 0;k<140;k++) //prechadyame "po riadkoch" 
+                                        {
+                                                vec condition;  
+                                                vec predikce;
+                                                predikce.ins(0,ADdata[3][k+1]);                 //predpovede nacitavame a zadavame do Bayes zvlast
+                                                condition.ins(0,ADdata[i][k]);                                          
+                                                condition.ins(0,ADdata[j][k]);//zmena i -> j qby to bralo regresory z roznych riadkov                   
+                                                Ar.bayes(predikce,condition);                                   
+                                                pomocka.push_back(exp(Ar.posterior().lognc()));
+                                        }                                       
+                                        norm.push_back(pomocka);  
+                                }
+                        }               
+                        for(int i = 0;i < ADdata.size();i++) //po pocet riadkov, co bz malo byt 6
+                        {
+                                for(int j = 0; j<ADdata.size();j++)
+                                {
+                                        ARX Ar;
+                                        Ar.set_statistics ( 1, V0 ); //nu is default (set to have finite moments)
+                                        Ar.set_constant ( b );
+                                        Ar.validate();
+                                                        // forgetting is default: 1.0
+                                        vector<double> pomocka;
+                                        for(int k = 0;k<140;k++) //prechadyame "po riadkoch" 
+                                        {
+                                                vec condition;  
+                                                vec predikce;
+                                                predikce.ins(0,ADdata[3][k+2]);                 //predpovede nacitavame a zadavame do Bayes zvlast
+                                                condition.ins(0,ADdata[i][k]); 
+                                                
+                                                condition.ins(0,ADdata[j][k+1]);//zmena i -> j qby to bralo regresory z roznych riadkov                 
+                                                Ar.bayes(predikce,condition);                                   
+                                                pomocka.push_back(Ar.posterior().lognc());
+                                        }  
+                                        
+                                        norm.push_back(pomocka);  
+                                }
+                        }
+                }*/
+                        vector<vec> prsti; //hypotez je 85
+                        int m,n,p;
+                        for(p=0;p<115;p++) //inicializuem apriorne pravdepodobnosti
+                        {
+                                vec k;
+                                k.ins(0,1/115.);
+                                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();m++) 
+                        {       double k=sumastlpec(m,norm,prsti);
+                                for(n=0;n < norm.size();n++)
+                                {
+                                        prsti[n].ins(prsti[n].size(),norm[n][m]*prsti[n][m]/k);                         
+                                }
+                        }               
+                        ofstream file;  //zapis pravdepodobnosti do suboru
+                        file.open("prsti_hypot.txt");
+                        for(int i=0;i < prsti.size();i++)
+                        {
+                                for(int j=0;j < prsti[i].size();j++)
+                                {
+                                        if(j!=prsti[i].size()-1)
+                                        {
+                                                file << prsti[i][j]<<" ";
+                                        }else
+                                        {
+                                                file<<prsti[i][j]<<endl;
+                                        }                                       
+                                }
+                        }
+                        file<<endl;
+                        file.close();
+                
+        }
+
+
+