Context Navigation

← Previous Changeset
Next Changeset →

Changeset 1361

Timestamp:

05/09/11 00:09:35 (13 years ago)

Author:

sindj

Message:

Do main.cpp pridelano automaticke odhadovani struktury modelu a automaticke generovani pripustnych modelu. JS

Location:

applications/robust

Files:

: 4 modified

CMakeLists.txt (modified) (1 diff)
DDEClient.h (modified) (1 diff)
main.cpp (modified) (9 diffs)
robustlib.h (modified) (1 diff)

Legend:

: Unmodified
: Added
: Removed

applications/robust/CMakeLists.txt

r1358	r1361
15	15
16	16	add_library(robustlib robustlib.cpp robustlib.h)
17		add_library(DDEClient ddeclient.cpp ddeclient.h dcerrors.h)
	17	add_library(DDEClient SHARED ddeclient.cpp ddeclient.h dcerrors.h)
18	18
19	19	EXEC(main robustlib DDEClient)

applications/robust/DDEClient.h

r1358	r1361
5	5	// Date: 04.10.2006
6	6	//
	7	#include "windows.h"
7	8
8	9	// DDE data structure for access data received by DDE transaction

applications/robust/main.cpp

r1358	r1361
13	13	#include <fstream>
14	14	#include <itpp/itsignal.h>
15		#include <windows.h>
16		#include "DDEClient.h"
17		#include <conio.h>
	15	#include "windows.h"
	16	#include "ddeml.h"
	17	#include "stdio.h"
	18
	19	//#include "DDEClient.h"
	20	//#include <conio.h>
18	21
19	22
…	…
21	24	using namespace bdm;
22	25
23		const int emlig_size = 2;
24		const int utility_constant = 5;
	26	//const int emlig_size = 2;
	27	//const int utility_constant = 5;
	28
	29	const int max_model_order = 2;
	30
	31
	32
	33	HDDEDATA CALLBACK DdeCallback(
	34	UINT uType, // Transaction type.
	35	UINT uFmt, // Clipboard data format.
	36	HCONV hconv, // Handle to the conversation.
	37	HSZ hsz1, // Handle to a string.
	38	HSZ hsz2, // Handle to a string.
	39	HDDEDATA hdata, // Handle to a global memory object.
	40	DWORD dwData1, // Transaction-specific data.
	41	DWORD dwData2) // Transaction-specific data.
	42	{
	43	return 0;
	44	}
	45
	46	void DDERequest(DWORD idInst, HCONV hConv, char* szItem)
	47	{
	48	HSZ hszItem = DdeCreateStringHandle(idInst, szItem, 0);
	49	HDDEDATA hData = DdeClientTransaction(NULL,0,hConv,hszItem,CF_TEXT,
	50	XTYP_REQUEST,TIMEOUT_ASYNC , NULL);
	51	if (hData==NULL)
	52	{
	53	printf("Request failed: %s\n", szItem);
	54	}
	55
	56	if (hData==0)
	57	{
	58	printf("Request failed: %s\n", szItem);
	59	}
	60	}
	61
	62	class model
	63	{
	64
	65
	66	public:
	67	list<pair<int,int>> ar_components;
	68
	69	// Best thing would be to inherit the two models from a single souce, this is planned, but now structurally
	70	// problematic.
	71	RARX* my_rarx;
	72	ARXwin* my_arx;
	73
	74	bool has_constant;
	75	int window_size;
	76	int predicted_channel;
	77	mat* data_matrix;
	78
	79	model(list<pair<int,int>> ar_components,
	80	bool robust,
	81	bool has_constant,
	82	int window_size,
	83	int predicted_channel,
	84	mat* data_matrix)
	85	{
	86	this->ar_components.insert(this->ar_components.begin(),ar_components.begin(),ar_components.end());
	87	this->has_constant = has_constant;
	88	this->window_size = window_size;
	89	this->predicted_channel = predicted_channel;
	90	this->data_matrix = data_matrix;
	91
	92	if(robust)
	93	{
	94	if(has_constant)
	95	{
	96	my_rarx = new RARX(ar_components.size()+1,window_size,true);
	97	my_arx = NULL;
	98	}
	99	else
	100	{
	101	my_rarx = new RARX(ar_components.size(),window_size,false);
	102	my_arx = NULL;
	103	}
	104	}
	105	else
	106	{
	107	my_rarx = NULL;
	108	my_arx = new ARXwin();
	109	mat V0;
	110
	111	if(has_constant)
	112	{
	113	V0 = 0.0001 * eye(ar_components.size()+2);
	114	//V0(0,0) = 0.1;
	115	my_arx->set_constant(true);
	116
	117	}
	118	else
	119	{
	120
	121	V0 = 0.0001 * eye(ar_components.size()+1);
	122	//V0(0,0) = 0.1;
	123	my_arx->set_constant(false);
	124
	125	}
	126
	127	my_arx->set_statistics(1, V0);
	128	my_arx->set_parameters(window_size);
	129	my_arx->validate();
	130	}
	131	}
	132
	133	void data_update(int time)
	134	{
	135	vec data_vector;
	136	for(list<pair<int,int>>::iterator ar_iterator = ar_components.begin();ar_iterator!=ar_components.end();ar_iterator++)
	137	{
	138	data_vector.ins(data_vector.size(),(*data_matrix).get(ar_iterator->first,time-ar_iterator->second));
	139	}
	140
	141	if(my_rarx!=NULL)
	142	{
	143	data_vector.ins(0,(*data_matrix).get(predicted_channel,time));
	144	my_rarx->bayes(data_vector);
	145	}
	146	else
	147	{
	148	vec pred_vec;
	149	pred_vec.ins(0,(*data_matrix).get(predicted_channel,time));
	150	my_arx->bayes(pred_vec,data_vector);
	151	}
	152	}
	153
	154	static list<list<pair<int,int>>> possible_models_recurse(int max_order,int number_of_channels)
	155	{
	156	list<list<pair<int,int>>> created_model_types;
	157
	158	if(max_order == 1)
	159	{
	160	for(int channel = 0;channel<number_of_channels;channel++)
	161	{
	162	list<pair<int,int>> returned_type;
	163	returned_type.push_back(pair<int,int>(channel,1));
	164	created_model_types.push_back(returned_type);
	165	}
	166
	167	return created_model_types;
	168	}
	169	else
	170	{
	171	created_model_types = possible_models_recurse(max_order-1,number_of_channels);
	172	list<list<pair<int,int>>> returned_types;
	173
	174	for(list<list<pair<int,int>>>::iterator model_ref = created_model_types.begin();model_ref!=created_model_types.end();model_ref++)
	175	{
	176
	177	for(int order = 1; order<=max_order; order++)
	178	{
	179	for(int channel = 0;channel<number_of_channels;channel++)
	180	{
	181	list<pair<int,int>> returned_type;
	182	pair<int,int> new_pair = pair<int,int>(channel,order);
	183	if(find((model_ref).begin(),(model_ref).end(),new_pair)==(*model_ref).end())
	184	{
	185	returned_type.insert(returned_type.begin(),(model_ref).begin(),(model_ref).end());
	186	returned_type.push_back(new_pair);
	187	returned_types.push_back(returned_type);
	188	}
	189	}
	190	}
	191	}
	192
	193	created_model_types.insert(created_model_types.end(),returned_types.begin(),returned_types.end());
	194
	195	return created_model_types;
	196	}
	197	}
	198	};
	199
	200
25	201
26	202
27	203	int main ( int argc, char* argv[] ) {
28	204
29		itpp::Laplace_RNG LapRNG = Laplace_RNG();
30
31		WORD wConvNo;
32		char szType[] = "request";
33		char szData[21];
34		char szItem[] = "EURUSD";
35		char szService[] = "MT4";
36		char szTopic[] = "BID";
37		char szFormat[] = "CF_TEXT";
38		DWORD dwTimeout = 0;
39		//char szAccess[] = "string";
40
41		if(!DCInit())
42		{
43		cout << "DDE doesn't work." << endl;
44		}
45		else
46		{
47		// The following if-block shows a complete conversation with a
48		// single transaction. You therefore do not need to free any memory
49		// explicitly.
50
51		// connect to server
52		if (!DCConnect(&wConvNo,szService, szTopic))
53		{
54		cout << "Couldn't connect DDE." << endl;
55		}
56		else
57		{
58		// do synchronous request transaction, wait max. 1000 ms,
59		// return data as string
60		if(!DCRequestString(wConvNo,szItem,100000))
61		{
62		cout << "No data available." << endl;
63		}
64		else
65		{
66		if(!DCAsynchTransactionCompleted(wConvNo,DCDA[wConvNo]->dwTransID,true))
67		{
68		cout << "Asynchronous transaction error." << endl;
69		}
70		else
71		{
72		// output data to console if transaction complete
73		// DCDA[wConvNo]->pszData is the pointer to the data string
74		cprintf(DCDA[wConvNo]->pszData);
75		DCFreeDdeMem(wConvNo);
76		}
77		}
78		// end conversation
79		if(!DCDisconnect(wConvNo))
80		{
81		cout << "Couldn't disconnect DDE." << endl;
82		}
83		}
84		}
85
	205	itpp::Laplace_RNG LapRNG = Laplace_RNG();
	206
	207	/*
	208	char szApp[] = "MT4";
	209	char szTopic[] = "ASK";
	210	char szItem1[] = "EURUSD";
	211
	212	//DDE Initialization
	213	DWORD idInst=0;
	214	UINT iReturn;
	215	iReturn = DdeInitialize(&idInst, (PFNCALLBACK)DdeCallback,
	216	APPCLASS_STANDARD \| APPCMD_CLIENTONLY, 0 );
	217	if (iReturn!=DMLERR_NO_ERROR)
	218	{
	219	printf("DDE Initialization Failed: 0x%04x\n", iReturn);
	220	Sleep(1500);
	221	return 0;
	222	}
	223
	224	/*
	225	//Start DDE Server and wait for it to become idle.
	226	HINSTANCE hRet = ShellExecute(0, "open", szTopic, 0, 0, SW_SHOWNORMAL);
	227	if ((int)hRet < 33)
	228	{
	229	printf("Unable to Start DDE Server: 0x%04x\n", hRet);
	230	Sleep(1500); DdeUninitialize(idInst);
	231	return 0;
	232	}
	233	Sleep(1000);
	234	*/
	235
	236	/*
	237	//DDE Connect to Server using given AppName and topic.
	238	HSZ hszApp, hszTopic;
	239	HCONV hConv;
	240	hszApp = DdeCreateStringHandle(idInst, szApp, 0);
	241	hszTopic = DdeCreateStringHandle(idInst, szTopic, 0);
	242	hConv = DdeConnect(idInst, hszApp, hszTopic, NULL);
	243	DdeFreeStringHandle(idInst, hszApp);
	244	DdeFreeStringHandle(idInst, hszTopic);
	245	if (hConv == NULL)
	246	{
	247	printf("DDE Connection Failed.\n");
	248	Sleep(1500); DdeUninitialize(idInst);
	249	return 0;
	250	}
	251
	252	//Execute commands/requests specific to the DDE Server.
	253
	254	DDERequest(idInst, hConv, szItem1);
	255
	256	//DDE Disconnect and Uninitialize.
	257	//DdeDisconnect(hConv);
	258	//DdeUninitialize(idInst);
	259
	260	Sleep(300000);
	261	Sleep(3000);
	262	*/
	263
86	264	/*
87	265	// EXPERIMENT: 100 AR model generated time series of length of 30 from y_t=0.95y_(t-1)+0.05y_(t-2)+0.2*e_t,
…	…
190	368	}*/
191	369
	370
192	371
193	372	// EXPERIMENT: A moving window estimation and prediction of RARX is tested on data generated from
…	…
198	377	vector<vector<string>> strings;
199	378
200		char* file_strings[3] = {"c:\\dataADClosePercDiff","c:\\ar_student_single","c:\\ar_cauchy_single"};
201
202		for(int i = 0;i<3;i++)
203		{
204		char dfstring[80];
205		strcpy(dfstring,file_strings[i]);
206		strcat(dfstring,".txt");
	379	char* file_string = "c:\\data";
	380
	381	char dfstring[80];
	382	strcpy(dfstring,file_string);
	383	strcat(dfstring,".txt");
207	384
208		ifstream myfile(dfstring);
209		if (myfile.is_open())
	385
	386	mat data_matrix;
	387	ifstream myfile(dfstring);
	388	if (myfile.is_open())
	389	{
	390	string line;
	391	while(getline(myfile,line))
210	392	{
211		string line;
212		getline(myfile,line);
213
214		vector<string> parsed_line;
	393	vec data_vector;
215	394	while(line.find(',') != string::npos)
216	395	{
217		int loc = line.find(',');
218		parsed_line.push_back(line.substr(0,loc));
	396	int loc2 = line.find('\n');
	397	int loc = line.find(',');
	398	data_vector.ins(data_vector.size(),atof(line.substr(0,loc).c_str()));
219	399	line.erase(0,loc+1);
220		}
221
222		strings.push_back(parsed_line);
223
224		myfile.close();
225		}
226		}
227
228
229
230		for(int j = 0;j<strings.size();j++)
231		{
	400	}
	401
	402	data_matrix.ins_row(data_matrix.rows(),data_vector);
	403	}
	404
	405	myfile.close();
	406	}
	407	else
	408	{
	409	cout << "Can't open data file!" << endl;
	410	}
	411
	412	list<list<pair<int,int>>> model_types = model::possible_models_recurse(max_model_order,data_matrix.rows());
	413
	414	list<model*> models;
	415	for(list<list<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++)
	416	{
	417	models.push_back(new model((*model_type),true,false,30,0,&data_matrix));
	418	models.push_back(new model((*model_type),false,false,30,0,&data_matrix));
	419	}
	420
	421	mat result_lognc;
	422
	423	for(int time = max_model_order;20;time++) //time<data_matrix.cols()
	424	{
	425	vec cur_res_lognc;
	426
	427	for(list<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
	428	{
	429	(*model_ref)->data_update(time);
	430	if((*model_ref)->my_rarx!=NULL)
	431	{
	432	cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_rarx->posterior->log_nc);
	433	}
	434	else
	435	{
	436	cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_arx->posterior().lognc());
	437	}
	438	}
	439
	440	result_lognc.ins_col(result_lognc.cols(),cur_res_lognc);
	441
	442	cout << "Updated." << endl;
	443
	444	/*
232	445	vector<vec> conditions;
233	446	//emlig* emliga = new emlig(2);
…	…
271	484	my_arx->bayes(cond_vec,conditions[k-3].right(2));
272	485
273
	486	/*
274	487	if(k>8)
275	488	{
…	…
360	573	*/
361	574
362
	575	/*
363	576
364	577	cvec actions = roots(poly_coefs);
…	…
434	647
435	648	// cout << "Prediction: "<< prediction << endl;
436
	649	/*
437	650	enorm<ldmat>* pred_mat = my_arx->epredictor(conditions[k-3].left(2));
438	651	double prediction2 = pred_mat->mean()[0];
439
	652	*/
440	653
441	654	ofstream myfile;
442		char fstring[80];
443		char f2string[80];
444		strcpy(fstring,file_strings[j]);
445		strcpy(f2string,fstring);
446
447		strcat(fstring,"pred.txt");
448		strcat(f2string,"2pred.txt");
449
	655	char fstring[80];
	656	strcpy(fstring,file_string);
	657
	658	strcat(fstring,"lognc.txt");
450	659
451	660	myfile.open(fstring,ios::app);
452	661
453	662	// myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0];
454		myfile << prediction;
	663
	664	for(int i = 0;i<cur_res_lognc.size();i++)
	665	{
	666	myfile << cur_res_lognc[i] << ',';
	667	}
	668
	669	myfile << endl;
	670
	671	myfile.close();
	672
	673	/*
	674	myfile.open(f2string,ios::app);
	675	myfile << prediction2;
455	676
456	677	if(k!=strings[j].size()-1)
…	…
463	684	}
464	685	myfile.close();
465
466
467		myfile.open(f2string,ios::app);
468		myfile << prediction2;
469
470		if(k!=strings[j].size()-1)
471		{
472		myfile << ",";
473		}
474		else
475		{
476		myfile << endl;
477		}
478		myfile.close();
479		//*/
	686	////
480	687
481	688	}
482		}
	689	} */
483	690
484	691	//emliga->step_me(0);
…	…
496	703	cout << "MaxLik coords:" << emliga->minimal_vertex->get_coordinates() << endl;
497	704	cout << "Step: " << i << endl;*/
498		}
	705	//}
499	706
500	707

applications/robust/robustlib.h

r1357	r1361
22	22	using namespace itpp;
23	23
24		const double max_range = 5;//numeric_limits<double>::max()/10e-10;
	24	const double max_range = 20;//numeric_limits<double>::max()/10e-10;
25	25
26	26	/// An enumeration of possible actions performed on the polyhedrons. We can merge them or split them.