Changeset 1367 for applications/robust

Timestamp:

05/11/11 18:48:05 (14 years ago)

Author:

sindj

Message:

Nova verze main s predikcemi i lognorm faktory. Pristup na DDE data. JS

Location:

applications/robust

Files:

• main.cpp (modified) (15 diffs)
• robustlib.cpp (modified) (1 diff)
• robustlib.h (modified) (10 diffs)

applications/robust/main.cpp

@@ -30 +30 @@
 
 
-
+/*
 HDDEDATA CALLBACK DdeCallback(
         UINT uType,     // Transaction type.
@@ -60 +60 @@
 }
 
+DWORD WINAPI ThrdFunc( LPVOID n )
+{    
+    return 0;
+}
+*/
+
 class model
 {
-        
-
 public:
         list<pair<int,int>> ar_components;
@@ -111 +115 @@
                         if(has_constant)
                         {                               
-                                V0  = 0.01 * eye(ar_components.size()+2);
-                                V0(0,0) = 1;
+                                V0  = 0.001 * eye(ar_components.size()+2);
+                                V0(0,0) = 0;
                                 my_arx->set_constant(true);     
                                 
@@ -119 +123 @@
                         {
                                 
-                                V0  = 0.01 * eye(ar_components.size()+1);
-                                V0(0,0) = 1;
+                                V0  = 0.001 * eye(ar_components.size()+1);
+                                V0(0,0) = 0;
                                 my_arx->set_constant(false);                            
                                 
@@ -151 +155 @@
                 }
         }
+
+        pair<vec,vec> predict(int sample_size, int time, itpp::Laplace_RNG* LapRNG)
+        {
+                vec condition_vector;
+                for(list<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->importance_sample(sample_size);
+
+                        //cout << imp_samples.first << endl;
+                        
+                        vec sample_prediction;                  
+                        for(int t = 0;t<sample_size;t++)
+                        {
+                                vec lap_sample = condition_vector;
+                                
+                                if(has_constant)
+                                {
+                                        lap_sample.ins(lap_sample.size(),1.0);
+                                }
+                                
+                                lap_sample.ins(0,(*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(0,randn());
+
+                                sample_prediction.ins(0,gau_sample*samples.get_col(t));                         
+                        }
+
+                        return pair<vec,vec>(ones(sample_prediction.size()),sample_prediction);
+                }
+        
+        }
+
 
         static list<list<pair<int,int>>> possible_models_recurse(int max_order,int number_of_channels)
@@ -201 +261 @@
 
 
-int main ( int argc, char* argv[] ) {
-        
-        itpp::Laplace_RNG LapRNG = Laplace_RNG();       
+int main ( int argc, char* argv[] ) {   
         
         /*
+        DWORD Id;
+        HANDLE hThrd = CreateThread( NULL, 0, (LPTHREAD_START_ROUTINE)ThrdFunc, (LPVOID)1, 0, &Id);
+  
+        if ( !hThrd )
+    {
+        cout<<"Error Creating Threads,,,,.exiting"<<endl;
+        return -1;
+    }
+    Sleep ( 100 );
+
+        
         char szApp[] = "MT4";
-        char szTopic[] = "BID"; 
-        char szItem1[] = "EURJPY";      
+        char szTopic[] = "QUOTE";       
+        char szItem1[] = "EURUSD";      
 
         //DDE Initialization
@@ -222 +291 @@
         }
 
-        /*
-        //Start DDE Server and wait for it to become idle.
-        HINSTANCE hRet = ShellExecute(0, "open", szTopic, 0, 0, SW_SHOWNORMAL);
-        if ((int)hRet < 33)
-        {
-                printf("Unable to Start DDE Server: 0x%04x\n", hRet);
-                Sleep(1500); DdeUninitialize(idInst);
-                return 0;
-        }
-        Sleep(1000);
-        */
-
-        /*
         //DDE Connect to Server using given AppName and topic.
         HSZ hszApp, hszTopic;
@@ -241 +297 @@
         hszTopic = DdeCreateStringHandle(idInst, szTopic, 0);
         hConv = DdeConnect(idInst, hszApp, hszTopic, NULL);
-        DdeFreeStringHandle(idInst, hszApp);
-        DdeFreeStringHandle(idInst, hszTopic);
+        //DdeFreeStringHandle(idInst, hszApp);
+        //DdeFreeStringHandle(idInst, hszTopic);
         if (hConv == NULL)
         {
@@ -252 +308 @@
         //Execute commands/requests specific to the DDE Server.
         
-        DDERequest(idInst, hConv, szItem1);     
-        
+        DDERequest(idInst, hConv, szItem1);             
+        
+        while(1)
+        {
+                MSG    msg;
+                BOOL   MsgReturn = GetMessage ( &msg , NULL , 0 , 0 );
+            
+                if(MsgReturn)
+                {
+                        TranslateMessage(&msg);
+                        DispatchMessage(&msg);                  
+                }
+        }
+
         //DDE Disconnect and Uninitialize.
-        //DdeDisconnect(hConv);
-        //DdeUninitialize(idInst);
-
-        Sleep(300000);
-        Sleep(3000);
+        DdeDisconnect(hConv);
+        DdeUninitialize(idInst);
+        */
+
         
 
@@ -366 +433 @@
                 myfile << endl;
                 myfile.close();
-        }*/
-    
-
+        }*/    
         
         // EXPERIMENT: A moving window estimation and prediction of RARX is tested on data generated from 
@@ -374 +439 @@
     // can be compared to the classical setup.
         
-
-        
+        itpp::Laplace_RNG LapRNG = Laplace_RNG();       
+
         vector<vector<string>> strings;
 
-        char* file_string = "c:\\dataCDClosePercDiff"; 
+        char* file_string = "c:\\dataADClosePercDiff"; 
 
         char dfstring[80];
@@ -417 +482 @@
         for(list<list<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++)
         {
-                models.push_back(new model((*model_type),true,true,100,0,&data_matrix));
-                models.push_back(new model((*model_type),false,true,100,0,&data_matrix));
-                models.push_back(new model((*model_type),true,false,100,0,&data_matrix));
-                models.push_back(new model((*model_type),false,false,100,0,&data_matrix));
+                for(int window_size = 30;window_size < 31;window_size++)
+                {
+                        models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix));
+                        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));
+                }
         }
         
         mat result_lognc;
+        mat result_preds;
 
         for(int time = max_model_order;time<data_matrix.cols();time++) //time<data_matrix.cols()
         {       
                 vec cur_res_lognc;
+                vec preds;
 
                 for(list<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
                 {
-                        (*model_ref)->data_update(time);
+                        (*model_ref)->data_update(time);                        
+
                         if((*model_ref)->my_rarx!=NULL)
                         {
@@ -440 +511 @@
                                 cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_arx->posterior().lognc());
                         }
-                }
+
+                        pair<vec,vec> predictions = (*model_ref)->predict(500,time,&LapRNG);
+
+                        preds.ins(preds.size(),(predictions.first*predictions.second)/(predictions.first*ones(predictions.first.size())));
+                }
+
+                preds.ins(0,data_matrix.get(0,time+1));
 
                 result_lognc.ins_col(result_lognc.cols(),cur_res_lognc);
-
-                cout << "Updated." << endl;
+                result_preds.ins_col(result_preds.cols(),preds);
+
+                // cout << "Updated." << endl;
         
                 /*
@@ -661 +739 @@
                                         strcpy(fstring,file_string);
                                         
-                                        strcat(fstring,"lognc.txt");                                    
+                                        strcat(fstring,"preds.txt");                                    
 
                                         myfile.open(fstring,ios::app);
@@ -667 +745 @@
                                         // myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0];
                                         
-                                        for(int i = 0;i<cur_res_lognc.size();i++)
+                                        for(int i = 0;i<preds.size();i++)
                                         {
-                                                myfile << cur_res_lognc[i] << ',';
+                                                myfile << preds[i] << ',';
                                         }
 

applications/robust/robustlib.cpp

@@ -192 +192 @@
                                                 }
 
-                                                double a_m = (*vert_ref)->get_coordinates()*cur_condition-as_toprow->condition_sum[0];
+                                                double a_m = -(*vert_ref)->get_coordinates()*cur_condition+as_toprow->condition_sum[0];
                                                 if(a_m<current_emlig->min_ll)
                                                 {

applications/robust/robustlib.h

@@ -1112 +1112 @@
         void step_me(int marker)
         {
-                
+                set<int> orders;
+
                 for(int i = 0;i<statistic.size();i++)
                 {
@@ -1125 +1126 @@
                                 if(i==statistic.size()-1)
                                 {
+                                        orders.insert(((toprow*)horiz_ref)->condition_order);
+                                        
+                                        /*
                                         cout << ((toprow*)horiz_ref)->condition_sum << "   " << ((toprow*)horiz_ref)->probability << endl;
                                         cout << "Condition: " << ((toprow*)horiz_ref)->condition_sum << endl;
-                                        cout << "Order:" << ((toprow*)horiz_ref)->condition_order << endl;
+                                        cout << "Order:" << ((toprow*)horiz_ref)->condition_order << endl;*/
                                 }
                                 
@@ -1142 +1146 @@
                                 }
 
+                                /*
                                 for(set<simplex*>::iterator sim_ref = (*horiz_ref).triangulation.begin();sim_ref!=(*horiz_ref).triangulation.end();sim_ref++)
                                 {
@@ -1149 +1154 @@
                                         }
                                 }
+                                */
                                 
                                 /*
@@ -1437 +1443 @@
 
                         for(vector<list<polyhedron*>>::iterator vert_ref = for_merging.begin();vert_ref<for_merging.end();vert_ref++)
-                        {
-                                for(list<polyhedron*>::reverse_iterator merge_ref = vert_ref->rbegin();merge_ref!=vert_ref->rend();merge_ref++)
+                        {                               
+                                for(list<polyhedron*>::iterator merge_ref = (*vert_ref).begin();merge_ref!=(*vert_ref).end();merge_ref++)
                                 {
                                         if((*merge_ref)->get_multiplicity()>1)
@@ -1649 +1655 @@
                                                 }                               
 
-                                                statistic.delete_polyhedron(k-1,*merge_ref);
-
-                                                
+                                                statistic.delete_polyhedron(k-1,*merge_ref);                                            
+
+                                                for_splitting[k-1].remove(*merge_ref);
+                                                //for_merging[k].remove(*loc_merge_ref);
 
                                                 if(k==1)
                                                 {                                                       
-                                                        vertices_to_be_reduced.insert((vertex*)(*merge_ref));
-                                                        for_splitting[k-1].remove(*merge_ref);
+                                                        vertices_to_be_reduced.insert((vertex*)(*merge_ref));                                                   
                                                 }
+                                                /*
                                                 else
-                                                {
-                                                        delete (*merge_ref);
-                                                        for_splitting[k-1].remove(*merge_ref);
+                                                {                                                       
+                                                        delete (*loc_merge_ref);
                                                 }
+                                                */                                              
                                         }
                                 }                       
@@ -1881 +1888 @@
 
                 log_nc = log(normalization_factor) + logfact(condition_order-number_of_parameters-2)-(condition_order-number_of_parameters-2)*log(2.0);
+
+                if(condition_order == 20)
+                                                        step_me(88);
+
+                //cout << "Factorial factor: " << condition_order-number_of_parameters-2 << endl;
 
                 /*
@@ -2046 +2058 @@
                                 for(multimap<double,double>::iterator pg_ref = (*v_ref).begin();pg_ref!=(*v_ref).end();pg_ref++)
                                 {
-                                        pg_sum += exp((sampled_simplex->min_beta-(*pg_ref).second)/sigma)*pow((*pg_ref).second/sigma,(int)conditions.size()-number_of_parameters-1)*(*pg_ref).second/fact(conditions.size()-number_of_parameters-1)*(*pg_ref).first;
+                                        pg_sum += exp((sampled_simplex->min_beta-(*pg_ref).second)/sigma)*pow((*pg_ref).second/sigma,(int)conditions.size())*(*pg_ref).second/fact(conditions.size())*(*pg_ref).first;
                                 }                                       
                         }
@@ -2055 +2067 @@
                                 for(multimap<double,double>::iterator ng_ref = (*v_ref).begin();ng_ref!=(*v_ref).end();ng_ref++)
                                 {
-                                        ng_sum += exp((sampled_simplex->min_beta-(*ng_ref).second)/sigma)*pow((*ng_ref).second/sigma,(int)conditions.size()-number_of_parameters-1)*(*ng_ref).second/fact(conditions.size()-number_of_parameters-1)*(*ng_ref).first;
+                                        ng_sum += exp((sampled_simplex->min_beta-(*ng_ref).second)/sigma)*pow((*ng_ref).second/sigma,(int)conditions.size())*(*ng_ref).second/fact(conditions.size())*(*ng_ref).first;
                                 }                                       
                         }
@@ -2788 +2800 @@
                 this->has_constant = has_constant;
                 
-                posterior = new emlig(number_of_parameters,0.01);
+                posterior = new emlig(number_of_parameters,0.001);
 
                 this->window_size = window_size;