Changeset 1401 for applications/robust

Timestamp:

10/04/11 17:51:21 (14 years ago)

Author:

sindj

Message:

Nevim, co se zmenilo, dodelani experimentu s maxlik odhady asi. JS

Location:

applications/robust

Files:

• main.cpp (modified) (9 diffs)
• robustlib.cpp (modified) (1 diff)

applications/robust/main.cpp

@@ -27 +27 @@
 //const int utility_constant = 5;
 
-const int max_model_order = 1;
+const int max_model_order = 2;
 const double apriorno     = 0.01;
-const int max_window_size = 121;
-
-/*
-HDDEDATA CALLBACK DdeCallback(
-        UINT uType,     // Transaction type.
-        UINT uFmt,      // Clipboard data format.
-        HCONV hconv,    // Handle to the conversation.
-        HSZ hsz1,       // Handle to a string.
-        HSZ hsz2,       // Handle to a string.
-        HDDEDATA hdata, // Handle to a global memory object.
-        DWORD dwData1,  // Transaction-specific data.
-        DWORD dwData2)  // Transaction-specific data.
-{
-        return 0;
-}
-
-void DDERequest(DWORD idInst, HCONV hConv, char* szItem)
-{
-        HSZ hszItem = DdeCreateStringHandle(idInst, szItem, 0);
-        HDDEDATA hData = DdeClientTransaction(NULL,0,hConv,hszItem,CF_TEXT, 
-                                                                        XTYP_ADVSTART,TIMEOUT_ASYNC , NULL); //TIMEOUT_ASYNC
-        if (hData==NULL)
-        {
-                printf("Request failed: %s\n", szItem);
-        }
-
-        if (hData==0)
-        {
-                printf("Request failed: %s\n", szItem);
-        }
-}
-
-DWORD WINAPI ThrdFunc( LPVOID n )
-{    
-    return 0;
-}
-*/
+const int max_window_size = 30;
 
 class model
@@ -168 +132 @@
                 vec data_vector;
                 for(set<pair<int,int>>::iterator ar_iterator = ar_components.begin();ar_iterator!=ar_components.end();ar_iterator++)
-                {  //ar?iterator ide len od 1 pod 2, alebo niekedy len 1
+                {  
                         data_vector.ins(data_vector.size(),(*data_matrix).get(ar_iterator->first,time-ar_iterator->second));
-// do data vector vlozi pre dany typ regresoru prislusne cisla z data_matrix. Ale ako? preco time-ar_iterator->second?
                 }
                 if(my_rarx!=NULL)
-                {       //pre robust priradi az tu do data_vector aj predikciu
+                {       
                         data_vector.ins(0,(*data_matrix).get(predicted_channel,time));
                         my_rarx->bayes(data_vector);
@@ -179 +142 @@
                 else
                 {
-                        vec pred_vec;//tu sa predikcia zadava zvlast
+                        vec pred_vec;
                         pred_vec.ins(0,(*data_matrix).get(predicted_channel,time));
                         my_arx->bayes(pred_vec,data_vector);
@@ -245 +208 @@
                 set<set<pair<int,int>>> created_model_types;            
 
-                if(max_order == 1)//ukoncovacia vetva
+                if(max_order == 1)
                 {                       
-                        for(int channel = 0;channel<number_of_channels;channel++)//pre AR 1 model vytvori kombinace kanalov v prvom kroku poyadu
+                        for(int channel = 0;channel<number_of_channels;channel++)
                         {
                                 set<pair<int,int>> returned_type;
-                                returned_type.insert(pair<int,int>(channel,1));  //??
+                                returned_type.insert(pair<int,int>(channel,1));  
                                 created_model_types.insert(returned_type);
                         }
@@ -258 +221 @@
                 else
                 {
-                        created_model_types = possible_models_recurse(max_order-1,number_of_channels);//tu uz mame ulozene kombinace o jeden krok dozadu  //rekuryivne volanie
+                        created_model_types = possible_models_recurse(max_order-1,number_of_channels);
                         set<set<pair<int,int>>> returned_types;
                         
@@ -269 +232 @@
                                         {
                                                 set<pair<int,int>> returned_type;
-                                                pair<int,int> new_pair = pair<int,int>(channel,order);//??
-                                                if(find((*model_ref).begin(),(*model_ref).end(),new_pair)==(*model_ref).end()) //??
+                                                pair<int,int> new_pair = pair<int,int>(channel,order);
+                                                if(find((*model_ref).begin(),(*model_ref).end(),new_pair)==(*model_ref).end()) 
                                                 {
-                                                        returned_type.insert((*model_ref).begin(),(*model_ref).end()); //co vlozi na zaciatok retuned_type?
+                                                        returned_type.insert((*model_ref).begin(),(*model_ref).end()); 
                                                         returned_type.insert(new_pair);
                                                         
@@ -294 +257 @@
 int main ( int argc, char* argv[] ) 
 {
-        
-        // EXPERIMENT: A moving window estimation and prediction of RARX is tested on data generated from 
-    // y_t=0.95*y_(t-1)+0.05*y_(t-2)+0.2*e_t, where e_t is normally, student(4) and cauchy distributed. It
-    // can be compared to the classical setup.
-        
-        itpp::Laplace_RNG LapRNG = Laplace_RNG();       
-
         vector<vector<string>> strings;
 
-        char* file_string =  "C:\\results\\cauchy"; // "C:\\dataADClosePercDiff"; //  
+        char* file_string =  "C:\\results\\normalM"; // "C:\\dataADClosePercDiff"; //  
 
         char dfstring[80];
@@ -318 +274 @@
                 {                       
                         vec data_vector;
-                        while(line.find(',') != string::npos) //zmenil som ciarku za medzeru
-                        {
-                                //line.erase(0,1); // toto som sem pridal
+                        while(line.find(',') != string::npos) 
+                        {                               
                                 int loc2 = line.find('\n');
                                 int loc  = line.find(',');
@@ -336 +291 @@
                 cout << "Can't open data file!" << endl;
         }
-        
-        //konec nacitavania dat
-        set<set<pair<int,int>>> model_types = model::possible_models_recurse(max_model_order,data_matrix.rows()); //volanie funkce kde robi kombinace modelov
-                                                                                                //to priradime do model_types, data_matrix.row urcuje pocet kanalov dat
+
+        set<pair<int,int>> model_type;
+        model_type.insert(pair<int,int>(0,1));
+        model_type.insert(pair<int,int>(0,2));
+
         vector<model*> models;
-        for(set<set<pair<int,int>>>::iterator model_type = model_types.begin();model_type!=model_types.end();model_type++)
-        {// prechadza rozne typy kanalov, a poctu regresorov
-                for(int window_size = max_window_size-1;window_size < max_window_size;window_size++)
-                {
-                        //models.push_back(new model((*model_type),true,true,window_size,0,&data_matrix));   // to su len konstruktory, len inicializujeme rozne typy
-                        //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));              
-                }
-
-                //set<pair<int,int>> empty_list;
-                //models.push_back(new model(empty_list,false,true,100,0,&data_matrix));
-        }
-        
-        mat result_lognc;
-        // mat result_preds;
 
         ofstream myfilew;
-        //char fstring[80];                                     
-        //strcpy(fstring,file_string);
-        //strcat(fstring,"lognc.txt");
-        //strcat(fstring,"preds.txt");  
-
-        for(int time = max_model_order;time<data_matrix.cols();time++) //time<data_matrix.cols() 
-        {       
-                if(time==max_window_size)
-                {
-                        exit(1);
-                }
                 
-                //pocet stlpcov data_matrix je pocet casovych krokov
-                vec cur_res_lognc;
-                // vec preds;
-                vector<string> nazvy;
-                for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
-                {//posuvam s apo models, co je pole modelov urobene o cyklus vyssie. Teda som v case time a robim to tam pre vsetky typy modelov, kombinace regresorov
-                        (*model_ref)->data_update(time); //pozret sa preco je toto tu nutne
-
-                        cout << "Updated." << endl;
-                        //if (time = max_model_order) nazvy.push_back(models.model_ref]);// ako by som mohol dostat nazov modelu?
-
-                        if((*model_ref)->my_rarx!=NULL) //vklada normalizacni faktor do cur_res_lognc
-                        {
-                                cout << "Maxlik vertex:" << (*model_ref)->my_rarx->posterior->minimal_vertex->get_coordinates() << endl;
-                                cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_rarx->posterior->_ll());                                
-                        }
-                        else
-                        {
-                                cur_res_lognc.ins(cur_res_lognc.size(),(*model_ref)->my_arx->_ll());
-                        }
-                        
-                        if(time == max_window_size-1)
-                        {
-                                //***********************
-                                int sample_size = 100000;
-                                //***********************
-                                
-                                pair<vec,mat> samples;
-                                if((*model_ref)->my_arx!=NULL)
+
+        while(data_matrix.rows()!=0)
+        {
+                for(int i=0;i<models.size();i++)
+                {
+                        delete models[i];
+                }
+                
+                models.clear();
+                models.push_back(new model(model_type,true,false,max_window_size,0,&data_matrix));
+                models.push_back(new model(model_type,false,false,max_window_size,0,&data_matrix));
+
+                for(int time = max_model_order;time<max_window_size;time++) //time<data_matrix.cols() 
+                {               
+                        vec cur_res_lognc;
+                
+                        vector<string> nazvy;
+                        for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
+                        {
+                                (*model_ref)->data_update(time);
+
+                                cout << "Updated:" << time << endl;     
+
+                                if(time == max_window_size-1)
                                 {
-                                        mat samp_mat = (*model_ref)->my_arx->posterior().sample_mat(sample_size);
-                                        samples = pair<vec,mat>(ones(samp_mat.cols()),samp_mat);
+                                        char fstring[80];                                       
+                                        strcpy(fstring,file_string);
+                                        strcat(fstring,"ml");                                   
+                                        strcat(fstring,(*model_ref)->name);
+                                        strcat(fstring,".txt");
+
+                                        vec coords;
+                                        if((*model_ref)->my_arx!=NULL)
+                                        {
+                                                coords = (*model_ref)->my_arx->posterior().est_theta();
+                                        }
+                                        else
+                                        {
+                                                coords = (*model_ref)->my_rarx->posterior->minimal_vertex->get_coordinates();                                           
+                                        }
+
+                                        myfilew.open(fstring,ios::app);
+
+                                        for(int i=0;i<coords.size();i++)
+                                        {
+                                                myfilew << coords.get(i) << ",";
+                                        }
+                                        myfilew << endl;
+
+                                        myfilew.close();                                
                                 }
-                                else
-                                {
-                                        samples = (*model_ref)->my_rarx->posterior->sample(sample_size,true);                                   
-                                }
-
-                                char fstring[80];                                       
-                                strcpy(fstring,file_string);
-                                strcat(fstring,(*model_ref)->name);
-                                strcat(fstring,".txt");
-                                
-                                //cout << samples.first << endl;
-                                
-                                myfilew.open(fstring,ios::app);
-                                
-                                /*
-                                for(int i = 0;i<samples.first.size();i++)
-                                {
-                                        myfilew << samples.first.get(i) << ",";
-                                }
-                                myfilew << endl;
-                                */
-
-                                for(int j = 0;j<samples.second.rows()+1;j++)
-                                {                       
-                                        for(int i = 0;i<samples.second.cols();i++)
-                                        {
-                                                if(j!=samples.second.rows())
-                                                {
-                                                        myfilew << samples.second.get(j,i) << ",";
-                                                }
-                                                /*
-                                                else
-                                                {
-                                                        myfilew << "0,";
-                                                }
-                                                */
-                                        }                               
-                                        myfilew << endl;
-                                }
-
-                                cout << "*************************************" << endl;
-
-                                myfilew.close();                                
-                        }
-                        
-                        /* // PREDICTIONS
-                        pair<vec,vec> predictions = (*model_ref)->predict(500,time,&LapRNG);
-
-                        cout << predictions.first << endl << predictions.second << endl;
-
-                        double avg_prediction = (predictions.first*predictions.second)/(predictions.first*ones(predictions.first.size()));
-
-                        (*model_ref)->predictions.ins((*model_ref)->predictions.size(),avg_prediction);
-                                        
-                        myfilew.open(fstring,ios::app);
-                        myfilew << avg_prediction << ","; 
-                        myfilew.close();
-                        */
-
-                        //preds.ins(0,data_matrix.get(0,time+1));
-                }
-
-                
-                /* // REAL PRICE
-                myfilew.open(fstring,ios::app);
-                myfilew << data_matrix.get(0,time+1) << endl;
-                myfilew.close();
-                */
-
-                result_lognc.ins_col(result_lognc.cols(),cur_res_lognc);
-                // result_preds.ins_col(result_preds.cols(),preds);
-
-                // cout << "Updated." << endl;  
-                                                        
-                /*
-                myfilew.open(fstring,ios::app);
-                
-                // myfile << my_rarx->posterior->minimal_vertex->get_coordinates()[0];
-                
-                if(time == max_model_order)
-                { 
-                        for(int i = 0;i<cur_res_lognc.size();i++)
-                        {
-                                for(set<pair<int,int>>::iterator ar_ref = models[i]->ar_components.begin();ar_ref != models[i]->ar_components.end();ar_ref++)
-                                {
-                                        myfilew << (*ar_ref).second << (*ar_ref).first;                                                 
-                                }
-
-                                myfilew << ".";
-
-                                if(models[i]->my_arx == NULL)
-                                {
-                                        myfilew << "1";
-                                }
-                                else
-                                {
-                                        myfilew << "0";
-                                }
-                                        
-                                if(models[i]->has_constant)
-                                {
-                                        myfilew << "1";
-                                }
-                                else
-                                {
-                                        myfilew << "0";
-                                }
-
-                                myfilew << ",";
-                        }
-
-                        myfilew << endl;
-                }
-                
-                
-                // for(int i = 0;i<cur_res_lognc.size();i++)
-                // {
-                //         myfilew << cur_res_lognc[i] << ' ';//zmenil som ciarku ze medzeru
-                // }
-                
-
-                myfilew << endl;                                
-                
-                myfilew.close();
-                */
-                
-}
-        
-
-
-        // EXPERIMENT: One step ahead price prediction. Comparison of classical and robust model using optimal trading
-    //             with maximization of logarithm of one-step ahead wealth.
-
-        
-                
-                /*
-                cout << "One experiment finished." << endl;
-
-                ofstream myfile;
-                myfile.open("c:\\robust_ar1.txt",ios::app);
-                myfile << endl;
-                myfile.close();
-
-                myfile.open("c:\\robust_ar2.txt",ios::app);
-                myfile << endl;
-                myfile.close();*/
-        
-
-        //emlig* emlig1 = new emlig(emlig_size);
-
-        //emlig1->step_me(0);
-        //emlig* emlig2 = new emlig(emlig_size);
-        
-        /*
-        emlig1->set_correction_factors(4);
-
-        for(int j = 0;j<emlig1->correction_factors.size();j++)
-        {
-                for(set<my_ivec>::iterator vec_ref = emlig1->correction_factors[j].begin();vec_ref!=emlig1->correction_factors[j].end();vec_ref++)
-                {
-                        cout << j << "    ";
-                        
-                        for(int i=0;i<(*vec_ref).size();i++)
-                        {
-                                cout << (*vec_ref)[i];
-                        }
-
-                        cout << endl;
-                }
-        }*/
-        
-        /*
-    vec condition5 = "1.0 1.0 1.01";//"-0.3 1.7 1.5";
-
-        emlig1->add_condition(condition5);
-        //emlig1->step_me(0);
-
-
-        vec condition1a = "-1.0 1.02 0.5";
-        //vec condition1b = "1.0 1.0 1.01";
-        emlig1->add_condition(condition1a);
-        //emlig2->add_condition(condition1b);
-
-        vec condition2a = "-0.3 1.7 1.5";
-        //vec condition2b = "-1.0 1.0 1.0";
-        emlig1->add_condition(condition2a);
-        //emlig2->add_condition(condition2b);
-
-        vec condition3a = "0.5 -1.01 1.0";
-        //vec condition3b = "0.5 -1.01 1.0";
-
-        emlig1->add_condition(condition3a);
-        //emlig2->add_condition(condition3b);   
-
-        vec condition4a = "-0.5 -1.0 1.0";
-        //vec condition4b = "-0.5 -1.0 1.0";    
-
-        emlig1->add_condition(condition4a);
-        //cout << "************************************************" << endl;
-        //emlig2->add_condition(condition4b);
-        //cout << "************************************************" << endl;
-        
-        //cout << emlig1->minimal_vertex->get_coordinates();
-        
-        //emlig1->remove_condition(condition3a);
-        //emlig1->step_me(0);
-        //emlig1->remove_condition(condition2a);
-        //emlig1->remove_condition(condition1a);
-        //emlig1->remove_condition(condition5);
-        
-
-        //emlig1->step_me(0);
-        //emlig2->step_me(0);
-        
-
-        // DA SE POUZIT PRO VYPIS DO SOUBORU
-        // emlig1->step_me(0);
-
-        //emlig1->remove_condition(condition1);
-        
-        
-
-        
-        
-        /*
-        for(int i = 0;i<100;i++)
-        {
-                cout << endl << "Step:" << i << endl;           
-
-                double condition[emlig_size+1];         
-
-                for(int k = 0;k<=emlig_size;k++)
-                {
-                        condition[k] = (rand()-RAND_MAX/2)/1000.0;              
-                }
-                        
-
-                vec* condition_vec = new vec(condition,emlig_size+1);
-                emlig1->add_condition(*condition_vec);
-
-                /*
-                for(polyhedron* toprow_ref = emlig1->statistic.rows[emlig_size]; toprow_ref != emlig1->statistic.end_poly; toprow_ref = toprow_ref->next_poly)
-                {
-                        cout << ((toprow*)toprow_ref)->probability << endl;
-                }
-                */
-                /*
-                cout << emlig1->statistic_rowsize(emlig_size) << endl << endl;
-        
-                /*
-                if(i-emlig1->number_of_parameters >= 0)
-                {
-                        pause(30);
-                }
-                */
-
-                // emlig1->step_me(i);
-                
-                /*
-                vector<int> sizevector;
-                for(int s = 0;s<=emlig1->number_of_parameters;s++)
-                {
-                        sizevector.push_back(emlig1->statistic_rowsize(s));
-                }
-                */
-        //}
-    
-
-
-        
-        /*
-        emlig1->step_me(1);
-
-        vec condition = "2.0 0.0 1.0";  
-
-        emlig1->add_condition(condition);
-
-        vector<int> sizevector;
-        for(int s = 0;s<=emlig1->number_of_parameters;s++)
-        {
-                sizevector.push_back(emlig1->statistic_rowsize(s));
-        }
-
-        emlig1->step_me(2);
-
-        condition = "2.0 1.0 0.0";
-
-        emlig1->add_condition(condition);
-
-        sizevector.clear();
-        for(int s = 0;s<=emlig1->number_of_parameters;s++)
-        {
-                sizevector.push_back(emlig1->statistic_rowsize(s));
-        }
-        */
+                        }
+                }
+
+                data_matrix.del_row(0);
+        }
+        
+
+
+        
 
         return 0;

applications/robust/robustlib.cpp

@@ -258 +258 @@
                         simplex->probability = int_value;
                         simplex->volume = volume;
-                        cout << "Probability:" << int_value << endl << endl;
+                        //cout << "Probability:" << int_value << endl << endl;
                         //pause(0.1);
                         return int_value;