Changeset 1413 for applications/robust/main.cpp

Timestamp:

12/09/11 17:53:36 (12 years ago)

Author:

sindj

Message:

Update hlavnich casti z Thinkeru. JS

Files:

• applications/robust/main.cpp (modified) (9 diffs)

applications/robust/main.cpp

@@ -31 +31 @@
 const int max_model_order         = 2;
 const double apriorno             = 0.01;
-const int max_window_size         = 40;
+const int max_window_size         = 30;
 const int utility_order           = 25;
 const int prediction_time         = 30;
 const double min_utility_argument = 0.001;
 const double max_investment       = 10.0;
-const char* commodity                 = "CL\\";
+const int sample_size                     = 5000;
+const char* commodity                 = "BP\\";
 
 /*
@@ -91 +92 @@
 }
 
-double valueCRRAUtility(const double &position, const vec &samples, const int order)
+double valueCRRAUtility(const double &position, const pair<vec,vec> &samples, const int order)
 {
         double value = 0;
+        set<double> values;
                         
-        for(int i=0;i<samples.length();i++)
-        {
-                double sample = samples.get(i);
+        for(int i=0;i<samples.first.length();i++)
+        {
+                double sample      = samples.second.get(i);
+                double probability = samples.first.get(i);
                 if((position*sample+1)>min_utility_argument)
                 {
-                        value += sample/pow(position*sample+1,order+1);
+                        values.insert(probability*sample/pow(position*sample+1,order+1));
                 }
                 else
                 {
-                        value += (min_utility_argument-1)/position/pow(min_utility_argument,order+1);
+                        values.insert(probability*(min_utility_argument-1)/position/pow(min_utility_argument,order+1));
                 }
         }       
         
+        for(set<double>::iterator val_ref = values.begin();val_ref!=values.end();val_ref++)
+        {
+                value+=(*val_ref);
+        }
+
         return value;
 }
 
-double gradientCRRAUtility(const double &position, const vec &samples, const int order)
+double gradientCRRAUtility(const double &position, const pair<vec,vec> &samples, const int order)
 {       
         double value = 0;
-        
-        for(int i=0;i<samples.length();i++)
-        {
-                double sample = samples.get(i);
+        set<double> values;
+
+        for(int i=0;i<samples.first.length();i++)
+        {
+                double sample      = samples.second.get(i);
+                double probability = samples.first.get(i);
                 if((position*sample+1)>min_utility_argument)
                 {
-                        value += (-(order+1)*pow(sample,2))/pow(position*sample+1,order+2);
-                }
+                        values.insert((-(order+1)*pow(sample,2)*probability)/pow(position*sample+1,order+2));
+                }
+        }
+
+        for(set<double>::iterator val_ref = values.begin();val_ref!=values.end();val_ref++)
+        {
+                value+=(*val_ref);
         }
 
@@ -127 +142 @@
 }
 
-double newtonRaphson(double startingPoint, double epsilon, vec samples, int order)
+double newtonRaphson(double startingPoint, double epsilon, pair<vec,vec> samples, int order)
 {
+        /*
         if(samples.length()>800)
         {
                 samples.del(801,samples.size()-1);
         }
+        */
         
         int count = 0;
@@ -309 +326 @@
                 if(my_rarx!=NULL)
                 {
-                        pair<vec,mat> imp_samples = my_rarx->posterior->sample(sample_size,true);
+                        pair<vec,mat> imp_samples = my_rarx->posterior->sample(sample_size,false);
 
                         //cout << imp_samples.first << endl;                    
@@ -502 +519 @@
                         if(time == max_model_order)
                         { 
-                                
+                                /*
                                 myfilew.open(rfstring,ios::app);
-                                for(int i = 0;i<models.size();i++)
+                                for(int i = 0;models.size();i++)
                                 {
                                         for(set<pair<int,int>>::iterator ar_ref = models[i]->ar_components.begin();ar_ref != models[i]->ar_components.end();ar_ref++)
@@ -536 +553 @@
                                 myfilew << "888" << endl;
                                 myfilew.close();
+                                */
                         }
                 
@@ -543 +561 @@
                         int  prev_samples_nr;
                         bool previous_switch = true;
-                        for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++)
+                        for(vector<model*>::iterator model_ref = models.begin();model_ref!=models.end();model_ref++) //.begin()+1;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
@@ -627 +645 @@
                                         if(previous_switch)
                                         {
-                                                samples_nr = 10000;
+                                                samples_nr = sample_size;
                                         }
                                         else
@@ -663 +681 @@
                                         previous_switch = !previous_switch;
 
-                                        double optimalInvestment = newtonRaphson(0,0.00001,predictions.second,utility_order);
+                                        double optimalInvestment = newtonRaphson(0,0.00001,predictions,utility_order);
 
                                         if(abs(optimalInvestment)>max_investment)