--- /dev/null
+/*
+ * This file is part of TISEAN
+ *
+ * Copyright (c) 1998-2007 Rainer Hegger, Holger Kantz, Thomas Schreiber
+ *
+ * TISEAN is free software; you can redistribute it and/or modify
+ * it under the terms of the GNU General Public License as published by
+ * the Free Software Foundation; either version 2 of the License, or
+ * (at your option) any later version.
+ *
+ * TISEAN is distributed in the hope that it will be useful,
+ * but WITHOUT ANY WARRANTY; without even the implied warranty of
+ * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+ * GNU General Public License for more details.
+ *
+ * You should have received a copy of the GNU General Public License
+ * along with TISEAN; if not, write to the Free Software
+ * Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
+ */
+/*Author: Rainer Hegger. Last modified: Mar 11, 2002 */
+#include <stdio.h>
+#include <stdlib.h>
+#include <string.h>
+#include <limits.h>
+#include "routines/tsa.h"
+#include <math.h>
+
+#define WID_STR "Fits a RBF-model to the data"
+
+char *outfile=NULL,stdo=1,MAKECAST=0;
+char *infile=NULL;
+char setdrift=1;
+int DIM=2,DELAY=1,CENTER=10,STEP=1;
+unsigned int COLUMN=1;
+unsigned int verbosity=0xff;
+long CLENGTH=1000;
+unsigned long LENGTH=ULONG_MAX,INSAMPLE=ULONG_MAX,exclude=0;
+
+double *series,*coefs;
+double varianz,interval,min;
+double **center;
+
+void show_options(char *progname)
+{
+ what_i_do(progname,WID_STR);
+ fprintf(stderr," Usage: %s [options]\n",progname);
+ fprintf(stderr," Options:\n");
+ fprintf(stderr,"Everything not being a valid option will be interpreted"
+ " as a possible"
+ " datafile.\nIf no datafile is given stdin is read. Just - also"
+ " means stdin\n");
+ fprintf(stderr,"\t-l # of data to use [default: all from file]\n");
+ fprintf(stderr,"\t-x # of lines to be ignored [default: 0]\n");
+ fprintf(stderr,"\t-c column to read [default: %u]\n",COLUMN);
+ fprintf(stderr,"\t-m embedding dimension [default: %d]\n",DIM);
+ fprintf(stderr,"\t-d delay [default: %d]\n",DELAY);
+ fprintf(stderr,"\t-p number of centers [default: %d]\n",CENTER);
+ fprintf(stderr,"\t-X deactivate drift [default: activated]\n");
+ fprintf(stderr,"\t-s steps to forecast [default: %d]\n",STEP);
+ fprintf(stderr,"\t-n # of points for insample [default: # of data]\n");
+ fprintf(stderr,"\t-L steps to cast [default: none]\n");
+ fprintf(stderr,"\t-o output file name [default: 'datafile'.rbf]\n");
+ fprintf(stderr,"\t-V verbosity level [default: 1]\n\t\t"
+ "0='only panic messages'\n\t\t"
+ "1='+ input/output messages'\n");
+ fprintf(stderr,"\t-h show these options\n");
+ exit(0);
+}
+
+void scan_options(int n,char **in)
+{
+ char *out;
+
+ if ((out=check_option(in,n,'l','u')) != NULL)
+ sscanf(out,"%lu",&LENGTH);
+ if ((out=check_option(in,n,'x','u')) != NULL)
+ sscanf(out,"%lu",&exclude);
+ if ((out=check_option(in,n,'c','u')) != NULL)
+ sscanf(out,"%u",&COLUMN);
+ if ((out=check_option(in,n,'m','u')) != NULL)
+ sscanf(out,"%u",&DIM);
+ if ((out=check_option(in,n,'d','u')) != NULL)
+ sscanf(out,"%u",&DELAY);
+ if ((out=check_option(in,n,'p','u')) != NULL)
+ sscanf(out,"%u",&CENTER);
+ if ((out=check_option(in,n,'X','n')) != NULL)
+ setdrift=0;
+ if ((out=check_option(in,n,'s','u')) != NULL)
+ sscanf(out,"%u",&STEP);
+ if ((out=check_option(in,n,'V','u')) != NULL)
+ sscanf(out,"%u",&verbosity);
+ if ((out=check_option(in,n,'n','u')) != NULL)
+ sscanf(out,"%lu",&INSAMPLE);
+ if ((out=check_option(in,n,'L','u')) != NULL) {
+ MAKECAST=1;
+ sscanf(out,"%lu",&CLENGTH);
+ }
+ if ((out=check_option(in,n,'o','o')) != NULL) {
+ stdo=0;
+ if (strlen(out) > 0)
+ outfile=out;
+ }
+}
+
+double avdistance(void)
+{
+ int i,j,k;
+ double dist=0.0;
+
+ for (i=0;i<CENTER;i++)
+ for (j=0;j<CENTER;j++)
+ if (i != j)
+ for (k=0;k<DIM;k++)
+ dist += sqr(center[i][k]-center[j][k]);
+
+ return sqrt(dist/(CENTER-1)/CENTER/DIM);
+}
+
+double rbf(double *act,double *cen)
+{
+ static double denum;
+ double r=0;
+ int i;
+
+ denum=2.0*varianz*varianz;
+
+ for (i=0;i<DIM;i++)
+ r += sqr(*(act-i*DELAY)-cen[i]);
+
+ return exp(-r/denum);
+}
+
+void drift(void)
+{
+ double *force,h,h1,step=1e-2,step1;
+ int i,j,k,l,d2=DIM;
+
+ check_alloc(force=(double*)malloc(sizeof(double)*d2));
+ for (l=0;l<20;l++) {
+ for (i=0;i<CENTER;i++) {
+ for (j=0;j<d2;j++) {
+ force[j]=0.0;
+ for (k=0;k<CENTER;k++) {
+ if (k != i) {
+ h=center[i][j]-center[k][j];
+ force[j] += h/sqr(h)/fabs(h);
+ }
+ }
+ }
+ h=0.0;
+ for (j=0;j<d2;j++)
+ h += sqr(force[j]);
+ step1=step/sqrt(h);
+ for (j=0;j<d2;j++) {
+ h1 = step1*force[j];
+ if (((center[i][j]+h1) > -0.1) && ((center[i][j]+h1) < 1.1))
+ center[i][j] += h1;
+ }
+ }
+ }
+ free(force);
+}
+
+void make_fit(void)
+{
+ double **mat,*hcen;
+ double h;
+ int i,j,n,nst;
+
+ check_alloc(mat=(double**)malloc(sizeof(double*)*(CENTER+1)));
+ for (i=0;i<=CENTER;i++)
+ check_alloc(mat[i]=(double*)malloc(sizeof(double)*(CENTER+1)));
+ check_alloc(hcen=(double*)malloc(sizeof(double)*CENTER));
+
+ for (i=0;i<=CENTER;i++) {
+ coefs[i]=0.0;
+ for (j=0;j<=CENTER;j++)
+ mat[i][j]=0.0;
+ }
+
+ for (n=(DIM-1)*DELAY;n<INSAMPLE-STEP;n++) {
+ nst=n+STEP;
+ for (i=0;i<CENTER;i++)
+ hcen[i]=rbf(&series[n],center[i]);
+ coefs[0] += series[nst];
+ mat[0][0] += 1.0;
+ for (i=1;i<=CENTER;i++)
+ mat[i][0] += hcen[i-1];
+ for (i=1;i<=CENTER;i++) {
+ coefs[i] += series[nst]*(h=hcen[i-1]);
+ for (j=1;j<=i;j++)
+ mat[i][j] += h*hcen[j-1];
+ }
+ }
+
+ h=(double)(INSAMPLE-STEP-(DIM-1)*DELAY);
+ for (i=0;i<=CENTER;i++) {
+ coefs[i] /= h;
+ for (j=0;j<=i;j++) {
+ mat[i][j] /= h;
+ mat[j][i]=mat[i][j];
+ }
+ }
+
+ solvele(mat,coefs,(unsigned int)(CENTER+1));
+
+ for (i=0;i<=CENTER;i++)
+ free(mat[i]);
+ free(mat);
+ free(hcen);
+}
+
+double forecast_error(unsigned long i0,unsigned long i1)
+{
+ int i,n;
+ double h,error=0.0;
+
+ for (n=i0+(DIM-1)*DELAY;n<i1-STEP;n++) {
+ h=coefs[0];
+ for (i=1;i<=CENTER;i++)
+ h += coefs[i]*rbf(&series[n],center[i-1]);
+ error += (series[n+STEP]-h)*(series[n+STEP]-h);
+ }
+
+ return sqrt(error/(i1-i0-STEP-(DIM-1)*DELAY));
+}
+
+void make_cast(FILE *out)
+{
+ double *cast,new_el;
+ int i,n,dim;
+
+ dim=(DIM-1)*DELAY;
+ check_alloc(cast=(double*)malloc(sizeof(double)*(dim+1)));
+ for (i=0;i<=dim;i++)
+ cast[i]=series[LENGTH-1-dim+i];
+
+ for (n=0;n<CLENGTH;n++) {
+ new_el=coefs[0];
+ for (i=1;i<=CENTER;i++)
+ new_el += coefs[i]*rbf(&cast[dim],center[i-1]);
+ fprintf(out,"%e\n",new_el*interval+min);
+ for (i=0;i<dim;i++)
+ cast[i]=cast[i+1];
+ cast[dim]=new_el;
+ }
+}
+
+int main(int argc,char **argv)
+{
+ char stdi=0;
+ int i,j,cstep;
+ double sigma,av;
+ FILE *file=NULL;
+
+ if (scan_help(argc,argv))
+ show_options(argv[0]);
+
+ scan_options(argc,argv);
+#ifndef OMIT_WHAT_I_DO
+ if (verbosity&VER_INPUT)
+ what_i_do(argv[0],WID_STR);
+#endif
+
+ infile=search_datafile(argc,argv,&COLUMN,verbosity);
+ if (infile == NULL)
+ stdi=1;
+
+ if (outfile == NULL) {
+ if (!stdi) {
+ check_alloc(outfile=(char*)calloc(strlen(infile)+5,(size_t)1));
+ strcpy(outfile,infile);
+ strcat(outfile,".rbf");
+ }
+ else {
+ check_alloc(outfile=(char*)calloc((size_t)10,(size_t)1));
+ strcpy(outfile,"stdin.rbf");
+ }
+ }
+ if (!stdo)
+ test_outfile(outfile);
+
+ series=(double*)get_series(infile,&LENGTH,exclude,COLUMN,verbosity);
+ rescale_data(series,LENGTH,&min,&interval);
+ variance(series,LENGTH,&av,&varianz);
+
+ if (INSAMPLE > LENGTH)
+ INSAMPLE=LENGTH;
+
+ if (CENTER > LENGTH)
+ CENTER = LENGTH;
+
+ if (MAKECAST)
+ STEP=1;
+
+ check_alloc(coefs=(double*)malloc(sizeof(double)*(CENTER+1)));
+ check_alloc(center=(double**)malloc(sizeof(double*)*CENTER));
+ for (i=0;i<CENTER;i++)
+ check_alloc(center[i]=(double*)malloc(sizeof(double)*DIM));
+
+ cstep=LENGTH-1-(DIM-1)*DELAY;
+ for (i=0;i<CENTER;i++)
+ for (j=0;j<DIM;j++)
+ center[i][j]=series[(DIM-1)*DELAY-j*DELAY+(i*cstep)/(CENTER-1)];
+
+ if (setdrift)
+ drift();
+ varianz=avdistance();
+ make_fit();
+
+ if (!stdo) {
+ file=fopen(outfile,"w");
+ if (verbosity&VER_INPUT)
+ fprintf(stderr,"Opened %s for writing\n",outfile);
+ fprintf(file,"#Center points used:\n");
+ for (i=0;i<CENTER;i++) {
+ fprintf(file,"#");
+ for (j=0;j<DIM;j++)
+ fprintf(file," %e",center[i][j]*interval+min);
+ fprintf(file,"\n");
+ }
+ fprintf(file,"#variance= %e\n",varianz*interval);
+ fprintf(file,"#Coefficients:\n");
+ fprintf(file,"#%e\n",coefs[0]*interval+min);
+ for (i=1;i<=CENTER;i++)
+ fprintf(file,"#%e\n",coefs[i]*interval);
+ }
+ else {
+ if (verbosity&VER_INPUT)
+ fprintf(stderr,"Writing to stdout\n");
+ fprintf(stdout,"#Center points used:\n");
+ for (i=0;i<CENTER;i++) {
+ fprintf(stdout,"#");
+ for (j=0;j<DIM;j++)
+ fprintf(stdout," %e",center[i][j]*interval+min);
+ fprintf(stdout,"\n");
+ }
+ fprintf(stdout,"#variance= %e\n",varianz*interval);
+ fprintf(stdout,"#Coefficients:\n");
+ fprintf(stdout,"#%e\n",coefs[0]*interval+min);
+ for (i=1;i<=CENTER;i++)
+ fprintf(stdout,"#%e\n",coefs[i]*interval);
+ }
+ av=sigma=0.0;
+ for (i=0;i<INSAMPLE;i++) {
+ av += series[i];
+ sigma += series[i]*series[i];
+ }
+ av /= INSAMPLE;
+ sigma=sqrt(fabs(sigma/INSAMPLE-av*av));
+ if (!stdo)
+ fprintf(file,"#insample error= %e\n",forecast_error(0LU,INSAMPLE)/sigma);
+ else
+ fprintf(stdout,"#insample error= %e\n",forecast_error(0LU,INSAMPLE)/sigma);
+
+ if (INSAMPLE < LENGTH) {
+ av=sigma=0.0;
+ for (i=INSAMPLE;i<LENGTH;i++) {
+ av += series[i];
+ sigma += series[i]*series[i];
+ }
+ av /= (LENGTH-INSAMPLE);
+ sigma=sqrt(fabs(sigma/(LENGTH-INSAMPLE)-av*av));
+ if (!stdout)
+ fprintf(file,"#out of sample error= %e\n",
+ forecast_error(INSAMPLE,LENGTH)/sigma);
+ else
+ fprintf(stdout,"#out of sample error= %e\n",
+ forecast_error(INSAMPLE,LENGTH)/sigma);
+ }
+
+ if (MAKECAST) {
+ if (!stdo)
+ make_cast(file);
+ else
+ make_cast(stdout);
+ }
+
+ if (!stdo)
+ fclose(file);
+
+ return 0;
+}
git://source.jalview.org / jabaws.git / blobdiff