+++ /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*/
-/*Changes:
- Jun 24, 2005: Output average error for multivariate data
- Nov 25, 2005: Handle model order = 0
- Jan 31, 2006: Add verbosity 4 to print data+residuals
- */
-#include <stdio.h>
-#include <stdlib.h>
-#include <string.h>
-#include <limits.h>
-#include <math.h>
-#include "routines/tsa.h"
-
-#define WID_STR "Fits an multivariate AR model to the data and gives\
- the coefficients\n\tand the residues (or an iterated model)"
-
-unsigned long length=ULONG_MAX,exclude=0;
-unsigned int dim=1,poles=1,ilength;
-unsigned int verbosity=1;
-char *outfile=NULL,*column=NULL,stdo=1,dimset=0,run_model=0;
-char *infile=NULL;
-double **series,*my_average;
-
-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 length of file [default is whole file]\n");
- fprintf(stderr,"\t-x # of lines to be ignored [default is 0]\n");
- fprintf(stderr,"\t-m dimension [default is 1]\n");
- fprintf(stderr,"\t-c columns to read [default is 1,...,dimension]\n");
- fprintf(stderr,"\t-p #order of AR-Fit [default is 1]\n");
- fprintf(stderr,"\t-s length of iterated model [default no iteration]\n");
- fprintf(stderr,"\t-o output file name [default is 'datafile'.ar]\n");
- fprintf(stderr,"\t-V verbosity level [default is 1]\n\t\t"
- "0='only panic messages'\n\t\t"
- "1='+ input/output messages'\n\t\t"
- "2='+ print residuals though iterating a model'\n\t\t"
- "4='+ print original data plus residuals'\n");
- fprintf(stderr,"\t-h show these options\n\n");
- exit(0);
-}
-
-void scan_options(int argc,char **argv)
-{
- char *out;
-
- if ((out=check_option(argv,argc,'p','u')) != NULL) {
- sscanf(out,"%u",&poles);
- if (poles < 1) {
- fprintf(stderr,"The order should at least be one!\n");
- exit(127);
- }
- }
- if ((out=check_option(argv,argc,'l','u')) != NULL)
- sscanf(out,"%lu",&length);
- if ((out=check_option(argv,argc,'x','u')) != NULL)
- sscanf(out,"%lu",&exclude);
- if ((out=check_option(argv,argc,'m','u')) != NULL) {
- sscanf(out,"%u",&dim);
- dimset=1;
- }
- if ((out=check_option(argv,argc,'c','u')) != NULL)
- column=out;
- if ((out=check_option(argv,argc,'V','u')) != NULL)
- sscanf(out,"%u",&verbosity);
- if ((out=check_option(argv,argc,'s','u')) != NULL) {
- sscanf(out,"%u",&ilength);
- run_model=1;
- }
- if ((out=check_option(argv,argc,'o','o')) != NULL) {
- stdo=0;
- if (strlen(out) > 0)
- outfile=out;
- }
-}
-
-void set_averages_to_zero(void)
-{
- double var;
- long i,j;
-
- for (i=0;i<dim;i++) {
- variance(series[i],length,&my_average[i],&var);
- for (j=0;j<length;j++)
- series[i][j] -= my_average[i];
- }
-}
-
-double** build_matrix(double **mat)
-{
- long n,i1,j1,i2,j2,hi,hj;
- double norm;
-
- norm=1./((double)length-(double)poles);
-
- for (i1=0;i1<dim;i1++)
- for (i2=0;i2<poles;i2++) {
- hi=i1*poles+i2;
- for (j1=0;j1<dim;j1++)
- for (j2=0;j2<poles;j2++) {
- hj=j1*poles+j2;
- mat[hi][hj]=0.0;
- for (n=poles-1;n<length-1;n++)
- mat[hi][hj] += series[i1][n-i2]*series[j1][n-j2];
- mat[hi][hj] *= norm;
- }
- }
-
- return invert_matrix(mat,(unsigned int)(dim*poles));
-}
-
-void build_vector(double *vec,long comp)
-{
- long i1,i2,hi,n;
- double norm;
-
- norm=1./((double)length-(double)poles);
-
- for (i1=0;i1<poles*dim;i1++)
- vec[i1]=0.0;
-
- for (i1=0;i1<dim;i1++)
- for (i2=0;i2<poles;i2++) {
- hi=i1*poles+i2;
- for (n=poles-1;n<length-1;n++)
- vec[hi] += series[comp][n+1]*series[i1][n-i2];
- vec[hi] *= norm;
- }
-}
-
-double* multiply_matrix_vector(double **mat,double *vec)
-{
- long i,j;
- double *new_vec;
-
- check_alloc(new_vec=(double*)malloc(sizeof(double)*poles*dim));
-
- for (i=0;i<poles*dim;i++) {
- new_vec[i]=0.0;
- for (j=0;j<poles*dim;j++)
- new_vec[i] += mat[i][j]*vec[j];
- }
- return new_vec;
-}
-
-double* make_residuals(double **diff,double **coeff)
-{
- long n,d,i,j;
- double *resi;
-
- check_alloc(resi=(double*)malloc(sizeof(double)*dim));
- for (i=0;i<dim;i++)
- resi[i]=0.0;
-
- for (n=poles-1;n<length-1;n++) {
- for (d=0;d<dim;d++) {
- diff[d][n+1]=series[d][n+1];
- for (i=0;i<dim;i++)
- for (j=0;j<poles;j++)
- diff[d][n+1] -= coeff[d][i*poles+j]*series[i][n-j];
- resi[d] += sqr(diff[d][n+1]);
- }
- }
- for (i=0;i<dim;i++)
- resi[i]=sqrt(resi[i]/((double)length-(double)poles));
-
- return resi;
-}
-
-void iterate_model(double **coeff,double *sigma,FILE *file)
-{
- long i,j,i1,i2,n,d;
- double **iterate,*swap;
-
- check_alloc(iterate=(double**)malloc(sizeof(double*)*(poles+1)));
- for (i=0;i<=poles;i++)
- check_alloc(iterate[i]=(double*)malloc(sizeof(double)*dim));
- rnd_init(0x44325);
- for (i=0;i<1000;i++)
- gaussian(1.0);
- for (i=0;i<dim;i++)
- for (j=0;j<poles;j++)
- iterate[j][i]=gaussian(sigma[i]);
-
- for (n=0;n<ilength;n++) {
- for (d=0;d<dim;d++) {
- iterate[poles][d]=gaussian(sigma[d]);
- for (i1=0;i1<dim;i1++)
- for (i2=0;i2<poles;i2++)
- iterate[poles][d] += coeff[d][i1*poles+i2]*iterate[poles-1-i2][i1];
- }
- if (file != NULL) {
- for (d=0;d<dim;d++)
- fprintf(file,"%e ",iterate[poles][d]);
- fprintf(file,"\n");
- }
- else {
- for (d=0;d<dim;d++)
- printf("%e ",iterate[poles][d]);
- printf("\n");
- }
-
- swap=iterate[0];
- for (i=0;i<poles;i++)
- iterate[i]=iterate[i+1];
- iterate[poles]=swap;
- }
-
- for (i=0;i<=poles;i++)
- free(iterate[i]);
- free(iterate);
-}
-
-int main(int argc,char **argv)
-{
- char stdi=0;
- double *pm;
- long i,j;
- FILE *file;
- double **mat,**inverse,*vec,**coeff,**diff,avpm;
-
- 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,NULL,verbosity);
- if (infile == NULL)
- stdi=1;
-
- if (outfile == NULL) {
- if (!stdi) {
- check_alloc(outfile=(char*)calloc(strlen(infile)+4,(size_t)1));
- strcpy(outfile,infile);
- strcat(outfile,".ar");
- }
- else {
- check_alloc(outfile=(char*)calloc((size_t)9,(size_t)1));
- strcpy(outfile,"stdin.ar");
- }
- }
- if (!stdo)
- test_outfile(outfile);
-
- if (column == NULL)
- series=(double**)get_multi_series(infile,&length,exclude,&dim,"",dimset,
- verbosity);
- else
- series=(double**)get_multi_series(infile,&length,exclude,&dim,column,
- dimset,verbosity);
-
- check_alloc(my_average=(double*)malloc(sizeof(double)*dim));
- set_averages_to_zero();
-
- if (poles >= length) {
- fprintf(stderr,"It makes no sense to have more poles than data! Exiting\n");
- exit(AR_MODEL_TOO_MANY_POLES);
- }
-
-
- check_alloc(vec=(double*)malloc(sizeof(double)*poles*dim));
- check_alloc(mat=(double**)malloc(sizeof(double*)*poles*dim));
- for (i=0;i<poles*dim;i++)
- check_alloc(mat[i]=(double*)malloc(sizeof(double)*poles*dim));
-
- check_alloc(coeff=(double**)malloc(sizeof(double*)*dim));
- inverse=build_matrix(mat);
- for (i=0;i<dim;i++) {
- build_vector(vec,i);
- coeff[i]=multiply_matrix_vector(inverse,vec);
- }
-
- check_alloc(diff=(double**)malloc(sizeof(double*)*dim));
- for (i=0;i<dim;i++)
- check_alloc(diff[i]=(double*)malloc(sizeof(double)*length));
-
- pm=make_residuals(diff,coeff);
-
- if (stdo) {
- avpm=pm[0]*pm[0];
- for (i=1;i<dim;i++)
- avpm += pm[i]*pm[i];
- avpm=sqrt(avpm/dim);
- printf("#average forcast error= %e\n",avpm);
- printf("#individual forecast errors: ");
- for (i=0;i<dim;i++)
- printf("%e ",pm[i]);
- printf("\n");
- for (i=0;i<dim*poles;i++) {
- printf("# ");
- for (j=0;j<dim;j++)
- printf("%e ",coeff[j][i]);
- printf("\n");
- }
- if (!run_model || (verbosity&VER_USR1)) {
- for (i=poles;i<length;i++) {
- if (run_model)
- printf("#");
- for (j=0;j<dim;j++)
- if (verbosity&VER_USR2)
- printf("%e %e ",series[j][i]+my_average[j],diff[j][i]);
- else
- printf("%e ",diff[j][i]);
- printf("\n");
- }
- }
- if (run_model && (ilength > 0))
- iterate_model(coeff,pm,NULL);
- }
- else {
- file=fopen(outfile,"w");
- if (verbosity&VER_INPUT)
- fprintf(stderr,"Opened %s for output\n",outfile);
- avpm=pm[0]*pm[0];
- for (i=1;i<dim;i++)
- avpm += pm[i]*pm[i];
- avpm=sqrt(avpm/dim);
- fprintf(file,"#average forcast error= %e\n",avpm);
- fprintf(file,"#individual forecast errors: ");
- for (i=0;i<dim;i++)
- fprintf(file,"%e ",pm[i]);
- fprintf(file,"\n");
- for (i=0;i<dim*poles;i++) {
- fprintf(file,"# ");
- for (j=0;j<dim;j++)
- fprintf(file,"%e ",coeff[j][i]);
- fprintf(file,"\n");
- }
- if (!run_model || (verbosity&VER_USR1)) {
- for (i=poles;i<length;i++) {
- if (run_model)
- fprintf(file,"#");
- for (j=0;j<dim;j++)
- if (verbosity&VER_USR2)
- fprintf(file,"%e %e ",series[j][i]+my_average[j],diff[j][i]);
- else
- fprintf(file,"%e ",diff[j][i]);
- fprintf(file,"\n");
- }
- }
- if (run_model && (ilength > 0))
- iterate_model(coeff,pm,file);
- fclose(file);
- }
-
- if (outfile != NULL)
- free(outfile);
- if (infile != NULL)
- free(infile);
- free(vec);
- for (i=0;i<poles*dim;i++) {
- free(mat[i]);
- free(inverse[i]);
- }
- free(mat);
- free(inverse);
- for (i=0;i<dim;i++) {
- free(coeff[i]);
- free(diff[i]);
- }
- free(coeff);
- free(diff);
- free(pm);
-
- return 0;
-}
git://source.jalview.org / jabaws.git / blobdiff