+++ /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 Sep 4, 1999 */
-#include <stdio.h>
-#include <stdlib.h>
-#include <string.h>
-#include <math.h>
-#include <limits.h>
-#include <time.h>
-#include "routines/tsa.h"
-
-#define WID_STR "Does a backward elimination for a polynomial"
-
-char *outfile=NULL,stdo=1;
-char *parin=NULL,*infile=NULL;
-unsigned long length=ULONG_MAX,insample=ULONG_MAX,exclude=0;
-unsigned int plength=UINT_MAX;
-unsigned int column=1,dim=2,delay=1,down_to=1,step=1;
-unsigned int **order;
-unsigned int verbosity=0xff;
-double *series,*param;
-
-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: whole file]\n");
- fprintf(stderr,"\t-x # of lines to ignore [default: %lu]\n",exclude);
- fprintf(stderr,"\t-c column to read [default: %u]\n",column);
- fprintf(stderr,"\t-m embedding dimension [default: %u]\n",dim);
- fprintf(stderr,"\t-d delay [default: %u]\n",delay);
- fprintf(stderr,"\t-n insample data [default: all]\n");
- fprintf(stderr,"\t-s steps to forecast [default: %u]\n",step);
- fprintf(stderr,"\t-# reduce down to # terms [default: %u]\n",down_to);
- fprintf(stderr,"\t-p name of parameter file [default: parameter.pol]\n");
- fprintf(stderr,"\t-o output file name [default: 'datafile'.pbe]\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,'n','u')) != NULL)
- sscanf(out,"%lu",&insample);
- if ((out=check_option(in,n,'#','u')) != NULL)
- sscanf(out,"%u",&down_to);
- 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,'p','s')) != NULL)
- parin=out;
- if ((out=check_option(in,n,'o','o')) != NULL) {
- stdo=0;
- if (strlen(out) > 0)
- outfile=out;
- }
-}
-
-double polynom(unsigned long act,unsigned int which)
-{
- unsigned int i,j;
- double ret=1.0,h;
-
- for (i=0;i<dim;i++) {
- h=series[act-i*delay];
- for (j=0;j<order[which][i];j++)
- ret *= h;
- }
-
- return ret;
-}
-
-void make_fit(void)
-{
- double **mat,*vec;
- double h;
- unsigned long n;
- unsigned int i,j;
-
- check_alloc(vec=(double*)malloc(sizeof(double)*plength));
- check_alloc(mat=(double**)malloc(sizeof(double*)*plength));
- for (i=0;i<plength;i++)
- check_alloc(mat[i]=(double*)malloc(sizeof(double)*plength));
-
- for (i=0;i<plength;i++) {
- vec[i]=0.0;
- for (j=0;j<plength;j++)
- mat[i][j]=0.0;
- }
-
- for (n=(dim-1)*delay;n<insample-step;n++) {
- for (i=0;i<plength;i++) {
- vec[i] += series[n+step]*(h=polynom(n,i));
- for (j=i;j<plength;j++)
- mat[i][j] += polynom(n,j)*h;
- }
- }
- for (i=0;i<plength;i++) {
- vec[i] /= (insample-step-(dim-1)*delay);
- for (j=i;j<plength;j++)
- mat[j][i]=(mat[i][j]/=(insample-step-(dim-1)*delay));
- }
-
- solvele(mat,vec,plength);
-
- for (i=0;i<plength;i++)
- param[i]=vec[i];
-
- free(vec);
- for (i=0;i<plength;i++)
- free(mat[i]);
- free(mat);
-}
-
-double forecast_error(unsigned long i0,unsigned long i1)
-{
- unsigned int i;
- unsigned long n;
- double h,error=0.0;
-
- for (n=i0+(dim-1)*delay;n<i1-step;n++) {
- h=0.0;
- for (i=0;i<plength;i++)
- h += param[i]*polynom(n,i);
- error += (series[n+step]-h)*(series[n+step]-h);
- }
-
- return sqrt(error/(i1-i0-step-(dim-1)*delay));
-}
-
-int main(int argc,char **argv)
-{
- int i,j,k,l,hl,ibest,counter;
- char stdi=0,out_set=1,*parout;
- double **dummy,besti,besto,withalli,withallo,errori=0.,erroro=0.;
- double av,varianz;
- unsigned long hlength=ULONG_MAX;
- unsigned int **ini_params,*isout,offset;
- FILE *file,*fpars;
-
- 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));
- sprintf(outfile,"%s.pbe",infile);
- }
- else {
- check_alloc(outfile=(char*)calloc((size_t)10,(size_t)1));
- sprintf(outfile,"stdin.pbe");
- }
- }
- if (!stdo)
- test_outfile(outfile);
-
- if (parin == NULL) {
- check_alloc(parin=(char*)calloc((size_t)14,(size_t)1));
- sprintf(parin,"parameter.pol");
- }
- file=fopen(parin,"r");
- if (file == NULL) {
- fprintf(stderr,"File %s does not exist. Exiting!\n",parin);
- exit(POLYBACK__WRONG_PARAMETER_FILE);
- }
- fclose(file);
-
- if (verbosity&VER_INPUT)
- fprintf(stderr,"Using %s as the parameter file\n",parin);
- dummy=(double**)get_multi_series(parin,&hlength,0LU,&dim,"",(char)1,
- verbosity);
-
- offset=(unsigned int)(log((double)hlength)/log(10.0)+1.0);
- check_alloc(parout=(char*)calloc(strlen(parin)+offset+2,(size_t)1));
-
- check_alloc(ini_params=(unsigned int**)malloc(sizeof(int*)*hlength));
- for (i=0;i<hlength;i++) {
- check_alloc(ini_params[i]=(unsigned int*)malloc(sizeof(int)*dim));
- for (j=0;j<dim;j++)
- ini_params[i][j]=(unsigned int)dummy[j][i];
- }
- check_alloc(isout=(unsigned int*)malloc(sizeof(int)*hlength));
-
- series=(double*)get_series(infile,&length,exclude,column,verbosity);
- variance(series,length,&av,&varianz);
-
- if (insample >= length) {
- insample=length;
- out_set=0;
- }
-
- check_alloc(order=(unsigned int**)malloc(sizeof(int*)*hlength));
- check_alloc(param=(double*)malloc(sizeof(double)*hlength));
- for (i=0;i<hlength;i++) {
- isout[i]=0;
- check_alloc(order[i]=(unsigned int*)malloc(sizeof(int)*dim));
- for (j=0;j<dim;j++)
- order[i][j]=ini_params[i][j];
- }
- plength=hlength;
-
- make_fit();
- withalli=forecast_error(0LU,insample);
- withallo=0.0;
- if (out_set)
- withallo=forecast_error(insample+1,length);
-
- if (stdo) {
- fprintf(stdout,"%lu %e %e\n",hlength,withalli/varianz,withallo/varianz);
- fflush(stdout);
- }
- else {
- file=fopen(outfile,"w");
- fprintf(file,"%lu %e %e\n",hlength,withalli/varianz,withallo/varianz);
- fflush(file);
- }
- free(param);
- for (i=0;i<plength;i++)
- free(order[i]);
- free(order);
-
- if ((down_to < 1) || (down_to > hlength))
- down_to=1;
-
- for (i=1;i<=hlength-down_to;i++) {
- plength=hlength-i;
- besti=besto=0.0;
- ibest= -1;
- check_alloc(order=(unsigned int**)malloc(sizeof(int*)*plength));
- check_alloc(param=(double*)malloc(sizeof(double)*plength));
- for (j=0;j<plength;j++) {
- check_alloc(order[j]=(unsigned int*)malloc(sizeof(int)*dim));
- }
- counter=plength;
- for (j=0;j<hlength;j++)
- if (!isout[j]) {
- isout[j]++;
- hl=0;
- for (k=0;k<hlength;k++) {
- if (!isout[k]) {
- for (l=0;l<dim;l++)
- order[hl][l]=ini_params[k][l];
- hl++;
- }
- }
- make_fit();
- errori=forecast_error(0LU,insample);
- if (out_set)
- erroro=forecast_error(insample+1,length);
- if (ibest == -1) {
- besti=errori;
- if (out_set)
- besto=erroro;
- ibest=j;
- }
- else {
- if (out_set) {
- if (erroro < besto) {
- besto=erroro;
- besti=errori;
- ibest=j;
- }
- }
- else {
- if (errori < besti) {
- besti=errori;
- besto=erroro;
- ibest=j;
- }
- }
- }
- isout[j]--;
- }
- isout[ibest]++;
- free(param);
- for (j=0;j<plength;j++)
- free(order[j]);
- free(order);
- if (stdo) {
- fprintf(stdout,"%u %e %e ",plength,besti/varianz,besto/varianz);
- for (j=0;j<dim;j++)
- fprintf(stdout,"%u ",ini_params[ibest][j]);
- fprintf(stdout,"\n");
- fflush(stdout);
- }
- else {
- fprintf(file,"%u %e %e ",plength,besti/varianz,besto/varianz);
- for (j=0;j<dim;j++)
- fprintf(file,"%u ",ini_params[ibest][j]);
- fprintf(file,"\n");
- fflush(file);
- }
- sprintf(parout,"%s.%u",parin,plength);
- fpars=fopen(parout,"w");
- for (j=0;j<hlength;j++)
- if (!isout[j]) {
- for (k=0;k<dim;k++)
- fprintf(fpars,"%u ",ini_params[j][k]);
- fprintf(fpars,"\n");
- }
- fclose(fpars);
- }
-
- if (!stdo)
- fclose(file);
- return 0;
-}