+++ /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 5, 2004 */
-#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 "Fits a polynomial to the data."
-
-char *outfile=NULL,stdo=1;
-char *parin=NULL,*infile=NULL;
-unsigned long length=ULONG_MAX,insample=ULONG_MAX,exclude=0;
-unsigned long plength=UINT_MAX;
-unsigned long step=1000;
-unsigned int column=1,dim=2,delay=1,down_to=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-L length of forecasted series [default: %lu]\n",step);
- fprintf(stderr,"\t-p name of parameter file [default: parameter.pol]\n");
- fprintf(stderr,"\t-o output file name [default: 'datafile'.pbf]\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,'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)
- sscanf(out,"%lu",&step);
- 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,hn;
- 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-1;n++) {
- hn=n+1;
- for (i=0;i<plength;i++) {
- vec[i] += series[hn]*(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-(dim-1)*delay-1);
- for (j=i;j<plength;j++)
- mat[j][i]=(mat[i][j]/=(insample-(dim-1)*delay)-1);
- }
-
- 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<i1-1;n++) {
- h=0.0;
- for (i=0;i<plength;i++)
- h += param[i]*polynom(n,i);
- error += (series[n+1]-h)*(series[n+1]-h);
- }
-
- return sqrt(error/(i1-i0-(dim-1)*delay-1));
-}
-
-void make_cast(FILE *fcast)
-{
- int i,j,hi;
- unsigned int k;
- double casted;
-
- for (i=0;i<=(dim-1)*delay;i++)
- series[i]=series[length-(dim-1)*delay+i-1];
-
- hi=(dim-1)*delay;
- for (i=1;i<=step;i++) {
- casted=0.0;
- for (k=0;k<plength;k++)
- casted += param[k]*polynom((unsigned long)((dim-1)*delay),k);
- if (!stdo) {
- fprintf(fcast,"%e\n",casted);
- fflush(fcast);
- }
- else {
- fprintf(stdout,"%e\n",casted);
- fflush(stdout);
- }
- for (j=0;j<(dim-1)*delay;j++)
- series[j]=series[j+1];
- series[hi]=casted;
- }
-}
-
-int main(int argc,char **argv)
-{
- int i,j;
- char stdi=0,oose=1;
- double **dummy,withalli,withallo;
- double av,varianz;
- FILE *file;
-
- 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.pbf",infile);
- }
- else {
- check_alloc(outfile=(char*)calloc((size_t)10,(size_t)1));
- sprintf(outfile,"stdin.pbf");
- }
- }
- 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(POLYNOMP__WRONG_PARAMETER_FILE);
- }
- fclose(file);
-
- dummy=(double**)get_multi_series(parin,&plength,0LU,
- &dim,"",(char)"1",verbosity);
-
- check_alloc(order=(unsigned int**)malloc(sizeof(int*)*plength));
- for (i=0;i<plength;i++) {
- check_alloc(order[i]=(unsigned int*)malloc(sizeof(int)*dim));
- for (j=0;j<dim;j++)
- order[i][j]=(unsigned int)dummy[j][i];
- }
-
- series=(double*)get_series(infile,&length,exclude,column,verbosity);
- variance(series,length,&av,&varianz);
-
- if (insample >= length) {
- insample=length;
- oose=0;
- }
-
- check_alloc(param=(double*)malloc(sizeof(double)*plength));
-
- make_fit();
- withalli=forecast_error(0LU,insample);
- withallo=0.0;
- if (oose)
- withallo=forecast_error(insample+1,length);
-
- if (stdo) {
- if (verbosity&VER_INPUT)
- fprintf(stderr,"Writing to stdout\n");
- fprintf(stdout,"#FCE: %e %e\n",withalli/varianz,withallo/varianz);
- for (i=0;i<plength;i++) {
- fprintf(stdout,"# ");
- for (j=0;j<dim;j++)
- fprintf(stdout,"%u ",order[i][j]);
- fprintf(stdout,"%e\n",param[i]);
- }
- fflush(stdout);
- }
- else {
- file=fopen(outfile,"w");
- if (verbosity&VER_INPUT)
- fprintf(stderr,"Opened %s for writing\n",outfile);
- fprintf(file,"#FCE: %e %e\n",withalli/varianz,withallo/varianz);
- for (i=0;i<plength;i++) {
- fprintf(file,"# ");
- for (j=0;j<dim;j++)
- fprintf(file,"%u ",order[i][j]);
- fprintf(file,"%e\n",param[i]);
- }
- fflush(file);
- }
-
- make_cast(file);
-
- if (!stdo)
- fclose(file);
-
- return 0;
-}
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