+++ /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;
-}
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