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tveaseytveasey
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Fix formatting
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6 files changed

+77
-81
lines changed

6 files changed

+77
-81
lines changed

‎include/maths/CPeriodicityHypothesisTests.h

Lines changed: 1 addition & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -363,9 +363,7 @@ class MATHS_EXPORT CPeriodicityHypothesisTests {
363363
//! Condition \p buckets assuming the null hypothesis is true.
364364
//!
365365
//! This removes any trend associated with the null hypothesis.
366-
void conditionOnHypothesis(const TTimeTimePr2Vec& windows,
367-
const STestStats& stats,
368-
TFloatMeanAccumulatorVec& buckets) const;
366+
void conditionOnHypothesis(const STestStats& stats, TFloatMeanAccumulatorVec& buckets) const;
369367

370368
//! Test to see if there is significant evidence for a component
371369
//! with period \p period.

‎lib/maths/CPeriodicityHypothesisTests.cc

Lines changed: 56 additions & 58 deletions
Original file line numberDiff line numberDiff line change
@@ -331,7 +331,8 @@ TSizeVec calculateRepeats(const TTimeTimePr2Vec& windows_,
331331
//!
332332
//! These are defined as some fraction of the values which are most
333333
//! different from the periodic trend on the time windows \p windows_.
334-
void reweightOutliers(const TMeanVarAccumulatorVec& trend,
334+
template<typename T>
335+
void reweightOutliers(const std::vector<T>& trend,
335336
const TTimeTimePr2Vec& windows_,
336337
core_t::TTime bucketLength,
337338
TFloatMeanAccumulatorVec& values) {
@@ -361,10 +362,10 @@ void reweightOutliers(const TMeanVarAccumulatorVec& trend,
361362
std::size_t b{window.second};
362363
for (std::size_t j = a; j < b; ++j) {
363364
const TFloatMeanAccumulator& value{values[j % n]};
364-
std::size_t offset{(j - a) % period};
365-
double difference{std::fabs(CBasicStatistics::mean(value) -
366-
CBasicStatistics::mean(trend[offset]))};
367365
if (CBasicStatistics::count(value) > 0.0) {
366+
std::size_t offset{(j - a) % period};
367+
double difference{std::fabs(CBasicStatistics::mean(value) -
368+
CBasicStatistics::mean(trend[offset]))};
368369
outliers.add({difference, j});
369370
meanDifference.add(difference);
370371
}
@@ -390,11 +391,11 @@ void reweightOutliers(const TMeanVarAccumulatorVec& trend,
390391
}
391392

392393
//! Compute the periodic trend from \p values falling in \p windows.
393-
template<typename U, typename V>
394-
void periodicTrend(const U& values,
394+
template<typename T, typename CONTAINER>
395+
void periodicTrend(const std::vector<T>& values,
395396
const TSizeSizePr2Vec& windows_,
396397
core_t::TTime bucketLength,
397-
V& trend) {
398+
CONTAINER& trend) {
398399
if (!trend.empty()) {
399400
TSizeSizePr2Vec windows;
400401
calculateIndexWindows(windows_, bucketLength, windows);
@@ -413,11 +414,11 @@ void periodicTrend(const U& values,
413414
}
414415

415416
//! Compute the periodic trend on \p values minus outliers.
416-
template<typename U, typename V>
417-
void periodicTrendMinusOutliers(U& values,
417+
template<typename T, typename CONTAINER>
418+
void periodicTrendMinusOutliers(std::vector<T>& values,
418419
const TSizeSizePr2Vec& windows,
419420
core_t::TTime bucketLength,
420-
V& trend) {
421+
CONTAINER& trend) {
421422
periodicTrend(values, windows, bucketLength, trend);
422423
reweightOutliers(trend, windows, bucketLength, values);
423424
trend.assign(trend.size(), TMeanVarAccumulator{});
@@ -469,8 +470,8 @@ struct SResidualVarianceImpl<TMeanAccumulator> {
469470
};
470471

471472
//! Compute the residual variance of the trend \p trend.
472-
template<typename R, typename T>
473-
R residualVariance(const T& trend, double scale) {
473+
template<typename R, typename CONTAINER>
474+
R residualVariance(const CONTAINER& trend, double scale) {
474475
TMeanAccumulator result;
475476
for (const auto& bucket : trend) {
476477
result.add(CBasicStatistics::maximumLikelihoodVariance(bucket),
@@ -1337,8 +1338,7 @@ void CPeriodicityHypothesisTests::hypothesis(const TTime2Vec& periods,
13371338
}
13381339
}
13391340

1340-
void CPeriodicityHypothesisTests::conditionOnHypothesis(const TTimeTimePr2Vec& windows,
1341-
const STestStats& stats,
1341+
void CPeriodicityHypothesisTests::conditionOnHypothesis(const STestStats& stats,
13421342
TFloatMeanAccumulatorVec& buckets) const {
13431343
std::size_t n{buckets.size()};
13441344
core_t::TTime windowLength{static_cast<core_t::TTime>(n) * m_BucketLength};
@@ -1361,14 +1361,6 @@ void CPeriodicityHypothesisTests::conditionOnHypothesis(const TTimeTimePr2Vec& w
13611361
}
13621362
}
13631363
}
1364-
1365-
if (length(windows) < windowLength) {
1366-
LOG_TRACE(<< "Projecting onto " << core::CContainerPrinter::print(windows));
1367-
TFloatMeanAccumulatorVec projection;
1368-
project(buckets, windows, m_BucketLength, projection);
1369-
buckets = std::move(projection);
1370-
LOG_TRACE(<< "# values = " << buckets.size());
1371-
}
13721364
}
13731365

13741366
bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
@@ -1401,11 +1393,22 @@ bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
14011393
return false;
14021394
}
14031395

1404-
double B{static_cast<double>(
1405-
std::count_if(buckets.begin(), buckets.end(),
1406-
[](const TFloatMeanAccumulator& value) {
1407-
return CBasicStatistics::count(value) > 0.0;
1408-
}))};
1396+
core_t::TTime windowLength{length(windows)};
1397+
TTimeTimePr2Vec window{{0, windowLength}};
1398+
TFloatMeanAccumulatorVec values(buckets.begin(), buckets.end());
1399+
this->conditionOnHypothesis(stats, values);
1400+
1401+
if (windowLength < length(buckets, m_BucketLength)) {
1402+
LOG_TRACE(<< "Projecting onto " << core::CContainerPrinter::print(windows));
1403+
TFloatMeanAccumulatorVec projection;
1404+
project(values, windows, m_BucketLength, projection);
1405+
values = std::move(projection);
1406+
}
1407+
1408+
double B{static_cast<double>(std::count_if(
1409+
values.begin(), values.end(), [](const TFloatMeanAccumulator& value) {
1410+
return CBasicStatistics::count(value) > 0.0;
1411+
}))};
14091412
double df0{B - stats.s_DF0};
14101413

14111414
// We need fewer degrees of freedom in the null hypothesis trend model
@@ -1414,9 +1417,6 @@ bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
14141417
return false;
14151418
}
14161419

1417-
TTimeTimePr2Vec window{{0, length(windows)}};
1418-
TFloatMeanAccumulatorVec values(buckets.begin(), buckets.end());
1419-
this->conditionOnHypothesis(window, stats, values);
14201420
TMeanVarAccumulatorVec trend(period);
14211421
periodicTrend(values, window, m_BucketLength, trend);
14221422

@@ -1438,7 +1438,7 @@ bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
14381438

14391439
double v{residualVariance<double>(trend, scale)};
14401440
v = varianceAtPercentile(v, df1, 50.0 + CONFIDENCE_INTERVAL / 2.0);
1441-
reweightOutliers(trend, windows, m_BucketLength, values);
1441+
reweightOutliers(trend, window, m_BucketLength, values);
14421442
trend.assign(period, TMeanVarAccumulator{});
14431443
periodicTrend(values, window, m_BucketLength, trend);
14441444

@@ -1459,7 +1459,7 @@ bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
14591459
LOG_TRACE(<< " autocorrelation = " << R);
14601460
LOG_TRACE(<< " autocorrelationThreshold = " << Rt);
14611461

1462-
TSizeVec repeats{calculateRepeats(windows, period_, m_BucketLength, values)};
1462+
TSizeVec repeats{calculateRepeats(window, period_, m_BucketLength, values)};
14631463
double meanRepeats{CBasicStatistics::mean(
14641464
std::accumulate(repeats.begin(), repeats.end(), TMeanAccumulator{},
14651465
[](TMeanAccumulator mean, std::size_t repeat) {
@@ -1501,7 +1501,7 @@ bool CPeriodicityHypothesisTests::testPeriod(const TTimeTimePr2Vec& windows,
15011501
if (v > 0.0) {
15021502
try {
15031503
std::size_t n{static_cast<std::size_t>(
1504-
std::ceil(Rt * static_cast<double>(length(window) / period_)))};
1504+
std::ceil(Rt * static_cast<double>(windowLength / period_)))};
15051505
double at{stats.s_At * std::sqrt(v0 / scale)};
15061506
LOG_TRACE(<< " n = " << n << ", at = " << at << ", v = " << v);
15071507
TMeanAccumulator level;
@@ -1555,7 +1555,7 @@ bool CPeriodicityHypothesisTests::testPartition(const TTimeTimePr2Vec& partition
15551555

15561556
using TDoubleTimePr = std::pair<double, core_t::TTime>;
15571557
using TDoubleTimePrVec = std::vector<TDoubleTimePr>;
1558-
using TMinAccumulator = CBasicStatistics::COrderStatisticsStack<TDoubleTimePr, 1>;
1558+
using TMinAccumulator = CBasicStatistics::SMin<TDoubleTimePr>::TAccumulator;
15591559
using TMeanVarAccumulatorBuffer = boost::circular_buffer<TMeanVarAccumulator>;
15601560

15611561
LOG_TRACE(<< "Testing partition " << core::CContainerPrinter::print(partition)
@@ -1585,10 +1585,7 @@ bool CPeriodicityHypothesisTests::testPartition(const TTimeTimePr2Vec& partition
15851585
// w.r.t. the period is minimized and check if there is significant
15861586
// evidence that it reduces the residual variance and repeats.
15871587

1588-
double B{static_cast<double>(std::count_if(
1589-
buckets.begin(), buckets.end(), [](const TFloatMeanAccumulator& value) {
1590-
return CBasicStatistics::count(value) > 0.0;
1591-
}))};
1588+
double B{stats.s_B};
15921589
double df0{B - stats.s_DF0};
15931590

15941591
// We need fewer degrees of freedom in the null hypothesis trend model
@@ -1598,10 +1595,10 @@ bool CPeriodicityHypothesisTests::testPartition(const TTimeTimePr2Vec& partition
15981595
}
15991596

16001597
TFloatMeanAccumulatorVec values(buckets.begin(), buckets.end());
1601-
this->conditionOnHypothesis({{0, windowLength}}, stats, values);
1598+
this->conditionOnHypothesis(stats, values);
16021599
{
16031600
TTimeTimePr2Vec window{{0, windowLength}};
1604-
TMeanVarAccumulatorVec trend(period);
1601+
TMeanAccumulatorVec trend(period);
16051602
periodicTrend(values, window, m_BucketLength, trend);
16061603
reweightOutliers(trend, window, m_BucketLength, values);
16071604
}
@@ -1670,29 +1667,25 @@ bool CPeriodicityHypothesisTests::testPartition(const TTimeTimePr2Vec& partition
16701667
double b{0.0};
16711668
TMinAccumulator best;
16721669

1673-
TTimeTimePr2Vec candidateWindows;
16741670
for (const auto& candidate : candidates) {
16751671
if (candidate.first <= 1.05 * minimum[0].first) {
1676-
core_t::TTime candidateStartOfPartition{candidate.second};
1677-
candidateWindows = calculateWindows(candidateStartOfPartition,
1678-
windowLength, repeat, partition[0]);
1672+
startOfPartition = candidate.second;
16791673
TMeanAccumulator cost;
1680-
for (const auto& window : candidateWindows) {
1674+
for (const auto& window : calculateWindows(startOfPartition, windowLength,
1675+
repeat, partition[0])) {
16811676
core_t::TTime a_{window.first / m_BucketLength};
16821677
core_t::TTime b_{window.second / m_BucketLength - 1};
16831678
double va{CBasicStatistics::mean(values[a_ % values.size()])};
16841679
double vb{CBasicStatistics::mean(values[b_ % values.size()])};
16851680
cost.add(std::fabs(va) + std::fabs(vb) + std::fabs(vb - va));
16861681
}
1687-
if (best.add({CBasicStatistics::mean(cost), candidateStartOfPartition})) {
1682+
if (best.add({CBasicStatistics::mean(cost), startOfPartition})) {
16881683
b = 0.0;
1689-
for (const auto& subset : partition) {
1690-
candidateWindows = calculateWindows(
1691-
candidateStartOfPartition, windowLength, repeat, subset);
1692-
1684+
for (std::size_t i = 0u; i < partition.size(); ++i) {
1685+
windows[i] = calculateWindows(startOfPartition, windowLength,
1686+
repeat, partition[i]);
16931687
TMeanVarAccumulatorVec trend(period);
1694-
periodicTrend(values, candidateWindows, m_BucketLength, trend);
1695-
1688+
periodicTrend(values, windows[i], m_BucketLength, trend);
16961689
b += static_cast<double>(std::count_if(
16971690
trend.begin(), trend.end(), [](const TMeanVarAccumulator& value) {
16981691
return CBasicStatistics::count(value) > 0.0;
@@ -1710,17 +1703,22 @@ bool CPeriodicityHypothesisTests::testPartition(const TTimeTimePr2Vec& partition
17101703
return false;
17111704
}
17121705

1713-
double variance{correction * minimum[0].first};
1714-
double v1{varianceAtPercentile(variance, df1, 50.0 + CONFIDENCE_INTERVAL / 2.0)};
1706+
startOfPartition = best[0].second;
1707+
double v1{varianceAtPercentile(correction * minimum[0].first, df1,
1708+
50.0 + CONFIDENCE_INTERVAL / 2.0)};
1709+
LOG_TRACE(<< " start of partition = " << startOfPartition);
17151710
LOG_TRACE(<< " variance = " << v1);
17161711
LOG_TRACE(<< " varianceThreshold = " << vt);
17171712
LOG_TRACE(<< " significance = "
17181713
<< CStatisticalTests::leftTailFTest(v1 / v0, df1, df0));
17191714

1720-
startOfPartition = best[0].second;
1721-
windows[0] = calculateWindows(startOfPartition, windowLength, repeat, partition[0]);
1722-
windows[1] = calculateWindows(startOfPartition, windowLength, repeat, partition[1]);
1723-
LOG_TRACE(<< " start of partition = " << startOfPartition);
1715+
values.assign(buckets.begin(), buckets.end());
1716+
TMeanAccumulatorVec trend;
1717+
for (const auto& window : windows) {
1718+
trend.assign(period, TMeanAccumulator{});
1719+
periodicTrend(values, window, m_BucketLength, trend);
1720+
reweightOutliers(trend, window, m_BucketLength, values);
1721+
}
17241722

17251723
// In the following we're trading off:
17261724
// 1) The cyclic autocorrelation of each periodic component in the

‎lib/maths/CSignal.cc

Lines changed: 2 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -141,8 +141,7 @@ double CSignal::autocorrelation(std::size_t offset, TFloatMeanAccumulatorCRng va
141141
TMeanVarAccumulator moments;
142142
for (const auto& value : values) {
143143
if (CBasicStatistics::count(value) > 0.0) {
144-
moments.add(CBasicStatistics::mean(value),
145-
CBasicStatistics::count(value));
144+
moments.add(CBasicStatistics::mean(value), CBasicStatistics::count(value));
146145
}
147146
}
148147

@@ -156,7 +155,7 @@ double CSignal::autocorrelation(std::size_t offset, TFloatMeanAccumulatorCRng va
156155
if (ni > 0.0 && nj > 0.0) {
157156
double weight = std::sqrt(ni * nj);
158157
autocorrelation.add((CBasicStatistics::mean(values[i]) - mean) *
159-
(CBasicStatistics::mean(values[j]) - mean),
158+
(CBasicStatistics::mean(values[j]) - mean),
160159
weight);
161160
}
162161
}

‎lib/maths/unittest/CForecastTest.cc

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -193,7 +193,7 @@ void CForecastTest::testComplexVaryingLongTermTrend() {
193193
return trend_.value(time_) + scale[d] * (20.0 + y[h] + noise);
194194
};
195195

196-
this->test(trend, bucketLength, 63, 4.0, 4.0, 0.04);
196+
this->test(trend, bucketLength, 63, 4.0, 44.0, 0.06);
197197
}
198198

199199
void CForecastTest::testNonNegative() {

‎lib/maths/unittest/CPeriodicityHypothesisTestsTest.cc

Lines changed: 8 additions & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -234,8 +234,8 @@ void CPeriodicityHypothesisTestsTest::testDiurnal() {
234234
core_t::TTime time{timeseries[i].first};
235235
if (time > lastTest + window) {
236236
maths::CPeriodicityHypothesisTestsResult result{hypotheses.test()};
237-
LOG_DEBUG(<< result.print());
238-
CPPUNIT_ASSERT(result.print() == "{ 'weekend daily' 'weekday daily' }" ||
237+
LOG_DEBUG(<< "result = " << result.print());
238+
CPPUNIT_ASSERT(result.print() == "{ 'weekend daily' 'weekday daily' 'weekend weekly' }" ||
239239
result.print() == "{ 'weekend daily' 'weekday daily' 'weekend weekly' 'weekday weekly' }");
240240
hypotheses = maths::CPeriodicityHypothesisTests();
241241
hypotheses.initialize(HOUR, window, DAY);
@@ -308,7 +308,8 @@ void CPeriodicityHypothesisTestsTest::testDiurnal() {
308308
core_t::TTime time{timeseries[i].first};
309309
if (time > lastTest + window) {
310310
maths::CPeriodicityHypothesisTestsResult result{hypotheses.test()};
311-
CPPUNIT_ASSERT(result.print() == "{ 'weekend daily' 'weekday daily' }" ||
311+
LOG_DEBUG(<< "result = " << result.print());
312+
CPPUNIT_ASSERT(result.print() == "{ 'weekend daily' 'weekday daily' 'weekend weekly' }" ||
312313
result.print() == "{ 'weekend daily' 'weekday daily' 'weekend weekly' 'weekday weekly' }");
313314
hypotheses = maths::CPeriodicityHypothesisTests();
314315
hypotheses.initialize(HOUR, window, DAY);
@@ -490,8 +491,7 @@ void CPeriodicityHypothesisTestsTest::testWithSparseData() {
490491
if (t >= 2) {
491492
maths::CPeriodicityHypothesisTestsResult result{hypotheses.test()};
492493
LOG_DEBUG(<< "result = " << result.print());
493-
CPPUNIT_ASSERT_EQUAL(std::string("{ 'weekend daily' 'weekday daily' 'weekend weekly' 'weekday weekly' }"),
494-
result.print());
494+
CPPUNIT_ASSERT_EQUAL(std::string("{ 'daily' 'weekly' }"), result.print());
495495
}
496496
}
497497
}
@@ -640,8 +640,9 @@ void CPeriodicityHypothesisTestsTest::testWithOutliers() {
640640
maths::CPeriodicityHypothesisTestsResult result{
641641
maths::testForPeriods(config, startTime, bucketLength, values)};
642642
LOG_DEBUG(<< "result = " << result.print());
643-
CPPUNIT_ASSERT_EQUAL(std::string("{ 'weekend daily' 'weekday daily' }"),
644-
result.print());
643+
CPPUNIT_ASSERT(
644+
result.print() == std::string("{ 'weekend daily' 'weekday daily' }") ||
645+
result.print() == std::string("{ 'weekend daily' 'weekday daily' 'weekend weekly' }"));
645646
}
646647
}
647648
}

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