InterpolARIMA.h

Go to the documentation of this file.

// SPDX-License-Identifier: LGPL-3.0-or-later
/***********************************************************************************/
/*  Copyright 2013 WSL Institute for Snow and Avalanche Research    SLF-DAVOS      */
/***********************************************************************************/
/* This file is part of MeteoIO.
    MeteoIO is free software: you can redistribute it and/or modify
    it under the terms of the GNU Lesser General Public License as published by
    the Free Software Foundation, either version 3 of the License, or
    (at your option) any later version.
 
    MeteoIO 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 Lesser General Public License for more details.
 
    You should have received a copy of the GNU Lesser General Public License
    along with MeteoIO.  If not, see <http://www.gnu.org/licenses/>.
*/
 
#ifndef INTERPOLARIMA_H
#define INTERPOLARIMA_H
 
/* For peace of mind, disable strict ISO c++ compliance as it would emit warnings
 * because of ctsa's variable lenght arrays*/
#ifdef __GNUC__
    #pragma GCC diagnostic push
    #pragma GCC diagnostic ignored "-Wpedantic"
    #include <meteoio/thirdParty/ctsa.h>
    #pragma GCC diagnostic pop
#elif defined __clang__
        #pragma clang diagnostic push
        #pragma clang diagnostic ignored "-Wpedantic"
        #include <meteoio/thirdParty/ctsa.h>
        #pragma clang diagnostic pop
#else
        #include <meteoio/thirdParty/ctsa.h>
#endif
 
#include <iostream>
#include <map>
#include <meteoio/meteoResampling/ARIMAutils.h>
#include <string>
#include <vector>
 
namespace mio {
 
using namespace ARIMAutils;
class InterpolARIMA {
        public:
                InterpolARIMA();
                InterpolARIMA(std::vector<double> data_in, size_t gap_loc, size_t N_gap, int s = 0);
                InterpolARIMA(std::vector<double> data_in, size_t gap_loc, size_t N_gap, std::vector<double> xreg_vec, int s = 0);
                InterpolARIMA(std::vector<double> data_in, size_t gap_loc, size_t n_predictions, std::string direction = "forward", int s = 0);
 
                // Setters
                void setAutoArimaMetaData(int max_p_param = 8, int max_d_param = 3, int max_q = 8, int start_p = 2, int start_q = 2, int max_P = 2,
                                                                        int max_D = 1, int max_Q = 2, int start_P = 1, int start_Q = 1, bool seasonal = true,
                                                                        bool stationary = false);
                void setOptMetaData(ObjectiveFunction method = CSS_MLE, OptimizationMethod opt_method = BFGS, bool stepwise = true,
                                                        bool approximation = false, int num_models = 94);
                void setVerbose(bool verbose = false);
                void setNormalizationMode(Normalization::Mode mode);
                void setManualARIMA(int p, int d, int q, int P, int D, int Q, bool fill_backward);
 
                // Interpolation methods
                std::vector<double> simulate(int n_steps, int seed = 0);
                void fillGap();
                void fillGapManual();
 
                void interpolate();
                std::vector<double> predict(size_t n_steps = 0);
                // only do denormalization ARIMA predict! otherwise it will denorm twice
                std::vector<double> ARIMApredict(size_t n_steps);
 
                // Getters
                std::vector<double> getData() { return norm.denormalize(data); }
                std::vector<double> getForwardData() { return norm.denormalize(data_forward); }
                std::vector<double> getBackwardData() { return  norm.denormalize(data_backward); }
                std::vector<double> getInterpolatedData();
 
                // Copy constructor
                InterpolARIMA(const InterpolARIMA &other)
                        : norm(other.norm), data(other.data), gap_loc(other.gap_loc), N_gap(other.N_gap), time(other.time), pred_forward(other.pred_forward),
                        pred_backward(other.pred_backward), xreg_vec_f(other.xreg_vec_f), xreg_vec_b(other.xreg_vec_b),
                        data_forward(other.data_forward), data_backward(other.data_backward), new_xreg_vec_f(other.new_xreg_vec_f),
                        new_xreg_vec_b(other.new_xreg_vec_b), xreg_f((xreg_vec_f.empty()) ? nullptr : &xreg_vec_f[0]),
                        xreg_b((xreg_vec_b.empty()) ? nullptr : &xreg_vec_b[0]), new_xreg_f((new_xreg_vec_f.empty()) ? nullptr : &new_xreg_vec_f[0]),
                        new_xreg_b((new_xreg_vec_b.empty()) ? nullptr : &new_xreg_vec_b[0]), amse_forward(other.amse_forward),
                        amse_backward(other.amse_backward), N_data_forward(other.N_data_forward), N_data_backward(other.N_data_backward),
                        max_p(other.max_p), max_d(other.max_d), max_q(other.max_q), start_p(other.start_p), start_q(other.start_q),
                        max_P(other.max_P), max_D(other.max_D), max_Q(other.max_Q), start_P(other.start_P), start_Q(other.start_Q), r(other.r),
                        s(other.s), method(other.method), opt_method(other.opt_method), stepwise(other.stepwise), approximation(other.approximation),
                        num_models(other.num_models), seasonal(other.seasonal), stationary(other.stationary),
                        auto_arima_forward(auto_arima_copy(other.auto_arima_forward)), auto_arima_backward(auto_arima_copy(other.auto_arima_backward)), sarima_forward(other.sarima_forward) {
                }
 
    // Copy assignment operator
    InterpolARIMA &
    operator=(const InterpolARIMA &other) {
                // protect against invalid self-assignment
                if (this != &other) {
                        auto_arima_forward = auto_arima_copy(other.auto_arima_forward);
                        auto_arima_backward = auto_arima_copy(other.auto_arima_backward);
 
                        // 3: copy all the other fields from the other object
                        gap_loc = other.gap_loc;
                        N_gap = other.N_gap;
                        time = other.time;
                        pred_forward = other.pred_forward;
                        pred_backward = other.pred_backward;
                        norm = other.norm;
                        data = other.data;
                        xreg_vec_f = other.xreg_vec_f;
                        xreg_vec_b = other.xreg_vec_b;
                        data_forward = other.data_forward;
                        data_backward = other.data_backward;
                        new_xreg_vec_f = other.new_xreg_vec_f;
                        new_xreg_vec_b = other.new_xreg_vec_b;
                        N_data_forward = other.N_data_forward;
                        N_data_backward = other.N_data_backward;
                        max_p = other.max_p;
                        max_d = other.max_d;
                        max_q = other.max_q;
                        start_p = other.start_p;
                        start_q = other.start_q;
                        max_P = other.max_P;
                        max_D = other.max_D;
                        max_Q = other.max_Q;
                        start_P = other.start_P;
                        start_Q = other.start_Q;
                        r = other.r;
                        s = other.s;
                        method = other.method;
                        opt_method = other.opt_method;
                        stepwise = other.stepwise;
                        approximation = other.approximation;
                        num_models = other.num_models;
                        seasonal = other.seasonal;
                        stationary = other.stationary;
 
                        // 4: handle the pointers to the vectors
                        xreg_f = (xreg_vec_f.empty()) ? nullptr : &xreg_vec_f[0];
                        xreg_b = (xreg_vec_b.empty()) ? nullptr : &xreg_vec_b[0];
                        new_xreg_f = (new_xreg_vec_f.empty()) ? nullptr : &new_xreg_vec_f[0];
                        new_xreg_b = (new_xreg_vec_b.empty()) ? nullptr : &new_xreg_vec_b[0];
                }
                // by convention, always return *this
                return *this;
        }
 
        ~InterpolARIMA() {
                auto_arima_free(auto_arima_forward);
                auto_arima_free(auto_arima_backward);
                delete xreg_f;
                delete xreg_b;
                delete new_xreg_f;
                delete new_xreg_b;
        }
 
        // info
        std::string toString();
        std::string autoArimaInfo(auto_arima_object obj);
 
 
private:
        // Interpolation variables
        Normalization norm;
        std::vector<double> data;
        size_t gap_loc;
        size_t N_gap;
        std::vector<double> time;
        std::vector<double> pred_forward, pred_backward;
 
        // Auto Arima variables
        // const doesnt work with c
        std::vector<double> xreg_vec_f, xreg_vec_b, data_forward, data_backward, new_xreg_vec_f, new_xreg_vec_b;
        double *xreg_f;
        double *xreg_b;
        double *new_xreg_f;
        double *new_xreg_b;
        std::vector<double> amse_forward, amse_backward;
        size_t N_data_forward, N_data_backward;
        int max_p = 8, max_d = 3, max_q = 8;
        int start_p = 2, start_q = 2;
        int max_P = 2, max_D = 1, max_Q = 2;
        int start_P = 1, start_Q = 1;
        int r = 0, s = 0;
        ObjectiveFunction method = CSS_MLE; OptimizationMethod opt_method = BFGS;
        bool stepwise = true, approximation = true;
        int num_models = 94;
        bool seasonal = true, stationary = false;
 
        bool consistencyCheck();
        auto_arima_object initAutoArima(size_t N_data);
 
        // last to be initialized
public:
        auto_arima_object auto_arima_forward;
        auto_arima_object auto_arima_backward;
 
private:
        // (S)ARIMA variables
        bool set_manual = false;
        bool fill_backward_manual = false;
 
public:
        sarima_object sarima_forward;
};
 
} // namespace mio
 
#endif // INTERPOLARIMA_H