Beispiel #1
0
// NewFloatHoltWintersReducer creates a new FloatHoltWintersReducer.
func NewFloatHoltWintersReducer(h, m int, includeFitData bool, interval time.Duration) *FloatHoltWintersReducer {
	seasonal := true
	if m < 2 {
		seasonal = false
	}
	return &FloatHoltWintersReducer{
		h:              h,
		m:              m,
		seasonal:       seasonal,
		includeFitData: includeFitData,
		interval:       int64(interval),
		halfInterval:   int64(interval) / 2,
		optim:          neldermead.New(),
		epsilon:        hwDefaultEpsilon,
	}
}
Beispiel #2
0
// NewFloatHoltWintersReducer creates a new FloatHoltWintersReducer.
func NewFloatHoltWintersReducer(h, m int, includeFitData bool, interval time.Duration) *FloatHoltWintersReducer {
	seasonal := true
	if m < 2 {
		seasonal = false
	}
	return &FloatHoltWintersReducer{
		alpha:          defaultAlpha,
		beta:           defaultBeta,
		gamma:          defaultGamma,
		phi:            defaultPhi,
		h:              h,
		m:              m,
		seasonal:       seasonal,
		includeFitData: includeFitData,
		interval:       int64(interval),
		halfInterval:   int64(interval) / 2,
		optim:          neldermead.New(),
		epsilon:        defaultEpsilon,
	}
}
Beispiel #3
0
func Test_Optimize(t *testing.T) {

	constraints := func(x []float64) {
		for i := range x {
			x[i] = round(x[i], 5)
		}
	}
	// 100*(b-a^2)^2 + (1-a)^2
	//
	// Obvious global minimum at (a,b) = (1,1)
	//
	// Useful visualization:
	// https://www.wolframalpha.com/input/?i=minimize(100*(b-a%5E2)%5E2+%2B+(1-a)%5E2)
	f := func(x []float64) float64 {
		constraints(x)
		// a = x[0]
		// b = x[1]
		return 100*(x[1]-x[0]*x[0])*(x[1]-x[0]*x[0]) + (1.0-x[0])*(1.0-x[0])
	}

	start := []float64{-1.2, 1.0}

	opt := neldermead.New()
	epsilon := 1e-5
	min, parameters := opt.Optimize(f, start, epsilon, 1)

	if !almostEqual(min, 0, epsilon) {
		t.Errorf("unexpected min: got %f exp 0", min)
	}

	if !almostEqual(parameters[0], 1, 1e-2) {
		t.Errorf("unexpected parameters[0]: got %f exp 1", parameters[0])
	}

	if !almostEqual(parameters[1], 1, 1e-2) {
		t.Errorf("unexpected parameters[1]: got %f exp 1", parameters[1])
	}

}