/
kolmogorovzurbenko.cpp
140 lines (110 loc) · 3.69 KB
/
kolmogorovzurbenko.cpp
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
#include "kolmogorovzurbenko.h"
QVector<double> KolmogorovZurbenko::kz1d(int iterations)
{
QVector<double> *tmp = new QVector<double>(y);
QVector<double> *ans = new QVector<double>(y.size());
ans->fill(0.0);
for(int i = 0; i < iterations; i++){
for(int yi = 0; yi < y.size(); yi++){
ans->operator [](yi) = mavg1d(*tmp, yi, WINDOW);
}
ans->swap(*tmp);
}
return *ans;
}
QVector<double> KolmogorovZurbenko::kza1d(int window, int iterations, int minimumWindowLength, double tolerance)
{
int n,q;
long qh, qt;
double m;
n = y.size();
QVector<double> *d = new QVector<double>(n);
QVector<double> *prime = new QVector<double>(n);
QVector<double> *ans = new QVector<double>(n);
QVector<double> *tmp = new QVector<double>(y);
q = window;
differenced(d, prime, q);
m = *std::max_element(std::begin(*d), std::end(*d));
for(int i = 0; i < iterations; i++){
#pragma omp parallel for
for(int t = 0; t < n; t++){
if(abs(prime->at(t)) < tolerance){
qh = (int) floor(q*adaptive(d->at(t), m));
qt = (int) floor(q*adaptive(d->at(t), m));
} else if (abs(prime->at(t)) < 0){
qh = q;
qt = (int) floor(q*adaptive(d->at(t), m));
} else {
qh = (int) floor(q*adaptive(d->at(t), m));
qt = q;
}
qt = (qt < minimumWindowLength) ? minimumWindowLength : qt;
qh = (qh < minimumWindowLength) ? minimumWindowLength : qh;
qh = (qh > n-t-1) ? n-t-1 : qh;
qt = (qt > t) ? t : qt;
ans->operator [](t) = mavga1d(*tmp, t-qt, t+qh+1);
}
ans->swap(*tmp);
}
return *ans;
}
double KolmogorovZurbenko::mavg1d(const QVector<double> &v, int col, int w)
{
double s = 0;
int z = 0;
int startcol, endcol;
if (v.size() > 0) {
startcol = (col - w > 0 ? col - w : 0);
endcol = (col + w < v.size() ? col + w + 1 : v.size());
for(int i = startcol; i < endcol; i++){
if(isFinite(v[i])){
z++;
s += v[i];
}
}
} else return std::numeric_limits<double>::quiet_NaN();
if(z == 0) return std::numeric_limits<double>::quiet_NaN();
return s / z;
}
double KolmogorovZurbenko::mavga1d(const QVector<double> &v, int start, int stop)
{
double s = 0;
int z = 0;
for(int i = start; i < stop; i++){
if(isFinite(v[i])){
z++;
s += v[i];
}
}
if(z == 0) return std::numeric_limits<double>::quiet_NaN();
return s / z;
}
void KolmogorovZurbenko::differenced(QVector<double>* d, QVector<double>* prime, int q)
{
int n = x.size();
for (int i=0; i<q; i++) {d->operator[](i) = abs(x[i+q] - x[0]);}
for (int i=q; i<n-q; i++) {d->operator[](i) = abs(x[i+q] - x[i-q]);}
for (int i=n-q; i<n; i++) {d->operator[](i) = abs(x[n-1] - x[i-q]);}
for(int i=0; i<n-1; i++) {prime->operator[](i) = d->at(i+1)-d->at(i);}
prime->operator[](n-1) = 0;
}
double KolmogorovZurbenko::adaptive(double d, double m)
{
return( 1 - (d/m) );
}
double KolmogorovZurbenko::error(double *params){
double tolerance = params[0];
QVector<double> computed = kza1d(5, 20, 2, tolerance);
double value = 0;
for(int i = 0; i < index->size(); i++){
double indexValue = index->at(i);
double computedValue = computed[indexValue];
double measuredValue = y[indexValue];
value += abs(abs(computedValue)-abs(measuredValue));
}
return value;
}
bool KolmogorovZurbenko::isFinite(const double x)
{
return (fabs(x) != std::numeric_limits<double>::infinity());
}