double predict(size_t steps) {
if (points_.empty()) {
return 0;
}
if (points_.size() != nPoints_ - 1 + nDim_) {
return points_.back();
}
for (size_t i = 0; i < nDim_; ++i) {
for (size_t j = 0; j < nPoints_; ++j) {
x_(i, j) = points_[i + j];
}
}
auto c = x_ * x_.transpose() / nPoints_;
SelfAdjointEigenSolver<MatrixXd> esC(c);
auto v = esC.eigenvectors();
// LOG(INFO) << OUTLN(esC.eigenvalues());
// LOG(INFO) << OUTLN(v);
for (size_t i = 0; i < nDim_ - 1; ++i) {
for (size_t j = 0; j < nEigen_; ++j) {
vStar_(i, j) = v(i, nDim_ - 1 - j);
}
}
for (size_t i = 0; i < nEigen_; ++i) {
vTau_(0, i) = v(nDim_ - 1, nDim_ - 1 - i);
}
auto predictionM = (vTau_ * vStar_.transpose()) / (1.0 - (vTau_ * vTau_.transpose())(0, 0));
// cout << OUTLN(predictionM) << OUTLN(predictionM.sum());
DoubleVector computed;
auto getPoint = [&](size_t index) {
if (index < points_.size()) {
return points_[index];
}
return computed[index - points_.size()];
};
for (size_t iStep = 0; iStep < steps; ++iStep) {
for (size_t i = 0; i < nDim_ - 1; ++i) {
q_(i, 0) = getPoint((nPoints_ - 1 + nDim_) + i - (nDim_ - 1) + iStep);
}
computed.emplace_back((predictionM * q_)(0, 0));
}
return computed.back();
}
double predict(size_t steps) {
if (points_.empty()) {
return 0;
}
if (points_.size() < nDim_ + steps + 40) {
return points_.back();
}
VectorPoints points;
for (size_t i = 0; i + nDim_ + steps < points_.size(); ++i) {
VectorPoint point(nDim_ + 1);
point.b_ = points_[i + nDim_ - 1 + steps];
for (size_t j = 0; j < nDim_; ++j) {
point.a_[j] = points_[i + j];
}
point.a_[nDim_] = 1.0;
points.emplace_back(std::move(point));
}
auto b = linearRegression(points, points_[0] * points_[0] * points_.size() / 10000000);
// LOG_EVERY_MS(INFO, 100) << OUTLN(b);
// cout << OUTLN(b);
DoubleVector computed;
auto getPoint = [&](size_t index) {
if (index < points_.size()) {
return points_[index];
}
return computed[index - points_.size()];
};
for (size_t iStep = 0; iStep < steps; ++iStep) {
for (size_t i = 0; i < nDim_; ++i) {
q_[i] = getPoint((points_.size() - 1) + i - nDim_ + iStep);
}
computed.emplace_back(dot(b, q_));
}
// cout << OUTLN(computed);
return computed.back();
}