void print_matrix(const real_2d_array& m, int row1, int row2, int col1, int col2) {
row1 = min(row1, m.rows());
row2 = min(row2, m.rows());
col1 = min(col1, m.cols());
col2 = min(col2, m.cols());
for (int r=row1; r<row2; ++r) {
for (int c=col1; c<col2; ++c) {
cout<<m[r][c]<<"\t";
}
cout<<endl;
}
}
void store_idata(const char* fpath, const real_2d_array& data) {
FILE* f = fopen(fpath, "w");
if (!f) throw "[store_data] Failed opening file!";
for (int row=0; row<data.rows(); ++row) {
for (int col=0; col<data.cols()-1; ++col) {
fprintf(f, "%i\t",(int)data[row][col]);
}
fprintf(f, "%i", (int)data[row][data.cols()-1]);
//if (row != data.rows()-1)
fprintf(f, "\n");
}
fclose(f);
}
// Opposite of slice --URI
void insert(real_2d_array &matrix, int i, real_1d_array &output){
int j;
int c = matrix.cols();
for(j=0; j<c; j++)
matrix[i][j] = output[j];
}
void load_data(const char* fpath, real_2d_array& data, int readrows=-1) {
int numrows = (readrows < 0)? get_file_numlines(fpath): readrows;
int numcols = get_file_numcols(fpath);
if (numrows <= 0 || numcols <= 0) {
throw "Failed to read data!";
}
data.setlength(numrows, numcols);
char line[1000000];
double rowvals[100000];
FILE* f = fopen(fpath, "r");
if (!f) throw "[load_data] Failed opening file!";
for (int row=0; row<numrows; ++row) {
fgets (line, 1000000, f);
int numvals = parse_row(line, rowvals);
if (numcols != numvals) {
cerr<<"[load_data] numcols != numvals in row="<<row<<endl;
cerr<<"[load_data] numcols = "<<numcols<<endl;
cerr<<"[load_data] numvals = "<<numvals<<endl;
cerr<<"[load_data] line =["<<line<<"]"<<endl;
throw "Inconsistent data in input file!";
}
for (int col=0; col<numcols; ++col) {
data[row][col] = rowvals[col];
}
}
fclose(f);
}
void fill_matrix(real_2d_array& dstm, int size) {
dstm.setlength(size,size);
for (int i=0; i<size; ++i) {
//cout<<"[fill_matrix] row = "<<i<<endl;
for (int j=i; j<size; ++j) {
//cout<<"[fill_matrix] col = "<<j<<endl;
dstm[i][j] = i*j+j;
dstm[j][i] = dstm[i][j];
}
}
}
void move_to_alglib_matrix(DataMatrix<T>& datam, real_2d_array& dstm) {
cout<<"Setting dimensions to:"<<datam.numrows<<"x"<<datam.numcols<<endl;
dstm.setlength(datam.numrows,datam.numcols);
cout<<"Moving..."<<endl;
for (int r=0; r<datam.numrows; ++r) {
if (r%100==0) { cout<<(r*100/datam.numrows)<<"% moved..."<<endl; }
for (int c=0; c<datam.numcols; ++c) {
dstm[r][c] = datam.data[r][c];
}
delete[] datam.data[r]; //freeing src data!
}
delete[] datam.data; //freeing src data!
cout<<"Done..."<<endl;
}
CostCalculator_eigen::CostCalculator_eigen(const real_1d_array expectReturn,
const real_2d_array &varMatrix,
const real_1d_array &tradingCost,
const real_1d_array ¤tWeight) {
assert(expectReturn.length() == varMatrix.rows());
assert(varMatrix.rows() == varMatrix.cols());
assert(tradingCost.length() == varMatrix.rows());
assert(currentWeight.length() == varMatrix.rows());
variableNumber_ = expectReturn.length();
xReal_.resize(variableNumber_, 1);
varMatrix_.resize(variableNumber_, variableNumber_);
expectReturn_.resize(variableNumber_);
tradingCost_.resize(variableNumber_);
currentWeight_.resize(variableNumber_);
for (int i = 0; i != variableNumber_; ++i) {
expectReturn_(i) = expectReturn[i];
tradingCost_(i) = tradingCost[i];
currentWeight_(i) = currentWeight[i];
for (int j = 0; j != variableNumber_; ++j)
varMatrix_(i, j) = varMatrix[i][j];
}
}
// slices i^th row of matrix, into output
void slice(real_2d_array &matrix, int i, real_1d_array &output){
int j;
int c = matrix.cols();
for(j=0;j<c;j++)
output[j] = matrix[i][j];
}
int main(int argc, char **argv)
{
printf("HELLO!");
// Set measured indices --URI
for(int i=0; i<NMEA; i++)
measIdx[i] = 2*i;
//
// using LBFGS method.
//
Ydata.setlength(NT,NX);
real_1d_array X0,grad_a;
X0.setlength(NT*NX);
grad_a.setlength(NT*NX);
real_2d_array result;
result.setlength(NBETA,(3+NT*NX));
double act;
int i,j;
int beta = 1, ipath;
void *ptr;
double epsg = 1e-8;
double epsf = 1e-8;
double epsx = 1e-8;
FILE *fp_output;
char filename[50];
ae_int_t maxits = 10000;
readdata(Ydata);
minlbfgsstate state;
minlbfgsreport rep;
// Make Initial paths - Load Later. URI
if(generate_paths == true){
ofstream initpaths("initpaths.txt");
for(ipath=0;ipath<NPATH;ipath++){
for(i=0;i<NX*NT;i++)
X0[i]=20*randomreal()-10;
if(initpaths.is_open()){
for(i=0;i<NX*NT;i++)
initpaths << X0[i] << " ";
initpaths << endl;
}
else{
printf("ERROR FILE WAS NOT OPENED");
}
}
initpaths.close();
cout << "Last entry in initpaths.txt: " << X0[NT*NX-1];
}
//load init paths file --Needed for all loop iterations
// either loadpaths or lastpath will be used depending on BETASTART
//loadpaths must be declared before ipath loop, because all
//paths are contained in the loadpaths file, so it has to
//persist through each iteration.
ifstream loadpaths("initpaths.txt");
int nans = 0;
for(ipath=0;ipath<NPATH;ipath++){
string taustr("Ntd%d_");
for(i=0; i<NTD;i++)
taustr = taustr + std::to_string(taus[i]) + "-";
string temp("pathNoise/D%d_M%d_PATH%d_"+taustr+"dt%e.dat");
sprintf(filename, temp.c_str(), NX,NMEA,ipath,NTD,DT);
//lastpath is the filename used to continue from a
//non-zero BETASTART. It must occur within ipath loop,
//because each path is contained in different file
ifstream lastpath(filename);
//Make BETASTART variable to continue old thing
//load in initial paths --URI
if(BETASTART ==0){
fp_output = fopen(filename,"w");
if(loadpaths.is_open()){
for(i=0;i<NX*NT;i++)
loadpaths >> X0[i];
cout << "Last entry loaded from initpaths.txt: " << X0[NT*NX-1];
}
else{
printf("ERROR INIT PATHS NOT FOUND!");
}
}
// Construction of a kmean Trea for the neighborhoods stored in xy.
void kmeanTree(Node* node, real_2d_array xy, int min_size){
if(xy.rows()>min_size){ //Stop if we have less than min_size neighborhoods.
// K_mean (K=4) :
clusterizerstate s;
kmeansreport rep;
clusterizercreate(s);
clusterizersetpoints(s, xy, 2);
clusterizersetkmeanslimits(s, 5, 0);
clusterizerrunkmeans(s, 4, rep);
if(int(rep.terminationtype)==1){ // Check if the K_mean step finished correctly.
// Count the number of neighborhoods in each cluster.
vector<int> count(4);
for(int c=0;c<4;c++){
for(int i=0;i<rep.npoints;++i){
if(rep.cidx[i] == c){
count[c]++;
}
}
}
if(count[0] && count[1] && count[2] && count[3]){ // Check that each cluster is non-empty.
// Create new nodes
for(int c=0;c<4;c++){
Node* nodeSon = new Node;
node->addSon(nodeSon);
}
vector<real_2d_array> clusters(4);
for(int c=0;c<4;c++){
// Add the center element of each cluster in its related node.
for(int f=0;f<rep.nfeatures;++f){
node->getSon(c)->addCenterCoord((double)rep.c[c][f]);
}
// Separate the neighborhoods into the new nodes.
int id = 0;
clusters[c].setlength(count[c],rep.nfeatures);
for(int i=0;i<rep.npoints;++i){
if(rep.cidx[i] == c){
for(int f=0;f<rep.nfeatures;++f){
clusters[c][id][f] = xy[i][f];
}
id++;
}
}
}
// Iterate the construction on the new nodes.
for(int c=0;c<4;c++){
kmeanTree(node->getSon(c),clusters[c],min_size);
}
}
}
}
}
/*************************************************************************
ODE solver results
Called after OdeSolverIteration returned False.
INPUT PARAMETERS:
State - algorithm state (used by OdeSolverIteration).
OUTPUT PARAMETERS:
M - number of tabulated values, M>=1
XTbl - array[0..M-1], values of X
YTbl - array[0..M-1,0..N-1], values of Y in X[i]
Rep - solver report:
* Rep.TerminationType completetion code:
* -2 X is not ordered by ascending/descending or
there are non-distinct X[], i.e. X[i]=X[i+1]
* -1 incorrect parameters were specified
* 1 task has been solved
* Rep.NFEV contains number of function calculations
-- ALGLIB --
Copyright 01.09.2009 by Bochkanov Sergey
*************************************************************************/
void odesolverresults(const odesolverstate &state, ae_int_t &m, real_1d_array &xtbl, real_2d_array &ytbl, odesolverreport &rep)
{
alglib_impl::ae_state _alglib_env_state;
alglib_impl::ae_state_init(&_alglib_env_state);
try
{
alglib_impl::odesolverresults(const_cast<alglib_impl::odesolverstate*>(state.c_ptr()), &m, const_cast<alglib_impl::ae_vector*>(xtbl.c_ptr()), const_cast<alglib_impl::ae_matrix*>(ytbl.c_ptr()), const_cast<alglib_impl::odesolverreport*>(rep.c_ptr()), &_alglib_env_state);
alglib_impl::ae_state_clear(&_alglib_env_state);
return;
}
catch(alglib_impl::ae_error_type)
{
throw ap_error(_alglib_env_state.error_msg);
}
}
