Class: TeaLeaves::BruteForceOptimization

Inherits:
Object
  • Object
show all
Defined in:
lib/tealeaves/brute_force_optimization.rb

Constant Summary collapse

INITIAL_PARAMETER_VALUES = 
[0.0, 0.2, 0.4, 0.6, 0.8, 1.0].freeze

Instance Method Summary collapse

Constructor Details

#initialize(time_series, period, opts = {}) ⇒ BruteForceOptimization

Returns a new instance of BruteForceOptimization.



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# File 'lib/tealeaves/brute_force_optimization.rb', line 5

def initialize(time_series, period, opts={})
  @time_series = time_series
  @period = period
  @opts = opts
end

Instance Method Details

#initial_test_parameters(opts = {}) ⇒ Object 



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# File 'lib/tealeaves/brute_force_optimization.rb', line 18

def initial_test_parameters(opts={})
  parameters = []
  INITIAL_PARAMETER_VALUES.each do |alpha|
    parameters << {:alpha => alpha, :seasonality => :none, :trend => :none}
    
    unless opts[:seasonality] == :none && opts[:trend] == :none
      INITIAL_PARAMETER_VALUES.each do |b|
        parameters << {:alpha => alpha, :beta => b, :seasonality => :none, :trend => :additive}
        parameters << {:alpha => alpha, :beta => b, :seasonality => :none, :trend => :multiplicative}
        parameters << {:alpha => alpha, :gamma => b, :trend => :none, :seasonality => :additive}
        parameters << {:alpha => alpha, :gamma => b, :trend => :none, :seasonality => :multiplicative}
        
        INITIAL_PARAMETER_VALUES.each do |gamma|
          [:additive, :multiplicative].each do |trend|
            [:additive, :multiplicative].each do |seasonality|
              parameters << {
                :alpha => alpha,
                :beta => b,
                :gamma => gamma,
                :trend => trend,
                :seasonality => seasonality
              }
            end
          end
        end
      end
    end
  end

  parameters
end

#optimize ⇒ Object 



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# File 'lib/tealeaves/brute_force_optimization.rb', line 12

def optimize
  [0.1, 0.5, 0.25, 0.125, 0.0625, 0.03125, 0.015625].inject(optimum(initial_models)) do |model, change|
    improve_model(model, change)
  end
end