1 | /* |
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2 | * $Id$ |
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3 | * Copyright 2008-2010 The Eraser Project |
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4 | * Original Author: Joel Low <lowjoel@users.sourceforge.net> |
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5 | * Modified By: |
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6 | * |
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7 | * This file is part of Eraser. |
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8 | * |
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9 | * Eraser is free software: you can redistribute it and/or modify it under the |
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10 | * terms of the GNU General Public License as published by the Free Software |
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11 | * Foundation, either version 3 of the License, or (at your option) any later |
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12 | * version. |
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13 | * |
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14 | * Eraser is distributed in the hope that it will be useful, but WITHOUT ANY |
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15 | * WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR |
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16 | * A PARTICULAR PURPOSE. See the GNU General Public License for more details. |
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17 | * |
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18 | * A copy of the GNU General Public License can be found at |
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19 | * <http://www.gnu.org/licenses/>. |
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20 | */ |
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21 | |
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22 | using System; |
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23 | using System.Collections.Generic; |
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24 | using System.Linq; |
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25 | using System.Text; |
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26 | |
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27 | namespace Eraser.Util |
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28 | { |
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29 | /// <summary> |
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30 | /// Provides functions to sample data. |
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31 | /// </summary> |
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32 | /// <typeparam name="T">The type of data to sample.</typeparam> |
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33 | public class Sampler |
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34 | { |
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35 | public void Add(double sample) |
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36 | { |
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37 | Samples.Add(new KeyValuePair<DateTime, double>(DateTime.Now, sample)); |
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38 | } |
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39 | |
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40 | /// <summary> |
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41 | /// Resets the sampler. This is useful when the existing data is found to be biased. |
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42 | /// </summary> |
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43 | public void Reset() |
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44 | { |
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45 | Samples.Clear(); |
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46 | } |
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47 | |
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48 | /// <summary> |
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49 | /// Gets the prediction interval for this data set. |
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50 | /// </summary> |
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51 | /// <param name="significanceLevel">The level of significance of the prediction.</param> |
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52 | /// <returns>Null if insufficient data to make a prediction is available.</returns> |
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53 | public Interval Predict(double significanceLevel) |
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54 | { |
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55 | if (Samples.Count < 2) |
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56 | return null; |
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57 | |
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58 | double mean = Samples.Average(sample => sample.Value); |
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59 | double variance = Math.Sqrt(Samples.Sum( |
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60 | sample => Math.Pow(sample.Value - mean, 2.0)) / (double)(Samples.Count - 1)); |
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61 | double tPercentile = alglib.studenttdistr.invstudenttdistribution( |
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62 | Samples.Count - 1, (significanceLevel + 1) / 2); |
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63 | |
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64 | double interval = tPercentile * variance * Math.Sqrt(1 + (1.0 / Samples.Count)); |
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65 | return new Interval(mean - interval, mean + interval); |
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66 | } |
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67 | |
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68 | /// <summary> |
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69 | /// Gets the outliers in the sample. |
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70 | /// </summary> |
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71 | /// <param name="significanceLevel">The level of significance for the prediction.</param> |
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72 | /// <returns>The list of samples which are outliers, or null if insufficient data is |
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73 | /// available to determine which samples are outliers.</returns> |
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74 | public IList<KeyValuePair<DateTime, double>> GetOutliers(double significanceLevel) |
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75 | { |
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76 | Interval interval = Predict(significanceLevel); |
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77 | if (interval == null) |
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78 | return null; |
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79 | |
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80 | return Samples.Where(sample => !interval.Within(sample.Value)).ToList(); |
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81 | } |
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82 | |
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83 | /// <summary> |
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84 | /// The samples comprising this data set. |
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85 | /// </summary> |
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86 | private List<KeyValuePair<DateTime, double>> Samples = |
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87 | new List<KeyValuePair<DateTime, double>>(); |
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88 | } |
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89 | |
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90 | /// <summary> |
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91 | /// Represents an interval. |
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92 | /// </summary> |
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93 | public class Interval |
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94 | { |
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95 | /// <summary> |
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96 | /// Constructor. |
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97 | /// </summary> |
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98 | /// <param name="minimum">The lower bound of the interval.</param> |
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99 | /// <param name="maximum">The upper bound of the interval.</param> |
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100 | public Interval(double minimum, double maximum) |
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101 | { |
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102 | Minimum = minimum; |
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103 | Maximum = maximum; |
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104 | } |
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105 | |
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106 | /// <summary> |
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107 | /// Checks whether the given value is within this interval. |
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108 | /// </summary> |
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109 | /// <param name="value">The value to check.</param> |
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110 | /// <returns>True if the value is within this interval.</returns> |
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111 | public bool Within(double value) |
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112 | { |
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113 | return value >= Minimum && value <= Maximum; |
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114 | } |
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115 | |
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116 | /// <summary> |
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117 | /// The lower bound of the interval. |
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118 | /// </summary> |
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119 | public double Minimum { get; private set; } |
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120 | |
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121 | /// <summary> |
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122 | /// The upper bound of the interval. |
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123 | /// </summary> |
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124 | public double Maximum { get; private set; } |
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125 | } |
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126 | } |
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