New upstream version 1.11.0+dfsgupstream/1.11.0+dfsg

Signed-off-by: Daniel Baumann <daniel.baumann@progress-linux.org>

1 files changed, 0 insertions, 459 deletions

diff --git a/src/statistical.c b/src/statistical.c
deleted file mode 100644
index d4b33fd5a..000000000
--- a/src/statistical.c
+++ /dev/null
@@ -1,459 +0,0 @@
-#include "common.h"
-
-// --------------------------------------------------------------------------------------------------------------------
-
-inline LONG_DOUBLE sum_and_count(const LONG_DOUBLE *series, size_t entries, size_t *count) {
-    if(unlikely(entries == 0)) {
-        if(likely(count))
-            *count = 0;
-
-        return NAN;
-    }
-
-    if(unlikely(entries == 1)) {
-        if(likely(count))
-            *count = (isnan(series[0])?0:1);
-
-        return series[0];
-    }
-
-    size_t i, c = 0;
-    LONG_DOUBLE sum = 0;
-
-    for(i = 0; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-        c++;
-        sum += value;
-    }
-
-    if(likely(count))
-        *count = c;
-
-    if(unlikely(c == 0))
-        return NAN;
-
-    return sum;
-}
-
-inline LONG_DOUBLE sum(const LONG_DOUBLE *series, size_t entries) {
-    return sum_and_count(series, entries, NULL);
-}
-
-inline LONG_DOUBLE average(const LONG_DOUBLE *series, size_t entries) {
-    size_t count = 0;
-    LONG_DOUBLE sum = sum_and_count(series, entries, &count);
-
-    if(unlikely(count == 0))
-        return NAN;
-
-    return sum / (LONG_DOUBLE)count;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-LONG_DOUBLE moving_average(const LONG_DOUBLE *series, size_t entries, size_t period) {
-    if(unlikely(period <= 0))
-        return 0.0;
-
-    size_t i, count;
-    LONG_DOUBLE sum = 0, avg = 0;
-    LONG_DOUBLE p[period];
-
-    for(count = 0; count < period ; count++)
-        p[count] = 0.0;
-
-    for(i = 0, count = 0; i < entries; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-
-        if(unlikely(count < period)) {
-            sum += value;
-            avg = (count == period - 1) ? sum / (LONG_DOUBLE)period : 0;
-        }
-        else {
-            sum = sum - p[count % period] + value;
-            avg = sum / (LONG_DOUBLE)period;
-        }
-
-        p[count % period] = value;
-        count++;
-    }
-
-    return avg;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-static int qsort_compare(const void *a, const void *b) {
-    LONG_DOUBLE *p1 = (LONG_DOUBLE *)a, *p2 = (LONG_DOUBLE *)b;
-    LONG_DOUBLE n1 = *p1, n2 = *p2;
-
-    if(unlikely(isnan(n1) || isnan(n2))) {
-        if(isnan(n1) && !isnan(n2)) return -1;
-        if(!isnan(n1) && isnan(n2)) return 1;
-        return 0;
-    }
-    if(unlikely(isinf(n1) || isinf(n2))) {
-        if(!isinf(n1) && isinf(n2)) return -1;
-        if(isinf(n1) && !isinf(n2)) return 1;
-        return 0;
-    }
-
-    if(unlikely(n1 < n2)) return -1;
-    if(unlikely(n1 > n2)) return 1;
-    return 0;
-}
-
-inline void sort_series(LONG_DOUBLE *series, size_t entries) {
-    qsort(series, entries, sizeof(LONG_DOUBLE), qsort_compare);
-}
-
-inline LONG_DOUBLE *copy_series(const LONG_DOUBLE *series, size_t entries) {
-    LONG_DOUBLE *copy = mallocz(sizeof(LONG_DOUBLE) * entries);
-    memcpy(copy, series, sizeof(LONG_DOUBLE) * entries);
-    return copy;
-}
-
-LONG_DOUBLE median_on_sorted_series(const LONG_DOUBLE *series, size_t entries) {
-    if(unlikely(entries == 0))
-        return NAN;
-
-    if(unlikely(entries == 1))
-        return series[0];
-
-    if(unlikely(entries == 2))
-        return (series[0] + series[1]) / 2;
-
-    LONG_DOUBLE avg;
-    if(entries % 2 == 0) {
-        size_t m = entries / 2;
-        avg = (series[m] + series[m + 1]) / 2;
-    }
-    else {
-        avg = series[entries / 2];
-    }
-
-    return avg;
-}
-
-LONG_DOUBLE median(const LONG_DOUBLE *series, size_t entries) {
-    if(unlikely(entries == 0))
-        return NAN;
-
-    if(unlikely(entries == 1))
-        return series[0];
-
-    if(unlikely(entries == 2))
-        return (series[0] + series[1]) / 2;
-
-    LONG_DOUBLE *copy = copy_series(series, entries);
-    sort_series(copy, entries);
-
-    LONG_DOUBLE avg = median_on_sorted_series(copy, entries);
-
-    freez(copy);
-    return avg;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-LONG_DOUBLE moving_median(const LONG_DOUBLE *series, size_t entries, size_t period) {
-    if(entries <= period)
-        return median(series, entries);
-
-    LONG_DOUBLE *data = copy_series(series, entries);
-
-    size_t i;
-    for(i = period; i < entries; i++) {
-        data[i - period] = median(&series[i - period], period);
-    }
-
-    LONG_DOUBLE avg = median(data, entries - period);
-    freez(data);
-    return avg;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-// http://stackoverflow.com/a/15150143/4525767
-LONG_DOUBLE running_median_estimate(const LONG_DOUBLE *series, size_t entries) {
-    LONG_DOUBLE median = 0.0f;
-    LONG_DOUBLE average = 0.0f;
-    size_t i;
-
-    for(i = 0; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-
-        average += ( value - average ) * 0.1f; // rough running average.
-        median += copysignl( average * 0.01, value - median );
-    }
-
-    return median;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-LONG_DOUBLE standard_deviation(const LONG_DOUBLE *series, size_t entries) {
-    if(unlikely(entries < 1))
-        return NAN;
-
-    if(unlikely(entries == 1))
-        return series[0];
-
-    size_t i, count = 0;
-    LONG_DOUBLE sum = 0;
-
-    for(i = 0; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-
-        count++;
-        sum += value;
-    }
-
-    if(unlikely(count == 0))
-        return NAN;
-
-    if(unlikely(count == 1))
-        return sum;
-
-    LONG_DOUBLE average = sum / (LONG_DOUBLE)count;
-
-    for(i = 0, count = 0, sum = 0; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-
-        count++;
-        sum += powl(value - average, 2);
-    }
-
-    if(unlikely(count == 0))
-        return NAN;
-
-    if(unlikely(count == 1))
-        return average;
-
-    LONG_DOUBLE variance = sum / (LONG_DOUBLE)(count - 1); // remove -1 to have a population stddev
-
-    LONG_DOUBLE stddev = sqrtl(variance);
-    return stddev;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-LONG_DOUBLE single_exponential_smoothing(const LONG_DOUBLE *series, size_t entries, LONG_DOUBLE alpha) {
-    size_t i, count = 0;
-    LONG_DOUBLE level = 0, sum = 0;
-
-    if(unlikely(isnan(alpha)))
-        alpha = 0.3;
-
-    for(i = 0; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-        count++;
-
-        sum += value;
-
-        LONG_DOUBLE last_level = level;
-        level = alpha * value + (1.0 - alpha) * last_level;
-    }
-
-    return level;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-// http://grisha.org/blog/2016/02/16/triple-exponential-smoothing-forecasting-part-ii/
-LONG_DOUBLE double_exponential_smoothing(const LONG_DOUBLE *series, size_t entries, LONG_DOUBLE alpha, LONG_DOUBLE beta, LONG_DOUBLE *forecast) {
-    size_t i, count = 0;
-    LONG_DOUBLE level = series[0], trend, sum;
-
-    if(unlikely(isnan(alpha)))
-        alpha = 0.3;
-
-    if(unlikely(isnan(beta)))
-        beta = 0.05;
-
-    if(likely(entries > 1))
-        trend = series[1] - series[0];
-    else
-        trend = 0;
-
-    sum = series[0];
-
-    for(i = 1; i < entries ; i++) {
-        LONG_DOUBLE value = series[i];
-        if(unlikely(isnan(value) || isinf(value))) continue;
-        count++;
-
-        sum += value;
-
-        LONG_DOUBLE last_level = level;
-
-        level = alpha * value + (1.0 - alpha) * (level + trend);
-        trend = beta * (level - last_level) + (1.0 - beta) * trend;
-    }
-
-    if(forecast)
-        *forecast = level + trend;
-
-    return level;
-}
-
-// --------------------------------------------------------------------------------------------------------------------
-
-/*
- * Based on th R implementation
- *
- * a: level component
- * b: trend component
- * s: seasonal component
- *
- * Additive:
- *
- *   Yhat[t+h] = a[t] + h * b[t] + s[t + 1 + (h - 1) mod p],
- *   a[t] = α (Y[t] - s[t-p]) + (1-α) (a[t-1] + b[t-1])
- *   b[t] = β (a[t] - a[t-1]) + (1-β) b[t-1]
- *   s[t] = γ (Y[t] - a[t]) + (1-γ) s[t-p]
- *
- * Multiplicative:
- *
- *   Yhat[t+h] = (a[t] + h * b[t]) * s[t + 1 + (h - 1) mod p],
- *   a[t] = α (Y[t] / s[t-p]) + (1-α) (a[t-1] + b[t-1])
- *   b[t] = β (a[t] - a[t-1]) + (1-β) b[t-1]
- *   s[t] = γ (Y[t] / a[t]) + (1-γ) s[t-p]
- */
-static int __HoltWinters(
-        const LONG_DOUBLE *series,
-        int          entries,      // start_time + h
-
-        LONG_DOUBLE alpha,        // alpha parameter of Holt-Winters Filter.
-        LONG_DOUBLE beta,         // beta  parameter of Holt-Winters Filter. If set to 0, the function will do exponential smoothing.
-        LONG_DOUBLE gamma,        // gamma parameter used for the seasonal component. If set to 0, an non-seasonal model is fitted.
-
-        const int *seasonal,
-        const int *period,
-        const LONG_DOUBLE *a,      // Start value for level (a[0]).
-        const LONG_DOUBLE *b,      // Start value for trend (b[0]).
-        LONG_DOUBLE *s,            // Vector of start values for the seasonal component (s_1[0] ... s_p[0])
-
-        /* return values */
-        LONG_DOUBLE *SSE,          // The final sum of squared errors achieved in optimizing
-        LONG_DOUBLE *level,        // Estimated values for the level component (size entries - t + 2)
-        LONG_DOUBLE *trend,        // Estimated values for the trend component (size entries - t + 2)
-        LONG_DOUBLE *season        // Estimated values for the seasonal component (size entries - t + 2)
-)
-{
-    if(unlikely(entries < 4))
-        return 0;
-
-    int start_time = 2;
-
-    LONG_DOUBLE res = 0, xhat = 0, stmp = 0;
-    int i, i0, s0;
-
-    /* copy start values to the beginning of the vectors */
-    level[0] = *a;
-    if(beta > 0) trend[0] = *b;
-    if(gamma > 0) memcpy(season, s, *period * sizeof(LONG_DOUBLE));
-
-    for(i = start_time - 1; i < entries; i++) {
-        /* indices for period i */
-        i0 = i - start_time + 2;
-        s0 = i0 + *period - 1;
-
-        /* forecast *for* period i */
-        xhat = level[i0 - 1] + (beta > 0 ? trend[i0 - 1] : 0);
-        stmp = gamma > 0 ? season[s0 - *period] : (*seasonal != 1);
-        if (*seasonal == 1)
-            xhat += stmp;
-        else
-            xhat *= stmp;
-
-        /* Sum of Squared Errors */
-        res   = series[i] - xhat;
-        *SSE += res * res;
-
-        /* estimate of level *in* period i */
-        if (*seasonal == 1)
-            level[i0] = alpha       * (series[i] - stmp)
-                        + (1 - alpha) * (level[i0 - 1] + trend[i0 - 1]);
-        else
-            level[i0] = alpha       * (series[i] / stmp)
-                        + (1 - alpha) * (level[i0 - 1] + trend[i0 - 1]);
-
-        /* estimate of trend *in* period i */
-        if (beta > 0)
-            trend[i0] = beta        * (level[i0] - level[i0 - 1])
-                        + (1 - beta)  * trend[i0 - 1];
-
-        /* estimate of seasonal component *in* period i */
-        if (gamma > 0) {
-            if (*seasonal == 1)
-                season[s0] = gamma       * (series[i] - level[i0])
-                             + (1 - gamma) * stmp;
-            else
-                season[s0] = gamma       * (series[i] / level[i0])
-                             + (1 - gamma) * stmp;
-        }
-    }
-
-    return 1;
-}
-
-LONG_DOUBLE holtwinters(const LONG_DOUBLE *series, size_t entries, LONG_DOUBLE alpha, LONG_DOUBLE beta, LONG_DOUBLE gamma, LONG_DOUBLE *forecast) {
-    if(unlikely(isnan(alpha)))
-        alpha = 0.3;
-
-    if(unlikely(isnan(beta)))
-        beta = 0.05;
-
-    if(unlikely(isnan(gamma)))
-        gamma = 0;
-
-    int seasonal = 0;
-    int period = 0;
-    LONG_DOUBLE a0 = series[0];
-    LONG_DOUBLE b0 = 0;
-    LONG_DOUBLE s[] = {};
-
-    LONG_DOUBLE errors = 0.0;
-    size_t nb_computations = entries;
-    LONG_DOUBLE *estimated_level  = callocz(nb_computations, sizeof(LONG_DOUBLE));
-    LONG_DOUBLE *estimated_trend  = callocz(nb_computations, sizeof(LONG_DOUBLE));
-    LONG_DOUBLE *estimated_season = callocz(nb_computations, sizeof(LONG_DOUBLE));
-
-    int ret = __HoltWinters(
-            series,
-            (int)entries,
-            alpha,
-            beta,
-            gamma,
-            &seasonal,
-            &period,
-            &a0,
-            &b0,
-            s,
-            &errors,
-            estimated_level,
-            estimated_trend,
-            estimated_season
-    );
-
-    LONG_DOUBLE value = estimated_level[nb_computations - 1];
-
-    if(forecast)
-        *forecast = 0.0;
-
-    freez(estimated_level);
-    freez(estimated_trend);
-    freez(estimated_season);
-
-    if(!ret)
-        return 0.0;
-
-    return value;
-}