/**
* Performs a non-linear - yet somewhat intelligent - search for the best values for the smoothing
* coefficients alpha and beta for the given data set.
*
* <p>For the given data set, and models with a small, medium and large value of the alpha
* smoothing constant, returns the best fit model where the value of the alpha and beta (trend)
* smoothing constants are within the given tolerances.
*
* <p>Note that the descriptions of the parameters below include a discussion of valid values.
* However, since this is a private method and to help improve performance, we don't provide any
* validation of these parameters. Using invalid values may lead to unexpected results.
*
* @param dataSet the data set for which a best fit model is required.
* @param modelMin the pre-initialized best fit model with the smallest value of the alpha
* smoothing constant found so far.
* @param modelMid the pre-initialized best fit model with the value of the alpha smoothing
* constant between that of modelMin and modelMax.
* @param modelMax the pre-initialized best fit model with the largest value of the alpha
* smoothing constant found so far.
* @param alphaTolerance the tolerance within which the alpha value is required. Must be
* considerably less than 1.0. However, note that the smaller this value the longer it will
* take to diverge on a best fit model.
* @param betaTolerance the tolerance within which the beta value is required. Must be
* considerably less than 1.0. However, note that the smaller this value the longer it will
* take to diverge on a best fit model. This value can be the same as, greater than or less
* than the value of the alphaTolerance parameter. It makes no difference - at least to this
* code.
*/
private static TripleExponentialSmoothingModel findBest(
DataSet dataSet,
TripleExponentialSmoothingModel modelMin,
TripleExponentialSmoothingModel modelMid,
TripleExponentialSmoothingModel modelMax,
double alphaTolerance,
double betaTolerance) {
double alphaMin = modelMin.getAlpha();
double alphaMid = modelMid.getAlpha();
double alphaMax = modelMax.getAlpha();
// If we're not making much ground, then we're done
if (Math.abs(alphaMid - alphaMin) < alphaTolerance
&& Math.abs(alphaMax - alphaMid) < alphaTolerance) return modelMid;
TripleExponentialSmoothingModel model[] = new TripleExponentialSmoothingModel[5];
model[0] = modelMin;
model[1] = findBestBeta(dataSet, (alphaMin + alphaMid) / 2.0, 0.0, 1.0, betaTolerance);
model[2] = modelMid;
model[3] = findBestBeta(dataSet, (alphaMid + alphaMax) / 2.0, 0.0, 1.0, betaTolerance);
model[4] = modelMax;
for (int m = 0; m < 5; m++) model[m].init(dataSet);
int bestModelIndex = 0;
for (int m = 1; m < 5; m++)
if (model[m].getMSE() < model[bestModelIndex].getMSE()) bestModelIndex = m;
switch (bestModelIndex) {
case 1:
// Reduce maximums
// Can discard models 3 and 4
model[3] = null;
model[4] = null;
return findBest(dataSet, model[0], model[1], model[2], alphaTolerance, betaTolerance);
case 2:
// Can discard models 0 and 4
model[0] = null;
model[4] = null;
return findBest(dataSet, model[1], model[2], model[3], alphaTolerance, betaTolerance);
case 3:
// Reduce minimums
// Can discard models 0 and 1
model[0] = null;
model[1] = null;
return findBest(dataSet, model[2], model[3], model[4], alphaTolerance, betaTolerance);
case 0:
case 4:
// We're done???
break;
}
// Release all but the best model constructed so far
for (int m = 0; m < 5; m++) if (m != bestModelIndex) model[m] = null;
return model[bestModelIndex];
}
/**
* For the given value of the alpha smoothing constant, returns the best fit model where the value
* of the beta (trend) smoothing constant is between betaMin and betaMax. This method will
* continually try to refine the estimate of beta until a tolerance of less than betaTolerance is
* achieved.
*
* <p>Note that the descriptions of the parameters below include a discussion of valid values.
* However, since this is a private method and to help improve performance, we don't provide any
* validation of these parameters. Using invalid values may lead to unexpected results.
*
* @param dataSet the data set for which a best fit model is required.
* @param alpha the (fixed) value of the alpha smoothing constant to use for the best fit model.
* @param betaMin the minimum value of the beta (trend) smoothing constant accepted in the
* resulting best fit model. Must be greater than (or equal to) 0.0 and less than betaMax.
* @param betaMax the maximum value of the beta (trend) smoothing constant accepted in the
* resulting best fit model. Must be greater than betaMin and less than (or equal to) 1.0.
* @param betaTolerance the tolerance within which the beta value is required. Must be
* considerably less than 1.0. However, note that the smaller this value the longer it will
* take to diverge on a best fit model.
*/
private static TripleExponentialSmoothingModel findBestBeta(
DataSet dataSet, double alpha, double betaMin, double betaMax, double betaTolerance) {
int stepsPerIteration = 10;
if (betaMin < 0.0) betaMin = 0.0;
if (betaMax > 1.0) betaMax = 1.0;
TripleExponentialSmoothingModel bestModel =
new TripleExponentialSmoothingModel(alpha, betaMin, 0.0);
bestModel.init(dataSet);
double initialMSE = bestModel.getMSE();
boolean betaImproving = true;
double betaStep = (betaMax - betaMin) / stepsPerIteration;
double beta = betaMin + betaStep;
for (; beta <= betaMax || betaImproving; ) {
TripleExponentialSmoothingModel model = new TripleExponentialSmoothingModel(alpha, beta, 0.0);
model.init(dataSet);
if (model.getMSE() < bestModel.getMSE()) bestModel = model;
else betaImproving = false;
beta += betaStep;
if (beta > 1.0) betaImproving = false;
}
// If we're making progress, then try to refine the beta estimate
if (bestModel.getMSE() < initialMSE && betaStep > betaTolerance) {
// Can this be further refined - improving efficiency - by
// only searching in the range beta-betaStep/2 to
// beta+betaStep/2 ?
return findBestBeta(
dataSet,
bestModel.getAlpha(),
bestModel.getBeta() - betaStep,
bestModel.getBeta() + betaStep,
betaTolerance);
}
return bestModel;
}