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heal-research / HeuristicLab

HeuristicLab - An environment for heuristic and evolutionary optimization
https://dev.heuristiclab.com
GNU General Public License v3.0
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Plugin for symbolic time series prognosis with GP #1081

Closed HeuristicLab-Trac-Bot closed 11 years ago

HeuristicLab-Trac-Bot commented 14 years ago

Issue migrated from trac ticket # 1081

milestone: HeuristicLab 3.3.8 | component: Problems.DataAnalysis | priority: medium | resolution: done

2010-07-09 17:00:44: @gkronber created the issue

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-09 17:00:56: @gkronber changed status from new to assigned

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-09 17:01:43: @gkronber commented

Worked on symbolic regression classes to prepare for time series prognosis plugin with r4022.

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-09 17:06:26: @gkronber commented

removed commented code with r4023.

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-12 18:47:37: @gkronber commented

Moved code for calculation of covariance from the scaled MSE evaluator into a separate online evaluator with r4027.

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-13 14:21:01: @mkommend commented

Removed resource file for LaggedVariableView r4029.

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-27 14:38:44: @gkronber commented

Added plugin for time series prognosis with r4113.

HeuristicLab-Trac-Bot commented 14 years ago

2010-07-27 14:40:11: @gkronber commented

set svn:ignore properties with r4114.

HeuristicLab-Trac-Bot commented 13 years ago

2010-11-22 08:54:49: @gkronber changed milestone from HeuristicLab x.x.x to HeuristicLab 3.3.3

HeuristicLab-Trac-Bot commented 13 years ago

2011-01-05 16:32:06: @gkronber changed milestone from HeuristicLab 3.3.3 to HeuristicLab x.x.x

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-19 11:37:07: @gkronber changed status from assigned to accepted

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-19 11:37:07: @gkronber changed component from ZZZ OBSOLETE: Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis to Problems.DataAnalysis

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-19 11:37:07: @gkronber changed milestone from HeuristicLab 3.3.x Backlog to HeuristicLab 3.3.6

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 10:11:27: @gkronber commented

r6802: added classes (problem, evaluators, analyzers, solution, model, online-calculators, and views) for time series prognosis problems and added an algorithm implementation to generation linear AR (auto-regressive) time series prognosis solution.

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 12:49:44: @gkronber commented

r6807: added views for time series prognosis

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 15:22:48: @gkronber commented

r6808: fixed build

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 18:32:22: @gkronber commented

r6811:

  • added configuration of default grammar for time-series prognosis
  • improved multiple update of variable impacts result
HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 21:06:05: @gkronber changed status from accepted to reviewing

HeuristicLab-Trac-Bot commented 13 years ago

2011-09-20 21:06:05: @gkronber changed owner from gkronber to mkommend

HeuristicLab-Trac-Bot commented 13 years ago

2011-11-09 08:46:23: @gkronber changed status from reviewing to assigned

HeuristicLab-Trac-Bot commented 13 years ago

2011-11-09 08:46:23: @gkronber changed owner from mkommend to gkronber

HeuristicLab-Trac-Bot commented 13 years ago

2011-11-09 08:46:32: @gkronber changed status from assigned to accepted

HeuristicLab-Trac-Bot commented 13 years ago

2011-11-09 10:59:54: @gkronber commented

r6974:

  • cleared up definition of accuracy metrics for time series prognosis to make the distinction between one n-step forecast and n one-step forecasts clearer
  • implemented calculators for time series accuracy metrics to support the calculation of the average accuracy over m n-step forecasts,
  • and adapted the unit tests accordingly.
HeuristicLab-Trac-Bot commented 13 years ago

2011-11-09 11:01:21: @gkronber commented

Open tasks:

  • implement unit tests for n-step forecasts (only one-step forecasts are tested right now)
  • write blog post / wiki page to document the accuracy metrics
  • add a benchmark test set for time series prognosis with financial data
HeuristicLab-Trac-Bot commented 12 years ago

2011-11-23 18:13:06: @gkronber commented

r7058: added unit tests for directional symmetry and Theil's U and multi-step forecasts

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 11:39:15: @gkronber commented

A larger overhaul of the time series implementation is necessary.

The most important aspect of time series analysis is prognosis of future values. As of now we only support one-step forecasts from y(t) to y(t+1). However, often it is necessary to create a forecast for the next n time-steps. For uni-variate time series, it would be possible to calculate the forecast outside of HeuristicLab, by simple recurrence (using the first one-step prognosis y(t+1) as additional input for the next one-step prognosis y(t+2) and so on). It would be nice to support this also directly in HeuristicLab and show for instance the line chart of the forecast for the whole test partition.

The second problem when n-step forecasts are supported arises when additional variables are used as inputs for the time-series model. Because the values of the input variables are usually not known for the forecast period. This issue can be solved by learning a multi-variate time-series model instead.

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 12:34:19: @gkronber commented

Because of the considerations mentioned above I decided to pull the time-series plugins from the 3.3.6 release as this would lead to difficulties when we have to maintain compatibility in future releases.

The time-series prognosis functionality will be released with 3.3.7.

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 18:27:19: @gkronber commented

r7097: reverse merged r6802, r6807 to r6808, r6811, r6974, r7058 to prepare for the 3.3.6 release

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 18:29:26: @gkronber commented

r7098: created a branch for the development of time series prognosis features.

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 18:44:26: @gkronber changed milestone from HeuristicLab 3.3.6 to HeuristicLab 3.3.7

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 19:59:32: @gkronber commented

r7099: merged old changesets r6802, r6807 to r6808, r6811, r6974, r7058 from the trunk into the TimeSeries branch to bring it to version r7096.

HeuristicLab-Trac-Bot commented 12 years ago

2011-11-29 20:06:52: @gkronber commented

r7100: worked on multi-variate time series prognosis

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-05 08:22:55: @gkronber commented

r7120: implemented multi-variate symbolic expression tree interpreter for time series prognosis.

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-05 20:18:36: @gkronber commented

r7129: worked on multi-variate time series prognosis

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-07 22:47:30: @gkronber commented

r7154: worked on multi-variate time series prognosis

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-09 12:56:43: @gkronber commented

r7160: worked on multi-variate time series prognosis

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-13 13:52:41: @gkronber commented

r7183:

  • implemented remaining metrics for time series prognosis solutions
  • added estimation limits
  • fixed training and validation best solution analyzers
  • implemented overfitting analyzer.
HeuristicLab-Trac-Bot commented 12 years ago

2011-12-13 14:01:27: @gkronber commented

r7184: removed resx files

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-16 14:48:35: @gkronber commented

r7194: small changes in calculation of time series solution results

HeuristicLab-Trac-Bot commented 12 years ago

2011-12-20 12:26:46: @gkronber commented

r7213 merged r7103 to r7209 from trunk into time series branch

HeuristicLab-Trac-Bot commented 12 years ago

2012-01-03 11:29:17: @gkronber commented

r7268: merged r7214 to r7266 from trunk into time series branch.

HeuristicLab-Trac-Bot commented 12 years ago

2012-02-06 17:50:41: @gkronber commented

r7460: merged r7266 to r7459 from the trunk into the time series prognosis branch.

HeuristicLab-Trac-Bot commented 12 years ago

2012-02-06 18:17:24: @gkronber commented

r7461: fixed a few problems related to a previous incorrect merge and removed unrelated projects from the solution.

HeuristicLab-Trac-Bot commented 12 years ago

2012-02-07 12:33:41: @gkronber commented

In the simplified for time series solutions the correct horizon should be used to calculate impacts.

HeuristicLab-Trac-Bot commented 12 years ago

2012-02-07 12:36:01: @gkronber commented

r7463: improved formatter, line chart view, simplifier for time series prognosis solutions

HeuristicLab-Trac-Bot commented 12 years ago

2012-03-06 13:41:28: @gkronber changed milestone from HeuristicLab 3.3.7 to HeuristicLab 3.3.x Backlog

HeuristicLab-Trac-Bot commented 12 years ago

2012-03-15 09:11:51: @gkronber commented

r7615: merged r7462 to r7609 from trunk into time series branch

HeuristicLab-Trac-Bot commented 12 years ago

2012-05-16 16:29:17: @gkronber commented

r7842: merged r7609 to r7840 from trunk into time series branch

HeuristicLab-Trac-Bot commented 12 years ago

2012-05-16 16:58:24: @gkronber commented

r7843: fixed compile errors after merging changes from the trunk

HeuristicLab-Trac-Bot commented 12 years ago

2012-05-24 10:38:59: @mkommend commented

r7886: Adapted timeseries branch to contain only modified plugins.

HeuristicLab-Trac-Bot commented 12 years ago

2012-05-24 10:55:04: @mkommend commented

r7889: Branched problem instances to enable CSV import for timeseries problems.