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Class optimization

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Miha
2024-10-27 16:11:08 -07:00
parent b2fcdda785
commit 6c67a0cf31
77 changed files with 2634 additions and 1455 deletions
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lib/errors/Rmse.cs
+20 -8
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -31,13 +31,15 @@ namespace QuanTAlib;
/// Note: Square root of MSE, making it more interpretable in original units
/// </remarks>
public class Rmse : AbstractBase
[SkipLocalsInit]
public sealed class Rmse : AbstractBase
{
private readonly CircularBuffer _actualBuffer;
private readonly CircularBuffer _predictedBuffer;
/// <param name="period">The number of points over which to calculate the RMSE.</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rmse(int period)
{
if (period < 1)
@@ -53,12 +55,14 @@ public class Rmse : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of points over which to calculate the RMSE.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rmse(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -66,6 +70,7 @@ public class Rmse : AbstractBase
_predictedBuffer.Clear();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -75,6 +80,14 @@ public class Rmse : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateSquaredError(double actual, double predicted)
{
double error = actual - predicted;
return error * error;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -89,17 +102,16 @@ public class Rmse : AbstractBase
double rmse = 0;
if (_actualBuffer.Count > 0)
{
var actualValues = _actualBuffer.GetSpan().ToArray();
var predictedValues = _predictedBuffer.GetSpan().ToArray();
ReadOnlySpan<double> actualValues = _actualBuffer.GetSpan();
ReadOnlySpan<double> predictedValues = _predictedBuffer.GetSpan();
double sumSquaredError = 0;
for (int i = 0; i < _actualBuffer.Count; i++)
for (int i = 0; i < actualValues.Length; i++)
{
double error = actualValues[i] - predictedValues[i];
sumSquaredError += error * error;
sumSquaredError += CalculateSquaredError(actualValues[i], predictedValues[i]);
}
rmse = Math.Sqrt(sumSquaredError / _actualBuffer.Count);
rmse = Math.Sqrt(sumSquaredError / actualValues.Length);
}
IsHot = _index >= WarmupPeriod;