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Miha Kralj
2024-10-13 17:18:31 -07:00
parent 2236f5f483
commit bbefc72d73
65 changed files with 669 additions and 1087 deletions
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lib/errors/Mae.cs
+3 -54
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@@ -1,25 +1,10 @@
namespace QuanTAlib;
/// <summary>
/// Represents a Mean Absolute Error calculator that measures the average absolute difference
/// between actual values and predicted values.
/// </summary>
/// <remarks>
/// The Mae class calculates the Mean Absolute Error using circular buffers
/// to efficiently manage the actual and predicted data points within the specified period.
/// </remarks>
public class Mae : AbstractBase
{
private readonly CircularBuffer _actualBuffer;
private readonly CircularBuffer _predictedBuffer;
/// <summary>
/// Initializes a new instance of the Mae class with the specified period.
/// </summary>
/// <param name="period">The period over which to calculate the Mean Absolute Error.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Mae(int period)
{
if (period < 1)
@@ -33,20 +18,12 @@ public class Mae : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Mae class with the specified source and period.
/// </summary>
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate the Mean Absolute Error.</param>
public Mae(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Mae instance by clearing the buffers.
/// </summary>
public override void Init()
{
base.Init();
@@ -54,10 +31,6 @@ public class Mae : AbstractBase
_predictedBuffer.Clear();
}
/// <summary>
/// Manages the state of the Mae instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -67,18 +40,6 @@ public class Mae : AbstractBase
}
}
/// <summary>
/// Performs the Mean Absolute Error calculation for the current period.
/// </summary>
/// <returns>
/// The calculated Mean Absolute Error value for the current period.
/// </returns>
/// <remarks>
/// This method calculates the Mean Absolute Error using the formula:
/// MAE = sum(|actual - predicted|) / n
/// where actual is each actual value, predicted is each predicted value, and n is the number of values.
/// If Input2.Value is NaN, it uses the average of actual values as the predicted value.
/// </remarks>
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -95,29 +56,17 @@ public class Mae : AbstractBase
var actualValues = _actualBuffer.GetSpan().ToArray();
var predictedValues = _predictedBuffer.GetSpan().ToArray();
double sumOfAbsoluteDifferences = 0;
double sumAbsoluteError = 0;
for (int i = 0; i < _actualBuffer.Count; i++)
{
sumOfAbsoluteDifferences += Math.Abs(actualValues[i] - predictedValues[i]);
sumAbsoluteError += Math.Abs(actualValues[i] - predictedValues[i]);
}
mae = sumOfAbsoluteDifferences / _actualBuffer.Count;
mae = sumAbsoluteError / _actualBuffer.Count;
}
IsHot = _index >= WarmupPeriod;
return mae;
}
/// <summary>
/// Calculates the Mean Absolute Error for the given actual and predicted values.
/// </summary>
/// <param name="actual">The actual value.</param>
/// <param name="predicted">The predicted value.</param>
/// <returns>The calculated Mean Absolute Error.</returns>
public double Calc(double actual, double predicted)
{
Input = new TValue(DateTime.Now, actual);
Input2 = new TValue(DateTime.Now, predicted);
return Calculation();
}
}