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Miha Kralj
2026-01-25 16:01:45 -08:00
parent 2836f253c4
commit e59665c8f0
399 changed files with 6892 additions and 1323 deletions
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lib/errors/quantile/QuantileLoss.cs
+68 -9
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@@ -38,7 +38,9 @@ public sealed class QuantileLoss : BiInputIndicatorBase
: base(period, $"QuantileLoss({period},{quantile:F2})")
{
if (quantile <= 0.0 || quantile >= 1.0)
{
throw new ArgumentException("Quantile must be between 0 and 1 (exclusive)", nameof(quantile));
}
Quantile = quantile;
}
@@ -61,7 +63,9 @@ public sealed class QuantileLoss : BiInputIndicatorBase
public static TSeries Calculate(TSeries actual, TSeries predicted, int period, double quantile = 0.5)
{
if (actual.Count != predicted.Count)
{
throw new ArgumentException("Actual and predicted series must have the same length", nameof(predicted));
}
int len = actual.Count;
var t = new List<long>(len);
@@ -82,14 +86,25 @@ public sealed class QuantileLoss : BiInputIndicatorBase
public static void Batch(ReadOnlySpan<double> actual, ReadOnlySpan<double> predicted, Span<double> output, int period, double quantile = 0.5)
{
if (actual.Length != predicted.Length || actual.Length != output.Length)
{
throw new ArgumentException("All spans must have the same length", nameof(output));
}
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (quantile <= 0.0 || quantile >= 1.0)
{
throw new ArgumentException("Quantile must be between 0 and 1 (exclusive)", nameof(quantile));
}
int len = actual.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
const int StackAllocThreshold = 256;
Span<double> lossBuffer = period <= StackAllocThreshold
@@ -102,11 +117,19 @@ public sealed class QuantileLoss : BiInputIndicatorBase
for (int k = 0; k < len; k++)
{
if (double.IsFinite(actual[k])) { lastValidActual = actual[k]; break; }
if (double.IsFinite(actual[k]))
{
lastValidActual = actual[k];
break;
}
}
for (int k = 0; k < len; k++)
{
if (double.IsFinite(predicted[k])) { lastValidPredicted = predicted[k]; break; }
if (double.IsFinite(predicted[k]))
{
lastValidPredicted = predicted[k];
break;
}
}
int bufferIndex = 0;
@@ -118,8 +141,23 @@ public sealed class QuantileLoss : BiInputIndicatorBase
double act = actual[i];
double pred = predicted[i];
if (double.IsFinite(act)) lastValidActual = act; else act = lastValidActual;
if (double.IsFinite(pred)) lastValidPredicted = pred; else pred = lastValidPredicted;
if (double.IsFinite(act))
{
lastValidActual = act;
}
else
{
act = lastValidActual;
}
if (double.IsFinite(pred))
{
lastValidPredicted = pred;
}
else
{
pred = lastValidPredicted;
}
double diff = act - pred;
double loss = diff >= 0 ? quantile * diff : (quantile - 1.0) * diff;
@@ -136,8 +174,23 @@ public sealed class QuantileLoss : BiInputIndicatorBase
double act = actual[i];
double pred = predicted[i];
if (double.IsFinite(act)) lastValidActual = act; else act = lastValidActual;
if (double.IsFinite(pred)) lastValidPredicted = pred; else pred = lastValidPredicted;
if (double.IsFinite(act))
{
lastValidActual = act;
}
else
{
act = lastValidActual;
}
if (double.IsFinite(pred))
{
lastValidPredicted = pred;
}
else
{
pred = lastValidPredicted;
}
double diff = act - pred;
double loss = diff >= 0 ? quantile * diff : (quantile - 1.0) * diff;
@@ -146,7 +199,10 @@ public sealed class QuantileLoss : BiInputIndicatorBase
lossBuffer[bufferIndex] = loss;
bufferIndex++;
if (bufferIndex >= period) bufferIndex = 0;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
output[i] = lossSum / period;
@@ -156,9 +212,12 @@ public sealed class QuantileLoss : BiInputIndicatorBase
tickCount = 0;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += lossBuffer[k];
}
lossSum = recalcSum;
}
}
}
}
}