Holt_Winters三次平滑指数实现

Bertha 。 2022-05-26 05:07 151阅读 0赞

参考网址：

[https://github.com/cmdrkeene/holt\_winters/blob/master/ext/holtWinters.java][https_github.com_cmdrkeene_holt_winters_blob_master_ext_holtWinters.java]

[https://stats.stackexchange.com/questions/193901/interpretation-of-level-trend-and-seasonal-indices-in-holt-winters-exponential][https_stats.stackexchange.com_questions_193901_interpretation-of-level-trend-and-seasonal-indices-in-holt-winters-exponential]

[https://en.wikipedia.org/wiki/Exponential\_smoothing][https_en.wikipedia.org_wiki_Exponential_smoothing]

[https://www.itl.nist.gov/div898/handbook/pmc/section4/pmc435.htm][https_www.itl.nist.gov_div898_handbook_pmc_section4_pmc435.htm]

适用场景：

具有周期性的数据的预测，平滑因子，季节平滑因子，趋势平滑因子通过反复测试，比较方差最小的为最佳预测。

实现代码：

import java.util.ArrayList;  
import java.util.List;  
  
  
/\*\*  
 \* 三次指数平滑预测，最多外推一个周期  
 \* @author Administrator  
 \*  
 \*/  
public class HoltWintersTripleExponentialImpl \{  
  
  
static double\[\] alphas=new double\[\]\{0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9\};  
  
public static Double getbetterforecast(List<Integer> y, int period, int m) \{  
double\[\] result=betterforecast(y,period,m);  
return result\[result.length-1\];  
\}  
  
/\*\*  
 \* 求出最佳预测  
 \* @param y  
 \* @param alpha  
 \* @param beta  
 \* @param gamma  
 \* @param period  
 \* @param m  
 \* @param debug  
 \* @return  
 \*/  
public static double\[\] betterforecast(List<Integer> y, int period, int m) \{  
double\[\] result = null;  
double avg=0;  
for(int i=0;i<alphas.length;i++)\{  
int sum=0;  
double\[\] temp=forecast(y,alphas\[i\],0.25,0,period,m,false);  
for(int j=0;j<y.size();j++)\{  
sum+=Math.abs(y.get(j)-temp\[j\]);  
\}  
if(i==0)\{  
avg=sum/y.size();  
result=temp;  
\}  
if(avg<(sum/y.size()))\{  
result=temp;  
\}  
\}  
return result;  
\}  
  
/\*\*  
 \* This method is the entry point. It calculates the initial values and returns the forecast  
 \* for the m periods.  
 \* @param y 数据集合  
 \* @param alpha - Exponential smoothing coefficients for level, trend, seasonal components.  
 \* @param beta - Exponential smoothing coefficients for level, trend, seasonal components.  
 \* @param gamma - Exponential smoothing coefficients for level, trend, seasonal components.  
 \* @param perdiod - 一个完整周期的长度，至少需要两个周期   
 \* @param m -预测的个数  
 \* @param debug - 是否打印详细信息  
 \*/  
public static double\[\] forecast(List<Integer> y, double alpha, double beta,  
double gamma, int period, int m, boolean debug) \{  
  
  
if (y == null) \{  
return null;  
\}  
  
//获取季节数  
int seasons = y.size() / period;  
//平滑值st0  
double a0 = calculateInitialLevel(y, period);  
//bt0  
double b0 = calculateInitialTrend(y, period);  
//初始化季节因子  
double\[\] initialSeasonalIndices = calculateSeasonalIndices(y, period, seasons);  
  
  
if (debug) \{  
System.out.println(String.format(  
"Total observations: %d, Seasons %d, Periods %d", y.size(),  
seasons, period));  
System.out.println("Initial level value a0: " + a0);  
System.out.println("Initial trend value b0: " + b0);  
printArray("Seasonal Indices: ", initialSeasonalIndices);  
\}  
  
  
double\[\] forecast = calculateHoltWinters(y, a0, b0, alpha, beta, gamma,  
initialSeasonalIndices, period, m, debug);  
  
  
if (debug) \{  
printArray("Forecast", forecast);  
\}  
  
  
return forecast;  
\}  
  
/\*\*  
 \* This method realizes the Holt-Winters equations.  
 \* 计算进行预测  
 \* @param y  
 \* @param a0  
 \* @param b0  
 \* @param alpha  
 \* @param beta  
 \* @param gamma  
 \* @param initialSeasonalIndices  
 \* @param period  
 \* @param m  
 \* @param debug  
 \* @return - Forecast for m periods.    
 \*/  
private static double\[\] calculateHoltWinters(List<Integer> y, double a0, double b0, double alpha,  
double beta, double gamma, double\[\] initialSeasonalIndices, int period, int m, boolean debug) \{  
//整体平滑 st=alpha \* y \[i\] / It \[i-period\] +（1.0  -  alpha）\*（St \[i  -  1\] + Bt \[i  -  1\]）  
double\[\] St = new double\[y.size()\];  
//趋势平滑 Bt \[i\] = gamma \*（St \[i\] -St \[i-1\]）+（1-gamma）\* Bt \[i-1\]  
double\[\] Bt = new double\[y.size()\];  
//季节性平滑It \[i\] = beta \* y \[i\] / St \[i\] +（1.0  -  beta）\* It \[i  -  period\]  
double\[\] It = new double\[y.size()\];  
//预测Ft \[i + m\] =（St \[i\] +（m \* Bt \[i\]））\* It \[i  -  period + m\]  
double\[\] Ft = new double\[y.size() + m\];  
  
//Initialize base values  初始化  
St\[1\] = a0;  
Bt\[1\] = b0;  
  
//季节性平滑  
for (int i = 0; i < period; i++) \{  
It\[i\] = initialSeasonalIndices\[i\];  
\}  
//预测初始化  
Ft\[0+m\] = (St\[0\] + (m \* Bt\[0\])) \* It\[0\];//因为Bt \[0\] = 0，所以这实际上是0  
Ft\[m + 1\] = (St\[1\] + (m \* Bt\[1\])) \* It\[1\];//Forecast starts from period + 2  
  
//Start calculations  
for (int i = 2; i < y.size(); i++) \{  
//Calculate overall smoothing  计算所有的平滑值  
if((i - period) >= 0) \{  
St\[i\] = alpha \* y.get(i) / It\[i - period\] + (1.0 - alpha) \* (St\[i - 1\] + Bt\[i - 1\]);  
\} else \{  
St\[i\] = alpha \* y.get(i) + (1.0 - alpha) \* (St\[i - 1\] + Bt\[i - 1\]);  
\}  
  
//Calculate trend smoothing  计算所有的趋势  
        Bt\[i\] = gamma \* (St\[i\] - St\[i - 1\]) + (1 - gamma) \* Bt\[i - 1\];  
          
        //Calculate seasonal smoothing  计算所有的季节趋势  
        if((i - period) >= 0) \{  
        It\[i\] = beta \* y.get(i) / St\[i\] + (1.0 - beta) \* It\[i - period\];  
        \}  
                                                        
            //Calculate forecast  计算预期值  
        if( ((i + m) >= period) )\{  
        Ft\[i + m\] = (St\[i\] + (m \* Bt\[i\])) \* It\[i - period + m\];  
        if(Ft\[i+m\]<=0)\{  
        Ft\[i+m\]=1;  
        \}  
        \}  
          
        if(debug)\{  
System.out.println(String.format(  
"i = %d, y = %d, S = %f, Bt = %f, It = %f, F = %f", i,  
y.get(i), St\[i\], Bt\[i\], It\[i\], Ft\[i\]));  
        \}  
\}  
return Ft;  
\}  
  
  
/\*\*  
 \* See: http://robjhyndman.com/researchtips/hw-initialization/  
 \* 1st period's average can be taken. But y\[0\] works better.  
 \*   
 \* @return - Initial Level value i.e. St\[1\]  
 \*/  
private static double calculateInitialLevel(List<Integer> y, int period) \{  
  
  
/\*\*  
 double sum = 0;  
for (int i = 0; i < period; i++) \{  
sum += y\[i\];  
\}  
  
return sum / period;  
 \*\*/  
return y.get(0);  
\}  
  
/\*\*  
 \* See: http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc435.htm  
 \*   
 \* @return - Initial trend - Bt\[1\]  
 \*/  
private static double calculateInitialTrend(List<Integer> y, int period)\{  
  
double sum = 0;  
  
for (int i = 0; i < period; i++) \{   
sum += (y.get(period+i)- y.get(i));  
\}  
  
return sum / (period \* period);  
\}  
  
/\*\*  
 \* See: http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc435.htm  
 \* 计算及季节性指数  
 \* @return - Seasonal Indices.  
 \*/  
private static double\[\] calculateSeasonalIndices(List<Integer> y, int period, int seasons)\{  
  
double\[\] seasonalAverage = new double\[seasons\];  
double\[\] seasonalIndices = new double\[period\];  
  
double\[\] averagedObservations = new double\[y.size()\];  
  
//获取所有季节各个周期的平均值  
for (int i = 0; i < seasons; i++) \{  
for (int j = 0; j < period; j++) \{  
seasonalAverage\[i\] += y.get((i \* period) + j);  
\}  
seasonalAverage\[i\] /= period;  
\}  
//平均观测值  
for (int i = 0; i < seasons; i++) \{  
for (int j = 0; j < period; j++) \{  
//真正的值/平均值  
averagedObservations\[(i \* period) + j\] =y.get((i \* period) + j) / seasonalAverage\[i\];  
\}  
\}  
//初始季节性指数  
for (int i = 0; i < period; i++) \{  
for (int j = 0; j < seasons; j++) \{  
seasonalIndices\[i\] += averagedObservations\[(j \* period) + i\];  
\}  
seasonalIndices\[i\] /= seasons;  
\}  
return seasonalIndices;  
\}  
  
/\*\*  
 \* Utility method to pring array values.  
 \*   
 \* @param description  
 \* @param data  
 \*/  
private static void printArray(String description, double\[\] data)\{  
System.out.println(String.format("\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\* %s \*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*", description));  
  
for (int i = 0; i < data.length; i++) \{  
System.out.println(data\[i\]);  
\}  
  
System.out.println(String.format("\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*\*", description));  
\}  
  
/\*\*  
 \* 求出二次最佳预测  
 \* @param y  
 \* @param m  
 \* @return  
 \*/  
public static double\[\] betterSec(List<Integer> y, int m) \{  
double\[\] result = null;  
double avg=0;  
for(int i=0;i<alphas.length;i++)\{  
int sum=0;  
double\[\] temp=getSecExpect(y,m,alphas\[i\]);  
for(int j=0;j<y.size();j++)\{  
sum+=Math.abs(y.get(j)-temp\[j\]);  
\}  
if(i==0)\{  
avg=sum/y.size();  
result=temp;  
\}  
if(avg<sum/y.size())\{  
result=temp;  
\}  
\}  
return result;  
\}  
  
/\*\*  
 \* 二次指数平滑法求预测值 预测线性趋势  
 \*   
 \* @param list  
 \*            基础数据集合  
 \* @param year  
 \*            未来第几期  
 \* @param modulus  
 \*            平滑系数  
 \* @return 预测值  
 \*/  
public static double\[\] getSecExpect(List<Integer> list, int year, Double modulus) \{  
if (list.size() < 20 || modulus <= 0 || modulus >= 1) \{  
return null;  
\}  
double\[\] ft=new double\[list.size()+year\];  
Double modulusLeft = 1 - modulus;  
// 一次预测 >20项默认第一个值为初始值  
Double lastIndex = Double.parseDouble(list.get(0).toString());  
// 二次预测 >20项默认第一个值为初始值  
Double lastSecIndex = Double.parseDouble(list.get(0).toString());  
for (int i=0;i<list.size();i++) \{  
// st1  
lastIndex = modulus \* list.get(i) + modulusLeft \* lastIndex;  
// st2  
lastSecIndex = modulus \* lastIndex + modulusLeft \* lastSecIndex;  
// AT  
Double a = 2 \* lastIndex - lastSecIndex;  
// BT  
Double b = (modulus / modulusLeft) \* (lastIndex - lastSecIndex);  
ft\[i+1\]=a+b\*year;  
if(ft\[i+1\]<=0)\{  
ft\[i+1\]=1;  
\}  
\}  
  
return ft;  
\}  
  
  
  
  
  
  
  
/\*\*  
 \* 三次指数平滑法求预测值 预测线性趋势  
 \*   
 \* @param list  
 \*            基础数据集合  
 \* @param year  
 \*            未来第几期  
 \* @param modulus  
 \*            平滑系数  
 \* @return 预测值  
 \*/  
public static Double getThridExpect(List<Integer> list, int year, Double modulus) \{  
if (list.size() < 20 || modulus <= 0 || modulus >= 1) \{  
return null;  
\}  
Double modulusLeft = 1 - modulus;  
// 一次预测 >20项默认第一个值为初始值  
Double lastIndex =(double) ((list.get(0)+list.get(1)+list.get(2))/3);  
// 二次预测 >20项默认第一个值为初始值  
Double lastSecIndex = lastIndex;  
// 三次预测 >20项默认第一个为初始值  
Double lastThreadIndes = lastIndex;  
for (Integer data : list) \{  
// st1  
lastIndex = modulus \* data + modulusLeft \* lastIndex;  
// st2  
lastSecIndex = modulus \* lastIndex + modulusLeft \* lastSecIndex;  
// st3  
lastThreadIndes = modulus \* lastSecIndex + modulusLeft \* lastThreadIndes;  
\}  
// AT  
Double a = 3 \* lastIndex - 3 \* lastSecIndex + lastThreadIndes;  
// BT  
Double b = (modulus / (2 \* modulusLeft \* modulusLeft)) \* ((6 - 5 \* modulus) \* lastIndex  
\- 2 \* (5 - 4 \* modulus) \* lastSecIndex + (4 - 3 \* modulus) \* lastThreadIndes);  
// CT  
Double c = ((modulus \* modulus) / (2 \* modulusLeft \*modulusLeft))  
\* (lastIndex - 2 \* lastSecIndex + lastThreadIndes);  
Double except=a+b\*year+c\*year\*year;  
return except<0?0:except;  
\}

测试用例：

![20180425170331627][]

[https_github.com_cmdrkeene_holt_winters_blob_master_ext_holtWinters.java]: https://github.com/cmdrkeene/holt_winters/blob/master/ext/holtWinters.java
[https_stats.stackexchange.com_questions_193901_interpretation-of-level-trend-and-seasonal-indices-in-holt-winters-exponential]: https://stats.stackexchange.com/questions/193901/interpretation-of-level-trend-and-seasonal-indices-in-holt-winters-exponential
[https_en.wikipedia.org_wiki_Exponential_smoothing]: https://en.wikipedia.org/wiki/Exponential_smoothing
[https_www.itl.nist.gov_div898_handbook_pmc_section4_pmc435.htm]: https://www.itl.nist.gov/div898/handbook/pmc/section4/pmc435.htm
[20180425170331627]: /images/20220526/de05a047cbba47bcab4ea7495fe70b72.png