prophet-rb 0.2.3 → 0.2.4

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,7 @@
+## 0.2.4 (2021-04-02)
+
+- Added support for flat growth
+
 ## 0.2.3 (2020-10-14)
 
 - Added support for times to `forecast` method

data/README.md

@@ -10,7 +10,7 @@ Supports:
 
 And gracefully handles missing data
 
-[![Build Status](https://travis-ci.org/ankane/prophet.svg?branch=master)](https://travis-ci.org/ankane/prophet) [![Build status](https://ci.appveyor.com/api/projects/status/8ahmsvvhum4ivnmv/branch/master?svg=true)](https://ci.appveyor.com/project/ankane/prophet/branch/master)
+[![Build Status](https://github.com/ankane/prophet/workflows/build/badge.svg?branch=master)](https://github.com/ankane/prophet/actions)
 
 ## Installation
 

data/lib/prophet/forecaster.rb

@@ -75,8 +75,8 @@ module Prophet
     end
 
     def validate_inputs
-      if !["linear", "logistic"].include?(@growth)
-        raise ArgumentError, "Parameter \"growth\" should be \"linear\" or \"logistic\"."
+      if !["linear", "logistic", "flat"].include?(@growth)
+        raise ArgumentError, "Parameter \"growth\" should be \"linear\", \"logistic\", or \"flat\"."
       end
       if @changepoint_range < 0 || @changepoint_range > 1
         raise ArgumentError, "Parameter \"changepoint_range\" must be in [0, 1]"
@@ -602,6 +602,12 @@ module Prophet
       [k, m]
     end
 
+    def flat_growth_init(df)
+      k = 0
+      m = df["y_scaled"].mean
+      [k, m]
+    end
+
     def fit(df, **kwargs)
       raise Error, "Prophet object can only be fit once" if @history
 
@@ -624,6 +630,8 @@ module Prophet
 
       set_changepoints
 
+      trend_indicator = {"linear" => 0, "logistic" => 1, "flat" => 2}
+
       dat = {
         "T" => history.shape[0],
         "K" => seasonal_features.shape[1],
@@ -634,7 +642,7 @@ module Prophet
         "X" => seasonal_features,
         "sigmas" => prior_scales,
         "tau" => @changepoint_prior_scale,
-        "trend_indicator" => @growth == "logistic" ? 1 : 0,
+        "trend_indicator" => trend_indicator[@growth],
         "s_a" => component_cols["additive_terms"],
         "s_m" => component_cols["multiplicative_terms"]
       }
@@ -642,6 +650,9 @@ module Prophet
       if @growth == "linear"
         dat["cap"] = Numo::DFloat.zeros(@history.shape[0])
         kinit = linear_growth_init(history)
+      elsif @growth == "flat"
+        dat["cap"] = Numo::DFloat.zeros(@history.shape[0])
+        kinit = flat_growth_init(history)
       else
         dat["cap"] = history["cap_scaled"]
         kinit = logistic_growth_init(history)
@@ -655,7 +666,7 @@ module Prophet
         "sigma_obs" => 1
       }
 
-      if history["y"].min == history["y"].max && @growth == "linear"
+      if history["y"].min == history["y"].max && (@growth == "linear" || @growth == "flat")
         # Nothing to fit.
         @params = stan_init
         @params["sigma_obs"] = 1e-9
@@ -741,6 +752,11 @@ module Prophet
       cap.to_numo / (1 + Numo::NMath.exp(-k_t * (t - m_t)))
     end
 
+    def flat_trend(t, m)
+      m_t = m * t.new_ones
+      m_t
+    end
+
     def predict_trend(df)
       k = @params["k"].mean(nan: true)
       m = @params["m"].mean(nan: true)
@@ -749,9 +765,11 @@ module Prophet
       t = Numo::NArray.asarray(df["t"].to_a)
       if @growth == "linear"
         trend = piecewise_linear(t, deltas, k, m, @changepoints_t)
-      else
+      elsif @growth == "logistic"
         cap = df["cap_scaled"]
         trend = piecewise_logistic(t, cap, deltas, k, m, @changepoints_t)
+      elsif @growth == "flat"
+        trend = flat_trend(t, m)
       end
 
       trend * @y_scale + Numo::NArray.asarray(df["floor"].to_a)
@@ -887,9 +905,11 @@ module Prophet
 
       if @growth == "linear"
         trend = piecewise_linear(t, deltas, k, m, changepoint_ts)
-      else
+      elsif @growth == "logistic"
         cap = df["cap_scaled"]
         trend = piecewise_logistic(t, cap, deltas, k, m, changepoint_ts)
+      elsif @growth == "flat"
+        trend = flat_trend(t, m)
       end
 
       trend * @y_scale + Numo::NArray.asarray(df["floor"].to_a)

data/lib/prophet/version.rb

@@ -1,3 +1,3 @@
 module Prophet
-  VERSION = "0.2.3"
+  VERSION = "0.2.4"
 end

data/stan/unix/prophet.stan

@@ -73,6 +73,15 @@ functions {
   ) {
     return (k + A * delta) .* t + (m + A * (-t_change .* delta));
   }
+
+  // Flat trend function
+
+  vector flat_trend(
+    real m,
+    int T
+  ) {
+    return rep_vector(m, T);
+  }
 }
 
 data {
@@ -86,7 +95,7 @@ data {
   matrix[T,K] X;        // Regressors
   vector[K] sigmas;     // Scale on seasonality prior
   real<lower=0> tau;    // Scale on changepoints prior
-  int trend_indicator;  // 0 for linear, 1 for logistic
+  int trend_indicator;  // 0 for linear, 1 for logistic, 2 for flat
   vector[K] s_a;        // Indicator of additive features
   vector[K] s_m;        // Indicator of multiplicative features
 }
@@ -104,6 +113,17 @@ parameters {
   vector[K] beta;           // Regressor coefficients
 }
 
+transformed parameters {
+  vector[T] trend;
+  if (trend_indicator == 0) {
+    trend = linear_trend(k, m, delta, t, A, t_change);
+  } else if (trend_indicator == 1) {
+    trend = logistic_trend(k, m, delta, t, cap, A, t_change, S);
+  } else if (trend_indicator == 2) {
+    trend = flat_trend(m, T);
+  }
+}
+
 model {
   //priors
   k ~ normal(0, 5);
@@ -113,19 +133,10 @@ model {
   beta ~ normal(0, sigmas);
 
   // Likelihood
-  if (trend_indicator == 0) {
-    y ~ normal(
-      linear_trend(k, m, delta, t, A, t_change)
-      .* (1 + X * (beta .* s_m))
-      + X * (beta .* s_a),
-      sigma_obs
-    );
-  } else if (trend_indicator == 1) {
-    y ~ normal(
-      logistic_trend(k, m, delta, t, cap, A, t_change, S)
-      .* (1 + X * (beta .* s_m))
-      + X * (beta .* s_a),
-      sigma_obs
-    );
-  }
+  y ~ normal(
+  trend
+  .* (1 + X * (beta .* s_m))
+  + X * (beta .* s_a),
+  sigma_obs
+  );
 }

data/stan/win/prophet.stan

@@ -47,7 +47,7 @@ functions {
     }
     return gamma;
   }
-  
+
   real[] logistic_trend(
     real k,
     real m,
@@ -94,6 +94,17 @@ functions {
     }
     return Y;
   }
+
+   // Flat trend function
+
+    real[] flat_trend(
+    real m,
+    int T
+  ) {
+    return rep_array(m, T);
+  }
+
+
 }
 
 data {
@@ -107,7 +118,7 @@ data {
   real X[T,K];         // Regressors
   vector[K] sigmas;     // Scale on seasonality prior
   real<lower=0> tau;    // Scale on changepoints prior
-  int trend_indicator;  // 0 for linear, 1 for logistic
+  int trend_indicator;  // 0 for linear, 1 for logistic, 2 for flat
   real s_a[K];          // Indicator of additive features
   real s_m[K];          // Indicator of multiplicative features
 }
@@ -135,6 +146,8 @@ transformed parameters {
     trend = linear_trend(k, m, delta, t, A, t_change, S, T);
   } else if (trend_indicator == 1) {
     trend = logistic_trend(k, m, delta, t, cap, A, t_change, S, T);
+  } else if (trend_indicator == 2){
+    trend = flat_trend(m, T);
   }
 
   for (i in 1:K) {

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: prophet-rb
 version: !ruby/object:Gem::Version
-  version: 0.2.3
+  version: 0.2.4
 platform: ruby
 authors:
 - Andrew Kane
-autorequire: 
+autorequire:
 bindir: bin
 cert_chain: []
-date: 2020-10-15 00:00:00.000000000 Z
+date: 2021-04-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: cmdstan
@@ -52,106 +52,8 @@ dependencies:
     - - ">="
       - !ruby/object:Gem::Version
         version: '0'
-- !ruby/object:Gem::Dependency
-  name: bundler
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: rake
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: minitest
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '5'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '5'
-- !ruby/object:Gem::Dependency
-  name: daru
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: matplotlib
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: activesupport
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: tzinfo-data
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-description: 
-email: andrew@chartkick.com
+description:
+email: andrew@ankane.org
 executables: []
 extensions:
 - ext/prophet/extconf.rb
@@ -176,7 +78,7 @@ homepage: https://github.com/ankane/prophet
 licenses:
 - MIT
 metadata: {}
-post_install_message: 
+post_install_message:
 rdoc_options: []
 require_paths:
 - lib
@@ -191,8 +93,8 @@ required_rubygems_version: !ruby/object:Gem::Requirement
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.1.2
-signing_key: 
+rubygems_version: 3.2.3
+signing_key:
 specification_version: 4
 summary: Time series forecasting for Ruby
 test_files: []