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/*
* SPDX-License-Identifier: Apache-2.0
*
* The OpenSearch Contributors require contributions made to
* this file be licensed under the Apache-2.0 license or a
* compatible open source license.
*/
/*
* Licensed to Elasticsearch under one or more contributor
* license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright
* ownership. Elasticsearch licenses this file to you under
* the Apache License, Version 2.0 (the "License"); you may
* not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing,
* software distributed under the License is distributed on an
* "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
* KIND, either express or implied. See the License for the
* specific language governing permissions and limitations
* under the License.
*/
/*
* Modifications Copyright OpenSearch Contributors. See
* GitHub history for details.
*/
package org.opensearch.search.aggregations.pipeline;
import org.opensearch.common.Nullable;
import org.opensearch.core.common.io.stream.StreamInput;
import org.opensearch.core.common.io.stream.StreamOutput;
import org.opensearch.core.xcontent.XContentBuilder;
import java.io.IOException;
import java.text.ParseException;
import java.util.Collection;
import java.util.Map;
import java.util.Objects;
/**
* Calculate a doubly exponential weighted moving average
*
* @opensearch.internal
*/
public class HoltLinearModel extends MovAvgModel {
public static final String NAME = "holt";
private static final double DEFAULT_ALPHA = 0.3;
private static final double DEFAULT_BETA = 0.1;
/**
* Controls smoothing of data. Also known as "level" value.
* Alpha = 1 retains no memory of past values
* (e.g. random walk), while alpha = 0 retains infinite memory of past values (e.g.
* mean of the series).
*/
private final double alpha;
/**
* Controls smoothing of trend.
* Beta = 1 retains no memory of past values
* (e.g. random walk), while alpha = 0 retains infinite memory of past values (e.g.
* mean of the series).
*/
private final double beta;
public HoltLinearModel() {
this(DEFAULT_ALPHA, DEFAULT_BETA);
}
public HoltLinearModel(double alpha, double beta) {
this.alpha = alpha;
this.beta = beta;
}
/**
* Read from a stream.
*/
public HoltLinearModel(StreamInput in) throws IOException {
alpha = in.readDouble();
beta = in.readDouble();
}
@Override
public void writeTo(StreamOutput out) throws IOException {
out.writeDouble(alpha);
out.writeDouble(beta);
}
@Override
public String getWriteableName() {
return NAME;
}
@Override
public boolean canBeMinimized() {
return true;
}
@Override
public MovAvgModel neighboringModel() {
double newValue = Math.random();
switch ((int) (Math.random() * 2)) {
case 0:
return new HoltLinearModel(newValue, this.beta);
case 1:
return new HoltLinearModel(this.alpha, newValue);
default:
assert (false) : "Random value fell outside of range [0-1]";
return new HoltLinearModel(newValue, this.beta); // This should never technically happen...
}
}
@Override
public MovAvgModel clone() {
return new HoltLinearModel(this.alpha, this.beta);
}
/**
* Predicts the next `n` values in the series, using the smoothing model to generate new values.
* Unlike the other moving averages, Holt-Linear has forecasting/prediction built into the algorithm.
* Prediction is more than simply adding the next prediction to the window and repeating. Holt-Linear
* will extrapolate into the future by applying the trend information to the smoothed data.
*
* @param values Collection of numerics to movingAvg, usually windowed
* @param numPredictions Number of newly generated predictions to return
* @return Returns an array of doubles, since most smoothing methods operate on floating points
*/
@Override
protected double[] doPredict(Collection values, int numPredictions) {
return next(values, numPredictions);
}
@Override
public double next(Collection values) {
return next(values, 1)[0];
}
/**
* Calculate a Holt-Linear (doubly exponential weighted) moving average
*
* @param values Collection of values to calculate avg for
* @param numForecasts number of forecasts into the future to return
*
* @return Returns a Double containing the moving avg for the window
*/
public double[] next(Collection values, int numForecasts) {
if (values.size() == 0) {
return emptyPredictions(numForecasts);
}
return MovingFunctions.holtForecast(values.stream().mapToDouble(Double::doubleValue).toArray(), alpha, beta, numForecasts);
}
@Override
public XContentBuilder toXContent(XContentBuilder builder, Params params) throws IOException {
builder.field(MovAvgPipelineAggregationBuilder.MODEL.getPreferredName(), NAME);
builder.startObject(MovAvgPipelineAggregationBuilder.SETTINGS.getPreferredName());
builder.field("alpha", alpha);
builder.field("beta", beta);
builder.endObject();
return builder;
}
public static final AbstractModelParser PARSER = new AbstractModelParser() {
@Override
public MovAvgModel parse(@Nullable Map settings, String pipelineName, int windowSize) throws ParseException {
double alpha = parseDoubleParam(settings, "alpha", DEFAULT_ALPHA);
double beta = parseDoubleParam(settings, "beta", DEFAULT_BETA);
checkUnrecognizedParams(settings);
return new HoltLinearModel(alpha, beta);
}
};
@Override
public int hashCode() {
return Objects.hash(alpha, beta);
}
@Override
public boolean equals(Object obj) {
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
HoltLinearModel other = (HoltLinearModel) obj;
return Objects.equals(alpha, other.alpha) && Objects.equals(beta, other.beta);
}
/**
* Builder for the holt linear model
*
* @opensearch.internal
*/
public static class HoltLinearModelBuilder implements MovAvgModelBuilder {
private double alpha = DEFAULT_ALPHA;
private double beta = DEFAULT_BETA;
/**
* Alpha controls the smoothing of the data. Alpha = 1 retains no memory of past values
* (e.g. a random walk), while alpha = 0 retains infinite memory of past values (e.g.
* the series mean). Useful values are somewhere in between. Defaults to 0.5.
*
* @param alpha A double between 0-1 inclusive, controls data smoothing
*
* @return The builder to continue chaining
*/
public HoltLinearModelBuilder alpha(double alpha) {
this.alpha = alpha;
return this;
}
/**
* Equivalent to alpha, but controls the smoothing of the trend instead of the data
*
* @param beta a double between 0-1 inclusive, controls trend smoothing
*
* @return The builder to continue chaining
*/
public HoltLinearModelBuilder beta(double beta) {
this.beta = beta;
return this;
}
@Override
public XContentBuilder toXContent(XContentBuilder builder, Params params) throws IOException {
builder.field(MovAvgPipelineAggregationBuilder.MODEL.getPreferredName(), NAME);
builder.startObject(MovAvgPipelineAggregationBuilder.SETTINGS.getPreferredName());
builder.field("alpha", alpha);
builder.field("beta", beta);
builder.endObject();
return builder;
}
@Override
public MovAvgModel build() {
return new HoltLinearModel(alpha, beta);
}
}
}