public int CompareTo(MathArgs other)
{
int result = Count.CompareTo(other.Count);
if (0 != result)
{
return(result);
}
Enumerator itThis = GetEnumerator();
Enumerator itOther = other.GetEnumerator();
for (; itThis.MoveNext() && itOther.MoveNext();)
{
result = itThis.Current.Key.CompareTo(itOther.Current.Key);
if (0 != result)
{
return(result);
}
result = itThis.Current.Value.CompareTo(itOther.Current.Value);
if (0 != result)
{
return(result);
}
}
return(result);
}
public void Clear()
{
MathArgs args = new MathArgs();
args["$name"] = m_name;
MathematicaKernel.Execute(s_clear, args);
}
private long UpdateID(long id, MathArgs args)
{
m_id2args.Remove(id);
++m_lastUsedID;
m_id2args.Add(m_lastUsedID, args);
return(m_lastUsedID);
}
private void AddResult(MathArgs args, MathResult result)
{
if (m_args2entry.ContainsKey(args))
{
return;
}
while (m_id2args.Count >= m_capacity)
{
SortedDictionary <long, MathArgs> .Enumerator it = m_id2args.GetEnumerator();
it.MoveNext();
m_args2entry.Remove(it.Current.Value);
m_id2args.Remove(it.Current.Key);
}
++m_lastUsedID;
Entry entry = new Entry(result, m_lastUsedID);
m_args2entry.Add(args, entry);
try
{
m_id2args.Add(m_lastUsedID, args);
}
catch (System.Exception)
{
m_args2entry.Remove(args);
throw;
}
}
public static Interval CalculateConfidenceInterval(double[] data, double confidenceLevel)
{
if ((confidenceLevel <= 0) || (confidenceLevel >= 1))
{
string st = string.Format("Confidence level = {0}, but must be more than 0 and less than 1", confidenceLevel);
throw new ArgumentException(st);
}
double average;
double s2 = CalculateSampleVarianceAndAverage(data, out average);
MathArgs args = new MathArgs();
args.Add("$level", confidenceLevel);
args.Add("$freedom", data.Length - 1);
MathResult answer = s_confidenceIntervalCache.LookFor(args);
if (null == answer)
{
answer = MathematicaKernel.Execute(s_confidenceInterval, args);
s_confidenceIntervalCache.Add(args, answer);
}
double deviation = (double)answer["deviation"];
double k = Math.Sqrt(s2 / data.Length);
deviation *= k;
double minimum = average - deviation;
double maximum = average + deviation;
return(new Interval(minimum, maximum));
}
public static Portfolio CalculateLinear(double[,] equity, double reliability, double maximumLoss, double minimumCoefficientValue)
{
CalculateLinearValidation(reliability, maximumLoss);
double[,] deltaEquity = NumericalMethods.CalculateAbsoluteVariation(equity);
double[,] sigma = Statistics.CalculateCovarianceMatrix(deltaEquity);
double factor = NumericalMethods.Sqrt(sigma.Maximum());
if (factor <= 0)
{
string st = string.Format("Runtime error: invalid factor = {0}", factor);
throw new InvalidOperationException(st);
}
NumericalMethods.Multiply(deltaEquity, 1 / factor);
double[] profit = Statistics.CalculateAverage(deltaEquity);
sigma = Statistics.CalculateCovarianceMatrix(deltaEquity);
MathArgs args = new MathArgs();
args.Add("$profit", profit);
args.Add("$reliability", reliability);
args.Add("$covariance", sigma);
args.Add("$loss", maximumLoss / factor);
args.Add("$coefficient", minimumCoefficientValue);
Dictionary <string, object> output = MathematicaKernel.Execute(s_portfolioDiscrete, args);
Portfolio result = new Portfolio();
result.Profit = (double)output["profit"] * factor;
result.When = (double)output["when"];
result.Coefficients = (double[])output["result"];
return(result);
}
public static MathResult Execute(string script, MathArgs args)
{
foreach (var element in args)
{
string pattern = string.Format(@"\{0}\b", element.Key);
script = Regex.Replace(script, pattern, element.Value);
}
return(s_instance.Execute(script));
}
public void Add(MathArgs args, MathResult result)
{
if (null == args)
{
throw new NullReferenceException("args cannot be null");
}
if (null == result)
{
throw new NullReferenceException("result cannot be null");
}
lock (m_synchronizer)
{
AddResult(args, result);
}
}
public MathResult LookFor(MathArgs args)
{
Entry entry = null;
lock (m_synchronizer)
{
m_args2entry.TryGetValue(args, out entry);
if (null != entry)
{
entry.ID = UpdateID(entry.ID, args);
return(entry.Result);
}
else
{
return(null);
}
}
}
private static bool CalculateLinearFastInternal(Portfolio portfolio, bool[] zeros, double[,] sigma, double[] profit, double[] margin, double reliability, double maximumLoss,
double minimumCoefficientValue, double marginThreshold)
{
int count = 0;
Dictionary <int, int> map = new Dictionary <int, int>();
for (int index = 0; index < zeros.Length; ++index)
{
bool status = zeros[index];
if (!status)
{
map[map.Count] = index;
++count;
}
}
if (0 == count)
{
return(true); // nothing to do
}
// create sub-matrix
double[,] _sigma = new double[count, count];
double[] _profit = new double[count];
double[] _margin = new double[count];
for (int row = 0; row < _profit.Length; ++row)
{
int r = map[row];
_profit[row] = profit[r];
_margin[row] = margin[r];
for (int column = 0; column < _profit.Length; ++column)
{
int c = map[column];
_sigma[row, column] = sigma[r, c];
}
}
// calculate factor and check it
double factor = NumericalMethods.Sqrt(_sigma.Maximum());
if (factor <= 0)
{
string st = string.Format("Runtime error: invalid factor = {0}", factor);
throw new InvalidOperationException(st);
}
// normalize data
NumericalMethods.Multiply(_sigma, 1 / factor / factor);
NumericalMethods.Multiply(_profit, 1 / factor);
NumericalMethods.Multiply(_margin, 1 / factor);
MathArgs args = new MathArgs();
args.Add("$profit", _profit);
args.Add("$reliability", reliability);
args.Add("$covariance", _sigma);
args.Add("$loss", maximumLoss / factor);
args.Add("$threshold", marginThreshold / factor);
args.Add("$margin", _margin);
Dictionary <string, object> output = MathematicaKernel.Execute(s_portfolioMargin, args);
double[] coefficients = (double[])output["result"];
// check results
bool result = FastPositiveMinimalThreshold(zeros, minimumCoefficientValue, count, map, coefficients);
if (!result)
{
return(result);
}
// prepare results
for (int index = 0; index < count; ++index)
{
portfolio.Coefficients[map[index]] = coefficients[index];
}
portfolio.Profit = (double)output["profit"] * factor;
portfolio.When = (double)output["when"];
return(result);
}
