public SsaAnomalyDetectionBase(IHostEnvironment env, ModelLoadContext ctx, string name)
: base(env, ctx, name)
{
// *** Binary format ***
// <base>
// int: _seasonalWindowSize
// float: _discountFactor
// byte: _errorFunction
// bool: _isAdaptive
// AdaptiveSingularSpectrumSequenceModeler: _model
Host.CheckDecode(InitialWindowSize == 0);
SeasonalWindowSize = ctx.Reader.ReadInt32();
Host.CheckDecode(2 <= SeasonalWindowSize);
DiscountFactor = ctx.Reader.ReadSingle();
Host.CheckDecode(0 <= DiscountFactor && DiscountFactor <= 1);
byte temp;
temp = ctx.Reader.ReadByte();
Host.CheckDecode(Enum.IsDefined(typeof(ErrorFunction), temp));
ErrorFunction = (ErrorFunction)temp;
ErrorFunc = ErrorFunctionUtils.GetErrorFunction(ErrorFunction);
IsAdaptive = ctx.Reader.ReadBoolean();
StateRef = new State(ctx.Reader);
ctx.LoadModel <SequenceModelerBase <Single, Single>, SignatureLoadModel>(env, out Model, "SSA");
Host.CheckDecode(Model != null);
StateRef.InitState(this, Host);
}
public SsaAnomalyDetectionBase(SsaOptions options, string name, IHostEnvironment env, SsaAnomalyDetectionBaseWrapper parent)
: base(options.WindowSize, 0, options.Source, options.Name, name, env, options.Side, options.Martingale, options.AlertOn, options.PowerMartingaleEpsilon, options.AlertThreshold)
{
Host.CheckUserArg(2 <= options.SeasonalWindowSize, nameof(options.SeasonalWindowSize), "Must be at least 2.");
Host.CheckUserArg(0 <= options.DiscountFactor && options.DiscountFactor <= 1, nameof(options.DiscountFactor), "Must be in the range [0, 1].");
Host.CheckUserArg(Enum.IsDefined(typeof(ErrorFunction), options.ErrorFunction), nameof(options.ErrorFunction), ErrorFunctionUtils.ErrorFunctionHelpText);
SeasonalWindowSize = options.SeasonalWindowSize;
DiscountFactor = options.DiscountFactor;
ErrorFunction = options.ErrorFunction;
ErrorFunc = ErrorFunctionUtils.GetErrorFunction(ErrorFunction);
IsAdaptive = options.IsAdaptive;
// Creating the master SSA model
Model = new AdaptiveSingularSpectrumSequenceModeler(Host, options.InitialWindowSize, SeasonalWindowSize + 1, SeasonalWindowSize,
DiscountFactor, AdaptiveSingularSpectrumSequenceModeler.RankSelectionMethod.Exact, null, SeasonalWindowSize / 2, false, false);
StateRef = new State();
StateRef.InitState(WindowSize, InitialWindowSize, this, Host);
Parent = parent;
}