private static void RunStocksEntropy(Random random)
{
//int numOfNodes = 20;
var window = 50;
var minVolumeBucket = 100.0;
var maxVolumeBucket = 4.0 * 10E8;
var approximation = new MultiplicativeApproximation(0.005);
DateTime startingDateTime = new DateTime(2006, 1, 3);
int minAmountAtDay = 1000;
var iterations = 1000;
//var wantedVectorLength = 100;
//foreach (var wantedVectorLength in ArrayUtils.Init(50, 100, 200, 400, 800, 1300, 1600, 2000, 2400))
for (var wantedVectorLength = 4000; wantedVectorLength <= 4000; wantedVectorLength += 100)
{
for (var numOfNodes = 30; numOfNodes <= 30; numOfNodes += 30)
//foreach (var numOfNodes in ArrayUtils.Init(30, 40))
{
var mulFactor = Math.Pow(maxVolumeBucket / minVolumeBucket, 1.0 / wantedVectorLength);
var closestValueQuery =
ClosestValueQuery.InitExponential((long)minVolumeBucket, (long)maxVolumeBucket, mulFactor);
var vectorLength = closestValueQuery.Data.Length;
foreach (var(entropy, cbName) in
ArrayUtils.Init((new EntropyFunction(vectorLength).MonitoredFunction, "RegularCB")))
// (new SpecialCBEntropy(vectorLength).MonitoredFunction, "SmartCB")))
{
EntropyRunner.RunStocks(random, entropy, cbName, iterations, closestValueQuery, numOfNodes,
window, startingDateTime,
minAmountAtDay, approximation, stocksDirPath, resultDir);
}
}
}
}
private static void RunStocksSketchEntropy(Random random)
{
//int numOfNodes = 20;
var window = 60;
var minVolumeBucket = 100.0;
var maxVolumeBucket = 4.0 * 10E8;
var approximation = new MultiplicativeApproximation(0.0035);
DateTime startingDateTime = new DateTime(2006, 1, 3);
int minAmountAtDay = 1000;
var iterations = 2500;
for (var baseVectorLength = 100; baseVectorLength <= 100; baseVectorLength += 100)
{
for (var numOfNodes = 10; numOfNodes <= 10; numOfNodes += 10)
{
for (var reducedDimension = 30; reducedDimension <= 30; reducedDimension += 100)
{
var mulFactor = Math.Pow(maxVolumeBucket / minVolumeBucket, 1.0 / baseVectorLength);
var closestValueQuery =
ClosestValueQuery.InitExponential((long)minVolumeBucket, (long)maxVolumeBucket,
mulFactor);
var vectorLength = closestValueQuery.Data.Length;
EntropySketchRunner.RunStocks(random, iterations, closestValueQuery, numOfNodes,
window, reducedDimension, startingDateTime,
minAmountAtDay, approximation, stocksDirPath, resultDir);
}
}
}
}
public void GeneralTest()
{
int[] array = ArrayUtils.Init(1, 6, 9, 20, -20);
var query = ClosestValueQuery.Init(array);
Array.Sort(array);
Assert.AreEqual(Array.IndexOf(array, 1), query.GetClosestSmallerValueIndex(5));
Assert.AreEqual(Array.IndexOf(array, 20), query.GetClosestSmallerValueIndex(100));
Assert.AreEqual(Array.IndexOf(array, 9), query.GetClosestSmallerValueIndex(9));
Assert.AreEqual(Array.IndexOf(array, 9), query.GetClosestSmallerValueIndex(10));
Assert.AreEqual(Array.IndexOf(array, 9), query.GetClosestSmallerValueIndex(13));
Assert.AreEqual(Array.IndexOf(array, -20), query.GetClosestSmallerValueIndex(-5));
Assert.ThrowsException <IndexOutOfRangeException>(() => query.GetClosestSmallerValueIndex(-100));
}
public void ExponensialGeneratorTest()
{
var query = ClosestValueQuery.InitExponential(2, 65556, 2.0);
var array = query.Data;
Assert.AreEqual(Array.IndexOf(array, 0), query.GetClosestSmallerValueIndex(1));
Assert.AreEqual(Array.IndexOf(array, 0), query.GetClosestSmallerValueIndex(0));
Assert.AreEqual(Array.IndexOf(array, 2), query.GetClosestSmallerValueIndex(3));
Assert.AreEqual(Array.IndexOf(array, 2), query.GetClosestSmallerValueIndex(2));
Assert.AreEqual(Array.IndexOf(array, 8), query.GetClosestSmallerValueIndex(15));
Assert.AreEqual(Array.IndexOf(array, 16), query.GetClosestSmallerValueIndex(16));
Assert.AreEqual(Array.IndexOf(array, 256), query.GetClosestSmallerValueIndex(333));
Assert.AreEqual(Array.IndexOf(array, 512), query.GetClosestSmallerValueIndex(777));
Assert.AreEqual(Array.IndexOf(array, 512), query.GetClosestSmallerValueIndex(512));
Assert.AreEqual(Array.IndexOf(array, 512), query.GetClosestSmallerValueIndex(1023));
Assert.ThrowsException <IndexOutOfRangeException>(() => query.GetClosestSmallerValueIndex(-100));
}