LengthTimeLinearRegressionForecastStreamProcessor.java
/*
* Copyright (c) 2016, WSO2 Inc. (http://www.wso2.org) All Rights Reserved.
*
* WSO2 Inc. 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.
*/
package org.wso2.extension.siddhi.execution.timeseries;
import org.wso2.extension.siddhi.execution.timeseries.linreg.LengthTimeRegressionCalculator;
import org.wso2.extension.siddhi.execution.timeseries.linreg.LengthTimeSimpleLinearRegressionCalculator;
import org.wso2.siddhi.annotation.Example;
import org.wso2.siddhi.annotation.Extension;
import org.wso2.siddhi.annotation.Parameter;
import org.wso2.siddhi.annotation.util.DataType;
import org.wso2.siddhi.core.config.SiddhiAppContext;
import org.wso2.siddhi.core.event.ComplexEventChunk;
import org.wso2.siddhi.core.event.stream.StreamEvent;
import org.wso2.siddhi.core.event.stream.StreamEventCloner;
import org.wso2.siddhi.core.event.stream.populater.ComplexEventPopulater;
import org.wso2.siddhi.core.exception.SiddhiAppCreationException;
import org.wso2.siddhi.core.executor.ConstantExpressionExecutor;
import org.wso2.siddhi.core.executor.ExpressionExecutor;
import org.wso2.siddhi.core.query.processor.Processor;
import org.wso2.siddhi.core.query.processor.stream.StreamProcessor;
import org.wso2.siddhi.core.util.config.ConfigReader;
import org.wso2.siddhi.query.api.definition.AbstractDefinition;
import org.wso2.siddhi.query.api.definition.Attribute;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
/**
* Sample Query1 (time window, length window, nextX, y, x):
* from InputStream#timeseries:lengthTimeOutlier(20 min, 20, x+2, y, x)
* select *
* insert into OutputStream;
*
* Sample Query2 (time window, length window, nextX, calculation interval, confidence interval, y, x):
* from InputStream#timeseries:lengthTimeOutlier(20 min, 20, x+2, 2, 0.9, y, x)
* select *
* insert into OutputStream;
*
* This class performs enables users to forecast future events using linear regression
* Number of data points could be constrained using both time and length windows.
*/
@Extension(
name = "lengthTimeForecast",
namespace = "timeseries",
description = "This allows user to restrict the number of events considered for the regression calculation " +
"when forecasting the Y value based on a specified time window and/or batch size.",
parameters = {
@Parameter(name = "time.window",
description = "The maximum time duration that should be considered for " +
"a regression calculation.",
type = {DataType.LONG}),
@Parameter(name = "batch.size",
description = "The maximum number of events that shoukd be used for a regression calculation.",
type = {DataType.INT}),
@Parameter(name = "next.x.value",
description = "The value to be used to forecast the Y value. This can be a constant " +
"or an expression (e.g., x+5).",
type = {DataType.DOUBLE}),
@Parameter(name = "calculation.interval",
description = "The frequency with which the regression calculation should be carried out.",
type = {DataType.INT},
optional = true,
defaultValue = "1"),
@Parameter(name = "confidence.interval",
description = "The confidence interval to be used for a regression calculation.",
optional = true,
defaultValue = "0.95",
type = {DataType.DOUBLE}),
@Parameter(name = "y.stream",
description = "The data stream of the dependent variable.",
type = {DataType.DOUBLE}),
@Parameter(name = "x.stream",
description = "The data stream of the independent variable.",
type = {DataType.DOUBLE})
},
examples = {
@Example(
syntax = "from StockExchangeStream#timeseries:lengthTimeForecast(2 sec, 100, 10, Y, X)\n" +
"select *\n" +
"insert into StockForecaster",
description = "This query submits a time window (2 seconds), a batch size (100 events), " +
"a constant to be used as the next X value (10), a dependent input stream (Y) and " +
"an independent input stream (X) that are used to perform linear regression " +
"between Y and X streams, and compute the forecast Y value based on the next X value" +
" specified by the user."
)
}
)
public class LengthTimeLinearRegressionForecastStreamProcessor extends StreamProcessor {
private static final int SIMPLE_LINREG_INPUT_PARAM_COUNT = 2; //Number of input parameters in
private int paramCount; // Number of x variables +1
private long duration; // Time window to consider for regression calculation
private int calcInterval = 1; // The frequency of regression calculation
private double ci = 0.95; // Confidence Interval simple linear forecast
private LengthTimeRegressionCalculator regressionCalculator = null;
private int yParameterPosition;
// simple linear regression
/**
* The init method of the LinearRegressionOutlierStreamProcessor.
* This method will be called before other methods
*
* @param abstractDefinition the incoming stream definition
* @param expressionExecutors the executors of each function parameters
* @param siddhiAppContext the context of the execution plan
* @return the additional output attributes introduced by the function
*/
@Override
protected List<Attribute> init(AbstractDefinition abstractDefinition, ExpressionExecutor[] expressionExecutors,
ConfigReader configReader, SiddhiAppContext siddhiAppContext) {
paramCount = attributeExpressionLength - 3; // First three events are time window, length
// window and x value for forecasting y
yParameterPosition = 3;
// Capture Constant inputs
// Capture duration
if (attributeExpressionExecutors[0] instanceof ConstantExpressionExecutor) {
if (attributeExpressionExecutors[0].getReturnType() == Attribute.Type.INT) {
duration = (Integer) ((ConstantExpressionExecutor)
attributeExpressionExecutors[0]).getValue();
} else if (attributeExpressionExecutors[0].getReturnType() == Attribute.Type.LONG) {
duration = (Long) ((ConstantExpressionExecutor)
attributeExpressionExecutors[0]).getValue();
} else {
throw new SiddhiAppCreationException(
"Time duration parameter should be either int or long, but found "
+ attributeExpressionExecutors[0].getReturnType());
}
} else {
throw new SiddhiAppCreationException("Time duration parameter must be a constant");
}
// Capture batchSize
int batchSize; // Maximum # of events, used for regression calculation
if (attributeExpressionExecutors[1] instanceof ConstantExpressionExecutor) {
if (attributeExpressionExecutors[1].getReturnType() == Attribute.Type.INT) {
batchSize = (Integer) ((ConstantExpressionExecutor)
attributeExpressionExecutors[1]).getValue();
} else {
throw new SiddhiAppCreationException
("Size parameter should be int, but found "
+ attributeExpressionExecutors[1].getReturnType());
}
} else {
throw new SiddhiAppCreationException("Size parameter must be a constant");
}
// Capture calculation interval and ci if provided by user
// Default values would be used otherwise
if (attributeExpressionExecutors[3] instanceof ConstantExpressionExecutor) {
paramCount = paramCount - 2; // When calcInterval and ci are given by user,
// parameter count must exclude those two as well
yParameterPosition = 5;
if (attributeExpressionExecutors[3].getReturnType() == Attribute.Type.INT) {
calcInterval = (Integer) ((ConstantExpressionExecutor)
attributeExpressionExecutors[3]).getValue();
} else {
throw new SiddhiAppCreationException
("Calculation interval should be int, but found "
+ attributeExpressionExecutors[3].getReturnType());
}
if (attributeExpressionExecutors[4] instanceof ConstantExpressionExecutor) {
if (attributeExpressionExecutors[4].getReturnType() == Attribute.Type.DOUBLE) {
ci = (Double) ((ConstantExpressionExecutor)
attributeExpressionExecutors[4]).getValue();
if (!(0 <= ci && ci <= 1)) {
throw new SiddhiAppCreationException
("Confidence interval should be a value between 0 and 1");
}
} else {
throw new SiddhiAppCreationException
("Confidence interval should be double, but found "
+ attributeExpressionExecutors[4].getReturnType());
}
} else {
throw new SiddhiAppCreationException("Confidence interval must be a constant");
}
}
// Pick the appropriate regression calculator
if (paramCount > SIMPLE_LINREG_INPUT_PARAM_COUNT) {
throw new SiddhiAppCreationException(
"Forecast Function is available only for simple linear regression");
} else {
regressionCalculator = new LengthTimeSimpleLinearRegressionCalculator(paramCount,
duration, batchSize, calcInterval, ci);
}
// Create attributes for standard error and all beta values and the Forecast Y value
String betaVal;
List<Attribute> attributes = new ArrayList<Attribute>(paramCount + 2);
attributes.add(new Attribute("stderr", Attribute.Type.DOUBLE));
for (int itr = 0; itr < paramCount; itr++) {
betaVal = "beta" + itr;
attributes.add(new Attribute(betaVal, Attribute.Type.DOUBLE));
}
attributes.add(new Attribute("forecastY", Attribute.Type.DOUBLE));
return attributes;
}
/**
* The main processing method that will be called upon event arrival.
*
* @param streamEventChunk the event chunk that need to be processed
* @param nextProcessor the next processor to which the success events need to be passed
* @param streamEventCloner helps to clone the incoming event for local storage or
* modification
* @param complexEventPopulater helps to populate the events with the resultant attributes
*/
@Override
protected void process(ComplexEventChunk<StreamEvent> streamEventChunk, Processor nextProcessor,
StreamEventCloner streamEventCloner,
ComplexEventPopulater complexEventPopulater) {
synchronized (this) {
while (streamEventChunk.hasNext()) {
StreamEvent streamEvent = streamEventChunk.next();
long currentTime = siddhiAppContext.getTimestampGenerator().currentTime();
long eventExpiryTime = currentTime + duration;
Object[] inputData = new Object[paramCount];
// Obtain position of next x value (xDashPosition)
final int xDashPosition;
xDashPosition = 2;
// Obtain x value (xDash) that user wants to use to forecast Y
// This could be a constant or an expression
double xDash =
((Number) attributeExpressionExecutors[xDashPosition].execute(streamEvent)).doubleValue();
for (int i = yParameterPosition; i < attributeExpressionLength; i++) {
inputData[i - yParameterPosition] =
attributeExpressionExecutors[i].execute(streamEvent);
}
Object[] coefficients = regressionCalculator.calculateLinearRegression(inputData,
eventExpiryTime);
if (coefficients == null) {
streamEventChunk.remove();
} else {
Object[] outputData = new Object[coefficients.length + 1];
System.arraycopy(coefficients, 0, outputData, 0, coefficients.length);
// Calculating forecast Y based on regression equation and given x
outputData[coefficients.length] =
((Number) coefficients[coefficients.length - 2]).doubleValue() +
((Number) coefficients[coefficients.length - 1]).doubleValue() * xDash;
complexEventPopulater.populateComplexEvent(streamEvent, outputData);
}
}
}
nextProcessor.process(streamEventChunk);
}
/**
* This will be called only once and this can be used to acquire required resources for the
* processing element.
* This will be called after initializing the system and before starting to process the events.
*/
@Override
public void start() {
}
/**
* This will be called only once and this can be used to release the acquired resources
* for processing.
* This will be called before shutting down the system.
*/
@Override
public void stop() {
}
@Override
public synchronized Map<String, Object> currentState() {
Map<String, Object> state = new HashMap<String, Object>();
return state;
}
@Override
public synchronized void restoreState(Map<String, Object> state) {
}
}