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add reconciliation with immutable forecasts #353

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add reconciliation with immutable forecasts #353

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a202404
add immutable reconciliation
AngelPone Apr 24, 2022
3046188
Merge branch 'tidyverts:master' into master
AngelPone Sep 19, 2023
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21 changes: 17 additions & 4 deletions R/reconciliation.R
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Original file line number Diff line number Diff line change
Expand Up @@ -37,7 +37,8 @@ reconcile.mdl_df <- function(.data, ...){
#' @param models A column of models in a mable.
#' @param method The reconciliation method to use.
#' @param sparse If TRUE, the reconciliation will be computed using sparse
#' matrix algebra? By default, sparse matrices will be used if the MatrixM
#' @param immu Vector of logical indicating whether series should be immutable after reconciliation.
#' matrix algebra? By default, sparse matrices will be used if the Matrix
#' package is installed.
#'
#' @seealso
Expand All @@ -48,12 +49,12 @@ reconcile.mdl_df <- function(.data, ...){
#'
#' @export
min_trace <- function(models, method = c("wls_var", "ols", "wls_struct", "mint_cov", "mint_shrink"),
sparse = NULL){
sparse = NULL, immu = NULL){
if(is.null(sparse)){
sparse <- requireNamespace("Matrix", quietly = TRUE)
}
structure(models, class = c("lst_mint_mdl", "lst_mdl", "list"),
method = match.arg(method), sparse = sparse)
method = match.arg(method), sparse = sparse, immu = immu)
}

#' @export
Expand All @@ -62,6 +63,7 @@ forecast.lst_mint_mdl <- function(object, key_data,
point_forecast = list(.mean = mean), ...){
method <- object%@%"method"
sparse <- object%@%"sparse"
immu <- object%@%"immu"
if(sparse){
require_package("Matrix")
as.matrix <- Matrix::as.matrix
Expand Down Expand Up @@ -145,9 +147,20 @@ forecast.lst_mint_mdl <- function(object, key_data,
-S[row_agg,,drop = FALSE]
)
U <- U[, order(c(row_agg, row_btm)), drop = FALSE]
if (!is.null(immu)) {
stopifnot("The specified immutable series can not be all immutable." = Matrix::rankMatrix(S[immu,,drop = FALSE]) == sum(immu))
ind_vec <- Matrix::sparseMatrix(i=1:sum(immu), j=which(immu), x=1, dims = c(sum(immu), length(immu)))
U <- rbind(ind_vec, U)
}
Ut <- t(U)
WUt <- W %*% Ut
P <- J - J %*% WUt %*% solve(U %*% WUt, U)
if (!is.null(immu)) {
Ua <- U
Ua[seq_len(sum(immu)),] <- 0
P <- J - J %*% WUt %*% solve(U %*% WUt, Ua)
} else {
P <- J - J %*% WUt %*% solve(U %*% WUt, U)
}
# P <- J - J%*%W%*%t(U)%*%solve(U%*%W%*%t(U))%*%U
}
else {
Expand Down