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On Time Series Forecasting Error Measures for Finite Horizon Control

The code implements examples from the paper "On Time Series Forecasting Error Measures for Finite Horizon Control", published in IEEE Transactions on Control Systems Technology.

Running the example

If not installed, download and install R from http://www.r-project.org/.

To install package dependencies, in the R's command prompt, type:

install.packages(c("xtable", "memoise", "Mcomp"))

To run the main script, enter:

source("main.R")

The code will generate the output values, Latex tables and PDF images used in the paper. The results are stored in Output directory in the folder where the code is located.

Files

  • main.R: Runs all tests.
  • main_inventory.R: The inventory problem simulation.
  • timing_inventory.R: timing tests for the inventory problem.
  • main_stocks.R: the stocks problem simulation.
  • timing_stocks.R: timing tests for the stocks problem.
  • main_stocks_compression_tests.R: Tests effects of compressing Theta matrix on DeltaJ accuracy. Results not in paper.
  • fhc/mpc_matrices.R: Basic matrix definitions for Finite horizon control
  • fhc/simulator.R: Step-by-step FHC simulator, to be used in comparison.
  • fhc/theta.R: Generation of matrices used in formulas based on above parameters.
  • prediction/linear_predictor.R: Function for linear AR model fitting and evaluation.
  • prediction/linear_predictor_inventory.R: Function for linear AR model fitting and evaluation for the inventory probelm.
  • utils/matrix_tools.R: Useful matrix manipulation functions
  • formatting/*: Functions for formatting plots and tables
  • unittests/*: Unit-tests

Contact Information

License

Copyright (c) 2015 Farzad Noorian [email protected].

All files in this package licensed under the Apache License, Version 2.0 (the "License"); you may not use these files 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.