There are two popular variants of the Holt-Winters forecasting method; RRDtool

[rrdtool.git] / src / rrd_hw_math.c

diff --git a/src/rrd_hw_math.c b/src/rrd_hw_math.c
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+/*****************************************************************************
+ * rrd_hw_math.c  Math functions for Holt-Winters computations
+ *****************************************************************************/
+
+#include "rrd_hw_math.h"
+#include "rrd_config.h"
+
+/*****************************************************************************
+ * RRDtool supports both the additive and multiplicative Holt-Winters methods. 
+ * The additive method makes predictions by adding seasonality to the baseline, 
+ * whereas the multiplicative method multiplies the seasonality coefficient by 
+ * the baseline to make a prediction. This file contains all the differences
+ * between the additive and multiplicative methods, as well as a few math 
+ * functions common to them both.
+ ****************************************************************************/
+
+/*****************************************************************************
+ * Functions for additive Holt-Winters
+ *****************************************************************************/
+
+rrd_value_t hw_additive_calculate_prediction(
+    rrd_value_t intercept,
+    rrd_value_t slope,
+    int null_count,
+    rrd_value_t seasonal_coef)
+{
+    return intercept + slope * null_count + seasonal_coef;
+}
+
+rrd_value_t hw_additive_calculate_intercept(
+    rrd_value_t hw_alpha,
+    rrd_value_t observed,
+    rrd_value_t seasonal_coef,
+    unival *coefs)
+{
+    return hw_alpha * (observed - seasonal_coef)
+        + (1 - hw_alpha) * (coefs[CDP_hw_intercept].u_val
+                            +
+                            (coefs[CDP_hw_slope].u_val) *
+                            (coefs[CDP_null_count].u_cnt));
+}
+
+rrd_value_t hw_additive_calculate_seasonality(
+    rrd_value_t hw_gamma,
+    rrd_value_t observed,
+    rrd_value_t intercept,
+    rrd_value_t seasonal_coef)
+{
+    return hw_gamma * (observed - intercept)
+        + (1 - hw_gamma) * seasonal_coef;
+}
+
+rrd_value_t hw_additive_init_seasonality(
+    rrd_value_t seasonal_coef,
+    rrd_value_t intercept)
+{
+    return seasonal_coef - intercept;
+}
+
+/*****************************************************************************
+ * Functions for multiplicative Holt-Winters
+ *****************************************************************************/
+
+rrd_value_t hw_multiplicative_calculate_prediction(
+    rrd_value_t intercept,
+    rrd_value_t slope,
+    int null_count,
+    rrd_value_t seasonal_coef)
+{
+    return (intercept + slope * null_count) * seasonal_coef;
+}
+
+rrd_value_t hw_multiplicative_calculate_intercept(
+    rrd_value_t hw_alpha,
+    rrd_value_t observed,
+    rrd_value_t seasonal_coef,
+    unival *coefs)
+{
+    if (seasonal_coef <= 0) {
+        return DNAN;
+    }
+
+    return hw_alpha * (observed / seasonal_coef)
+        + (1 - hw_alpha) * (coefs[CDP_hw_intercept].u_val
+                            +
+                            (coefs[CDP_hw_slope].u_val) *
+                            (coefs[CDP_null_count].u_cnt));
+}
+
+rrd_value_t hw_multiplicative_calculate_seasonality(
+    rrd_value_t hw_gamma,
+    rrd_value_t observed,
+    rrd_value_t intercept,
+    rrd_value_t seasonal_coef)
+{
+    if (intercept <= 0) {
+        return DNAN;
+    }
+
+    return hw_gamma * (observed / intercept)
+        + (1 - hw_gamma) * seasonal_coef;
+}
+
+rrd_value_t hw_multiplicative_init_seasonality(
+    rrd_value_t seasonal_coef,
+    rrd_value_t intercept)
+{
+    if (intercept <= 0) {
+        return DNAN;
+    }
+
+    return seasonal_coef / intercept;
+}
+
+/*****************************************************************************
+ * Math functions common to additive and multiplicative Holt-Winters
+ *****************************************************************************/
+
+rrd_value_t hw_calculate_slope(
+    rrd_value_t hw_beta,
+    unival *coefs)
+{
+    return hw_beta * (coefs[CDP_hw_intercept].u_val -
+                      coefs[CDP_hw_last_intercept].u_val)
+        + (1 - hw_beta) * coefs[CDP_hw_slope].u_val;
+}
+
+rrd_value_t hw_calculate_seasonal_deviation(
+    rrd_value_t hw_gamma,
+    rrd_value_t prediction,
+    rrd_value_t observed,
+    rrd_value_t last)
+{
+    return hw_gamma * fabs(prediction - observed)
+        + (1 - hw_gamma) * last;
+}
+
+rrd_value_t hw_init_seasonal_deviation(
+    rrd_value_t prediction,
+    rrd_value_t observed)
+{
+    return fabs(prediction - observed);
+}