Merge branch 'master' of github.com:avibryant/l1tf into gh-pages

avibryant · Oct 17, 2012 · 0eab78e · 0eab78e
2 parents 9b63288 + d9a757f
commit 0eab78e
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Showing 4 changed files with 42 additions and 12 deletions.
diff --git a/README.md b/README.md
@@ -7,4 +7,12 @@ Avi Bryant (Etsy) & Steven Noble (Shopify)
 
 Usage:
 
-change_point_xy_pairs = l1tf(y_values, lambda).points
+```javascript
+change_point_xy_pairs = l1tf(y_values, smoothness).points
+```
+
+Where smoothness ranges from 0.0 (do nothing) to 1.0 (reduce the line to 3 or so points).
+
+The y_values are assumed to be evenly spaced.
+
+License: MIT
diff --git a/example/aapl.html b/example/aapl.html
@@ -21,7 +21,7 @@
 
 function render() {
   $("#examples").empty()
-   var data = orig.concat(l1tf(array, 250000 * $("#range").val()).points.map(function(ary){return {x:ary[0],y:ary[1],set:'f'}}))
+   var data = orig.concat(l1tf(array,$("#range").val()).points.map(function(ary){return {x:ary[0],y:ary[1],set:'f'}}))
     linechart.render(600, 400, d3.select('#examples'), data)
 }
 $(document).ready(function() {
@@ -31,7 +31,7 @@
 </script>
 </head>
 <body>
-<input id="range" type="range" min="0.01" max="0.99" value="0.1"/>
+<input id="range" type="range" min="0.01" max="0.99" step="0.001" value="0.01" style="width:600px"/>
 <div id='examples'></div>
 </body>
 </html>

diff --git a/example/snp500.html b/example/snp500.html
@@ -21,7 +21,7 @@
 
 function render() {
   $("#examples").empty()
-   var data = orig.concat(l1tf(array, 5000 * $("#range").val()).points.map(function(ary){return {x:ary[0],y:ary[1],set:'f'}}))
+   var data = orig.concat(l1tf(array, $("#range").val()).points.map(function(ary){return {x:ary[0],y:ary[1],set:'f'}}))
     linechart.render(600, 400, d3.select('#examples'), data)
 }
 $(document).ready(function() {

diff --git a/l1tf.js b/l1tf.js
@@ -41,12 +41,18 @@ var l1tf = (function() {
     this.baseErr = this.computeErr(0,0)
     var linDy = 0
 
-    if(this.prev && this.next)
+    // if(this.prev && this.prev.prev){
+    //   linDy = this.linearDy(this.prev.prev, this.prev)
+    //   this.tryMove(linDy, 0, false)
+    // }
+    // if(this.next && this.next.next){
+    //   linDy = this.linearDy(this.next, this.next.next)
+    //   this.tryMove(linDy, 0, false)
+    // }
+    if(this.prev && this.next){
       linDy = this.linearDy(this.prev, this.next)
-    else if(this.prev)
-      linDy = this.linearDy(this.prev.prev, this.prev)
-    else
-      linDy = this.linearDy(this.next, this.next.next)
+      this.tryMove(linDy, 0, true)
+    }
 
     if(linDy == 0){
       var scramble = 1
@@ -57,8 +63,6 @@ var l1tf = (function() {
     this.tryMove(scramble / 2, 0, false)
     this.tryMove(scramble / -2, 0, false)
     this.tryMove(scramble / -4, 0, false)
-
-    this.tryMove(linDy, 0, this.next && this.prev)
 
     var d2 = new Date()
     this.opt.errTime += (d2 - d1)
@@ -277,7 +281,7 @@ var l1tf = (function() {
     this.errDelta = 0
     this.errTime = 0
     this.real = array
-    this.m = m
+    this.m = this.maxLambda()*m
 
     var prev = null
     var first = null
@@ -308,6 +312,24 @@ var l1tf = (function() {
     return Math.ceil(Math.log(this.count+1)/Math.log(2)) - 1
   }
 
+  Optimizer.prototype.maxLambda = function() {
+    var n = this.real.length;
+    var xSum = (n - 1) * n / 2;
+    var x2Sum = (2*n - 1)* (n - 1) * n / 6
+    var ySum = 0
+    var yxSum = 0
+    this.real.forEach(function(y, x){ySum += y; yxSum += y*x})
+    var slope = (yxSum - ySum*xSum/n)/(x2Sum - xSum*xSum/n)
+    var constant = (ySum - xSum*slope)/n
+
+    var maxDiff = 0
+    for(var x = 0; x < n; x += 1){
+      maxDiff = Math.max(Math.abs(x*slope + constant - this.real[x]), maxDiff)
+    }
+
+    return maxDiff*6*n
+  }
+
   Optimizer.prototype.append = function(point) {
     var height = this.getHeight()
     var capacity = Math.pow(2, height+1) - 1