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[ML] Trap zero variance in forecast confidence interval calculation causing error to be logged #107

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Merged
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Jun 5, 2018
Merged

[ML] Trap zero variance in forecast confidence interval calculation causing error to be logged #107

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Trap zero variance in forecast confidence interval calculation
tveasey May 27, 2018
b3f15f2
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tveasey May 29, 2018
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1 change: 1 addition & 0 deletions docs/CHANGELOG.asciidoc
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Expand Up @@ -41,6 +41,7 @@ model state on disk ({pull}89[#89])

Age seasonal components in proportion to the fraction of values with which they're updated ({pull}88[#88])
Persist and restore was missing some of the trend model state ({pull}#99[#99])
Stop zero variance data generating a log error in the forecast confidence interval calculation ({pull}#107[#107])

=== Regressions

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3 changes: 3 additions & 0 deletions lib/maths/CTrendComponent.cc
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Expand Up @@ -56,6 +56,9 @@ double scaleTime(core_t::TTime time, core_t::TTime origin) {

//! Get the \p confidence interval for \p prediction and \p variance.
TOptionalDoubleDoublePr confidenceInterval(double prediction, double variance, double confidence) {
if (variance == 0.0) {
return std::make_pair(prediction, prediction);
}
try {
boost::math::normal normal{prediction, std::sqrt(variance)};
double ql{boost::math::quantile(normal, (100.0 - confidence) / 200.0)};
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