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[7.x][ML] Fix change detector restore #1393

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Merged
merged 1 commit into from
Jul 9, 2020
Merged

[7.x][ML] Fix change detector restore #1393

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1 change: 1 addition & 0 deletions docs/CHANGELOG.asciidoc
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Original file line number Diff line number Diff line change
Expand Up @@ -66,6 +66,7 @@
=== Bug Fixes

* Correct inference model definition for MSLE regression models. (See {ml-pull}1375[#1375].)
* Fix restoration of change detectors after seasonality change. (See {ml-pull}1391[#1391].)

== {es} version 7.8.1

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8 changes: 6 additions & 2 deletions include/maths/CTimeSeriesChangeDetector.h
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Expand Up @@ -136,6 +136,9 @@ class MATHS_EXPORT CUnivariateTimeSeriesChangeDetector {
using TMinMaxAccumulator = CBasicStatistics::CMinMax<core_t::TTime>;
using TRegression = CLeastSquaresOnlineRegression<1, double>;

//! Initialise the m_ChangeModels vector
void initChangeModels(TPriorPtr residualModel);

private:
//! The minimum amount of time we need to observe before
//! selecting a change model.
Expand Down Expand Up @@ -227,6 +230,9 @@ class MATHS_EXPORT CUnivariateChangeModel {
//! Get a checksum for this object.
virtual uint64_t checksum(uint64_t seed) const = 0;

//! Get the time series residual model member variable.
const TPriorPtr& residualModelPtr() const;

protected:
CUnivariateChangeModel(const CUnivariateChangeModel& other,
const TDecompositionPtr& trendModel,
Expand Down Expand Up @@ -257,8 +263,6 @@ class MATHS_EXPORT CUnivariateChangeModel {
const CPrior& residualModel() const;
//! Get the time series residual model.
CPrior& residualModel();
//! Get the time series residual model member variable.
const TPriorPtr& residualModelPtr() const;

private:
using TMeanVarAccumulator = CBasicStatistics::SSampleMeanVar<double>::TAccumulator;
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20 changes: 14 additions & 6 deletions lib/maths/CTimeSeriesChangeDetector.cc
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Expand Up @@ -98,11 +98,16 @@ CUnivariateTimeSeriesChangeDetector::CUnivariateTimeSeriesChangeDetector(
: m_MinimumTimeToDetect{minimumTimeToDetect}, m_MaximumTimeToDetect{maximumTimeToDetect},
m_MinimumDeltaBicToDetect{minimumDeltaBicToDetect}, m_SampleCount{0},
m_DecisionFunction{0.0}, m_TrendModel{trendModel->clone()} {
this->initChangeModels(residualModel);
}

void CUnivariateTimeSeriesChangeDetector::initChangeModels(TPriorPtr residualModel) {
m_ChangeModels.clear();
m_ChangeModels.push_back(
std::make_unique<CUnivariateNoChangeModel>(trendModel, residualModel));
std::make_unique<CUnivariateNoChangeModel>(m_TrendModel, residualModel));
m_ChangeModels.push_back(
std::make_unique<CUnivariateLevelShiftModel>(m_TrendModel, residualModel));
if (trendModel->seasonalComponents().size() > 0) {
if (m_TrendModel->seasonalComponents().size() > 0) {
m_ChangeModels.push_back(std::make_unique<CUnivariateTimeShiftModel>(
m_TrendModel, residualModel, -core::constants::HOUR));
m_ChangeModels.push_back(std::make_unique<CUnivariateTimeShiftModel>(
Expand Down Expand Up @@ -146,10 +151,13 @@ bool CUnivariateTimeSeriesChangeDetector::acceptRestoreTraverser(
RESTORE_SETUP_TEARDOWN(MAX_TIME_TAG, core_t::TTime time,
core::CStringUtils::stringToType(traverser.value(), time),
m_TimeRange.add(time))
RESTORE(TREND_MODEL_TAG, traverser.traverseSubLevel(std::bind<bool>(
CTimeSeriesDecompositionStateSerialiser(),
std::cref(params.s_DecompositionParams),
std::ref(m_TrendModel), std::placeholders::_1)))
RESTORE_SETUP_TEARDOWN(TREND_MODEL_TAG, /**/,
traverser.traverseSubLevel(std::bind<bool>(
CTimeSeriesDecompositionStateSerialiser(),
std::cref(params.s_DecompositionParams),
std::ref(m_TrendModel), std::placeholders::_1)),
this->initChangeModels((*model)->residualModelPtr());
model = m_ChangeModels.begin())
RESTORE_SETUP_TEARDOWN(
CHANGE_MODEL_TAG, TChangeModelPtr restoredModel{(*model)->clone(m_TrendModel)},
traverser.traverseSubLevel(std::bind(
Expand Down