R predictor

cmake/FindR.cmake

@@ -0,0 +1,73 @@
+# Copyright (C) 1995-2019, Rene Brun and Fons Rademakers.
+# All rights reserved.
+#
+# For the licensing terms see $ROOTSYS/LICENSE.
+# For the list of contributors see $ROOTSYS/README/CREDITS.
+
+# CMake module to find R
+# - Try to find R
+# Once done, this will define
+#
+#  R_FOUND - system has R
+#  R_INCLUDE_DIRS - the R include directories
+#  R_LIBRARIES - link these to use R
+#  R_ROOT_DIR - As reported by R
+# Autor: Omar Andres Zapata Mesa 31/05/2013
+
+if(${CMAKE_SYSTEM_NAME} MATCHES "Darwin")
+  set(CMAKE_FIND_APPBUNDLE "LAST")
+endif()
+
+find_program(R_EXECUTABLE NAMES R R.exe)
+
+#---searching R installtion unsing R executable
+if(R_EXECUTABLE)
+  execute_process(COMMAND ${R_EXECUTABLE} RHOME
+                  OUTPUT_VARIABLE R_ROOT_DIR
+                  OUTPUT_STRIP_TRAILING_WHITESPACE)
+
+  find_path(R_INCLUDE_DIR R.h
+            HINTS ${R_ROOT_DIR}
+            PATHS /usr/local/lib /usr/local/lib64 /usr/share
+            PATH_SUFFIXES include R/include
+            DOC "Path to file R.h")
+
+  find_library(R_LIBRARY R
+            HINTS ${R_ROOT_DIR}/lib
+            DOC "R library (example libR.a, libR.dylib, etc.).")
+endif()
+
+#---setting include dirs and libraries
+set(R_LIBRARIES ${R_LIBRARY})
+set(R_INCLUDE_DIRS ${R_INCLUDE_DIR})
+foreach(_cpt ${R_FIND_COMPONENTS})
+  execute_process(COMMAND echo "cat(find.package('${_cpt}'))"
+                  COMMAND ${R_EXECUTABLE} --vanilla --slave
+                  RESULT_VARIABLE _rc
+                  ERROR_QUIET
+                  OUTPUT_VARIABLE _cpt_path
+                  OUTPUT_STRIP_TRAILING_WHITESPACE)
+  if(NOT _rc)
+    set(R_${_cpt}_FOUND 1)
+  endif()
+
+  find_library(R_${_cpt}_LIBRARY
+               lib${_cpt}.so lib${_cpt}.dylib
+               HINTS ${_cpt_path}/lib)
+  if(R_${_cpt}_LIBRARY)
+    mark_as_advanced(R_${_cpt}_LIBRARY)
+    list(APPEND R_LIBRARIES ${R_${_cpt}_LIBRARY})
+  endif()
+
+  find_path(R_${_cpt}_INCLUDE_DIR ${_cpt}.h HINTS  ${_cpt_path} PATH_SUFFIXES include R/include)
+  if(R_${_cpt}_INCLUDE_DIR)
+    mark_as_advanced(R_${_cpt}_INCLUDE_DIR)
+    list(APPEND R_INCLUDE_DIRS ${R_${_cpt}_INCLUDE_DIR})
+  endif()
+
+endforeach()
+
+# Handle the QUIETLY and REQUIRED arguments and set R_FOUND to TRUE if all listed variables are TRUE
+include(FindPackageHandleStandardArgs)
+find_package_handle_standard_args(R HANDLE_COMPONENTS REQUIRED_VARS R_EXECUTABLE R_INCLUDE_DIR R_LIBRARY)
+mark_as_advanced(R_FOUND R_EXECUTABLE R_INCLUDE_DIR R_LIBRARY)

src/lib-base/CMakeLists.txt

@@ -4,25 +4,36 @@ cmake_minimum_required(VERSION 3.5.1)
 include(../../cmake/util.cmake)
 project( lib-base )
 
+find_package(R)
+
 file( GLOB SRCS src/*.cpp */*.h */*.hpp)
 
+if (R_FOUND)
+	option(WITH_FEATURE_R 	"Use R" ON)
+else()
+	option(WITH_FEATURE_R 	"Use R" OFF)
+endif()
 option(WITH_FEATURE_URT 	"Use URT" ON)
 
-add_library (${PROJECT_NAME} ${LINK_TYPE} ${SRCS})
 if (WITH_FEATURE_URT)
-	target_compile_definitions(${PROJECT_NAME} PRIVATE -DUSE_URT)
-	set (EXTRA_LIBS ${EXTRA_LIBS} URT)
+	set (EXTRA_LIBS  ${EXTRA_LIBS} URT)
+	set (DEFINITIONS ${DEFINITIONS} -DUSE_URT)
+endif()
+if (WITH_FEATURE_R)
+	set (EXTRA_LIBS  ${EXTRA_LIBS} ${R_LIBRARIES})
+	set (DEFINITIONS ${DEFINITIONS} -DUSE_R)
+	file( GLOB SRCS_R src/r/*.cpp src/r/*.*h)
+	set (SRCS ${SRCS} ${SRCS_R})
 endif()
+
+add_library (${PROJECT_NAME} ${LINK_TYPE} ${SRCS})
 enjoSetupTarget(${PROJECT_NAME})
+target_compile_definitions(${PROJECT_NAME} PRIVATE ${DEFINITIONS})
 target_link_libraries(${PROJECT_NAME} EnjoLibBoost EnjoLibStat3rd FuzzyEngine++ URT ${EXTRA_LIBS})
+target_include_directories(${PROJECT_NAME} PUBLIC src/r ${R_INCLUDE_DIRS})
 enjo_target_pch(${PROJECT_NAME} src/pch_base.h)
 target_compile_definitions(${PROJECT_NAME} PUBLIC PUB)
-if (APPLE)
-	# TODO: Upstream this to libBoost
-	# https://apple.stackexchange.com/questions/337940/why-is-usr-include-missing-i-have-xcode-and-command-line-tools-installed-moja
-	# https://lists.macports.org/pipermail/macports-dev/2019-September/041201.html
-	#target_compile_options(${PROJECT_NAME} PUBLIC "-isysroot /Library/Developer/CommandLineTools/SDKs/MacOSX.sdk")
-endif()
+
 #enjoCopyFile(${PROJECT_NAME} ${CMAKE_CURRENT_SOURCE_DIR}/../run-tests.sh ../run-tests.sh)
 #enjoCopyFile(${PROJECT_NAME} ${CMAKE_CURRENT_SOURCE_DIR}/../libs-base.sh ../libs-base.sh)
 #enjoCopyFile(${PROJECT_NAME} ${CMAKE_CURRENT_SOURCE_DIR}/../libs-stock.sh ../libs-stock.sh)

src/lib-base/src/PredictorFactory.cpp

@@ -8,6 +8,10 @@
 #include "PredictorAR.h"
 #include "PredictorSMAMA.h"
 #include "PredictorARMA.h"
+#ifdef USE_R
+#include "PredictorRBaseline.h"
+#include "PredictorRCustom.h"
+#endif // USE_R
 
 #include <Util/Except.hpp>
 
@@ -41,9 +45,13 @@ CorPtr<IPredictor> PredictorFactory::Create(const IDataProvider & dat, const Pre
         case PredictorType::PRED_ARMA:          return CorPtr<IPredictor>(new PredictorARMA(dat));
         case PredictorType::PRED_BASELINE:      return CorPtr<IPredictor>(new PredictorBaseline(dat));
         case PredictorType::PRED_BASELINE2:     return CorPtr<IPredictor>(new PredictorBaseline2(dat));
+#ifdef USE_R
+        case PredictorType::PRED_R_BASELINE:    return CorPtr<IPredictor>(new PredictorRBaseline(dat));
+        case PredictorType::PRED_R_CUSTOM:      return CorPtr<IPredictor>(new PredictorRCustom(dat));
+#endif // USE_R
         case PredictorType::PRED_TEST:          return CorPtr<IPredictor>(new PredictorExperimental(dat));
         case PredictorType::PRED_DUMB:          return CorPtr<IPredictor>(new PredictorDumb(dat));
         case PredictorType::PRED_TRUE:          return CorPtr<IPredictor>(new PredictorTrue(dat));
     }
     throw EnjoLib::ExceptNotImpl("PredictorFactory(): Not implemented type");
-}
+}

src/lib-base/src/PredictorType.h

@@ -8,6 +8,10 @@ enum class PredictorType
     PRED_AR,
     PRED_SMAMA,
     PRED_ARMA,
+#ifdef USE_R
+    PRED_R_BASELINE,
+    PRED_R_CUSTOM,
+#endif
     PRED_DUMB,
     PRED_TEST,
     PRED_TRUE

src/lib-base/src/PredictorTypeStr.cpp

@@ -13,6 +13,10 @@ PredictorTypeStr::PredictorTypeStr()
             case PredictorType::PRED_AR:            Add(i, "AR"); break;
             case PredictorType::PRED_SMAMA:         Add(i, "SmaMA"); break;
             case PredictorType::PRED_ARMA:          Add(i, "ARMA"); break;
+#ifdef USE_R
+            case PredictorType::PRED_R_BASELINE:    Add(i, "R-Baseline"); break;
+            case PredictorType::PRED_R_CUSTOM:      Add(i, "R-Custom"); break;
+#endif //USE_R
             case PredictorType::PRED_TRUE:          Add(i, "True"); break;
             case PredictorType::PRED_TEST:          Add(i, "Test"); break;
             case PredictorType::PRED_DUMB:          Add(i, "Dumb"); break;

src/lib-base/src/r/PredictorRBaseline.cpp

@@ -0,0 +1,25 @@
+#include "PredictorRBaseline.h"
+
+#include <Rinternals.h>
+#include <Rembedded.h>
+
+PredictorRBaseline::PredictorRBaseline(const IDataProvider & dat)
+: PredictorBase(dat, "RBaseline")
+{
+    //ctor
+}
+
+PredictorRBaseline::~PredictorRBaseline()
+{
+    //dtor
+}
+
+EnjoLib::VecD PredictorRBaseline::Predict(const EnjoLib::VecD & data) const
+{
+    return data;
+}
+
+unsigned PredictorRBaseline::GetLags() const
+{
+    return 1;
+}

src/lib-base/src/r/PredictorRBaseline.h

@@ -0,0 +1,21 @@
+#ifndef PREDICTORRBASELINE_H
+#define PREDICTORRBASELINE_H
+
+#include <PredictorBase.h>
+
+
+class PredictorRBaseline : public PredictorBase
+{
+    public:
+        PredictorRBaseline(const IDataProvider & dat);
+        virtual ~PredictorRBaseline();
+
+        EnjoLib::VecD Predict(const EnjoLib::VecD & data) const override;
+        unsigned GetLags() const override;
+
+    protected:
+
+    private:
+};
+
+#endif // PREDICTORRBASELINE_H

src/lib-base/src/r/PredictorRCustom.cpp

@@ -0,0 +1,22 @@
+#include "PredictorRCustom.h"
+
+PredictorRCustom::PredictorRCustom(const IDataProvider & dat)
+: PredictorBase(dat, "RCustom")
+{
+    //ctor
+}
+
+PredictorRCustom::~PredictorRCustom()
+{
+    //dtor
+}
+
+EnjoLib::VecD PredictorRCustom::Predict(const EnjoLib::VecD & data) const
+{
+    return data;
+}
+
+unsigned PredictorRCustom::GetLags() const
+{
+    return 1;
+}

src/lib-base/src/r/PredictorRCustom.h

@@ -0,0 +1,21 @@
+#ifndef PREDICTORRCUSTOM_H
+#define PREDICTORRCUSTOM_H
+
+#include <PredictorBase.h>
+
+
+class PredictorRCustom : public PredictorBase
+{
+    public:
+        PredictorRCustom(const IDataProvider & dat);
+        virtual ~PredictorRCustom();
+
+        EnjoLib::VecD Predict(const EnjoLib::VecD & data) const override;
+        unsigned GetLags() const override;
+
+    protected:
+
+    private:
+};
+
+#endif // PREDICTORRCUSTOM_H

util/deps-pull.sh

@@ -8,10 +8,10 @@ if [ "$(uname)" == "Darwin" ]; then
 	fi
 	#HOMEBREW_NO_AUTO_UPDATE=1 brew install qt5
 	#brew link -v qt5 --force
-	HOMEBREW_NO_AUTO_UPDATE=1 brew install boost ccache gnuplot eigen gsl unittest-cpp wxwidgets # openssl zmq
+	HOMEBREW_NO_AUTO_UPDATE=1 brew install boost ccache gnuplot eigen gsl unittest-cpp wxwidgets r # openssl zmq
 	# TODO: install qt instead of qt5, after moving to latest QCustomPlot. Then the "--prefix" and "link" aren't needed.
 elif [ "$(uname)" == "Linux" ]; then
-	sudo apt update; sudo apt -y install build-essential cmake ccache gnuplot libeigen3-dev libunittest++-dev libgsl-dev libboost-system-dev libboost-filesystem-dev libboost-iostreams-dev libboost-serialization-dev libboost-program-options-dev libboost-date-time-dev libboost-atomic-dev libwxgtk3.0-gtk3-dev qtbase5-dev qtchooser qt5-qmake qtbase5-dev-tools #  libssl-dev
+	sudo apt update; sudo apt -y install build-essential cmake ccache gnuplot libeigen3-dev libunittest++-dev libgsl-dev libboost-system-dev libboost-filesystem-dev libboost-iostreams-dev libboost-serialization-dev libboost-program-options-dev libboost-date-time-dev libboost-atomic-dev libwxgtk3.0-gtk3-dev qtbase5-dev qtchooser qt5-qmake qtbase5-dev-tools r-base-dev #  libssl-dev
 else
 	echo "TODO: install deps"	
 	# TODO: implement MinGW