better normalization support

neurallayer · Dec 25, 2023 · 4f513ef · 4f513ef
1 parent 2a0ca9b
commit 4f513ef
Show file tree

Hide file tree

Showing 2 changed files with 17 additions and 2 deletions.
diff --git a/roboquant/src/main/kotlin/org/roboquant/common/TimeSeries.kt b/roboquant/src/main/kotlin/org/roboquant/common/TimeSeries.kt
@@ -133,9 +133,9 @@ class TimeSeries(val timeline: Timeline, val values: DoubleArray) : Iterable<Obs
     fun returns(n:Int = 1) = TimeSeries(timeline.drop(n), values.returns(n))
 
     /**
-     * Normalize the values by dividing all values by the first value
+     * Normalize the values by dividing all the values by the first value that is finite
      */
-    fun normalize() = TimeSeries(timeline, values / values.first())
+    fun normalize(start: Double = 1.0) = TimeSeries(timeline, values.normalize(start))
 
     /**
      * Return the observation that contains the maximum value.
@@ -274,6 +274,13 @@ fun Map<String, TimeSeries>.flatten(noOverlap: Boolean = true): TimeSeries {
     return TimeSeries(result)
 }
 
+/**
+ * Normalize all the timeseries in his map
+ */
+fun Map<String, TimeSeries>.normalize(start: Double = 1.0): Map<String, TimeSeries> {
+    return mapValues { it.value.normalize(start) }
+}
+
 /**
  * Convert a sorted by time collection to a [TimeSeries] object
  */

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt b/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt
@@ -213,6 +213,14 @@ fun DoubleArray.diff(n: Int = 1): DoubleArray {
     return result
 }
 
+/**
+ * Returns a normalized array
+ */
+fun DoubleArray.normalize(start: Double = 1.0): DoubleArray {
+    val first = (firstOrNull { it.isFinite() } ?: 1.0) / start
+    return this / first
+}
+
 /**
  * Returns the index of the first maximum value
  */