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holt_winter_example
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import matplotlib.pyplot as plt | |
def holt_alg(h, y_last, y_pred, T_pred, alpha, beta): | |
pred_y_new = alpha * y_last + (1-alpha) * (y_pred + T_pred * h) | |
pred_T_new = beta * (pred_y_new - y_pred)/h + (1-beta)*T_pred | |
return (pred_y_new, pred_T_new) | |
def smoothing(t, y, alpha, beta): | |
# initialization using the first two observations | |
pred_y = y[1] | |
pred_T = (y[1] - y[0])/(t[1]-t[0]) | |
y_hat = [y[0], y[1]] | |
# next unit time point | |
t.append(t[-1]+1) | |
for i in range(2, len(t)): | |
h = t[i] - t[i-1] | |
pred_y, pred_T = holt_alg(h, y[i-1], pred_y, pred_T, alpha, beta) | |
y_hat.append(pred_y) | |
return y_hat | |
data_t = range(15) | |
data_y = [5,6,15,20,21,22,26,42,45,60,55,58,55,50,49] | |
import matplotlib.pyplot as plt | |
plt.plot(data_t, data_y, 'x-') | |
plt.hold(True) | |
pred_y = smoothing(data_t, data_y, alpha=.8, beta=.5) | |
plt.plot(data_t[:len(pred_y)], pred_y, 'rx-') | |
plt.show() |
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