fade: Fading Cluster Structure and EMM Layer

In rEMM: Extensible Markov Model for Modelling Temporal Relationships Between Clusters

Fading Cluster Structure and EMM Layer

Description

Reduces the weight of old observations in the data stream. build has a learning rate parameter lambda. If this parameter is set, build automatically fades all counts before a new data point is added. The second mechanism is to explicitly call the function~fade whenever fading is needed. This has the advantage that the overhead of manipulating all counts in the EMM can be reduced and that fading can be used in a more flexible manner. For example, if the data points are arriving at an irregular rate, fade could be called at regular time intervals (e.g., every second).

Usage

fade(x, t, lambda)

Arguments

x	an object of class "EMM". Note that this function will change x.
t	number of time intervals (if missing 1 is used)
lambda	learning rate. If lambda is missing, the learning rate specified for the EMM is used.

Details

Old data points are faded by using a weight. We define the weight for data that is t timesteps in the past by the following strictly decreasing function:

w_t = 2^{-\lambda t}

Since the weight is multiplicative, it can be applied iteratively by multiplying at each time step all counts by 2^{-\lambda}. For the clustering algorithm the weight of the clusters (number of data points assigned to the cluster) is faded. For the EMM the initial count vector and all transition counts are faded.

Value

Returns a reference to the changed object x.

See Also

EMM and build

Examples

data("EMMTraffic")

## For the example we use a very high learning rate
## this calls fade after each new data point
emm_l <- EMM(measure="eJaccard", threshold=0.2, lambda = 1)
build(emm_l, EMMTraffic)

## build a regular EMM for comparison
emm <- EMM(measure="eJaccard", threshold=0.2)
build(emm, EMMTraffic)

## compare the transition matrix
transition_matrix(emm)
transition_matrix(emm_l)

## compare graphs
op <- par(mfrow = c(1, 2), pty = "m")
plot(emm, main = "regular EMM")
plot(emm_l, main = "EMM with high learning rate")
par(op)

rEMM documentation built on May 29, 2024, 4:35 a.m.