R/ts_aug_awareness.R

In tspredit: Time Series Prediction with Integrated Tuning

#'@title Augmentation by awareness
#'@description Time series data augmentation is a technique used to increase the size and diversity of a time series dataset by creating new instances of the original data through transformations or modifications. The goal is to improve the performance of machine learning models trained on time series data by reducing overfitting and improving generalization.
#'Awareness reinforce recent data preferably.
#'@param factor increase factor for data augmentation
#'@return a `ts_aug_awareness` object.
#'@examples
#'library(daltoolbox)
#'data(tsd)
#'
#'#convert to sliding windows
#'xw <- ts_data(tsd$y, 10)
#'
#'#data augmentation using awareness
#'augment <- ts_aug_awareness()
#'augment <- fit(augment, xw)
#'xa <- transform(augment, xw)
#'ts_head(xa)
#'@importFrom daltoolbox dal_transform
#'@importFrom daltoolbox fit
#'@importFrom daltoolbox transform
#'@export
ts_aug_awareness <- function(factor = 1) {
  obj <- dal_transform()
  obj$factor <- factor
  class(obj) <- append("ts_aug_awareness", class(obj))
  return(obj)
}

#'@importFrom stats rexp
#'@importFrom stats rnorm
#'@importFrom stats sd
#'@importFrom daltoolbox transform
#'@exportS3Method transform ts_aug_awareness
transform.ts_aug_awareness <- function(obj, data, ...) {
  noise.parameters <- function(obj, data) {
    an <- apply(data, 1, mean)
    x <- data - an
    obj$xsd <- stats::sd(x)
    return(obj)
  }

  add.noise <- function(obj, data) {
    x <- stats::rnorm(length(data), mean = 0, sd = obj$xsd)
    x <- matrix(x, nrow=nrow(data), ncol=ncol(data))
    x[,ncol(data)] <- 0
    data <- data + x
    return(data)
  }
  filter.data <- function(data) {
    n <- nrow(data)
    rate <- 10/n
    i <- ceiling(stats::rexp(10*n, rate))
    i <- i[(i > 0) & (i < n)]
    i <- sample(i, obj$factor*n)
    i <- n - i + 1
    i <- sort(i)
    return(i)
  }
  obj <- noise.parameters(obj, data)
  i <- filter.data(data)
  ndata <- add.noise(obj, data[i,])
  result <- ndata
  attr(result, "idx") <-  i
  idx <- c(1:nrow(data), attr(result, "idx"))
  result <- rbind(data, result)
  result <- adjust_ts_data(result)
  attr(result, "idx") <- idx
  return(result)
}