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Adding changepoint threshold (#299)

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Marc Ferradou 2018-05-25 18:53:19 -04:00 committed by Ben Letham
parent 6d2e93c8bc
commit ba1bac834e
2 changed files with 26 additions and 6 deletions
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15
R/R/prophet.R
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@ -28,7 +28,9 @@ utils::globalVariables(c(
#' @param n.changepoints Number of potential changepoints to include. Not used
#' if input `changepoints` is supplied. If `changepoints` is not supplied,
#' then n.changepoints potential changepoints are selected uniformly from the
#' first 80 percent of df$ds.
#' first `changepoint.threshold` percent of df$ds.
#' @param changepoint.threshold Parameter controling where to select the changepoints.
#' Not used if input `changepoints` is supplied.
#' @param yearly.seasonality Fit yearly seasonality. Can be 'auto', TRUE,
#' FALSE, or a number of Fourier terms to generate.
#' @param weekly.seasonality Fit weekly seasonality. Can be 'auto', TRUE,
@ -79,6 +81,7 @@ prophet <- function(df = NULL,
growth = 'linear',
changepoints = NULL,
n.changepoints = 25,
changepoint.threshold = 0.8,
yearly.seasonality = 'auto',
weekly.seasonality = 'auto',
daily.seasonality = 'auto',
@ -103,6 +106,7 @@ prophet <- function(df = NULL,
growth = growth,
changepoints = changepoints,
n.changepoints = n.changepoints,
changepoint.threshold = changepoint.threshold,
yearly.seasonality = yearly.seasonality,
weekly.seasonality = weekly.seasonality,
daily.seasonality = daily.seasonality,
@ -451,9 +455,14 @@ set_changepoints <- function(m) {
}
}
} else {
# Place potential changepoints evenly through the first 80 pcnt of
# Place potential changepoints evenly through the first changepoint.threshold pcnt of
# the history.
hist.size <- floor(nrow(m$history) * .8)
if (m$changepoint.threshold > 1 || m$changepoint.threshold <= 0){
m$changepoint.threshold <- .8
message('changepoint.threshold greater than 1 or less than equal to 0. Using ',
m$changepoint.threshold)
}
hist.size <- floor(nrow(m$history) * m$changepoint.threshold)
if (m$n.changepoints + 1 > hist.size) {
m$n.changepoints <- hist.size - 1
message('n.changepoints greater than number of observations. Using ',

17
python/fbprophet/forecaster.py
View file

@ -57,7 +57,9 @@ class Prophet(object):
n_changepoints: Number of potential changepoints to include. Not used
if input `changepoints` is supplied. If `changepoints` is not supplied,
then n_changepoints potential changepoints are selected uniformly from
the first 80 percent of the history.
the first `changepoint_threshold` percent of the history.
changepoint_threshold: Parameter controling where to select the changepoints.
Not used if input `changepoints` is supplied.
yearly_seasonality: Fit yearly seasonality.
Can be 'auto', True, False, or a number of Fourier terms to generate.
weekly_seasonality: Fit weekly seasonality.
@ -97,6 +99,7 @@ class Prophet(object):
growth='linear',
changepoints=None,
n_changepoints=25,
changepoint_threshold=0.8,
yearly_seasonality='auto',
weekly_seasonality='auto',
daily_seasonality='auto',
@ -119,6 +122,7 @@ class Prophet(object):
self.n_changepoints = n_changepoints
self.specified_changepoints = False
self.changepoint_threshold = changepoint_threshold
self.yearly_seasonality = yearly_seasonality
self.weekly_seasonality = weekly_seasonality
self.daily_seasonality = daily_seasonality
@ -332,8 +336,15 @@ class Prophet(object):
raise ValueError(
'Changepoints must fall within training data.')
else:
# Place potential changepoints evenly through first 80% of history
hist_size = np.floor(self.history.shape[0] * 0.8)
# Place potential changepoints evenly through first changepoint_threshold
# of history
if (self.changepoint_threshold > 1 or self.changepoint_threshold <= 0):
self.changepoint_threshold = 0.8
logger.info(
'changepoint_threshold greater than 1 or less than equal to 0.'
'Using {}.'.format(self.changepoint_threshold)
)
hist_size = np.floor(self.history.shape[0] * self.changepoint_threshold)
if self.n_changepoints + 1 > hist_size:
self.n_changepoints = hist_size - 1
logger.info(