Reorganize files
3
.gitignore
vendored
@@ -86,4 +86,5 @@ data/*
|
|||||||
# Ignore html files for now
|
# Ignore html files for now
|
||||||
# TODO: Remove later
|
# TODO: Remove later
|
||||||
*.html
|
*.html
|
||||||
25_07_phd_defense/index_cache
|
index_cache
|
||||||
|
index_files
|
||||||
|
|||||||
4
.vscode/settings.json
vendored
@@ -1,8 +1,8 @@
|
|||||||
{
|
{
|
||||||
"files.autoSave": "off",
|
"files.autoSave": "off",
|
||||||
"files.exclude": {
|
"files.exclude": {
|
||||||
"**/.git": true,
|
"**/.git": false,
|
||||||
".git": true
|
".git": false
|
||||||
},
|
},
|
||||||
"todo-tree.tree.hideTreeWhenEmpty": false
|
"todo-tree.tree.hideTreeWhenEmpty": false
|
||||||
}
|
}
|
||||||
|
Before Width: | Height: | Size: 2.3 MiB After Width: | Height: | Size: 2.3 MiB |
|
Before Width: | Height: | Size: 3.1 MiB After Width: | Height: | Size: 3.1 MiB |
|
Before Width: | Height: | Size: 1.6 MiB After Width: | Height: | Size: 1.6 MiB |
|
Before Width: | Height: | Size: 1.2 MiB After Width: | Height: | Size: 1.2 MiB |
|
Before Width: | Height: | Size: 4.2 MiB After Width: | Height: | Size: 4.2 MiB |
|
Before Width: | Height: | Size: 692 KiB After Width: | Height: | Size: 692 KiB |
@@ -10,7 +10,7 @@ affiliations:
|
|||||||
name: University of Duisburg-Essen, House of Energy, Climate and Finance
|
name: University of Duisburg-Essen, House of Energy, Climate and Finance
|
||||||
format:
|
format:
|
||||||
revealjs:
|
revealjs:
|
||||||
embed-resources: true
|
embed-resources: false
|
||||||
footer: ""
|
footer: ""
|
||||||
logo: assets/logos_combined.png
|
logo: assets/logos_combined.png
|
||||||
theme: [default, sydney.scss, custom.scss]
|
theme: [default, sydney.scss, custom.scss]
|
||||||
@@ -808,65 +808,10 @@ We receive the constant solution for high values of $\lambda$ when setting $d=1$
|
|||||||
|
|
||||||
## The Proposed CRPS-Learning Algorithm
|
## The Proposed CRPS-Learning Algorithm
|
||||||
|
|
||||||
:::: {.columns}
|
```{r, fig.align="left", echo=FALSE, out.width = "1000px", cache = TRUE}
|
||||||
|
knitr::include_graphics("assets/crps_learning/algorithm_1.svg")
|
||||||
|
```
|
||||||
|
|
||||||
::: {.column width="48%"}
|
|
||||||
|
|
||||||
**Initialization:**
|
|
||||||
|
|
||||||
Array of expert predicitons: $\widehat{X}_{t,k,p}$
|
|
||||||
|
|
||||||
Vector of Prediction targets: $Y_t$
|
|
||||||
|
|
||||||
Starting Weights: $w_0=(w_{0,1},\ldots, w_{0,K})$,
|
|
||||||
|
|
||||||
Penalization parameter: $\lambda\geq 0$
|
|
||||||
|
|
||||||
B-spline and penalty matrices $B$ and $D$ on $\mathcal{P}= (p_1,\ldots,p_M)$
|
|
||||||
|
|
||||||
Hat matrix: $$\mathcal{H} = B(B'B+ \lambda D'D)^{-1} B'$$
|
|
||||||
|
|
||||||
Cumulative Regret: $R_{0,k} = 0$
|
|
||||||
|
|
||||||
Range parameter: $E_{0,k}=0$
|
|
||||||
|
|
||||||
:::
|
|
||||||
|
|
||||||
::: {.column width="2%"}
|
|
||||||
|
|
||||||
:::
|
|
||||||
|
|
||||||
::: {.column width="48%"}
|
|
||||||
|
|
||||||
**Core**:
|
|
||||||
|
|
||||||
for(t in 1:T) { for(p in $\mathcal{P}$) {
|
|
||||||
|
|
||||||
$\widetilde{X}_{t,k}(p) = \sum_{k=1}^K w_{t-1,k,p} \widehat{X}_{t,k}(p)$ .grey[\# Prediction]
|
|
||||||
|
|
||||||
for(k in 1:K){
|
|
||||||
|
|
||||||
$r_{t,k,p} = \text{QL}_p^{\nabla}(\widehat{X}_{t,k}(p),Y_t) - \text{QL}_p^{\nabla}(\widetilde{X}_{t}(p),Y_t)$
|
|
||||||
|
|
||||||
$E_{t,k,p} = \max(E_{t-1,k,p}, |r_{t,k,p}|)$
|
|
||||||
|
|
||||||
$\eta_{t,k,p}=\min\left(1/2E_{t,k,p}, \sqrt{\log(K)/ \sum_{i=1}^t (r^2_{i, k,p})}\right)$
|
|
||||||
|
|
||||||
$R_{t,k,p} = R_{t-1,k,p} + \frac{1}{2} \left( r_{t,k,p} \left( 1+ \eta_{t,k,p} r_{t,k,p} \right) + 2E_{t,k,p} \mathbb{1}(\eta_{t,k,p}r_{t,k,p} > \frac{1}{2}) \right)$
|
|
||||||
|
|
||||||
$w_{t,k,p} = \eta_{t,k,p} \exp \left(- \eta_{t,k,p} R_{t,k,p} \right) w_{0,k,p} / \left( \frac{1}{K} \sum_{k = 1}^K \eta_{t,k,p} \exp \left( - \eta_{t,k,p} R_{t,k,p}\right) \right)$
|
|
||||||
|
|
||||||
}.grey[\#k]}.grey[\#p]
|
|
||||||
|
|
||||||
for(k in 1:K){
|
|
||||||
|
|
||||||
$w_{t,k} = \mathcal{H} w_{t,k}(\mathcal{P})$ .grey[\# Smoothing]
|
|
||||||
|
|
||||||
} .grey[\#k]} .grey[\#t]
|
|
||||||
|
|
||||||
:::
|
|
||||||
|
|
||||||
::::
|
|
||||||
|
|
||||||
## Simulation Study
|
## Simulation Study
|
||||||
|
|
||||||
@@ -3180,9 +3125,12 @@ Accounting for heteroscedasticity or stabilizing the variance via log transforma
|
|||||||
|
|
||||||
::::
|
::::
|
||||||
|
|
||||||
## References
|
## References
|
||||||
|
|
||||||
|
::: {.scrollable}
|
||||||
|
|
||||||
```{r refs1, echo=FALSE, results="asis"}
|
```{r refs1, echo=FALSE, results="asis"}
|
||||||
PrintBibliography(my_bib, .opts = list(style = "text"))
|
PrintBibliography(my_bib, .opts = list(style = "text"))
|
||||||
```
|
```
|
||||||
|
|
||||||
|
::::
|
||||||