Reorganize files

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BerriJ committed 2025-05-24 21:47:05 +02:00
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@@ -86,4 +86,5 @@ data/*
# Ignore html files for now
# TODO: Remove later
*.html
25_07_phd_defense/index_cache
index_cache
index_files
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@@ -1,8 +1,8 @@
{
"files.autoSave": "off",
"files.exclude": {
"**/.git": true,
".git": true
"**/.git": false,
".git": false
},
"todo-tree.tree.hideTreeWhenEmpty": false
}
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@@ -10,7 +10,7 @@ affiliations:
name: University of Duisburg-Essen, House of Energy, Climate and Finance
format:
revealjs:
embed-resources: true
embed-resources: false
footer: ""
logo: assets/logos_combined.png
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
:::: {.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
@@ -3182,7 +3127,10 @@ Accounting for heteroscedasticity or stabilizing the variance via log transforma
## References
::: {.scrollable}
```{r refs1, echo=FALSE, results="asis"}
PrintBibliography(my_bib, .opts = list(style = "text"))
```
::::
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