Custom R component behaving strangely

[former_member369415]

Hello,

I'm using a custom R component in PA 2.4 to forecast hourly power consumption data for multiple customers (cannot use the built in algorithms because they do not allow me to segment the data per customer and they do an aggregated forecast).

I'm using a fourier decomposition to use as an regressor for my time series (variable xreg1):

ts3 <- msts(cust1$POWER,seasonal.periods=c(24,168))

z <- fourier(ts3,K=c(5,5))

zfall <- fourierf(ts3,K=c(5,5),h=nr)

xreg1 <- cbind(z,cust1$CDD,cust1$BankHoliday)

The problem is that if I use auto.arima it works, if I use arima (as I know the parameters to use) I get an error that xreg1 does not exist.

So the following code works:

     fit <- auto.arima(ts3, xreg=xreg1, seasonal = FALSE)

But the following code gives me an error (that object xreg1 does not exist - "Error in eval(expr, envir,enclos) : object 'xreg1' not found"):

     fit <- arima(ts3, order=c(4,1,3), xreg=xreg1)

My code works in the R console so I don't understand what PA needs in order for this to work.

If you have any ideas, please let me know.

Regards,

Dan

[former_member369415 · Accepted solution]

I found the issue: it seems that " fit <- arima(ts3, order=c(4,1,3), xreg=xreg1)"  does not work because of the lowercase "a".

Used as below the code works without issues:

fit <- Arima(ts3, order=c(4,1,3), xreg=xreg1)

Apparently there are 2 arima functions in R (one being arima, the second Arima).

Although in the R console there are no issues with this, the custom R component in PA seems to see it as an error but has a strange way of reporting it.

Thank you for your help, Eser!

Dan

[achab · Accepted solution]

Hi Dan,

As a FYI, we have a web site for you to report product improvement ideas.

See Predictive Analytics: Home

My 2 cents here,

Best regards

Antoine

[Former Member]

Hi Dan,

Try to write your code as a function and define all your variables in this function.

Regards,

Eser

[former_member369415]

Hi Eser,

I've tried to encapsulate the arima function within a function and it now gives a different error message

The function is below:

ar <- function(ts,or,xr){

  res <- arima(ts, order = or, xreg = xr)

  return(res)

}

I'm calling it as:

      fit <- ar(ts3, c(4,1,3), xreg1)

The strange thins is that if I change it as below:

ar <- function(ts,xr){

  res <- auto.arima(ts, xreg = xr)

  return(res)

}

And call it:

     fit <- ar(ts3,  xreg1)

It works without any problems.

Again, if I test the query in the R console it works without errors/warnings.

It seems that there is something that PA does not like about it, but I can't figure out what...

Just as an appendix, the whole code:

reg1 <- function(df1, cus, hn){

  library(forecast)

  nr <- as.numeric(hn)

  cust1 <- df1[df1$Cust == cus,] 

  cust1$Timestamp <- as.POSIXct(cust1$Timestamp,tz="UTC",format="%Y-%m-%d %H:%M") 

  cust1$Date <- as.Date(cust1$Date,"%Y-%m-%d")

  cust1 <- cust1[order(cust1$Timestamp),]

  ts3 <- msts(cust1$POWER,seasonal.periods=c(24,168))

  z <- fourier(ts3,K=c(5,5))

  zfall <- fourierf(ts3,K=c(5,5),h=nr)

  xreg1 <- cbind(z,cust1$CDD,cust1$BankHoliday)

  fit <- ar(ts3, c(4,1,3), xreg1)

  summ <- fit

  tmp <- cust1[8761,]

  tmp_all <- cust1

  for (i in 1:nr)

  {

    tmp[1,1] <- tmp[1,1] + 3600

    tmp[1,2] <- as.Date(tmp[1,1])

    tmp[1,3] <- strftime(tmp[1,1], format="%H", tz="UTC")

    tmp[1,4:11] = c(0,NA,NA,0,NA,0,0,0)

    tmp_all <- rbind(tmp_all,tmp)

  } 

  fcall <- forecast(fit,xreg=cbind(zfall,cust1$CDD[1:nr],cust1$BankHoliday[1:nr]),h=nr) 

  tmp_all$arima <- c(fcall$fitted,fcall$mean)

  tmp_all$Date <- as.character(tmp_all$Date)

  #tmp_all$Timestamp <- as.POSIXlt(cust1$Timestamp,tz="UTC",format="%Y-%m-%d %H:%M")

  return(list(out=tmp_all))

}

ar <- function(ts,or,xr){

  res <- arima(ts, order = or, xreg = xr)

  return(res)

}

[Former Member]

Hi Dan,

I think you need to rearrange your code to make it compatible with PA. Because every component needs a data frame as an input where your input "ts" is a time series.

Check this post:

Maybe someone can help better...

Eser