/* nag_rand_exp_smooth (g05pmc) Example Program.
 *
 * Copyright 2008, Numerical Algorithms Group.
 *
 * Mark 9, 2009.
 */
/* Pre-processor includes */
#include <stdio.h>
#include <math.h>
#include <nag.h>
#include <nagx04.h>
#include <nag_stdlib.h>
#include <nagg01.h>
#include <nagg05.h>
#include <nagg13.h>

#define BLIM(I, J) blim[J*2 + I]
#define BSIM(I, J) bsim[J*nsim + I]
#define GLIM(I, J) glim[J*2 + I]
#define GSIM(I, J) gsim[J*nsim + I]

int main(int argc, char *argv[])
{
  FILE                *fpin, *fpout;
  /* Integer scalar and array declarations */
  Integer             exit_status = 0;
  Integer             en, i, ival, j, k, lstate, n, nf, nsim, p, nq;
  Integer             *state = 0;
  /* NAG structures */
  NagError            fail;
  Nag_TailProbability tail;
  Nag_InitialValues   mode;
  Nag_ExpSmoothType   itype;
  /* Double scalar and array declarations */
  double              ad, alpha, dv, tmp, var, z, bvar;
  double              *blim = 0, *bsim = 0, *e = 0, *fse = 0, *fv = 0;
  double              *glim = 0, *gsim = 0, *init = 0, *param = 0, *r = 0;
  double              *res = 0, *tsim1 = 0, *tsim2 = 0, *y = 0, *yhat = 0;
  double              q[2];
  /* Character scalar and array declarations */
  char                smode[26], sitype[30];
  /* Choose the base generator */
  Nag_BaseRNG         genid = Nag_Basic;
  Integer             subid = 0;
  /* Set the seed */
  Integer             seed[] = { 1762543 };
  Integer             lseed = 1;

  /* Initialise the error structure */
  INIT_FAIL(fail);

  /* Check for command-line IO options */
  fpin = nag_example_file_io(argc, argv, "-data", NULL);
  fpout = nag_example_file_io(argc, argv, "-results", NULL);

  fprintf(fpout, "nag_rand_exp_smooth (g05pmc) Example Program Results\n\n");

  /* Get the length of the state array */
  lstate = -1;
  nag_rand_init_repeatable(genid, subid, seed, lseed, state, &lstate, &fail);
  if (fail.code != NE_NOERROR)
    {
      fprintf(fpout, "Error from nag_rand_init_repeatable (g05kfc).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }

  /* Skip headings in data file */
  fscanf(fpin, "%*[^\n] ");
  /* Read in the initial arguments and check array sizes */
  fscanf(fpin, "%s%s%ld%ld%ld%lf%*[^\n] ", smode,
         sitype, &n, &nf, &nsim, &alpha);

  /*
   * nag_enum_name_to_value (x04nac).
   * Converts NAG enum member name to value
   */
  mode = (Nag_InitialValues) nag_enum_name_to_value(smode);
  itype = (Nag_ExpSmoothType) nag_enum_name_to_value(sitype);

  /* Allocate arrays */
  if (!(blim = NAG_ALLOC(2*nf, double)) ||
      !(bsim = NAG_ALLOC(nsim*nf, double)) ||
      !(e = NAG_ALLOC(1, double)) ||
      !(fse = NAG_ALLOC(nf, double)) ||
      !(fv = NAG_ALLOC(nf, double)) ||
      !(glim = NAG_ALLOC(2*nf, double)) ||
      !(gsim = NAG_ALLOC(nsim*nf, double)) ||
      !(res = NAG_ALLOC(n, double)) ||
      !(tsim1 = NAG_ALLOC(nf, double)) ||
      !(tsim2 = NAG_ALLOC(nf, double)) ||
      !(y = NAG_ALLOC(n, double)) ||
      !(yhat = NAG_ALLOC(n, double)) ||
      !(state = NAG_ALLOC(lstate, Integer)))
    {
      fprintf(fpout, "Allocation failure\n");
      exit_status = -1;
      goto END;
    }

  /* Initialise the generator to a repeatable sequence */
  nag_rand_init_repeatable(genid, subid, seed, lseed, state, &lstate, &fail);
  if (fail.code != NE_NOERROR)
    {
      fprintf(fpout, "Error from nag_rand_init_repeatable (g05kfc).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }

  for (i = 0; i < n; i++)
    fscanf(fpin, "%lf ", &y[i]);
  fscanf(fpin, "%*[^\n] ");

  /* Read in the itype dependent arguments (skipping headings) */
  fscanf(fpin, "%*[^\n] ");
  if (itype == Nag_SingleExponential)
    {
      /* Single exponential smoothing required */
      if (!(param = NAG_ALLOC(1, double)))
        {
          fprintf(fpout, "Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      fscanf(fpin, "%lf%*[^\n] ", &param[0]);
      p = 0;
      ival = 1;
    }
  else if (itype == Nag_BrownsExponential)
    {
      /* Browns exponential smoothing required */
      if (!(param = NAG_ALLOC(2, double)))
        {
          fprintf(fpout, "Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      fscanf(fpin, "%lf %lf%*[^\n] ", &param[0], &param[1]);
      p = 0;
      ival = 2;
    }
  else if (itype == Nag_LinearHolt)
    {
      /* Linear Holt smoothing required */
      if (!(param = NAG_ALLOC(3, double)))
        {
          fprintf(fpout, "Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      fscanf(fpin, "%lf %lf %lf%*[^\n] ", &param[0], &param[1], &param[2]);
      p = 0;
      ival = 2;
    }
  else if (itype == Nag_AdditiveHoltWinters)
    {
      /* Additive Holt Winters smoothing required */
      if (!(param = NAG_ALLOC(4, double)))
        {
          fprintf(fpout, "Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      fscanf(fpin, "%lf %lf %lf %lf %ld%*[^\n] ", &param[0], &param[1],
             &param[2], &param[3], &p);
      ival = p+2;
    }
  else if (itype == Nag_MultiplicativeHoltWinters)
    {
      /* Multiplicative Holt Winters smoothing required */
      if (!(param = NAG_ALLOC(4, double)))
        {
          fprintf(fpout, "Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      fscanf(fpin, "%lf %lf %lf %lf %ld%*[^\n] ", &param[0], &param[1],
             &param[2], &param[3], &p);
      ival = p+2;
    }
  else
    {
      fprintf(fpout, "%s is an unknown type\n", sitype);
      exit_status = -1;
      goto END;
    }

  /* Allocate arrays */
  if (!(init = NAG_ALLOC(p+2, double)) ||
      !(r = NAG_ALLOC(p+13, double)))
    {
      fprintf(fpout, "Allocation failure\n");
      exit_status = -1;
      goto END;
    }

  /* Read in the mode dependent arguments (skipping headings) */
  fscanf(fpin, "%*[^\n] ");
  if (mode == Nag_InitialValuesSupplied)
    {
      /* User supplied initial values*/
      for (i = 0; i < ival; i++)
        fscanf(fpin, "%lf ", &init[i]);
      fscanf(fpin, "%*[^\n] ");
    }
  else if (mode == Nag_ContinueAndUpdate)
    {
      /* Continuing from a previously saved R */
      for (i = 0; i < p+13; i++)
        fscanf(fpin, "%lf ", &r[i]);
      fscanf(fpin, "%*[^\n] ");
    }
  else if (mode == Nag_EstimateInitialValues)
    {
      /* Initial values calculated from first k observations */
      fscanf(fpin, "%ld%*[^\n] ", &k);
    }
  else
    {
      fprintf(fpout, "%s is an unknown mode\n", smode);
      exit_status = -1;
      goto END;
    }

  /* Fit a smoothing model (parameter r in
   * nag_rand_exp_smooth (g05pmc) and state in g13amc are in
     the same format) */
  nag_tsa_exp_smooth(mode, itype, p, param, n, y, k, init, nf, fv, fse, yhat,
                     res, &dv, &ad, r, &fail);
  if (fail.code != NE_NOERROR)
    {
      fprintf(fpout, "Error from nag_tsa_exp_smooth (g13amc).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }

  /* Simulate forecast values from the model, and don't update r */
  var = dv*dv;
  en = n;

  /* Change the mode used to continue from fit model */
  mode = Nag_ContinueAndUpdate;

  /* Simulate nsim forecasts */
  for (i = 0; i < nsim; i++)
    {
      /* Simulations assuming gaussian errors */
      nag_rand_exp_smooth(mode, nf, itype, p, param, init, var, r, state,
                          e, 0, tsim1, &fail);
      if (fail.code != NE_NOERROR)
        {
          fprintf(fpout, "Error from nag_rand_exp_smooth (g05pmc).\n%s\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }

      /* Bootstrapping errors */
      bvar = 0.0e0;
      nag_rand_exp_smooth(mode, nf, itype, p, param, init, bvar, r, state,
                          res, en, tsim2, &fail);
      if (fail.code != NE_NOERROR)
        {
          fprintf(fpout, "Error from nag_rand_exp_smooth (g05pmc).\n%s\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }

      /* Copy and transpose the simulated values */
      for (j = 0; j < nf; j++)
        {
          GSIM(i, j) = tsim1[j];
          BSIM(i, j) = tsim2[j];
        }
    }

  /* Calculate CI based on the quantiles for each simulated forecast */
  q[0] = alpha/2.0e0;
  q[1] = 1.0e0-q[0];
  nq = 2;
  for (i = 0; i < nf; i++)
    {
      nag_double_quantiles(nsim, &GSIM(0, i), nq, q, &GLIM(0, i), &fail);
      if (fail.code != NE_NOERROR)
        {
          fprintf(fpout, "Error from nag_double_quantiles (g01amc).\n%s\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }
      nag_double_quantiles(nsim, &BSIM(0, i), nq, q, &BLIM(0, i), &fail);
      if (fail.code != NE_NOERROR)
        {
          fprintf(fpout, "Error from nag_double_quantiles (g01amc).\n%s\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }
    }

  /* Display the forecast values and associated prediction intervals */
  fprintf(fpout, "Initial values used:\n");
  for (i = 0; i < ival; i++)
    fprintf(fpout, "%4ld   %12.3f  \n", i+1, init[i]);
  fprintf(fpout, "\n");
  fprintf(fpout, "Mean Deviation     = %13.4e\n", dv);
  fprintf(fpout, "Absolute Deviation = %13.4e\n\n", ad);
  fprintf(fpout, "         Observed      1-Step\n");
  fprintf(fpout, " Period   Values      Forecast      Residual\n\n");
  for (i = 0; i < n; i++)
    fprintf(fpout, "%4ld  %11.3f  %11.3f  %11.3f\n", i+1, y[i],
            yhat[i], res[i]);
  fprintf(fpout, "\n");
  tail = Nag_LowerTail;
  z = nag_deviates_normal(tail, q[1], &fail);
  if (fail.code != NE_NOERROR)
    {
      fprintf(fpout, "Error from nag_deviates_normal (g01fac).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }
  fprintf(fpout, "                                            Simulated CI"
          "         Simulated CI\n");
  fprintf(fpout, " Obs.  Forecast      Estimated CI        (Gaussian Errors)"
          "    (Bootstrap Errors)\n");
  for (i = 0; i < nf; i++)
    {
      tmp = z*fse[i];
      fprintf(fpout, "%3ld %10.3f %10.3f %10.3f"
              " %10.3f %10.3f %10.3f %10.3f\n", n+i+1, fv[i], fv[i]-tmp,
              fv[i]+tmp, GLIM(0, i), GLIM(1, i), BLIM(0, i), BLIM(1, i));
    }
  fprintf(fpout, "   %5.1f%% CIs were produced\n", 100.0e0*(1.0e0 - alpha));

 END:
  if (fpin != stdin) fclose(fpin);
  if (fpout != stdout) fclose(fpout);
  if (blim) NAG_FREE(blim);
  if (bsim) NAG_FREE(bsim);
  if (e) NAG_FREE(e);
  if (fse) NAG_FREE(fse);
  if (fv) NAG_FREE(fv);
  if (glim) NAG_FREE(glim);
  if (gsim) NAG_FREE(gsim);
  if (init) NAG_FREE(init);
  if (param) NAG_FREE(param);
  if (r) NAG_FREE(r);
  if (res) NAG_FREE(res);
  if (tsim1) NAG_FREE(tsim1);
  if (tsim2) NAG_FREE(tsim2);
  if (y) NAG_FREE(y);
  if (yhat) NAG_FREE(yhat);
  if (state) NAG_FREE(state);

  return exit_status;
}