Merge pull request #288 from LAMPSPUC/fix-bug-es

fix es seasonal upper bound

Author: guilhermebodin

Project.toml

@@ -1,7 +1,7 @@
 name = "StateSpaceModels"
 uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
 authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
-version = "0.5.17"
+version = "0.5.18"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

src/hyperparameters.jl

@@ -324,7 +324,7 @@ The mapping is
 ``\\psi = lb + \\frac{ub - lb}{1 + \\exp(-\\psi_{*})}``
 """
 function constrain_box!(model::StateSpaceModel, str::String, lb::Fl, ub::Fl) where Fl
-    @assert ub > lb
+    @assert ub >= lb
     update_constrained_value!(
         model, str, lb + ((ub - lb) / (1 + exp(-get_unconstrained_value(model, str))))
     )
@@ -341,7 +341,7 @@ The mapping is
 ``\\psi_* = -\\ln \\frac{ub - lb}{\\psi - lb} - 1``
 """
 function unconstrain_box!(model::StateSpaceModel, str::String, lb::Fl, ub::Fl) where Fl
-    @assert ub > lb
+    @assert ub >= lb
     update_unconstrained_value!(
         model, str, -log((ub - lb) / (get_constrained_value(model, str) - lb) - 1)
     )

src/models/exponential_smoothing.jl

@@ -181,7 +181,7 @@ function constrain_hyperparameters!(model::ExponentialSmoothing)
         end
     end
     if model.seasonal > 0
-        ub = min(Fl(0.9999), 1 - get_constrained_value(model, "smoothing_level"))
+        ub = min(Fl(0.9999), 1 - min(Fl(0.99989), get_constrained_value(model, "smoothing_level")))
         constrain_box!(model, "smoothing_seasonal", Fl(0.0001), ub)
         for i in 1:model.seasonal - 1
             constrain_identity!(model, "initial_seasonal_$i")
@@ -204,7 +204,7 @@ function unconstrain_hyperparameters!(model::ExponentialSmoothing)
         end
     end
     if model.seasonal > 0
-        ub = min(Fl(0.9999), 1 - get_constrained_value(model, "smoothing_level"))
+        ub = min(Fl(0.9999), 1 - min(Fl(0.99989), get_constrained_value(model, "smoothing_level")))
         unconstrain_box!(model, "smoothing_seasonal", Fl(0.0001), ub)
         for i in 1:model.seasonal - 1
             unconstrain_identity!(model, "initial_seasonal_$i")