[SYSTEMDS-3831] New builtin for vectorized simple exponential smoothing

This patch introduces a new vectorized builtin function for vectorized
simple exponential smoothing which largely relies on cumsumprod.

Author: mboehm7

scripts/builtin/ses.dml

@@ -0,0 +1,55 @@
+#-------------------------------------------------------------
+#
+# Licensed to the Apache Software Foundation (ASF) under one
+# or more contributor license agreements.  See the NOTICE file
+# distributed with this work for additional information
+# regarding copyright ownership.  The ASF licenses this file
+# to you under the Apache License, Version 2.0 (the
+# "License"); you may not use this file except in compliance
+# with the License.  You may obtain a copy of the License at
+#
+#   http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing,
+# software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+# KIND, either express or implied.  See the License for the
+# specific language governing permissions and limitations
+# under the License.
+#
+#-------------------------------------------------------------
+
+# Builtin function for simple exponential smoothing (SES).
+#
+# INPUT:
+# ------------------------------------------------------------------------------
+# x        Time series vector [shape: n-by-1]
+# h        Forecasting horizon
+# alpha    Smoothing parameter yhat_t = alpha * x_y + (1-alpha) * yhat_t-1
+# ------------------------------------------------------------------------------
+#
+# OUTPUT:
+# ------------------------------------------------------------------------------
+# yhat     Forecasts [shape: h-by-1]
+# ------------------------------------------------------------------------------
+
+m_ses = function(Matrix[Double] x, Integer h = 1, Double alpha = 0.5)
+  return (Matrix[Double] yhat)
+{
+  # check and ensure valid parameters
+  if(h < 1) {
+    print("SES: forecasting horizon should be larger one.");
+    h = 1;
+  }
+  if(alpha < 0 | alpha > 1) {
+    print("SES: smooting parameter should be in [0,1].");
+    alpha = 0.5;
+  }
+
+  # vectorized forecasting
+  # weights are 1 for first value and otherwise replicated alpha
+  # but to compensate alpha*x for the first, we use 1/alpha
+  w = rbind(as.matrix(1/alpha), matrix(1-alpha,nrow(x)-1,1));
+  y = cumsumprod(cbind(alpha*x, w));
+  yhat = matrix(as.scalar(y[nrow(x),1]), h, 1);
+}

src/main/java/org/apache/sysds/common/Builtins.java

@@ -301,6 +301,7 @@ public enum Builtins {
 	SD("sd", false),
 	SELVARTHRESH("selectByVarThresh", true),
 	SEQ("seq", false),
+	SES("ses", true),
 	SYMMETRICDIFFERENCE("symmetricDifference", true),
 	SHAPEXPLAINER("shapExplainer", true),
 	SHERLOCK("sherlock", true),

src/main/java/org/apache/sysds/runtime/instructions/SPInstructionParser.java

@@ -39,7 +39,6 @@
 import org.apache.sysds.lops.WeightedUnaryMM;
 import org.apache.sysds.lops.WeightedUnaryMMR;
 import org.apache.sysds.runtime.DMLRuntimeException;
-import org.apache.sysds.runtime.instructions.cp.CPInstruction.CPType;
 import org.apache.sysds.runtime.instructions.cp.CPOperand;
 import org.apache.sysds.runtime.instructions.spark.AggregateTernarySPInstruction;
 import org.apache.sysds.runtime.instructions.spark.AggregateUnarySPInstruction;

src/main/java/org/apache/sysds/runtime/instructions/cp/CompressionCPInstruction.java

@@ -22,7 +22,6 @@
 import java.util.ArrayList;
 import java.util.List;
 
-import org.apache.commons.lang3.NotImplementedException;
 import org.apache.commons.lang3.tuple.Pair;
 import org.apache.commons.logging.Log;
 import org.apache.commons.logging.LogFactory;

src/test/java/org/apache/sysds/test/functions/builtin/part2/BuiltinSESTest.java

@@ -0,0 +1,68 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one
+ * or more contributor license agreements.  See the NOTICE file
+ * distributed with this work for additional information
+ * regarding copyright ownership.  The ASF licenses this file
+ * to you under the Apache License, Version 2.0 (the
+ * "License"); you may not use this file except in compliance
+ * with the License.  You may obtain a copy of the License at
+ *
+ *   http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing,
+ * software distributed under the License is distributed on an
+ * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+ * KIND, either express or implied.  See the License for the
+ * specific language governing permissions and limitations
+ * under the License.
+ */
+
+package org.apache.sysds.test.functions.builtin.part2;
+
+import org.apache.sysds.runtime.matrix.data.MatrixValue.CellIndex;
+import org.apache.sysds.test.AutomatedTestBase;
+import org.apache.sysds.test.TestConfiguration;
+import org.junit.Assert;
+import org.junit.Test;
+
+import java.util.HashMap;
+
+public class BuiltinSESTest extends AutomatedTestBase {
+	private final static String TEST_NAME = "ses";
+	private final static String TEST_DIR = "functions/builtin/";
+	private final static String TEST_CLASS_DIR = TEST_DIR + BuiltinSESTest.class.getSimpleName() + "/";
+
+	private final static int rows = 200;
+
+	@Override
+	public void setUp() {
+		addTestConfiguration(TEST_NAME, new TestConfiguration(TEST_CLASS_DIR, TEST_NAME, new String[]{"y"}));
+	}
+
+	@Test
+	public void testSES05() {
+		runSESTest(0.5, 199d);
+	}
+	
+	@Test
+	public void testSES077() {
+		runSESTest(0.77, 199.7013);
+	}
+	
+	@Test
+	public void testSES10() {
+		runSESTest(1.0, 200d);
+	}
+
+	private void runSESTest(double alpha, double expected) {
+		loadTestConfiguration(getTestConfiguration(TEST_NAME));
+		String HOME = SCRIPT_DIR + TEST_DIR;
+		fullDMLScriptName = HOME + TEST_NAME + ".dml";
+		programArgs = new String[] {"-args", 
+			String.valueOf(rows), String.valueOf(alpha), output("y")};
+		runTest(true, EXCEPTION_NOT_EXPECTED, null, -1);
+		HashMap<CellIndex, Double> dmlfile = readDMLMatrixFromOutputDir("y");
+		Assert.assertEquals(7, dmlfile.size()); //forecast horizon 7
+		Assert.assertEquals(expected, dmlfile.get(new CellIndex(1,1)), 1e-3);
+	}
+}

src/test/scripts/functions/builtin/ses.dml

@@ -0,0 +1,26 @@
+#-------------------------------------------------------------
+#
+# Licensed to the Apache Software Foundation (ASF) under one
+# or more contributor license agreements.  See the NOTICE file
+# distributed with this work for additional information
+# regarding copyright ownership.  The ASF licenses this file
+# to you under the Apache License, Version 2.0 (the
+# "License"); you may not use this file except in compliance
+# with the License.  You may obtain a copy of the License at
+#
+#   http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing,
+# software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+# KIND, either express or implied.  See the License for the
+# specific language governing permissions and limitations
+# under the License.
+#
+#-------------------------------------------------------------
+
+
+x = seq(1, $1);
+yhat = ses(x=x, alpha=$2, h=7)
+write(yhat, $3)
+