---
title: "Reduce Forecast Error with Cleaned Anomalies"
author: "Business Science"
date: "`r Sys.Date()`"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{Forecasting with Cleaned Anomalies}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r, include = FALSE}
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  warning = F,
  fig.align = "center"
)

devtools::load_all()
```



> Forecasting error can often be reduced 20% to 50% by repairing anomolous data

## Example - Reducing Forecasting Error by 32%

We can often get better forecast performance by cleaning anomalous data prior to forecasting. This is the perfect use case for integrating the `clean_anomalies()` function into your ___forecast workflow___. 

```{r setup, message=FALSE}
library(tidyverse)
library(tidyquant)
library(anomalize)
library(timetk)

# NOTE: timetk now has anomaly detection built in, which 
#  will get the new functionality going forward.
#  Use this script to prevent overwriting legacy anomalize:

anomalize <- anomalize::anomalize
plot_anomalies <- anomalize::plot_anomalies
```

Here is a short example with the `tidyverse_cran_downloads` dataset that comes with `anomalize`. __We'll see how we can reduce the forecast error by 32% simply by repairing anomalies.__

```{r}
tidyverse_cran_downloads
```

Let's take one package with some extreme events. We can hone in on `lubridate`, which has some outliers that we can fix. 

```{r, fig.height=8, fig.width=6}
tidyverse_cran_downloads %>%
  ggplot(aes(date, count, color = package)) +
  geom_point(alpha = 0.5) +
  facet_wrap(~ package, ncol = 3, scales = "free_y") +
  scale_color_viridis_d() +
  theme_tq() 
```


## Forecasting Lubridate Downloads

Let's focus on downloads of the `lubridate` R package. 

```{r}
lubridate_tbl <- tidyverse_cran_downloads %>%
  ungroup() %>%
  filter(package == "lubridate")
```

First, we'll make a function, `forecast_mae()`, that can take the input of both cleaned and uncleaned anomalies and calculate forecast error of future uncleaned anomalies.

The modeling function uses the following criteria:

- Split the `data` into training and testing data that maintains the correct time-series sequence using the `prop` argument.
- Models the daily time series of the training data set from observed (demonstrates no cleaning) or observed and cleaned (demonstrates improvement from cleaning). Specified by the `col_train` argument. 
- Compares the predictions to the observed values. Specified by the `col_test` argument.

```{r}
forecast_mae <- function(data, col_train, col_test, prop = 0.8) {
  
  predict_expr <- enquo(col_train)
  actual_expr <- enquo(col_test)
  
  idx_train <- 1:(floor(prop * nrow(data)))
  
  train_tbl <- data %>% filter(row_number() %in% idx_train)
  test_tbl  <- data %>% filter(!row_number() %in% idx_train)
  
  # Model using training data (training) 
  model_formula <- as.formula(paste0(quo_name(predict_expr), " ~ index.num + year + quarter + month.lbl + day + wday.lbl"))
  
  model_glm <- train_tbl %>%
    tk_augment_timeseries_signature() %>%
    glm(model_formula, data = .)
  
  # Make Prediction
  suppressWarnings({
    # Suppress rank-deficit warning
    prediction <- predict(model_glm, newdata = test_tbl %>% tk_augment_timeseries_signature()) 
    actual     <- test_tbl %>% pull(!! actual_expr)
  })
  
  # Calculate MAE
  mae <- mean(abs(prediction - actual))
  
  return(mae)
  
}
```

## Workflow for Cleaning Anomalies 

We will use the `anomalize` workflow of decomposing (`time_decompose()`) and identifying anomalies (`anomalize()`). We use the function, __`clean_anomalies()`, to add new column called "observed_cleaned" that is repaired by replacing all anomalies with the trend + seasonal components from the decompose operation__. We can now experiment to see the improvment in forecasting performance by comparing a forecast made with "observed" versus "observed_cleaned"

```{r}
lubridate_anomalized_tbl <- lubridate_tbl %>%
  time_decompose(count) %>%
  anomalize(remainder) %>%
  
  # Function to clean & repair anomalous data
  clean_anomalies()

lubridate_anomalized_tbl
```

## Before Cleaning with anomalize

```{r}
lubridate_anomalized_tbl %>%
  forecast_mae(col_train = observed, col_test = observed, prop = 0.8)
```

## After Cleaning with anomalize

```{r}
lubridate_anomalized_tbl %>%
  forecast_mae(col_train = observed_cleaned, col_test = observed, prop = 0.8)
```

## 32% Reduction in Forecast Error

This is approximately a 32% reduction in forecast error as measure by Mean Absolute Error (MAE). 

```{r}
(2755 - 4054) / 4054 
```

# Interested in Learning Anomaly Detection?

Business Science offers two 1-hour courses on Anomaly Detection:

- [Learning Lab 18](https://university.business-science.io/p/learning-labs-pro) - Time Series Anomaly Detection with `anomalize`

- [Learning Lab 17](https://university.business-science.io/p/learning-labs-pro) - Anomaly Detection with `H2O` Machine Learning
