scripts/builtin/smape.dml

#-------------------------------------------------------------
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# Returns the symmetric means absolute percentage error between the two inputs
#
# Monash Time Series Forecasting Archive
# Rakshitha Godahewaa, Christoph Bergmeira, Geoffrey I. Webba, Rob J. Hyndmanb,
# Pablo Montero-Mansoc
#
# Another Look at Measures of Forecast Accuracy, R. J. Hyndman and A. B. Koehler, 2006. 
#
# INPUT:
# --------------------------------------------------------------------------------
# X      First Matrix to compare
# Y      Second Matrix to compare
# P      Quantiles to extract as well if empty matrix not calculated
# --------------------------------------------------------------------------------
#
# OUTPUT:
# -----------------------------------------------------------------------------------------------
# Z      The symmetric mean absolute percentage error
# Q      Quantiles calculated
# -----------------------------------------------------------------------------------------------

m_smape = function(Matrix[Double] X, Matrix[Double] Y, Matrix[Double] P = matrix(0, rows=0, cols=0)) 
  return (Matrix[Double] Z, Matrix[Double] Q) {
  denom = (abs(X) + abs(Y)) / 2
  SAPE = abs(X - Y) / denom
  Z = as.matrix( mean(SAPE))
  Q = flattenQuantile(SAPE, P)
}