TimeSeries - fix confidence parameter type for some detectors.

- The public API exposed confidence parameters as int even though it's internally implemented as double
- There was no workaround since all classes where double is used are internal
- This caused major issues for software requiring high precision predictions
- This change to API should be backwards compatible since int can be passed to parameter of type double

Author: esso23

src/Microsoft.ML.TimeSeries/ExtensionsCatalog.cs

@@ -33,7 +33,7 @@ public static class TimeSeriesCatalog
         /// </format>
         /// </example>
         public static IidChangePointEstimator DetectIidChangePoint(this TransformsCatalog catalog, string outputColumnName, string inputColumnName,
-            int confidence, int changeHistoryLength, MartingaleType martingale = MartingaleType.Power, double eps = 0.1)
+            double confidence, int changeHistoryLength, MartingaleType martingale = MartingaleType.Power, double eps = 0.1)
             => new IidChangePointEstimator(CatalogUtils.GetEnvironment(catalog), outputColumnName, confidence, changeHistoryLength, inputColumnName, martingale, eps);
 
         /// <summary>
@@ -57,7 +57,7 @@ public static IidChangePointEstimator DetectIidChangePoint(this TransformsCatalo
         /// </format>
         /// </example>
         public static IidSpikeEstimator DetectIidSpike(this TransformsCatalog catalog, string outputColumnName, string inputColumnName,
-             int confidence, int pvalueHistoryLength, AnomalySide side = AnomalySide.TwoSided)
+             double confidence, int pvalueHistoryLength, AnomalySide side = AnomalySide.TwoSided)
             => new IidSpikeEstimator(CatalogUtils.GetEnvironment(catalog), outputColumnName, confidence, pvalueHistoryLength, inputColumnName, side);
 
         /// <summary>
@@ -84,7 +84,7 @@ public static IidSpikeEstimator DetectIidSpike(this TransformsCatalog catalog, s
         /// </format>
         /// </example>
         public static SsaChangePointEstimator DetectChangePointBySsa(this TransformsCatalog catalog, string outputColumnName, string inputColumnName,
-            int confidence, int changeHistoryLength, int trainingWindowSize, int seasonalityWindowSize, ErrorFunction errorFunction = ErrorFunction.SignedDifference,
+            double confidence, int changeHistoryLength, int trainingWindowSize, int seasonalityWindowSize, ErrorFunction errorFunction = ErrorFunction.SignedDifference,
             MartingaleType martingale = MartingaleType.Power, double eps = 0.1)
             => new SsaChangePointEstimator(CatalogUtils.GetEnvironment(catalog), new SsaChangePointDetector.Options
             {
@@ -121,7 +121,7 @@ public static SsaChangePointEstimator DetectChangePointBySsa(this TransformsCata
         /// ]]>
         /// </format>
         /// </example>
-        public static SsaSpikeEstimator DetectSpikeBySsa(this TransformsCatalog catalog, string outputColumnName, string inputColumnName, int confidence, int pvalueHistoryLength,
+        public static SsaSpikeEstimator DetectSpikeBySsa(this TransformsCatalog catalog, string outputColumnName, string inputColumnName, double confidence, int pvalueHistoryLength,
             int trainingWindowSize, int seasonalityWindowSize, AnomalySide side = AnomalySide.TwoSided, ErrorFunction errorFunction = ErrorFunction.SignedDifference)
             => new SsaSpikeEstimator(CatalogUtils.GetEnvironment(catalog), outputColumnName, confidence, pvalueHistoryLength, trainingWindowSize, seasonalityWindowSize, inputColumnName, side, errorFunction);
 

src/Microsoft.ML.TimeSeries/IidChangePointDetector.cs

@@ -219,7 +219,7 @@ private static IRowMapper Create(IHostEnvironment env, ModelLoadContext ctx, Dat
     /// ]]>
     /// </format>
     /// </remarks>
-    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectIidChangePoint(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.MartingaleType,System.Double)" />
+    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectIidChangePoint(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Double,System.Int32,Microsoft.ML.Transforms.TimeSeries.MartingaleType,System.Double)" />
     public sealed class IidChangePointEstimator : TrivialEstimator<IidChangePointDetector>
     {
         /// <summary>
@@ -233,7 +233,7 @@ public sealed class IidChangePointEstimator : TrivialEstimator<IidChangePointDet
         /// <param name="inputColumnName">Name of column to transform. If set to <see langword="null"/>, the value of the <paramref name="outputColumnName"/> will be used as source.</param>
         /// <param name="martingale">The martingale used for scoring.</param>
         /// <param name="eps">The epsilon parameter for the Power martingale.</param>
-        internal IidChangePointEstimator(IHostEnvironment env, string outputColumnName, int confidence,
+        internal IidChangePointEstimator(IHostEnvironment env, string outputColumnName, double confidence,
             int changeHistoryLength, string inputColumnName, MartingaleType martingale = MartingaleType.Power, double eps = 0.1)
             : base(Contracts.CheckRef(env, nameof(env)).Register(nameof(IidChangePointEstimator)),
                 new IidChangePointDetector(env, new IidChangePointDetector.Options

src/Microsoft.ML.TimeSeries/IidSpikeDetector.cs

@@ -199,7 +199,7 @@ private static IRowMapper Create(IHostEnvironment env, ModelLoadContext ctx, Dat
     /// ]]>
     /// </format>
     /// </remarks>
-    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectIidSpike(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.AnomalySide)" />
+    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectIidSpike(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Double,System.Int32,Microsoft.ML.Transforms.TimeSeries.AnomalySide)" />
     public sealed class IidSpikeEstimator : TrivialEstimator<IidSpikeDetector>
     {
         /// <summary>
@@ -212,7 +212,7 @@ public sealed class IidSpikeEstimator : TrivialEstimator<IidSpikeDetector>
         /// <param name="pvalueHistoryLength">The size of the sliding window for computing the p-value.</param>
         /// <param name="inputColumnName">Name of column to transform. If set to <see langword="null"/>, the value of the <paramref name="outputColumnName"/> will be used as source.</param>
         /// <param name="side">The argument that determines whether to detect positive or negative anomalies, or both.</param>
-        internal IidSpikeEstimator(IHostEnvironment env, string outputColumnName, int confidence, int pvalueHistoryLength, string inputColumnName, AnomalySide side = AnomalySide.TwoSided)
+        internal IidSpikeEstimator(IHostEnvironment env, string outputColumnName, double confidence, int pvalueHistoryLength, string inputColumnName, AnomalySide side = AnomalySide.TwoSided)
             : base(Contracts.CheckRef(env, nameof(env)).Register(nameof(IidSpikeDetector)),
                 new IidSpikeDetector(env, new IidSpikeDetector.Options
                 {

src/Microsoft.ML.TimeSeries/SsaChangePointDetector.cs

@@ -226,7 +226,7 @@ private static IRowMapper Create(IHostEnvironment env, ModelLoadContext ctx, Dat
     /// ]]>
     /// </format>
     /// </remarks>
-    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectChangePointBySsa(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Int32,System.Int32,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.ErrorFunction,Microsoft.ML.Transforms.TimeSeries.MartingaleType,System.Double)" />
+    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectChangePointBySsa(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Double,System.Int32,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.ErrorFunction,Microsoft.ML.Transforms.TimeSeries.MartingaleType,System.Double)" />
     public sealed class SsaChangePointEstimator : IEstimator<SsaChangePointDetector>
     {
         private readonly IHost _host;
@@ -247,7 +247,7 @@ public sealed class SsaChangePointEstimator : IEstimator<SsaChangePointDetector>
         /// <param name="martingale">The martingale used for scoring.</param>
         /// <param name="eps">The epsilon parameter for the Power martingale.</param>
         internal SsaChangePointEstimator(IHostEnvironment env, string outputColumnName,
-            int confidence,
+            double confidence,
             int changeHistoryLength,
             int trainingWindowSize,
             int seasonalityWindowSize,

src/Microsoft.ML.TimeSeries/SsaSpikeDetector.cs

@@ -207,7 +207,7 @@ private static IRowMapper Create(IHostEnvironment env, ModelLoadContext ctx, Dat
     /// ]]>
     /// </format>
     /// </remarks>
-    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectSpikeBySsa(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Int32,System.Int32,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.AnomalySide,Microsoft.ML.Transforms.TimeSeries.ErrorFunction)" />
+    /// <seealso cref="Microsoft.ML.TimeSeriesCatalog.DetectSpikeBySsa(Microsoft.ML.TransformsCatalog,System.String,System.String,System.Double,System.Int32,System.Int32,System.Int32,Microsoft.ML.Transforms.TimeSeries.AnomalySide,Microsoft.ML.Transforms.TimeSeries.ErrorFunction)" />
     public sealed class SsaSpikeEstimator : IEstimator<SsaSpikeDetector>
     {
         private readonly IHost _host;
@@ -228,7 +228,7 @@ public sealed class SsaSpikeEstimator : IEstimator<SsaSpikeDetector>
         /// <param name="errorFunction">The function used to compute the error between the expected and the observed value.</param>
         internal SsaSpikeEstimator(IHostEnvironment env,
             string outputColumnName,
-            int confidence,
+            double confidence,
             int pvalueHistoryLength,
             int trainingWindowSize,
             int seasonalityWindowSize,