def main(args):
"""Main function for AutoML in time-series predictions.
Args:
- data loading parameters:
- data_names: mimic, ward, cf
- preprocess parameters:
- normalization: minmax, standard, None
- one_hot_encoding: input features that need to be one-hot encoded
- problem: 'one-shot' or 'online'
- 'one-shot': one time prediction at the end of the time-series
- 'online': preditcion at every time stamps of the time-series
- max_seq_len: maximum sequence length after padding
- label_name: the column name for the label(s)
- treatment: the column name for treatments
- imputation parameters:
- static_imputation_model: mean, median, mice, missforest, knn, gain
- temporal_imputation_model: mean, median, linear, quadratic, cubic, spline, mrnn, tgain
- feature selection parameters:
- feature_selection_model: greedy-addition, greedy-deletion, recursive-addition, recursive-deletion, None
- feature_number: selected featuer number
- predictor_parameters:
- epochs: number of epochs
- bo_itr: bayesian optimization iterations
- static_mode: how to utilize static features (concatenate or None)
- time_mode: how to utilize time information (concatenate or None)
- task: classification or regression
- metric_name: auc, apr, mae, mse
"""
#%% Step 0: Set basic parameters
metric_sets = [args.metric_name]
metric_parameters = {
"problem": args.problem,
"label_name": [args.label_name]
}
#%% Step 1: Upload Dataset
# File names
data_directory = "../datasets/data/" + args.data_name + "/" + args.data_name + "_"
data_loader_training = CSVLoader(
static_file=data_directory + "static_train_data.csv.gz",
temporal_file=data_directory + "temporal_train_data_eav.csv.gz",
)
data_loader_testing = CSVLoader(
static_file=data_directory + "static_test_data.csv.gz",
temporal_file=data_directory + "temporal_test_data_eav.csv.gz",
)
dataset_training = data_loader_training.load()
dataset_testing = data_loader_testing.load()
print("Finish data loading.")
#%% Step 2: Preprocess Dataset
# (0) filter out negative values (Automatically)
negative_filter = FilterNegative()
# (1) one-hot encode categorical features
onehot_encoder = OneHotEncoder(
one_hot_encoding_features=[args.one_hot_encoding])
# (2) Normalize features: 3 options (minmax, standard, none)
normalizer = Normalizer(args.normalization)
filter_pipeline = PipelineComposer(negative_filter, onehot_encoder,
normalizer)
dataset_training = filter_pipeline.fit_transform(dataset_training)
dataset_testing = filter_pipeline.transform(dataset_testing)
print("Finish preprocessing.")
#%% Step 3: Define Problem
problem_maker = ProblemMaker(problem=args.problem,
label=[args.label_name],
max_seq_len=args.max_seq_len,
treatment=args.treatment)
dataset_training = problem_maker.fit_transform(dataset_training)
dataset_testing = problem_maker.fit_transform(dataset_testing)
print("Finish defining problem.")
#%% Step 4: Impute Dataset
static_imputation = Imputation(
imputation_model_name=args.static_imputation_model, data_type="static")
temporal_imputation = Imputation(
imputation_model_name=args.temporal_imputation_model,
data_type="temporal")
imputation_pipeline = PipelineComposer(static_imputation,
temporal_imputation)
dataset_training = imputation_pipeline.fit_transform(dataset_training)
dataset_testing = imputation_pipeline.transform(dataset_testing)
print("Finish imputation.")
#%% Step 5: Feature selection (4 options)
static_feature_selection = FeatureSelection(
feature_selection_model_name=args.static_feature_selection_model,
feature_type="static",
feature_number=args.static_feature_selection_number,
task=args.task,
metric_name=args.metric_name,
metric_parameters=metric_parameters,
)
temporal_feature_selection = FeatureSelection(
feature_selection_model_name=args.temporal_feature_selection_model,
feature_type="temporal",
feature_number=args.temporal_feature_selection_number,
task=args.task,
metric_name=args.metric_name,
metric_parameters=metric_parameters,
)
feature_selection_pipeline = PipelineComposer(static_feature_selection,
temporal_feature_selection)
dataset_training = feature_selection_pipeline.fit_transform(
dataset_training)
dataset_testing = feature_selection_pipeline.transform(dataset_testing)
print("Finish feature selection.")
#%% Step 6: Bayesian Optimization
## Model define
# RNN model
rnn_parameters = {
"model_type": "lstm",
"epoch": args.epochs,
"static_mode": args.static_mode,
"time_mode": args.time_mode,
"verbose": False,
}
general_rnn = GeneralRNN(task=args.task)
general_rnn.set_params(**rnn_parameters)
# CNN model
cnn_parameters = {
"epoch": args.epochs,
"static_mode": args.static_mode,
"time_mode": args.time_mode,
"verbose": False,
}
temp_cnn = TemporalCNN(task=args.task)
temp_cnn.set_params(**cnn_parameters)
# Transformer
transformer = TransformerPredictor(task=args.task,
epoch=args.epochs,
static_mode=args.static_mode,
time_mode=args.time_mode)
# Attention model
attn_parameters = {
"model_type": "lstm",
"epoch": args.epochs,
"static_mode": args.static_mode,
"time_mode": args.time_mode,
"verbose": False,
}
attn = Attention(task=args.task)
attn.set_params(**attn_parameters)
# model_class_list = [general_rnn, attn, temp_cnn, transformer]
model_class_list = [general_rnn, attn]
# train_validate split
dataset_training.train_val_test_split(prob_val=0.2, prob_test=0.1)
# Bayesian Optimization Start
metric = BOMetric(metric="auc", fold=0, split="test")
ens_model_list = []
# Run BO for each model class
for m in model_class_list:
BO_model = automl.model.AutoTS(dataset_training,
m,
metric,
model_path="tmp/")
models, bo_score = BO_model.training_loop(num_iter=args.bo_itr)
auto_ens_model = AutoEnsemble(models, bo_score)
ens_model_list.append(auto_ens_model)
# Load all ensemble models
for ens in ens_model_list:
for m in ens.models:
m.load_model(BO_model.model_path + "/" + m.model_id + ".h5")
# Stacking algorithm
stacking_ens_model = StackingEnsemble(ens_model_list)
stacking_ens_model.fit(dataset_training, fold=0, train_split="val")
# Prediction
assert not dataset_testing.is_validation_defined
test_y_hat = stacking_ens_model.predict(dataset_testing, test_split="test")
test_y = dataset_testing.label
print("Finish AutoML model training and testing.")
#%% Step 7: Visualize Results
idx = np.random.permutation(len(test_y_hat))[:2]
# Evaluate predictor model
result = Metrics(metric_sets,
metric_parameters).evaluate(test_y, test_y_hat)
print("Finish predictor model evaluation.")
# Visualize the output
# (1) Performance
print("Overall performance")
print_performance(result, metric_sets, metric_parameters)
# (2) Predictions
print("Each prediction")
print_prediction(test_y_hat[idx], metric_parameters)
return
def main(args):
'''Main function for AutoML in time-series predictions.
Args:
- data loading parameters:
- data_names: mimic, ward, cf
- preprocess parameters:
- normalization: minmax, standard, None
- one_hot_encoding: input features that need to be one-hot encoded
- problem: 'one-shot' or 'online'
- 'one-shot': one time prediction at the end of the time-series
- 'online': preditcion at every time stamps of the time-series
- max_seq_len: maximum sequence length after padding
- label_name: the column name for the label(s)
- treatment: the column name for treatments
- imputation parameters:
- static_imputation_model: mean, median, mice, missforest, knn, gain
- temporal_imputation_model: mean, median, linear, quadratic, cubic, spline, mrnn, tgain
- feature selection parameters:
- feature_selection_model: greedy-addtion, greedy-deletion, recursive-addition, recursive-deletion, None
- feature_number: selected featuer number
- predictor_parameters:
- epochs: number of epochs
- bo_itr: bayesian optimization iterations
- static_mode: how to utilize static features (concatenate or None)
- time_mode: how to utilize time information (concatenate or None)
- task: classification or regression
- metric_name: auc, apr, mae, mse
'''
#%% Step 0: Set basic parameters
metric_sets = [args.metric_name]
metric_parameters = {
'problem': args.problem,
'label_name': [args.label_name]
}
#%% Step 1: Upload Dataset
# File names
data_directory = '../datasets/data/' + args.data_name + '/' + args.data_name + '_'
data_loader_training = CSVLoader(
static_file=data_directory + 'static_train_data.csv.gz',
temporal_file=data_directory + 'temporal_train_data_eav.csv.gz')
data_loader_testing = CSVLoader(
static_file=data_directory + 'static_test_data.csv.gz',
temporal_file=data_directory + 'temporal_test_data_eav.csv.gz')
dataset_training = data_loader_training.load()
dataset_testing = data_loader_testing.load()
print('Finish data loading.')
#%% Step 2: Preprocess Dataset
# (0) filter out negative values (Automatically)
negative_filter = FilterNegative()
# (1) one-hot encode categorical features
onehot_encoder = OneHotEncoder(
one_hot_encoding_features=[args.one_hot_encoding])
# (2) Normalize features: 3 options (minmax, standard, none)
normalizer = Normalizer(args.normalization)
filter_pipeline = PipelineComposer(negative_filter, onehot_encoder,
normalizer)
dataset_training = filter_pipeline.fit_transform(dataset_training)
dataset_testing = filter_pipeline.transform(dataset_testing)
print('Finish preprocessing.')
#%% Step 3: Define Problem
problem_maker = ProblemMaker(problem=args.problem,
label=[args.label_name],
max_seq_len=args.max_seq_len,
treatment=[args.treatment])
dataset_training = problem_maker.fit_transform(dataset_training)
dataset_testing = problem_maker.fit_transform(dataset_testing)
print('Finish defining problem.')
#%% Step 4: Impute Dataset
static_imputation = Imputation(
imputation_model_name=args.static_imputation_model, data_type='static')
temporal_imputation = Imputation(
imputation_model_name=args.temporal_imputation_model,
data_type='temporal')
imputation_pipeline = PipelineComposer(static_imputation,
temporal_imputation)
dataset_training = imputation_pipeline.fit_transform(dataset_training)
dataset_testing = imputation_pipeline.transform(dataset_testing)
print('Finish imputation.')
#%% Step 5: Feature selection (4 options)
static_feature_selection = \
FeatureSelection(feature_selection_model_name = args.static_feature_selection_model,
feature_type = 'static', feature_number = args.static_feature_selection_number,
task = args.task, metric_name = args.metric_name,
metric_parameters = metric_parameters)
temporal_feature_selection = \
FeatureSelection(feature_selection_model_name = args.temporal_feature_selection_model,
feature_type = 'temporal', feature_number = args.temporal_feature_selection_number,
task = args.task, metric_name = args.metric_name,
metric_parameters = metric_parameters)
feature_selection_pipeline = PipelineComposer(static_feature_selection,
temporal_feature_selection)
dataset_training = feature_selection_pipeline.fit_transform(
dataset_training)
dataset_testing = feature_selection_pipeline.transform(dataset_testing)
print('Finish feature selection.')
#%% Step 6: Bayesian Optimization
## Model define
model_parameters = {
'projection_horizon': 5,
'static_mode': 'concatenate',
'time_mode': 'concatenate'
}
crn_model = CRN_Model(task=args.task)
crn_model.set_params(**model_parameters)
model_class = crn_model
# train_validate split
dataset_training.train_val_test_split(prob_val=0.2, prob_test=0.2)
# Bayesian Optimization Start
metric = BOMetric(metric='auc', fold=0, split='test')
# Run BO for selected model class
BO_model = AutoTS(dataset_training, model_class, metric)
models, bo_score = BO_model.training_loop(num_iter=2)
auto_ens_model = AutoEnsemble(models, bo_score)
# Prediction
assert not dataset_testing.is_validation_defined
test_y_hat = auto_ens_model.predict(dataset_testing, test_split='test')
test_y = dataset_testing.label
print('Finish AutoML model training and testing.')
#%% Step 7: Visualize Results
idx = np.random.permutation(len(test_y_hat))[:2]
# Evaluate predictor model
result = Metrics(metric_sets,
metric_parameters).evaluate(test_y, test_y_hat)
print('Finish predictor model evaluation.')
# Visualize the output
# (1) Performance
print('Overall performance')
print_performance(result, metric_sets, metric_parameters)
# (2) Predictions
print('Each prediction')
print_prediction(test_y_hat[idx], metric_parameters)
return
def main(args):
'''Main function for time-series prediction.
Args:
- data loading parameters:
- data_names: mimic, ward, cf
- preprocess parameters:
- normalization: minmax, standard, None
- one_hot_encoding: input features that need to be one-hot encoded
- problem: 'one-shot' or 'online'
- 'one-shot': one time prediction at the end of the time-series
- 'online': preditcion at every time stamps of the time-series
- max_seq_len: maximum sequence length after padding
- label_name: the column name for the label(s)
- treatment: the column name for treatments
- imputation parameters:
- static_imputation_model: mean, median, mice, missforest, knn, gain
- temporal_imputation_model: mean, median, linear, quadratic, cubic, spline, mrnn, tgain
- feature selection parameters:
- feature_selection_model: greedy-addtion, greedy-deletion, recursive-addition, recursive-deletion, None
- feature_number: selected featuer number
- predictor_parameters:
- model_name: rnn, gru, lstm, attention, tcn, transformer
- model_parameters: network parameters such as numer of layers
- h_dim: hidden dimensions
- n_layer: layer number
- n_head: head number (only for transformer model)
- batch_size: number of samples in mini-batch
- epochs: number of epochs
- learning_rate: learning rate
- static_mode: how to utilize static features (concatenate or None)
- time_mode: how to utilize time information (concatenate or None)
- task: classification or regression
- uncertainty_model_name: uncertainty estimation model name (ensemble)
- interpretor_model_name: interpretation model name (tinvase)
- metric_name: auc, apr, mae, mse
'''
#%% Step 0: Set basic parameters
metric_sets = [args.metric_name]
metric_parameters = {
'problem': args.problem,
'label_name': [args.label_name]
}
#%% Step 1: Upload Dataset
# File names
data_directory = '../datasets/data/' + args.data_name + '/' + args.data_name + '_'
data_loader_training = CSVLoader(
static_file=data_directory + 'static_train_data.csv.gz',
temporal_file=data_directory + 'temporal_train_data_eav.csv.gz')
data_loader_testing = CSVLoader(
static_file=data_directory + 'static_test_data.csv.gz',
temporal_file=data_directory + 'temporal_test_data_eav.csv.gz')
dataset_training = data_loader_training.load()
dataset_testing = data_loader_testing.load()
print('Finish data loading.')
#%% Step 2: Preprocess Dataset
# (0) filter out negative values (Automatically)
negative_filter = FilterNegative()
# (1) one-hot encode categorical features
onehot_encoder = OneHotEncoder(
one_hot_encoding_features=[args.one_hot_encoding])
# (2) Normalize features: 3 options (minmax, standard, none)
normalizer = Normalizer(args.normalization)
filter_pipeline = PipelineComposer(negative_filter, onehot_encoder,
normalizer)
dataset_training = filter_pipeline.fit_transform(dataset_training)
dataset_testing = filter_pipeline.transform(dataset_testing)
print('Finish preprocessing.')
#%% Step 3: Define Problem
problem_maker = ProblemMaker(problem=args.problem,
label=[args.label_name],
max_seq_len=args.max_seq_len,
treatment=args.treatment)
dataset_training = problem_maker.fit_transform(dataset_training)
dataset_testing = problem_maker.fit_transform(dataset_testing)
print('Finish defining problem.')
#%% Step 4: Impute Dataset
static_imputation = Imputation(
imputation_model_name=args.static_imputation_model, data_type='static')
temporal_imputation = Imputation(
imputation_model_name=args.temporal_imputation_model,
data_type='temporal')
imputation_pipeline = PipelineComposer(static_imputation,
temporal_imputation)
dataset_training = imputation_pipeline.fit_transform(dataset_training)
dataset_testing = imputation_pipeline.transform(dataset_testing)
print('Finish imputation.')
#%% Step 5: Feature selection (4 options)
static_feature_selection = \
FeatureSelection(feature_selection_model_name = args.static_feature_selection_model,
feature_type = 'static', feature_number = args.static_feature_selection_number,
task = args.task, metric_name = args.metric_name,
metric_parameters = metric_parameters)
temporal_feature_selection = \
FeatureSelection(feature_selection_model_name = args.temporal_feature_selection_model,
feature_type = 'temporal', feature_number = args.temporal_feature_selection_number,
task = args.task, metric_name = args.metric_name,
metric_parameters = metric_parameters)
feature_selection_pipeline = PipelineComposer(static_feature_selection,
temporal_feature_selection)
dataset_training = feature_selection_pipeline.fit_transform(
dataset_training)
dataset_testing = feature_selection_pipeline.transform(dataset_testing)
print('Finish feature selection.')
#%% Step 6: Fit and Predict (6 options)
# Set predictor model parameters
model_parameters = {
'h_dim': args.h_dim,
'n_layer': args.n_layer,
'n_head': args.n_head,
'batch_size': args.batch_size,
'epoch': args.epochs,
'model_type': args.model_name,
'learning_rate': args.learning_rate,
'static_mode': args.static_mode,
'time_mode': args.time_mode,
'verbose': True
}
# Set the validation data for best model saving
dataset_training.train_val_test_split(prob_val=0.2, prob_test=0.0)
pred_class = prediction(args.model_name, model_parameters, args.task)
pred_class.fit(dataset_training)
test_y_hat = pred_class.predict(dataset_testing)
print('Finish predictor model training and testing.')
#%% Step 7: Estimate Uncertainty (1 option)
uncertainty_model = uncertainty(args.uncertainty_model_name,
model_parameters, pred_class, args.task)
uncertainty_model.fit(dataset_training)
test_ci_hat = uncertainty_model.predict(dataset_testing)
print('Finish uncertainty estimation')
#%% Step 8: Interpret Predictions (1 option)
interpretor = interpretation(args.interpretation_model_name,
model_parameters, pred_class, args.task)
interpretor.fit(dataset_training)
test_s_hat = interpretor.predict(dataset_testing)
print('Finish model interpretation')
#%% Step 9: Visualize Results
idx = np.random.permutation(len(test_y_hat))[:2]
# Evaluate predictor model
result = Metrics(metric_sets,
metric_parameters).evaluate(dataset_testing.label,
test_y_hat)
print('Finish predictor model evaluation.')
# Visualize the output
# (1) Performance
print('Overall performance')
print_performance(result, metric_sets, metric_parameters)
# (2) Predictions
print('Each prediction')
print_prediction(test_y_hat[idx], metric_parameters)
# (3) Uncertainty
print('Uncertainty estimations')
print_uncertainty(test_y_hat[idx], test_ci_hat[idx], metric_parameters)
# (4) Model interpretation
print('Model interpretation')
print_interpretation(test_s_hat[idx], dataset_training.feature_name,
metric_parameters, model_parameters)
return