def test_neg_binomial(mu_alpha: Tuple[float, float], hybridize: bool) -> None:
'''
Test to check that maximizing the likelihood recovers the parameters
'''
# test instance
mu, alpha = mu_alpha
# generate samples
mus = mx.nd.zeros((NUM_SAMPLES, )) + mu
alphas = mx.nd.zeros((NUM_SAMPLES, )) + alpha
neg_bin_distr = NegativeBinomial(mu=mus, alpha=alphas)
samples = neg_bin_distr.sample()
init_biases = [
inv_softplus(mu - START_TOL_MULTIPLE * TOL * mu),
inv_softplus(alpha + START_TOL_MULTIPLE * TOL * alpha),
]
mu_hat, alpha_hat = maximum_likelihood_estimate_sgd(
NegativeBinomialOutput(),
samples,
hybridize=hybridize,
init_biases=init_biases,
num_epochs=PositiveInt(15),
)
assert (np.abs(mu_hat - mu) <
TOL * mu), f"mu did not match: mu = {mu}, mu_hat = {mu_hat}"
assert (np.abs(alpha_hat - alpha) < TOL * alpha
), f"alpha did not match: alpha = {alpha}, alpha_hat = {alpha_hat}"
def get_distribution_type(self):
""" get distribution type of dataset """
if self.count_data:
return NegativeBinomialOutput()
elif self.count_data == False:
return StudentTOutput()
elif "http://schema.org/Integer" in self.target_semantic_types:
if np.min(self.frame.iloc[:, self.target_col]) >= 0:
return NegativeBinomialOutput()
else:
return StudentTOutput()
elif "http://schema.org/Float" in self.target_semantic_types:
return StudentTOutput()
else:
raise ValueError(
"Target column is not of type 'Integer' or 'Float'")
(
DirichletMultinomialOutput(dim=5, n_trials=10),
mx.nd.random.gamma(shape=(3, 4, 5)),
[None],
(3, 4),
(5, ),
),
(
LaplaceOutput(),
mx.nd.random.normal(shape=(3, 4, 5, 6)),
[None, mx.nd.ones(shape=(3, 4, 5))],
(3, 4, 5),
(),
),
(
NegativeBinomialOutput(),
mx.nd.random.normal(shape=(3, 4, 5, 6)),
[None, mx.nd.ones(shape=(3, 4, 5))],
(3, 4, 5),
(),
),
(
UniformOutput(),
mx.nd.random.normal(shape=(3, 4, 5, 6)),
[None, mx.nd.ones(shape=(3, 4, 5))],
(3, 4, 5),
(),
),
(
PiecewiseLinearOutput(num_pieces=3),
mx.nd.random.normal(shape=(3, 4, 5, 6)),
def __init__(
self,
freq: str,
prediction_length: int,
trainer: Optional[Trainer] = Trainer(),
context_length: Optional[int] = None,
num_layers: Optional[int] = 2,
num_cells: Optional[int] = 40,
cell_type: Optional[str] = "lstm",
dropout_rate: Optional[float] = 0.1,
use_feat_dynamic_real: Optional[bool] = False,
use_feat_static_cat: Optional[bool] = False,
use_feat_static_real: Optional[bool] = False,
cardinality: Optional[List[int]] = None,
embedding_dimension: Optional[List[int]] = None,
scaling: Optional[bool] = True,
lags_seq: Optional[List[int]] = None,
time_features: Optional[List[TimeFeature]] = None,
num_parallel_samples: Optional[int] = 100,
forecast_type: Optional[str] = "flat",
dtype: Optional[DType] = np.float32,
) -> None:
super().__init__(trainer=trainer, dtype=dtype)
assert prediction_length > 0, "The value of `prediction_length` should be > 0"
assert (
context_length is None or context_length > 0
), "The value of `context_length` should be > 0"
assert num_layers > 0, "The value of `num_layers` should be > 0"
assert num_cells > 0, "The value of `num_cells` should be > 0"
assert dropout_rate >= 0, "The value of `dropout_rate` should be >= 0"
assert (cardinality is not None and use_feat_static_cat) or (
cardinality is None and not use_feat_static_cat
), "You should set `cardinality` if and only if `use_feat_static_cat=True`"
assert cardinality is None or all(
[c > 0 for c in cardinality]
), "Elements of `cardinality` should be > 0"
assert embedding_dimension is None or all(
[e > 0 for e in embedding_dimension]
), "Elements of `embedding_dimension` should be > 0"
assert (
num_parallel_samples > 0
), "The value of `num_parallel_samples` should be > 0"
self.freq = freq
self.context_length = (
context_length if context_length is not None else prediction_length
)
self.prediction_length = prediction_length
self.distr_output_m = NegativeBinomialOutput()
self.distr_output_q = NegativeBinomialOutput()
self.distr_output_m.dtype = dtype
self.distr_output_q.dtype = dtype
self.num_layers = num_layers
self.num_cells = num_cells
self.cell_type = cell_type
self.dropout_rate = dropout_rate
self.use_feat_dynamic_real = use_feat_dynamic_real
self.use_feat_static_cat = use_feat_static_cat
self.use_feat_static_real = use_feat_static_real
self.cardinality = cardinality if cardinality and use_feat_static_cat else [1]
self.embedding_dimension = (
embedding_dimension
if embedding_dimension is not None
else [min(50, (cat + 1) // 2) for cat in self.cardinality]
)
self.scaling = scaling
self.lags_seq = (
lags_seq if lags_seq is not None else get_lags_for_frequency(freq_str=freq)
)
self.time_features = (
time_features
if time_features is not None
else time_features_from_frequency_str(self.freq)
)
self.history_length = self.context_length + max(self.lags_seq)
self.num_parallel_samples = num_parallel_samples
self.forecast_type = forecast_type
def fit_deepar(
training_data: ListDataset,
validation_data: ListDataset = None,
freq: str = 'M',
pred_length: int = 12,
num_layers: int = 2,
hidden_dim: int = 40,
use_cat_var: bool = False,
cardinality: Optional[List[int]] = None,
epochs: int = 25,
batch_size: int = 32,
sampler: Optional[InstanceSampler] = None,
self_supervised_penalty: float = 0.0,
embedding_agg_penalty: float = 0,
embedding_dist_metric: str = 'cosine',
embedding_dim_ratio: float = 1,
hierarchy_agg_dict: Optional[Dict[int, List[int]]] = None,
ignore_future_targets: bool = False,
print_rec_penalty: bool = True,
) -> Tuple[GluonPredictor, HybridBlock]:
""" fits DeepAREstimator with optional reconciliation penalties to training dataset
Arguments:
training_data {ListDataset} -- training data
Keyword Arguments:
validation_data {ListDataset} -- optional validation data. If set, the model checkpoint
from the best epoch with respect to this dataset will be returned
freq {str} -- frequency (default: {'M'})
pred_length {int} -- prediction length (default: {12})
num_layers {int} -- number of RNN layers to include in estimator (default: {2})
hidden_dim {int} -- dimension of hidden state of each RNN (default: {40})
use_cat_var {bool} -- whether to include the whether to include a categorical variable for
series in this model (default: {False})
cardinality {Optional[List[int]]} -- cardinality of each categorical variable if including
in model (default: {None})
epochs {int} -- number of training epochs (default: {25})
batch_size {int} -- if self-supervised reconciliation penalty > 0, will be set to training set size
(default: {32})
sampler {Optional[InstanceSampler]} -- GluonTS sampler object containing logic for how to sample mini-batches
(default: {None})
self_supervised_penalty {float} -- lambda for self-supervised reconciliation penalty
(default: {0.0})
embedding_agg_penalty {float} -- lambda for embedding rec. penalty
(default: {0.0})
embedding_dist_metric {str} -- distance metric for embedding rec. penalty
(default: {'cosine'})
embedding_dim_ratio {float} -- ratio between embedding dim and RNN hidden state dim
(default: {1.0})
hierarchy_agg_dict {Optional[Dict[int, List[int]]]} -- mapping from individual series to
columns that represent other series that aggregate to this individual series, necessary
if self_supervised_penalty > 0 (default: {None})
ignore_future_targets {bool} -- whether to include future targets in forecasting loss
and past targets in self-supervised reconciliation penalty (default: {False})
print_rec_penalty {bool} -- whether to print the reconciliation penalty at each step
of every epoch (default: {True})
Returns:
Tuple[GluonPredictor, HybridBlock] -- [description]
"""
if self_supervised_penalty > 0 and hierarchy_agg_dict is None:
raise ValueError("Must supply 'hierarchy_agg_dict' argument if 'self_supervised_penalty' > 0")
if embedding_agg_penalty > 0 and hierarchy_agg_dict is None:
raise ValueError("Must supply 'hierarchy_agg_dict' argument if 'embedding_agg_penalty' > 0")
if embedding_dist_metric != 'cosine' and embedding_dist_metric != 'l2':
raise ValueError("Embedding distance metric must be either 'cosine' or 'l2'")
if self_supervised_penalty > 0:
batch_size = len(training_data)
sampler = FixedUnitSampler()
else:
sampler = sampler
if use_cat_var is False:
cardinality = None
estimator = DeepARRecPenaltyEstimator(
freq=freq,
prediction_length=pred_length,
use_feat_static_cat=use_cat_var,
cardinality=cardinality,
embedding_dimension=[int(hidden_dim*embedding_dim_ratio)],
distr_output=NegativeBinomialOutput(),
trainer=Trainer(
epochs=epochs,
batch_size=batch_size,
hybridize=False,
),
num_layers=num_layers,
num_cells=hidden_dim,
sampler=sampler,
self_supervised_penalty=self_supervised_penalty,
embedding_agg_penalty=embedding_agg_penalty,
embedding_dist_metric=embedding_dist_metric,
hierarchy_agg_dict=hierarchy_agg_dict,
ignore_future_targets=ignore_future_targets,
print_rec_penalty=print_rec_penalty,
)
_, trained_net, predictor = estimator.train_model(training_data = training_data)
return predictor, trained_net