def run():
print "************* RUNING LSTM PREDICTOR *************"
# load config settings
experiment_id = cfg.run_config['experiment_id']
data_folder = cfg.run_config['data_folder']
look_back = cfg.multi_step_lstm_config['look_back']
# look_back = lookback
look_ahead = cfg.multi_step_lstm_config['look_ahead']
# look_ahead = lookahead
batch_size = cfg.multi_step_lstm_config['batch_size']
epochs = cfg.multi_step_lstm_config['n_epochs']
# epochs = epoch
dropout = cfg.multi_step_lstm_config['dropout']
layers = cfg.multi_step_lstm_config['layers']
loss = cfg.multi_step_lstm_config['loss']
# optimizer = cfg.multi_step_lstm_config['optimizer']
shuffle = cfg.multi_step_lstm_config['shuffle']
patience = cfg.multi_step_lstm_config['patience']
validation = cfg.multi_step_lstm_config['validation']
learning_rate = cfg.multi_step_lstm_config['learning_rate']
logging.info(
"--------------------------Start Running--------------------------")
logging.info('Run id %s' % (experiment_id))
logging.info(" HYPERPRAMRAMS : %s" % (str(locals())))
train_scaler, X_train, y_train, X_validation1, y_validation1, X_validation2, y_validation2, validation2_labels, \
X_test, y_test, test_labels = util.load_data(
data_folder, look_back, look_ahead)
multistep_lstm = lstm.MultiStepLSTM(look_back=look_back, look_ahead=look_ahead,
layers=layers,
dropout=dropout, loss=loss, learning_rate=learning_rate)
model = multistep_lstm.build_model()
# if cfg.run_config['save_figure']:
# plot_model(model, to_file="imgs/%s_lstm.png" %
# (experiment_id), show_shapes=True, show_layer_names=True)
# train model on training set. validation1 set is used for early stopping
fig = plt.figure()
history = lstm.train_model(model, X_train, y_train, batch_size, epochs,
shuffle, validation, (X_validation1, y_validation1), patience)
plt.plot(history.history['loss'])
plt.plot(history.history['val_loss'])
plt.ylabel('Loss')
plt.xlabel('Epoch')
plt.legend(['Train', 'Test'], loc='upper left')
# TODO: Show Plot!
# plt.show()
if cfg.run_config['save_figure']:
util.save_figure("%s/%s/" %
("imgs", experiment_id), "train_errors", fig)
validation2_loss = model.evaluate(
X_validation2, y_validation2, batch_size=batch_size, verbose=2)
print "Validation2 Loss %s" % (validation2_loss)
logging.info("Validation2 Loss %s" % (validation2_loss))
test_loss = model.evaluate(
X_test, y_test, batch_size=batch_size, verbose=2)
print "Test Loss %s" % (test_loss)
logging.info("Test Loss %s" % (test_loss))
print "----------- Training finished, start making predictions -----------"
logging.info(
"----------- Training finished, start making predictions -----------")
predictions_train, y_true_train = get_predictions("Train", model, X_train, y_train, train_scaler,
batch_size, look_ahead, look_back, epochs, experiment_id,
)
np.save(data_folder + "train_predictions", predictions_train)
np.save(data_folder + "train_true", y_true_train)
predictions_validation1, y_true_validation1 = get_predictions("Validation1", model, X_validation1, y_validation1,
train_scaler, batch_size, look_ahead, look_back,
epochs, experiment_id,
)
predictions_validation1_scaled = train_scaler.transform(
predictions_validation1)
print "Calculated validation1 loss %f" % (mean_squared_error(
np.reshape(y_validation1, [len(y_validation1), look_ahead]),
np.reshape(predictions_validation1_scaled, [len(predictions_validation1_scaled), look_ahead])))
np.save(data_folder + "validation1_predictions", predictions_validation1)
np.save(data_folder + "validation1_true", y_true_validation1)
np.save(data_folder + "validation1_labels", validation2_labels)
predictions_validation2, y_true_validation2 = get_predictions("Validation2", model, X_validation2, y_validation2,
train_scaler, batch_size, look_ahead, look_back,
epochs, experiment_id,
)
predictions_validation2_scaled = train_scaler.transform(
predictions_validation2)
print "Calculated validation2 loss %f" % (mean_squared_error(
np.reshape(y_validation2, [len(y_validation2), look_ahead]),
np.reshape(predictions_validation2_scaled, [len(predictions_validation2_scaled), look_ahead])))
np.save(data_folder + "validation2_predictions", predictions_validation2)
np.save(data_folder + "validation2_true", y_true_validation2)
np.save(data_folder + "validation2_labels", validation2_labels)
predictions_test, y_true_test = get_predictions("Test", model, X_test, y_test, train_scaler, batch_size, look_ahead,
look_back, epochs, experiment_id,
)
predictions_test_scaled = train_scaler.transform(predictions_test)
print "Calculated test loss %f" % (mean_squared_error(np.reshape(y_test, [len(y_test), look_ahead]),
np.reshape(predictions_test_scaled, [len(predictions_test_scaled), look_ahead])))
np.save(data_folder + "test_predictions", predictions_test)
np.save(data_folder + "test_true", y_true_test)
np.save(data_folder + "test_labels", test_labels)
logging.info(
"---------------------------------------------------------------------")
logging.info("Validation2 Loss %s" % (validation2_loss))
logging.info("Test Loss %s" % (test_loss))
logging.info(
"------------------------------ run complete ------------------------------")
logging.info("")
def multistep_objective_function(params):
params = params.flatten()
logging.info("----------------------------------------------------")
logging.info("inside stateless objective function. params received: %s" %
params)
#optimizers = ['sgd', 'adam', 'rmsprop']
layers_array = [{
'input': 1,
'hidden1': 80,
'output': 1
}, {
'input': 1,
'hidden1': 60,
'hidden2': 30,
'output': 1
}, {
'input': 1,
'hidden1': 60,
'hidden2': 30,
'hidden3': 10,
'output': 1
}]
dropout = float(params[0])
learning_rate = float(params[1])
batch_size = int(params[2])
look_back = int(params[3])
layers = layers_array[int(params[4])]
print(
"Using HyperParams. dropout:%f, learning_rate:%f, batch_size:%d, lookback:%d, layers:%s"
% (dropout, learning_rate, batch_size, look_back, layers))
logging.info(
"Using HyperParams. dropout:%f, learning_rate:%f, batch_size:%d, lookback:%d, layers:%s"
% (dropout, learning_rate, batch_size, look_back, layers))
data_folder = cfg.opt_config['data_folder']
look_ahead = cfg.multi_step_lstm_config['look_ahead']
epochs = cfg.multi_step_lstm_config['n_epochs']
#layers = cfg.multi_step_lstm_config['layers']
loss = cfg.multi_step_lstm_config['loss']
shuffle = cfg.multi_step_lstm_config['shuffle']
patience = cfg.multi_step_lstm_config['patience']
validation = cfg.multi_step_lstm_config['validation']
logging.info('Optimizing id %s' % (opt_id))
train_scaler, X_train, y_train, X_validation1, y_validation1, X_validation2, y_validation2, validation2_labels, \
X_test, y_test, test_labels = util.load_data(data_folder, look_back, look_ahead)
multistep_lstm = lstm.MultiStepLSTM(look_back=look_back,
look_ahead=look_ahead,
layers=layers,
dropout=dropout,
loss=loss,
learning_rate=learning_rate)
model = multistep_lstm.build_model()
# train model on training set. validation1 set is used for early stopping
lstm.train_model(model, X_train, y_train, batch_size, epochs, shuffle,
validation, (X_validation1, y_validation1), patience)
validation_loss = model.evaluate(X_validation1,
y_validation1,
batch_size=batch_size,
verbose=2)
#validation_loss = model.evaluate(X_validation2, y_validation2, batch_size=batch_size, verbose=2)
logging.info("validation loss %f" % (validation_loss))
print(" ")
print(" #######validation loss %f#########" % (validation_loss))
validation_loss_list.append(validation_loss)
return validation_loss