def test_NormalDistributionLoss(center, transformation):
mean = 1.0
std = 0.1
n = 100000
target = NormalDistributionLoss.distribution_class(loc=mean,
scale=std).sample((n, ))
normalizer = TorchNormalizer(center=center, transformation=transformation)
if transformation in ["log", "log1p", "relu", "softplus"]:
target = target.abs()
target = normalizer.inverse_preprocess(target)
normalized_target = normalizer.fit_transform(target).view(1, -1)
target_scale = normalizer.get_parameters().unsqueeze(0)
scale = torch.ones_like(normalized_target) * normalized_target.std()
parameters = torch.stack(
[normalized_target, scale],
dim=-1,
)
loss = NormalDistributionLoss()
rescaled_parameters = loss.rescale_parameters(parameters,
target_scale=target_scale,
encoder=normalizer)
samples = loss.sample(rescaled_parameters, 1)
assert torch.isclose(target.mean(), samples.mean(), atol=0.1, rtol=0.5)
if center: # if not centered, softplus distorts std too much for testing
assert torch.isclose(target.std(), samples.std(), atol=0.1, rtol=0.7)
def __init__(self, input_size: int, output_size: int, hidden_size: int,
n_hidden_layers: int, **kwargs):
# saves arguments in signature to `.hparams` attribute, mandatory call - do not skip this
self.save_hyperparameters()
# pass additional arguments to BaseModel.__init__, mandatory call - do not skip this
super().__init__(**kwargs)
self.network = FullyConnectedMultiOutputModule(
input_size=self.hparams.input_size,
output_size=self.hparams.output_size,
hidden_size=self.hparams.hidden_size,
n_hidden_layers=self.hparams.n_hidden_layers,
n_outputs=
2, # <<<<<<<< we predict two outputs for mean and scale of the normal distribution
)
self.loss = NormalDistributionLoss()
def from_dataset(
cls,
dataset: TimeSeriesDataSet,
allowed_encoder_known_variable_names: List[str] = None,
**kwargs,
):
"""
Create model from dataset.
Args:
dataset: timeseries dataset
allowed_encoder_known_variable_names: List of known variables that are allowed in encoder, defaults to all
**kwargs: additional arguments such as hyperparameters for model (see ``__init__()``)
Returns:
DeepAR network
"""
# assert fixed encoder and decoder length for the moment
new_kwargs = {}
if dataset.multi_target:
new_kwargs.setdefault(
"loss",
MultiLoss([NormalDistributionLoss()] *
len(dataset.target_names)))
new_kwargs.update(kwargs)
assert not isinstance(dataset.target_normalizer, NaNLabelEncoder) and (
not isinstance(dataset.target_normalizer, MultiNormalizer) or all([
not isinstance(normalizer, NaNLabelEncoder)
for normalizer in dataset.target_normalizer
])
), "target(s) should be continuous - categorical targets are not supported" # todo: remove this restriction
return super().from_dataset(dataset,
allowed_encoder_known_variable_names=
allowed_encoder_known_variable_names,
**new_kwargs)
def test_NormalDistributionLoss(center, transformation):
mean = 1000.0
std = 200.0
n = 100000
target = NormalDistributionLoss.distribution_class(loc=mean, scale=std).sample((n,))
if transformation in ["log", "log1p", "relu", "softplus"]:
target = target.abs()
normalizer = TorchNormalizer(center=center, transformation=transformation)
normalized_target = normalizer.fit_transform(target).view(1, -1)
target_scale = normalizer.get_parameters().unsqueeze(0)
scale = torch.ones_like(normalized_target) * normalized_target.std()
parameters = torch.stack(
[normalized_target, scale],
dim=-1,
)
loss = NormalDistributionLoss()
if transformation in ["logit", "log", "log1p", "softplus", "relu", "logit"]:
with pytest.raises(AssertionError):
rescaled_parameters = loss.rescale_parameters(parameters, target_scale=target_scale, encoder=normalizer)
else:
rescaled_parameters = loss.rescale_parameters(parameters, target_scale=target_scale, encoder=normalizer)
samples = loss.sample(rescaled_parameters, 1)
assert torch.isclose(torch.as_tensor(mean), samples.mean(), atol=0.1, rtol=0.2)
if center: # if not centered, softplus distorts std too much for testing
assert torch.isclose(torch.as_tensor(std), samples.std(), atol=0.1, rtol=0.7)
def test_NormalDistributionLoss(log_scale, center, coerce_positive):
mean = 1000.0
std = 200.0
n = 100000
target = NormalDistributionLoss.distribution_class(loc=mean,
scale=std).sample_n(n)
if log_scale or coerce_positive:
target = target.abs()
if log_scale and coerce_positive:
return # combination invalid for normalizer (tested somewhere else)
normalizer = TorchNormalizer(log_scale=log_scale,
center=center,
coerce_positive=coerce_positive)
normalized_target = normalizer.fit_transform(target).view(1, -1)
target_scale = normalizer.get_parameters().unsqueeze(0)
scale = torch.ones_like(normalized_target) * normalized_target.std()
parameters = torch.stack(
[normalized_target, scale],
dim=-1,
)
loss = NormalDistributionLoss()
if log_scale or coerce_positive:
with pytest.raises(AssertionError):
rescaled_parameters = loss.rescale_parameters(
parameters, target_scale=target_scale, transformer=normalizer)
else:
rescaled_parameters = loss.rescale_parameters(
parameters, target_scale=target_scale, transformer=normalizer)
samples = loss.sample_n(rescaled_parameters, 1)
assert torch.isclose(torch.as_tensor(mean),
samples.mean(),
atol=0.1,
rtol=0.2)
if center: # if not centered, softplus distorts std too much for testing
assert torch.isclose(torch.as_tensor(std),
samples.std(),
atol=0.1,
rtol=0.7)
def __init__(
self,
cell_type: str = "LSTM",
hidden_size: int = 10,
rnn_layers: int = 2,
dropout: float = 0.1,
static_categoricals: List[str] = [],
static_reals: List[str] = [],
time_varying_categoricals_encoder: List[str] = [],
time_varying_categoricals_decoder: List[str] = [],
categorical_groups: Dict[str, List[str]] = {},
time_varying_reals_encoder: List[str] = [],
time_varying_reals_decoder: List[str] = [],
embedding_sizes: Dict[str, Tuple[int, int]] = {},
embedding_paddings: List[str] = [],
embedding_labels: Dict[str, np.ndarray] = {},
x_reals: List[str] = [],
x_categoricals: List[str] = [],
n_validation_samples: int = None,
n_plotting_samples: int = None,
target: Union[str, List[str]] = None,
loss: DistributionLoss = None,
logging_metrics: nn.ModuleList = None,
**kwargs,
):
"""
DeepAR Network.
The code is based on the article `DeepAR: Probabilistic forecasting with autoregressive recurrent networks
<https://www.sciencedirect.com/science/article/pii/S0169207019301888>`_.
Args:
cell_type (str, optional): Recurrent cell type ["LSTM", "GRU"]. Defaults to "LSTM".
hidden_size (int, optional): hidden recurrent size - the most important hyperparameter along with
``rnn_layers``. Defaults to 10.
rnn_layers (int, optional): Number of RNN layers - important hyperparameter. Defaults to 2.
dropout (float, optional): Dropout in RNN layers. Defaults to 0.1.
static_categoricals: integer of positions of static categorical variables
static_reals: integer of positions of static continuous variables
time_varying_categoricals_encoder: integer of positions of categorical variables for encoder
time_varying_categoricals_decoder: integer of positions of categorical variables for decoder
time_varying_reals_encoder: integer of positions of continuous variables for encoder
time_varying_reals_decoder: integer of positions of continuous variables for decoder
categorical_groups: dictionary where values
are list of categorical variables that are forming together a new categorical
variable which is the key in the dictionary
x_reals: order of continuous variables in tensor passed to forward function
x_categoricals: order of categorical variables in tensor passed to forward function
embedding_sizes: dictionary mapping (string) indices to tuple of number of categorical classes and
embedding size
embedding_paddings: list of indices for embeddings which transform the zero's embedding to a zero vector
embedding_labels: dictionary mapping (string) indices to list of categorical labels
n_validation_samples (int, optional): Number of samples to use for calculating validation metrics.
Defaults to None, i.e. no sampling at validation stage and using "mean" of distribution for logging
metrics calculation.
n_plotting_samples (int, optional): Number of samples to generate for plotting predictions
during training. Defaults to ``n_validation_samples`` if not None or 100 otherwise.
target (str, optional): Target variable or list of target variables. Defaults to None.
loss (DistributionLoss, optional): Distribution loss function. Keep in mind that each distribution
loss function might have specific requirements for target normalization.
Defaults to :py:class:`~pytorch_forecasting.metrics.NormalDistributionLoss`.
logging_metrics (nn.ModuleList, optional): Metrics to log during training.
Defaults to nn.ModuleList([SMAPE(), MAE(), RMSE(), MAPE(), MASE()]).
"""
if loss is None:
loss = NormalDistributionLoss()
if logging_metrics is None:
logging_metrics = nn.ModuleList(
[SMAPE(), MAE(), RMSE(),
MAPE(), MASE()])
if n_plotting_samples is None:
if n_validation_samples is None:
n_plotting_samples = n_validation_samples
else:
n_plotting_samples = 100
self.save_hyperparameters()
# store loss function separately as it is a module
super().__init__(loss=loss, logging_metrics=logging_metrics, **kwargs)
self.embeddings = MultiEmbedding(
embedding_sizes=embedding_sizes,
embedding_paddings=embedding_paddings,
categorical_groups=categorical_groups,
x_categoricals=x_categoricals,
)
assert set(self.encoder_variables) - set(to_list(target)) == set(
self.decoder_variables
), "Encoder and decoder variables have to be the same apart from target variable"
for targeti in to_list(target):
assert (
targeti in time_varying_reals_encoder
), f"target {targeti} has to be real" # todo: remove this restriction
assert (
isinstance(target, str) and isinstance(loss, DistributionLoss)
) or (
isinstance(target,
(list, tuple)) and isinstance(loss, MultiLoss) and
len(loss)
== len(target)
), "number of targets should be equivalent to number of loss metrics"
time_series_rnn = get_cell(cell_type)
self.rnn = time_series_rnn(
input_size=self.input_size,
hidden_size=self.hparams.hidden_size,
num_layers=self.hparams.rnn_layers,
dropout=self.hparams.dropout if self.hparams.rnn_layers > 1 else 0,
batch_first=True,
)
# add linear layers for argument projects
if isinstance(loss, MultiLoss): # multi target
self.distribution_projector = nn.ModuleList([
nn.Linear(self.hparams.hidden_size, len(args))
for args in self.loss.distribution_arguments
])
else:
self.distribution_projector = nn.Linear(
self.hparams.hidden_size,
len(self.loss.distribution_arguments))
def test_predict_average(model, dataloaders_with_covariates):
prediction = model.predict(dataloaders_with_covariates["val"],
fast_dev_run=True,
mode="prediction",
n_samples=100)
assert prediction.ndim == 2, "expected averaging of samples"
def test_predict_samples(model, dataloaders_with_covariates):
prediction = model.predict(dataloaders_with_covariates["val"],
fast_dev_run=True,
mode="samples",
n_samples=100)
assert prediction.size()[-1] == 100, "expected raw samples"
@pytest.mark.parametrize(
"loss", [NormalDistributionLoss(),
MultivariateNormalDistributionLoss()])
def test_pickle(dataloaders_with_covariates, loss):
dataset = dataloaders_with_covariates["train"].dataset
model = DeepAR.from_dataset(dataset,
hidden_size=5,
learning_rate=0.15,
log_gradient_flow=True,
log_interval=1000,
loss=loss)
pkl = pickle.dumps(model)
pickle.loads(pkl)
gradient_clip_val=0.1,
limit_train_batches=30,
limit_val_batches=3,
# fast_dev_run=True,
# logger=logger,
# profiler=True,
callbacks=[lr_logger, early_stop_callback],
)
deepar = DeepAR.from_dataset(
training,
learning_rate=0.1,
hidden_size=32,
dropout=0.1,
loss=NormalDistributionLoss(),
log_interval=10,
log_val_interval=3,
# reduce_on_plateau_patience=3,
)
print(f"Number of parameters in network: {deepar.size()/1e3:.1f}k")
# # find optimal learning rate
# deepar.hparams.log_interval = -1
# deepar.hparams.log_val_interval = -1
# trainer.limit_train_batches = 1.0
# res = trainer.tuner.lr_find(
# deepar, train_dataloader=train_dataloader, val_dataloaders=val_dataloader, min_lr=1e-5, max_lr=1e2
# )
# print(f"suggested learning rate: {res.suggestion()}")
class FullyConnectedForDistributionLossModel(
BaseModel): # we inherit the `from_dataset` method
def __init__(self, input_size: int, output_size: int, hidden_size: int,
n_hidden_layers: int, **kwargs):
# saves arguments in signature to `.hparams` attribute, mandatory call - do not skip this
self.save_hyperparameters()
# pass additional arguments to BaseModel.__init__, mandatory call - do not skip this
super().__init__(**kwargs)
self.network = FullyConnectedMultiOutputModule(
input_size=self.hparams.input_size,
output_size=self.hparams.output_size,
hidden_size=self.hparams.hidden_size,
n_hidden_layers=self.hparams.n_hidden_layers,
n_outputs=
2, # <<<<<<<< we predict two outputs for mean and scale of the normal distribution
)
self.loss = NormalDistributionLoss()
@classmethod
def from_dataset(cls, dataset: TimeSeriesDataSet, **kwargs):
new_kwargs = {
"output_size": dataset.max_prediction_length,
"input_size": dataset.max_encoder_length,
}
new_kwargs.update(
kwargs
) # use to pass real hyperparameters and override defaults set by dataset
# example for dataset validation
assert dataset.max_prediction_length == dataset.min_prediction_length, "Decoder only supports a fixed length"
assert dataset.min_encoder_length == dataset.max_encoder_length, "Encoder only supports a fixed length"
assert (
len(dataset.time_varying_known_categoricals) == 0
and len(dataset.time_varying_known_reals) == 0
and len(dataset.time_varying_unknown_categoricals) == 0
and len(dataset.static_categoricals) == 0
and len(dataset.static_reals) == 0
and len(dataset.time_varying_unknown_reals) == 1
and dataset.time_varying_unknown_reals[0] == dataset.target
), "Only covariate should be the target in 'time_varying_unknown_reals'"
return super().from_dataset(dataset, **new_kwargs)
def forward(self,
x: Dict[str, torch.Tensor],
n_samples: int = None) -> Dict[str, torch.Tensor]:
# x is a batch generated based on the TimeSeriesDataset
network_input = x["encoder_cont"].squeeze(-1)
prediction = self.network(
network_input) # shape batch_size x n_decoder_steps x 2
if (
self.training or n_samples is None
): # training is a PyTorch variable indicating if a module is being trained (tracing gradients) or evaluated
assert n_samples is None, "We need to predict parameters when training"
output_transformation = True
else:
# let's sample from our distribution - first we need to scale the parameters to real space
scaled_parameters = self.transform_output(
dict(
prediction=prediction,
target_scale=x["target_scale"],
))
# and then sample from distribution
prediction = self.loss.sample(scaled_parameters, n_samples)
output_transformation = None # predictions are already re-scaled
return dict(prediction=prediction,
target_scale=x["target_scale"],
output_transformation=output_transformation)
def transform_output(self, out: Dict[str, torch.Tensor]) -> torch.Tensor:
# this is already implemented in pytorch forecasting but this code demonstrates the point
# input is forward's output
# depending on output, transform differently
if out.get("output_transformation",
True) is None: # samples are already rescaled
out = out["prediction"]
else: # parameters need to be rescaled
out = self.loss.rescale_parameters(
out["prediction"],
target_scale=out["target_scale"],
encoder=self.output_transformer)
return out
print("parameter predition shape: ", model(x)["prediction"].size())
model.eval() # set model into eval mode for sampling
print("sample prediction shape: ",
model(x, n_samples=200)["prediction"].size())
# %%
model.predict(dataloader, mode="quantiles", n_samples=100).shape
# %% [markdown]
# The returned quantiles are here determined by the quantiles defined in the loss function and can be modified by passing a list of quantiles to at initialization.
# %%
model.loss.quantiles
# %%
NormalDistributionLoss(quantiles=[0.2, 0.8]).quantiles
# %% [markdown]
# ## Adding custom plotting and interpretation
# %% [markdown]
# ### Log often whenever an example prediction vs actuals plot is created
# %%
import matplotlib.pyplot as plt
def plot_prediction(
self,
x: Dict[str, torch.Tensor],
out: Dict[str, torch.Tensor],
idx: int,
def __init__(
self,
n_lags=60,
n_forecasts=20,
batch_size=None,
epochs=100,
patience_early_stopping=10,
early_stop=True,
learning_rate=3e-2,
auto_lr_find=False,
num_workers=3,
loss_func="normaldistributionloss",
hidden_size=32,
rnn_layers=2,
dropout=0.1,
):
"""
Args:
n_lags: int, — Number of time units that condition the predictions. Also known as 'lookback period'.
Should be between 1-10 times the prediction length. Can be seen as equivalent for n_lags in NP
n_forecasts: int - Number of time units that the model predicts
batch_size: int, — batch_size. If set to None, automatic batch size will be set
epochs: int, — number of epochs for training. Will be overwritten, if EarlyStopping is applied
patience_early_stopping: int, — patience parameter of EarlyStopping callback
early_stop: bool, — whether to use EarlyStopping callback
learning_rate: float, — learning rate for the model. Will be overwritten, if auto_lr_find is used
auto_lr_find: bool, — whether to use automatic laerning rate finder
num_workers: int, — number of workers for DataLoaders
loss_func: str, Distribution loss function. Keep in mind that each distribution loss function might
have specific requirements for target normalization. Defaults to NormalDistributionLoss.
hidden_size: int, hidden recurrent size - the most important hyperparameter along with rnn_layers.
rnn_layers: int, number of RNN layers - important hyperparameter.
dropout: float, dropout in RNN layers, should be between 0 and 1.
"""
self.batch_size = batch_size
self.epochs = epochs
self.patience_early_stopping = patience_early_stopping
self.early_stop = early_stop
self.learning_rate = learning_rate
self.auto_lr_find = auto_lr_find
if self.learning_rate != None:
self.auto_lr_find = False
self.num_workers = num_workers
self.context_length = n_lags
self.prediction_length = n_forecasts
self.hidden_size = hidden_size
self.rnn_layers = rnn_layers
self.dropout = dropout
self.loss_func = loss_func
self.fitted = False
self.freq = None
if type(self.loss_func) == str:
if self.loss_func.lower() in ["huber", "smoothl1", "smoothl1loss"]:
self.loss_func = torch.nn.SmoothL1Loss()
elif self.loss_func.lower() in ["mae", "l1", "l1loss"]:
self.loss_func = torch.nn.L1Loss()
elif self.loss_func.lower() in ["mse", "mseloss", "l2", "l2loss"]:
self.loss_func = torch.nn.MSELoss()
elif self.loss_func.lower() in [
"normaldistloss", "ndl", "normaldistributionloss"
]:
self.loss_func = NormalDistributionLoss()
else:
raise NotImplementedError(
"Loss function {} name not defined".format(self.loss_func))
elif callable(self.loss_func):
pass
elif hasattr(torch.nn.modules.loss, self.loss_func.__class__.__name__):
pass
else:
raise NotImplementedError("Loss function {} not found".format(
self.loss_func))
self.metrics = metrics.MetricsCollection(
metrics=[
metrics.LossMetric(torch.nn.SmoothL1Loss()),
metrics.MAE(),
metrics.MSE(),
],
value_metrics=[
# metrics.ValueMetric("Loss"),
],
)
self.val_metrics = metrics.MetricsCollection(
[m.new() for m in self.metrics.batch_metrics])
