def run_gp_optim(company: str, target_column: str, split_perc: float,
imputation: str, featureset: str):
"""
Run GPR offline optimization loop
:param company: prefix for data in case company data is also used
:param target_column: target column to use
:param split_perc: share of train data
:param imputation: imputation method
:param featureset: featureset to use
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, company=company, target_column=target_column,
split_perc=split_perc)
# load datasets
datasets = TrainHelper.load_datasets(config=config,
company=company,
target_column=target_column)
# prepare parameter grid
kernels = []
base_kernels = [
ConstantKernel(constant_value=1000, constant_value_bounds=(1e-5, 1e5)),
Matern(length_scale=1.0, length_scale_bounds=(1e-5, 1e5)),
ExpSineSquared(length_scale=1.0,
periodicity=seasonal_periods,
length_scale_bounds=(1e-5, 1e5),
periodicity_bounds=(int(seasonal_periods * 0.8),
int(seasonal_periods * 1.2))),
RBF(length_scale=1.0, length_scale_bounds=(1e-5, 1e5)),
RationalQuadratic(length_scale=1.0,
alpha=1.0,
length_scale_bounds=(1e-5, 1e5),
alpha_bounds=(1e-5, 1e5)),
WhiteKernel(noise_level=1.0, noise_level_bounds=(1e-5, 1e5))
]
TrainHelper.extend_kernel_combinations(kernels=kernels,
base_kernels=base_kernels)
param_grid = {
'dataset': [datasets[0]],
'imputation': [imputation],
'featureset': [featureset],
'dim_reduction': ['None', 'pca'],
'kernel': kernels,
'alpha': [1e-5, 1e-3, 1e-1, 1, 1e1, 1e3],
'n_restarts_optimizer': [0, 5, 10],
'standardize': [False, True],
'norm_y': [False, True],
'osa': [False]
}
# random sample from parameter grid
sample_share = 0.1
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=sample_share)
doc_results = None
best_rmse = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
warnings.simplefilter('ignore')
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
kernel = params_lst[i]['kernel']
alpha = params_lst[i]['alpha']
n_restarts_optimizer = params_lst[i]['n_restarts_optimizer']
stand = params_lst[i]['standardize']
norm_y = params_lst[i]['norm_y']
one_step_ahead = params_lst[i]['osa']
# dim_reduction can only be done without NaNs
if imputation is None and dim_reduction is not None:
continue
# 'dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
sum_dict = None
try:
for train, test in train_test_list:
model = ModelsGaussianProcessRegression.GaussianProcessRegression(
target_column=target_column,
seasonal_periods=seasonal_periods,
kernel=kernel,
alpha=alpha,
n_restarts_optimizer=n_restarts_optimizer,
one_step_ahead=one_step_ahead,
standardize=stand,
normalize_y=norm_y)
cross_val_dict = model.train(train=train, cross_val_call=True)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'kernel':
kernel,
'alpha':
alpha,
'n_restarts_optimizer':
n_restarts_optimizer,
'standardize':
stand,
'normalize_y':
norm_y,
'one_step_ahead':
one_step_ahead,
'optimized_kernel':
model.model.kernel_
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'kernel':
kernel,
'alpha':
alpha,
'n_restarts_optimizer':
n_restarts_optimizer,
'standardize':
stand,
'normalize_y':
norm_y,
'one_step_ahead':
one_step_ahead,
'optimized_kernel':
'failed'
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc=company +
'-gp-sklearn_raw',
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')
def run_gp_optim(target_column: str, split_perc: float, imputation: str,
featureset: str):
"""
Run whole GPR optimization loop
:param target_column: target variable for predictions
:param split_perc: percentage of samples to use for train set
:param imputation: imputation method for missing values
:param featureset: featureset to use
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, target_column=target_column, split_perc=split_perc)
# load datasets
datasets = TrainHelper.load_datasets(config=config,
target_column=target_column)
# prepare parameter grid
kernels = []
base_kernels = [
SquaredExponential(),
Matern52(),
White(),
RationalQuadratic(),
Polynomial()
]
for kern in base_kernels:
if isinstance(kern, IsotropicStationary):
base_kernels.append(Periodic(kern, period=seasonal_periods))
TrainHelper.extend_kernel_combinations(kernels=kernels,
base_kernels=base_kernels)
param_grid = {
'dataset': datasets,
'imputation': [imputation],
'featureset': [featureset],
'dim_reduction': ['None', 'pca'],
'kernel': kernels,
'mean_function': [None, gpflow.mean_functions.Constant()],
'noise_variance': [0.01, 1, 10, 100],
'optimizer': [gpflow.optimizers.Scipy()],
'standardize_x': [False, True],
'standardize_y': [False, True],
'osa': [True]
}
# random sample from parameter grid
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.2)
doc_results = None
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
warnings.simplefilter('ignore')
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
# deepcopy to prevent impact of previous optimizations
kernel = gpflow.utilities.deepcopy(params_lst[i]['kernel'])
mean_fct = gpflow.utilities.deepcopy(params_lst[i]['mean_function'])
noise_var = params_lst[i]['noise_variance']
optimizer = gpflow.utilities.deepcopy(params_lst[i]['optimizer'])
stand_x = params_lst[i]['standardize_x']
stand_y = params_lst[i]['standardize_y']
one_step_ahead = params_lst[i]['osa']
# dim_reduction only done without NaNs
if imputation is None and dim_reduction is not None:
continue
# dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
kernel_string, mean_fct_string, optimizer_string = get_docresults_strings(
kernel=kernel, mean_function=mean_fct, optimizer=optimizer)
sum_dict = None
try:
for train, test in train_test_list:
model = ModelsGPR.GaussianProcessRegressionGPFlow(
target_column=target_column,
seasonal_periods=seasonal_periods,
kernel=kernel,
mean_function=mean_fct,
noise_variance=noise_var,
optimizer=optimizer,
standardize_x=stand_x,
standardize_y=stand_y,
one_step_ahead=one_step_ahead)
cross_val_dict = model.train(train=train, cross_val_call=False)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'kernel':
kernel_string,
'mean_function':
mean_fct_string,
'noise_variance':
noise_var,
'optimizer':
optimizer_string,
'standardize_x':
stand_x,
'standardize_y':
stand_y,
'one_step_ahead':
one_step_ahead,
'optim_mod_params':
model.model.parameters
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse, best_mape, best_smape = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
best_mape=best_mape,
best_smape=best_smape,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
# print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'kernel':
kernel_string,
'mean_function':
mean_fct_string,
'noise_variance':
noise_var,
'optimizer':
optimizer_string,
'standardize_x':
stand_x,
'standardize_y':
stand_y,
'one_step_ahead':
one_step_ahead,
'optim_mod_params':
'failed'
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc='gpr',
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')
def run_ann_optim(target_column: str, split_perc: float, imputation: str,
featureset: str):
"""
Run whole ANN optimization loop
:param target_column: target variable for predictions
:param split_perc: percentage of samples to use for train set
:param imputation: imputation method for missing values
:param featureset: featureset to use
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, target_column=target_column, split_perc=split_perc)
# load datasets
datasets = TrainHelper.load_datasets(config=config,
target_column=target_column)
# prepare parameter grid
param_grid = {
'dataset': datasets,
'imputation': [imputation],
'featureset': [featureset],
'dim_reduction': ['None', 'pca'],
'dropout_rate': [0.0, 0.5],
'batch_size': [4, 8, 16, 32],
'learning_rate': [1e-4, 1e-3, 1e-2, 1e-1],
'min_val_loss_improvement': [100, 1000],
'max_epochs_wo_improvement': [20, 50, 100],
'n_hidden': [10, 20, 50, 100],
'num_hidden_layer': [1, 2, 3],
'osa': [True]
}
# random samples from parameter grid
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.1)
doc_results = None
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
dropout_rate = params_lst[i]['dropout_rate']
batch_size = params_lst[i]['batch_size']
learning_rate = params_lst[i]['learning_rate']
min_val_loss_improvement = params_lst[i]['min_val_loss_improvement']
max_epochs_wo_improvement = params_lst[i]['max_epochs_wo_improvement']
one_step_ahead = params_lst[i]['osa']
n_hidden = params_lst[i]['n_hidden']
num_hidden_layer = params_lst[i]['num_hidden_layer']
# dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
sum_dict = None
try:
for train, test in train_test_list:
model = ModelsANN.AnnRegression(
target_column=target_column,
seasonal_periods=seasonal_periods,
one_step_ahead=one_step_ahead,
n_feature=train.shape[1] - 1,
n_hidden=n_hidden,
num_hidden_layer=num_hidden_layer,
dropout_rate=dropout_rate,
batch_size=batch_size,
learning_rate=learning_rate,
min_val_loss_improvement=min_val_loss_improvement,
max_epochs_wo_improvement=max_epochs_wo_improvement)
cross_val_dict = model.train(train=train, cross_val_call=False)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'algo':
model.name,
'dropout_rate':
dropout_rate,
'batch_size':
batch_size,
'learning_rate':
learning_rate,
'min_val_loss_improvement':
min_val_loss_improvement,
'max_epochs_wo_improvement':
max_epochs_wo_improvement,
'n_hidden':
n_hidden,
'num_hidden_layer':
num_hidden_layer,
'one_step_ahead':
one_step_ahead
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse, best_mape, best_smape = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
best_mape=best_mape,
best_smape=best_smape,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'algo':
model.name,
'dropout_rate':
dropout_rate,
'batch_size':
batch_size,
'learning_rate':
learning_rate,
'min_val_loss_improvement':
min_val_loss_improvement,
'max_epochs_wo_improvement':
max_epochs_wo_improvement,
'n_hidden':
n_hidden,
'num_hidden_layer':
num_hidden_layer,
'one_step_ahead':
one_step_ahead
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc='ANN',
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')
def run_regressions_optim(target_column: str, split_perc: float, algo: str):
"""
Run whole multiple linear regression optimization loops
:param target_column: target variable for predictions
:param split_perc: percentage of samples to use for train set
:param algo: algo to use for optimization (['lasso', 'ridge', 'elasticnet', 'bayesridge', 'ard'])
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, target_column=target_column, split_perc=split_perc)
multiple_nans_raw_set = config[target_column].getboolean(
'multiple_nans_raw_set')
# load datasets
datasets = TrainHelper.load_datasets(config=config,
target_column=target_column)
# prepare parameter grid
# parameters relevant for all algos
param_grid = {
'dataset': datasets,
'imputation': ['mean', 'iterative', 'knn'],
'featureset': ['full', 'cal', 'stat', 'none'],
'dim_reduction': ['None', 'pca'],
'normalize': [False, True],
'osa': [True]
}
# parameters relevant for lasso, ridge and elasticnet
if algo in ['lasso', 'ridge', 'elasticnet']:
param_grid['alpha'] = [10**x for x in range(-5, 5)]
if algo == 'elasticnet':
param_grid['l1_ratio'] = np.arange(0.1, 1, 0.1)
# random sample from parameter grid: all combis for lasso, ridge, elasticnet
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=1)
# parameters relevant for bayesian ridge and ard regression
else:
param_grid['alpha_1'] = [10**x for x in range(-6, 1)]
param_grid['alpha_2'] = [10**x for x in range(-6, -4)]
param_grid['lambda_1'] = [10**x for x in range(-6, 1)]
param_grid['lambda_2'] = [10**x for x in range(-6, 1)]
# random sample from parameter grid: 0.25 share for bayesridge
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.2)
if algo == 'ard':
param_grid['threshold_lambda'] = [10**x for x in range(2, 6)]
# random sample from parameter grid: 0.2 share for ard
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.2)
# remove non-relevant featureset imputation combis
if not multiple_nans_raw_set:
params_lst_small = params_lst.copy()
for param_set in params_lst:
feat = param_set['featureset']
imp = param_set['imputation']
if (feat == 'cal' or feat == 'none') and (imp == 'iterative'
or imp == 'knn'):
params_lst_small.remove(param_set)
params_lst = params_lst_small
doc_results = None
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
warnings.simplefilter('ignore')
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
normalize = params_lst[i]['normalize']
one_step_ahead = params_lst[i]['osa']
l1_ratio = params_lst[i]['l1_ratio'] if 'l1_ratio' in params_lst[
i] else None
alpha = params_lst[i]['alpha'] if 'alpha' in params_lst[i] else None
alpha_1 = params_lst[i]['alpha_1'] if 'alpha_1' in params_lst[
i] else None
alpha_2 = params_lst[i]['alpha_2'] if 'alpha_2' in params_lst[
i] else None
lambda_1 = params_lst[i]['lambda_1'] if 'lambda_1' in params_lst[
i] else None
lambda_2 = params_lst[i]['lambda_2'] if 'lambda_2' in params_lst[
i] else None
threshold_lambda = params_lst[i][
'threshold_lambda'] if 'threshold_lambda' in params_lst[i] else None
# dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
sum_dict = None
try:
for train, test in train_test_list:
model = ModelsMLR.MultipleLinearRegression(
model_to_use=algo,
target_column=target_column,
seasonal_periods=seasonal_periods,
one_step_ahead=one_step_ahead,
normalize=normalize,
l1_ratio=l1_ratio,
alpha=alpha,
alpha_1=alpha_1,
alpha_2=alpha_2,
lambda_1=lambda_1,
lambda_2=lambda_2,
threshold_lambda=threshold_lambda)
cross_val_dict = model.train(train=train, cross_val_call=False)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'algo':
model.name,
'normalize':
normalize,
'alpha':
alpha,
'l1_ratio':
l1_ratio,
'alpha_1':
alpha_1,
'alpha_2':
alpha_2,
'lambda_1':
lambda_1,
'lambda_2':
lambda_2,
'threshold_lambda':
threshold_lambda,
'one_step_ahead':
one_step_ahead,
'fitted_coef':
model.model.coef_,
'fitted_intercept':
model.model.intercept_
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse, best_mape, best_smape = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
best_mape=best_mape,
best_smape=best_smape,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'algo':
model.name,
'normalize':
normalize,
'alpha':
alpha,
'l1_ratio':
l1_ratio,
'alpha_1':
alpha_1,
'alpha_2':
alpha_2,
'lambda_1':
lambda_1,
'lambda_2':
lambda_2,
'threshold_lambda':
threshold_lambda,
'one_step_ahead':
one_step_ahead,
'fitted_coef':
'failed',
'fitted_intercept':
'failed'
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc=algo,
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')
def run_xgb_optim(target_column: str, split_perc: float, imputation: str,
featureset: str):
"""
Run whole XGB optimization loop
:param target_column: target variable for predictions
:param split_perc: percentage of samples to use for train set
:param imputation: imputation method for missing values
:param featureset: featureset to use
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, target_column=target_column, split_perc=split_perc)
# load datasets
datasets = TrainHelper.load_datasets(config=config,
target_column=target_column)
# prepare parameter grid
param_grid = {
'dataset': datasets,
'imputation': [imputation],
'featureset': [featureset],
'dim_reduction': ['None', 'pca'],
'learning_rate': [0.05, 0.1, 0.3],
'max_depth': [3, 5, 10],
'subsample': [0.3, 0.7, 1],
'n_estimators': [10, 100, 1000],
'gamma': [0, 1, 10],
'alpha': [0, 0.1, 1, 10],
'reg_lambda': [0, 0.1, 1, 10],
'osa': [True]
}
# random sample from parameter grid
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.2)
doc_results = None
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
warnings.simplefilter('ignore')
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
learning_rate = params_lst[i]['learning_rate']
max_depth = params_lst[i]['max_depth']
subsample = params_lst[i]['subsample']
n_estimators = params_lst[i]['n_estimators']
gamma = params_lst[i]['gamma']
alpha = params_lst[i]['alpha']
reg_lambda = params_lst[i]['reg_lambda']
one_step_ahead = params_lst[i]['osa']
# dim_reduction only done without NaNs
if imputation is None and dim_reduction is not None:
continue
# dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
sum_dict = None
try:
for train, test in train_test_list:
model = ModelXGBoost.XGBoostRegression(
target_column=target_column,
seasonal_periods=seasonal_periods,
learning_rate=learning_rate,
max_depth=max_depth,
subsample=subsample,
n_estimators=n_estimators,
gamma=gamma,
alpha=alpha,
reg_lambda=reg_lambda,
one_step_ahead=one_step_ahead)
cross_val_dict = model.train(train=train, cross_val_call=False)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'learning_rate':
learning_rate,
'max_depth':
max_depth,
'subsample':
subsample,
'n_estimators':
n_estimators,
'gamma':
gamma,
'alpha':
alpha,
'lambda':
reg_lambda,
'one_step_ahead':
one_step_ahead
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse, best_mape, best_smape = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
best_mape=best_mape,
best_smape=best_smape,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'learning_rate':
learning_rate,
'max_depth':
max_depth,
'subsample':
subsample,
'n_estimators':
n_estimators,
'gamma':
gamma,
'alpha':
alpha,
'lambda':
reg_lambda,
'one_step_ahead':
one_step_ahead
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc='xgb',
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')
def run_sarimax_optim(target_column: str, split_perc: float, imputation: str,
featureset: str, univariate: bool):
"""
Run whole (S)ARIMA(X) optimization loop
:param target_column: target variable for predictions
:param split_perc: percentage of samples to use for train set
:param imputation: imputation method for missing values
:param featureset: featureset to use
:param univariate: use univariate version SARIMA as well
"""
config = configparser.ConfigParser()
config.read('Configs/dataset_specific_config.ini')
# get optim parameters
base_dir, seasonal_periods, split_perc, init_train_len, test_len, resample_weekly = \
TrainHelper.get_optimization_run_parameters(config=config, target_column=target_column, split_perc=split_perc)
# load datasets
datasets = TrainHelper.load_datasets(config=config,
target_column=target_column)
# prepare parameter grid
param_grid = {
'dataset': datasets,
'imputation': [imputation],
'featureset': [featureset],
'dim_reduction': ['None', 'pca'],
'p': [0, 1, 2, 3],
'd': [0, 1],
'q': [0, 1, 2, 3],
'P': [0, 1, 2, 3],
'D': [0, 1],
'Q': [0, 1, 2, 3],
'osa': [True],
'transf': [False, 'log', 'pw'],
'exog': [True],
'wi': [True]
}
if univariate:
param_grid['exog'] = [False, True]
# random sample from parameter grid
params_lst = TrainHelper.random_sample_parameter_grid(
param_grid=param_grid, sample_share=0.2)
doc_results = None
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = 'Dummy'
imputation_last = 'Dummy'
dim_reduction_last = 'Dummy'
featureset_last = 'Dummy'
for i in tqdm(range(len(params_lst))):
warnings.simplefilter('ignore')
dataset = params_lst[i]['dataset']
imputation = params_lst[i]['imputation']
featureset = params_lst[i]['featureset']
dim_reduction = None if params_lst[i][
'dim_reduction'] == 'None' else params_lst[i]['dim_reduction']
p = params_lst[i]['p']
d = params_lst[i]['d']
q = params_lst[i]['q']
P = params_lst[i]['P']
D = params_lst[i]['D']
Q = params_lst[i]['Q']
one_step_ahead = params_lst[i]['osa']
transf = params_lst[i]['transf']
power, log = TrainHelper.get_pw_l_for_transf(transf=transf)
use_exog = params_lst[i]['exog']
with_interc = params_lst[i]['wi']
order = [p, d, q]
seasonal_order = [P, D, Q, seasonal_periods]
# dim_reduction only done without NaNs
if imputation is None and dim_reduction is not None:
continue
# dim_reduction does not make sense for few features
if featureset == 'none' and dim_reduction is not None:
continue
if not ((dataset.name == dataset_last_name) and
(imputation == imputation_last) and
(dim_reduction == dim_reduction_last) and
(featureset == featureset_last)):
if resample_weekly and 'weekly' not in dataset.name:
dataset.name = dataset.name + '_weekly'
print(dataset.name + ' ' +
str('None' if imputation is None else imputation) + ' ' +
str('None' if dim_reduction is None else dim_reduction) +
' ' + featureset + ' ' + target_column)
train_test_list = TrainHelper.get_ready_train_test_lst(
dataset=dataset,
config=config,
init_train_len=init_train_len,
test_len=test_len,
split_perc=split_perc,
imputation=imputation,
target_column=target_column,
dimensionality_reduction=dim_reduction,
featureset=featureset)
if dataset.name != dataset_last_name:
best_rmse = 5000000.0
best_mape = 5000000.0
best_smape = 5000000.0
dataset_last_name = dataset.name
imputation_last = imputation
dim_reduction_last = dim_reduction
featureset_last = featureset
sum_dict = None
try:
for train, test in train_test_list:
model = ModelsARIMA.ARIMA(target_column=target_column,
order=order,
seasonal_order=seasonal_order,
one_step_ahead=one_step_ahead,
power_transf=power,
log=log,
use_exog=use_exog,
with_intercept=with_interc)
cross_val_dict = model.train(train=train, cross_val_call=False)
eval_dict = model.evaluate(train=train, test=test)
eval_dict.update(cross_val_dict)
if sum_dict is None:
sum_dict = eval_dict
else:
for k, v in eval_dict.items():
sum_dict[k] += v
evaluation_dict = {
k: v / len(train_test_list)
for k, v in sum_dict.items()
}
params_dict = {
'dataset':
dataset.name,
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'order':
order,
'seasonal_order':
seasonal_order,
'one_step_ahead':
one_step_ahead,
'power_transform':
power,
'log_transform':
log,
'use_exog':
use_exog,
'with_intercept':
with_interc
}
save_dict = params_dict.copy()
save_dict.update(evaluation_dict)
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
best_rmse, best_mape, best_smape = TrainHelper.print_best_vals(
evaluation_dict=evaluation_dict,
best_rmse=best_rmse,
best_mape=best_mape,
best_smape=best_smape,
run_number=i)
except KeyboardInterrupt:
print('Got interrupted')
break
except Exception as exc:
print(exc)
params_dict = {
'dataset':
'Failure',
'featureset':
featureset,
'imputation':
str('None' if imputation is None else imputation),
'dim_reduction':
str('None' if dim_reduction is None else dim_reduction),
'init_train_len':
init_train_len,
'test_len':
test_len,
'split_perc':
split_perc,
'order':
order,
'seasonal_order':
seasonal_order,
'one_step_ahead':
one_step_ahead,
'power_transform':
power,
'log_transform':
log,
'use_exog':
use_exog,
'with_intercept':
with_interc
}
save_dict = params_dict.copy()
save_dict.update(TrainHelper.get_failure_eval_dict())
if doc_results is None:
doc_results = pd.DataFrame(columns=save_dict.keys())
doc_results = doc_results.append(save_dict, ignore_index=True)
TrainHelper.save_csv_results(doc_results=doc_results,
save_dir=base_dir + 'OptimResults/',
company_model_desc='sarima-x',
target_column=target_column,
seasonal_periods=seasonal_periods,
datasets=datasets,
featuresets=param_grid['featureset'],
imputations=param_grid['imputation'],
split_perc=split_perc)
print('Optimization Done. Saved Results.')