def eval_tcn_model(serialized_model, dataset):
tcn_model = pickle.loads(serialized_model)
df = pd.DataFrame.from_dict(dataset)
ts = TimeSeries.from_dataframe(df,
time_col='time_interval',
value_cols=['count'])
train, val = ts.split_after(0.8) #80% train, 20% val
scaler = Scaler()
ts = scaler.fit_transform(ts)
val_transformed = scaler.transform(val)
train_transformed = scaler.transform(train)
backtest = tcn_model.historical_forecasts(
series=ts,
start=0.8,
forecast_horizon=1,
stride=1,
retrain=False,
)
val_transformed = scaler.inverse_transform(val_transformed)
backtest = scaler.inverse_transform(backtest)
train_transformed = scaler.inverse_transform(train_transformed)
scores = dict()
scores['r2'] = r2_score(val_transformed, backtest[1:])
scores['mase_score'] = mase(val_transformed, backtest[1:],
train_transformed)
scores['mae_score'] = mae(val_transformed, backtest[1:])
scores['rmse_score'] = np.sqrt(mse(val_transformed, backtest[1:]))
try:
scores['mape_score'] = mape(val_transformed, backtest[1:])
except:
scores[
'mape_score'] = "Could not be calculated (Zero value in time series)"
return scores
def helper_generate_multivariate_case_data(self, season_length,
n_repeat):
"""generates multivariate test case data. Target series is a sine wave stacked with a repeating
linear curve of equal seasonal length. Covariates are datetime attributes for 'hours'.
"""
# generate sine wave
ts_sine = tg.sine_timeseries(
value_frequency=1 / season_length,
length=n_repeat * season_length,
freq="h",
)
# generate repeating linear curve
ts_linear = tg.linear_timeseries(0,
1,
length=season_length,
start=ts_sine.end_time() +
ts_sine.freq)
for i in range(n_repeat - 1):
start = ts_linear.end_time() + ts_linear.freq
new_ts = tg.linear_timeseries(0,
1,
length=season_length,
start=start)
ts_linear = ts_linear.append(new_ts)
ts_linear = TimeSeries.from_times_and_values(
times=ts_sine.time_index, values=ts_linear.values())
# create multivariate TimeSeries by stacking sine and linear curves
ts = ts_sine.stack(ts_linear)
# create train/test sets
val_length = 10 * season_length
ts_train, ts_val = ts[:-val_length], ts[-val_length:]
# scale data
scaler_ts = Scaler()
ts_train_scaled = scaler_ts.fit_transform(ts_train)
ts_val_scaled = scaler_ts.transform(ts_val)
ts_scaled = scaler_ts.transform(ts)
# generate long enough covariates (past and future covariates will be the same for simplicity)
long_enough_ts = tg.sine_timeseries(value_frequency=1 /
season_length,
length=1000,
freq=ts.freq)
covariates = tg.datetime_attribute_timeseries(long_enough_ts,
attribute="hour")
scaler_covs = Scaler()
covariates_scaled = scaler_covs.fit_transform(covariates)
return ts_scaled, ts_train_scaled, ts_val_scaled, covariates_scaled
def test_scaling(self):
self.series3 = self.series1[:1]
transformer1 = Scaler(MinMaxScaler(feature_range=(0, 2)))
transformer2 = Scaler(StandardScaler())
series1_tr1 = transformer1.fit_transform(self.series1)
series1_tr2 = transformer2.fit_transform(self.series1)
series3_tr2 = transformer2.transform(self.series3)
# should comply with scaling constraints
self.assertAlmostEqual(min(series1_tr1.values().flatten()), 0.)
self.assertAlmostEqual(max(series1_tr1.values().flatten()), 2.)
self.assertAlmostEqual(np.mean(series1_tr2.values().flatten()), 0.)
self.assertAlmostEqual(np.std(series1_tr2.values().flatten()), 1.)
# test inverse transform
series1_recovered = transformer2.inverse_transform(series1_tr2)
series3_recovered = transformer2.inverse_transform(series3_tr2)
np.testing.assert_almost_equal(series1_recovered.values().flatten(), self.series1.values().flatten())
self.assertEqual(series1_recovered.width, self.series1.width)
self.assertEqual(series3_recovered, series1_recovered[:1])
df.set_index("time")
df["time"] = pd.to_datetime(df["time"], utc=True)
# Transform DataFrame to Time Series Object
df_series = TimeSeries.from_dataframe(df[["time","price actual"]], time_col='time', value_cols="price actual")
### Train and Test Model
#######################################################
# Train Test Split
train, val = df_series.split_before(pd.Timestamp("2021-03-01 00:00:00+00:00"))
# Normalize the time series (note: we avoid fitting the transformer on the validation set)
transformer = Scaler()
train_transformed = transformer.fit_transform(train)
val_transformed = transformer.transform(val)
series_transformed = transformer.transform(df_series)
# Define the LSTM Model parameters
my_model = RNNModel(
model='LSTM',
input_chunk_length=24,
output_chunk_length=1,
hidden_size=25,
n_rnn_layers=1,
dropout=0.2,
batch_size=16,
n_epochs=20,
optimizer_kwargs={'lr': 1e-3},
model_name='Forecast_LSTM_next_hour',
log_tensorboard=True,
def get_tcn_model(dataset=None, plot=False, verbose=False):
if (dataset is None):
df = pd.read_csv("jeans_day.csv")
else:
df = pd.DataFrame.from_dict(dataset)
ts = TimeSeries.from_dataframe(df,
time_col='time_interval',
value_cols=['count'])
train, val = ts.split_after(0.8) #80% train, 20% val
scaler = Scaler()
train_transformed = scaler.fit_transform(train)
val_transformed = scaler.transform(val)
ts_transformed = scaler.transform(ts)
params = dict()
params['kernel_size'] = [4, 6]
params['num_filters'] = [10]
params['random_state'] = [0, 1]
params['input_chunk_length'] = [14]
params['output_chunk_length'] = [1]
params['dilation_base'] = [2, 3]
params['n_epochs'] = [100]
params['dropout'] = [0]
params['loss_fn'] = [MSELoss()]
params['weight_norm'] = [True]
tcn = TCNModel.gridsearch(parameters=params,
series=train_transformed,
val_series=val_transformed,
verbose=verbose,
metric=mse)
params = tcn[1]
tcn_model = tcn[0]
tcn_model.fit(series=train_transformed)
if (plot):
backtest = tcn_model.historical_forecasts(series=ts_transformed,
start=0.8,
forecast_horizon=1,
stride=1,
retrain=False,
verbose=verbose)
val = scaler.inverse_transform(val_transformed)
backtest = scaler.inverse_transform(backtest)
train = scaler.inverse_transform(train_transformed)
print(scaler.inverse_transform(tcn_model.predict(7)))
print("R2: {}".format(r2_score(val, backtest[1:], intersect=False)))
print("MAPE: {}".format(mape(val, backtest[1:])))
print("MASE: {}".format(mase(val, backtest[1:], train)))
print("MAE: {}".format(mae(val, backtest[1:])))
print("RMSE: {}".format(np.sqrt(mse(val, backtest[1:]))))
backtest.plot(label='backtest')
ts.plot(label='actual')
plt.title("H&M Daily, TCN Model")
plt.xlabel("Date")
plt.ylabel("Count")
plt.legend()
plt.show()
else:
return [tcn_model, params]
def get_lstm_model(dataset=None, plot=False, verbose=False):
if (dataset is None):
df = pd.read_csv("jeans_day.csv")
else:
df = pd.DataFrame.from_dict(dataset)
ts = TimeSeries.from_dataframe(df,
time_col='time_interval',
value_cols=['count'])
train, val = ts.split_after(0.8)
scaler = Scaler()
train_transformed = scaler.fit_transform(train)
val_transformed = scaler.transform(val)
ts_transformed = scaler.transform(ts)
params = dict()
params['model'] = ["LSTM"]
params['hidden_size'] = [50, 75, 100]
params['n_rnn_layers'] = [1]
params['input_chunk_length'] = [14]
params['output_chunk_length'] = [1]
params['n_epochs'] = [100]
params['dropout'] = [0]
params['batch_size'] = [4, 6]
params['random_state'] = [0, 1]
params['loss_fn'] = [MSELoss()]
lstm = RNNModel.gridsearch(parameters=params,
series=train_transformed,
val_series=val_transformed,
verbose=verbose,
metric=mse)
params = lstm[1]
lstm_model = lstm[0]
lstm_model.fit(train_transformed, verbose=True)
if (plot):
backtest = lstm_model.historical_forecasts(series=ts_transformed,
start=0.8,
forecast_horizon=1,
stride=1,
retrain=False,
verbose=False)
print(val)
print(backtest[1:])
print("R2: {}".format(
r2_score(scaler.inverse_transform(val_transformed),
scaler.inverse_transform(backtest[1:]),
intersect=False)))
print("MAPE: {}".format(
mape(scaler.inverse_transform(val_transformed),
scaler.inverse_transform(backtest[1:]))))
print("MASE: {}".format(
mase(scaler.inverse_transform(val_transformed),
scaler.inverse_transform(backtest[1:]), train)))
print("MAE: {}".format(
mae(scaler.inverse_transform(val_transformed),
scaler.inverse_transform(backtest[1:]))))
scaler.inverse_transform(backtest).plot(label='backtest')
scaler.inverse_transform(ts_transformed).plot(label='actual')
plt.title("H&M Daily, LSTM Model")
plt.xlabel("Date")
plt.ylabel("Count")
plt.legend()
plt.show()
else:
return [lstm_model, params]
