def __init__( self, prediction_length: int, context_length: int, freq: str, num_cells: int, batch_size: int = 32, trainer: Trainer = Trainer() ) -> None: super().__init__(trainer=trainer, batch_size=batch_size) self.prediction_length = prediction_length self.context_length = context_length self.freq = freq self.num_cells = num_cells
def __init__( self, prediction_length: int, context_length: int, freq: str, distr_output: DistributionOutput, num_cells: int, num_sample_paths: int = 100, batch_size: int = 32, trainer: Trainer = Trainer() ) -> None: super().__init__(trainer=trainer, batch_size=batch_size) self.prediction_length = prediction_length self.context_length = context_length self.freq = freq self.distr_output = distr_output self.num_cells = num_cells self.num_sample_paths = num_sample_paths
def deepar_test():
url = "https://raw.githubusercontent.com/numenta/NAB/master/data/realTweets/Twitter_volume_AMZN.csv"
df = pd.read_csv(url, header=0, index_col=0)
data = ListDataset(
[{
"start": df.index[0],
"target": df.value[:"2015-04-05 00:00:00"]
}],
freq="5min"
)
trainer = Trainer(epochs=10)
estimator = DeepAREstimator(freq="5min", prediction_length=12, trainer=trainer)
predictor = estimator.train(training_data=data)
prediction = next(predictor.predict(data))
print(prediction.mean)
prediction.plot(output_file="./graph.png")
def quick_start_tutorial():
# Provided datasets.
print(f"Available datasets: {list(dataset_recipes.keys())}")
dataset = get_dataset("m4_hourly", regenerate=True)
entry = next(iter(dataset.train))
plt.figure()
train_series = to_pandas(entry)
train_series.plot()
plt.grid(which="both")
plt.legend(["train series"], loc="upper left")
entry = next(iter(dataset.test))
plt.figure()
test_series = to_pandas(entry)
test_series.plot()
plt.axvline(train_series.index[-1], color="r") # End of train dataset.
plt.grid(which="both")
plt.legend(["test series", "end of train series"], loc="upper left")
plt.show()
#--------------------
# Custom datasets.
N = 10 # Number of time series.
T = 100 # Number of timesteps.
prediction_length = 24
freq = "1H"
custom_dataset = np.random.normal(size=(N, T))
start = pd.Timestamp("01-01-2019", freq=freq) # Can be different for each time series.
# Train dataset: cut the last window of length "prediction_length", add "target" and "start" fields.
train_ds = ListDataset(
[{"target": x, "start": start} for x in custom_dataset[:, :-prediction_length]],
freq=freq
)
# Test dataset: use the whole dataset, add "target" and "start" fields.
test_ds = ListDataset(
[{"target": x, "start": start} for x in custom_dataset],
freq=freq
)
#--------------------
# Training an existing model (Estimator).
estimator = SimpleFeedForwardEstimator(
num_hidden_dimensions=[10],
prediction_length=dataset.metadata.prediction_length,
context_length=100,
freq=dataset.metadata.freq,
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
num_batches_per_epoch=100
)
)
predictor = estimator.train(dataset.train)
#--------------------
# Visualize and evaluate forecasts.
forecast_it, ts_it = make_evaluation_predictions(
dataset=dataset.test, # Test dataset.
predictor=predictor, # Predictor.
num_samples=100, # Number of sample paths we want for evaluation.
)
forecasts = list(forecast_it)
tss = list(ts_it)
# First entry of the time series list.
ts_entry = tss[0]
# First 5 values of the time series (convert from pandas to numpy).
print(np.array(ts_entry[:5]).reshape(-1,))
# First entry of dataset.test.
dataset_test_entry = next(iter(dataset.test))
# First 5 values.
print(dataset_test_entry["target"][:5])
# First entry of the forecast list.
forecast_entry = forecasts[0]
print(f"Number of sample paths: {forecast_entry.num_samples}")
print(f"Dimension of samples: {forecast_entry.samples.shape}")
print(f"Start date of the forecast window: {forecast_entry.start_date}")
print(f"Frequency of the time series: {forecast_entry.freq}")
print(f"Mean of the future window:\n {forecast_entry.mean}")
print(f"0.5-quantile (median) of the future window:\n {forecast_entry.quantile(0.5)}")
def plot_prob_forecasts(ts_entry, forecast_entry):
plot_length = 150
prediction_intervals = (50.0, 90.0)
legend = ["observations", "median prediction"] + [f"{k}% prediction interval" for k in prediction_intervals][::-1]
fig, ax = plt.subplots(1, 1, figsize=(10, 7))
ts_entry[-plot_length:].plot(ax=ax) # Plot the time series.
forecast_entry.plot(prediction_intervals=prediction_intervals, color="g")
plt.grid(which="both")
plt.legend(legend, loc="upper left")
plt.show()
plot_prob_forecasts(ts_entry, forecast_entry)
evaluator = Evaluator(quantiles=[0.1, 0.5, 0.9])
agg_metrics, item_metrics = evaluator(iter(tss), iter(forecasts), num_series=len(dataset.test))
print(json.dumps(agg_metrics, indent=4))
print(item_metrics.head())
item_metrics.plot(x="MSIS", y="MASE", kind="scatter")
plt.grid(which="both")
plt.show()
def extended_forecasting_tutorial():
mx.random.seed(0)
np.random.seed(0)
print(f"Available datasets: {list(dataset_recipes.keys())}")
dataset = get_dataset("m4_hourly", regenerate=True)
# Get the first time series in the training set.
train_entry = next(iter(dataset.train))
print(train_entry.keys())
# Get the first time series in the test set.
test_entry = next(iter(dataset.test))
print(test_entry.keys())
test_series = to_pandas(test_entry)
train_series = to_pandas(train_entry)
fig, ax = plt.subplots(2, 1, sharex=True, sharey=True, figsize=(10, 7))
train_series.plot(ax=ax[0])
ax[0].grid(which="both")
ax[0].legend(["train series"], loc="upper left")
test_series.plot(ax=ax[1])
ax[1].axvline(train_series.index[-1], color="r") # End of train dataset.
ax[1].grid(which="both")
ax[1].legend(["test series", "end of train series"], loc="upper left")
plt.show()
print(f"Length of forecasting window in test dataset: {len(test_series) - len(train_series)}")
print(f"Recommended prediction horizon: {dataset.metadata.prediction_length}")
print(f"Frequency of the time series: {dataset.metadata.freq}")
#--------------------
# Create artificial datasets.
artificial_dataset = ComplexSeasonalTimeSeries(
num_series=10,
prediction_length=21,
freq_str="H",
length_low=30,
length_high=200,
min_val=-10000,
max_val=10000,
is_integer=False,
proportion_missing_values=0,
is_noise=True,
is_scale=True,
percentage_unique_timestamps=1,
is_out_of_bounds_date=True,
)
print(f"prediction length: {artificial_dataset.metadata.prediction_length}")
print(f"frequency: {artificial_dataset.metadata.freq}")
print(f"type of train dataset: {type(artificial_dataset.train)}")
print(f"train dataset fields: {artificial_dataset.train[0].keys()}")
print(f"type of test dataset: {type(artificial_dataset.test)}")
print(f"test dataset fields: {artificial_dataset.test[0].keys()}")
train_ds = ListDataset(
artificial_dataset.train,
freq=artificial_dataset.metadata.freq
)
test_ds = ListDataset(
artificial_dataset.test,
freq=artificial_dataset.metadata.freq
)
train_entry = next(iter(train_ds))
print(train_entry.keys())
test_entry = next(iter(test_ds))
print(test_entry.keys())
test_series = to_pandas(test_entry)
train_series = to_pandas(train_entry)
fig, ax = plt.subplots(2, 1, sharex=True, sharey=True, figsize=(10, 7))
train_series.plot(ax=ax[0])
ax[0].grid(which="both")
ax[0].legend(["train series"], loc="upper left")
test_series.plot(ax=ax[1])
ax[1].axvline(train_series.index[-1], color="r") # End of train dataset.
ax[1].grid(which="both")
ax[1].legend(["test series", "end of train series"], loc="upper left")
plt.show()
#--------------------
# Use your time series and features.
[f"FieldName.{k} = '{v}'" for k, v in FieldName.__dict__.items() if not k.startswith("_")]
def create_dataset(num_series, num_steps, period=24, mu=1, sigma=0.3):
# Create target: noise + pattern.
# Noise.
noise = np.random.normal(mu, sigma, size=(num_series, num_steps))
# Pattern - sinusoid with different phase.
sin_minusPi_Pi = np.sin(np.tile(np.linspace(-np.pi, np.pi, period), int(num_steps / period)))
sin_Zero_2Pi = np.sin(np.tile(np.linspace(0, 2 * np.pi, 24), int(num_steps / period)))
pattern = np.concatenate(
(
np.tile(
sin_minusPi_Pi.reshape(1, -1),
(int(np.ceil(num_series / 2)),1)
),
np.tile(
sin_Zero_2Pi.reshape(1, -1),
(int(np.floor(num_series / 2)), 1)
)
),
axis=0
)
target = noise + pattern
# Create time features: use target one period earlier, append with zeros.
feat_dynamic_real = np.concatenate(
(
np.zeros((num_series, period)),
target[:, :-period]
),
axis=1
)
# Create categorical static feats: use the sinusoid type as a categorical feature.
feat_static_cat = np.concatenate(
(
np.zeros(int(np.ceil(num_series / 2))),
np.ones(int(np.floor(num_series / 2)))
),
axis=0
)
return target, feat_dynamic_real, feat_static_cat
# Define the parameters of the dataset.
custom_ds_metadata = {
"num_series": 100,
"num_steps": 24 * 7,
"prediction_length": 24,
"freq": "1H",
"start": [
pd.Timestamp("01-01-2019", freq="1H")
for _ in range(100)
]
}
data_out = create_dataset(
custom_ds_metadata["num_series"],
custom_ds_metadata["num_steps"],
custom_ds_metadata["prediction_length"]
)
target, feat_dynamic_real, feat_static_cat = data_out
train_ds = ListDataset(
[
{
FieldName.TARGET: target,
FieldName.START: start,
FieldName.FEAT_DYNAMIC_REAL: [fdr],
FieldName.FEAT_STATIC_CAT: [fsc]
}
for (target, start, fdr, fsc) in zip(
target[:, :-custom_ds_metadata["prediction_length"]],
custom_ds_metadata["start"],
feat_dynamic_real[:, :-custom_ds_metadata["prediction_length"]],
feat_static_cat
)
],
freq=custom_ds_metadata["freq"]
)
test_ds = ListDataset(
[
{
FieldName.TARGET: target,
FieldName.START: start,
FieldName.FEAT_DYNAMIC_REAL: [fdr],
FieldName.FEAT_STATIC_CAT: [fsc]
}
for (target, start, fdr, fsc) in zip(
target,
custom_ds_metadata["start"],
feat_dynamic_real,
feat_static_cat)
],
freq=custom_ds_metadata["freq"]
)
train_entry = next(iter(train_ds))
print(train_entry.keys())
test_entry = next(iter(test_ds))
print(test_entry.keys())
test_series = to_pandas(test_entry)
train_series = to_pandas(train_entry)
fig, ax = plt.subplots(2, 1, sharex=True, sharey=True, figsize=(10, 7))
train_series.plot(ax=ax[0])
ax[0].grid(which="both")
ax[0].legend(["train series"], loc="upper left")
test_series.plot(ax=ax[1])
ax[1].axvline(train_series.index[-1], color="r") # End of train dataset
ax[1].grid(which="both")
ax[1].legend(["test series", "end of train series"], loc="upper left")
plt.show()
#--------------------
# Transformations.
from gluonts.transform import (
AddAgeFeature,
AddObservedValuesIndicator,
Chain,
ExpectedNumInstanceSampler,
InstanceSplitter,
SetFieldIfNotPresent,
)
# Define a transformation.
def create_transformation(freq, context_length, prediction_length):
return Chain(
[
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=prediction_length,
log_scale=True,
),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=ExpectedNumInstanceSampler(
num_instances=1,
min_future=prediction_length,
),
past_length=context_length,
future_length=prediction_length,
time_series_fields=[
FieldName.FEAT_AGE,
FieldName.FEAT_DYNAMIC_REAL,
FieldName.OBSERVED_VALUES,
],
),
]
)
# Transform a dataset.
transformation = create_transformation(
custom_ds_metadata["freq"],
2 * custom_ds_metadata["prediction_length"], # Can be any appropriate value.
custom_ds_metadata["prediction_length"]
)
train_tf = transformation(iter(train_ds), is_train=True)
type(train_tf)
train_tf_entry = next(iter(train_tf))
print([k for k in train_tf_entry.keys()])
print(f"past target shape: {train_tf_entry['past_target'].shape}")
print(f"future target shape: {train_tf_entry['future_target'].shape}")
print(f"past observed values shape: {train_tf_entry['past_observed_values'].shape}")
print(f"future observed values shape: {train_tf_entry['future_observed_values'].shape}")
print(f"past age feature shape: {train_tf_entry['past_feat_dynamic_age'].shape}")
print(f"future age feature shape: {train_tf_entry['future_feat_dynamic_age'].shape}")
print(train_tf_entry["feat_static_cat"])
print([k for k in next(iter(train_ds)).keys()])
test_tf = transformation(iter(test_ds), is_train=False)
test_tf_entry = next(iter(test_tf))
print([k for k in test_tf_entry.keys()])
print(f"past target shape: {test_tf_entry['past_target'].shape}")
print(f"future target shape: {test_tf_entry['future_target'].shape}")
print(f"past observed values shape: {test_tf_entry['past_observed_values'].shape}")
print(f"future observed values shape: {test_tf_entry['future_observed_values'].shape}")
print(f"past age feature shape: {test_tf_entry['past_feat_dynamic_age'].shape}")
print(f"future age feature shape: {test_tf_entry['future_feat_dynamic_age'].shape}")
print(test_tf_entry["feat_static_cat"])
#--------------------
# Training an existing model.
# Configuring an estimator.
estimator = SimpleFeedForwardEstimator(
num_hidden_dimensions=[10],
prediction_length=custom_ds_metadata["prediction_length"],
context_length=2*custom_ds_metadata["prediction_length"],
freq=custom_ds_metadata["freq"],
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
hybridize=False,
num_batches_per_epoch=100
)
)
# Getting a predictor.
predictor = estimator.train(train_ds)
#--------------------
# Saving/Loading an existing model.
# Save the trained model in tmp/.
predictor.serialize(Path("/tmp/"))
# Loads it back.
predictor_deserialized = Predictor.deserialize(Path("/tmp/"))
#--------------------
# Evaluation.
# Getting the forecasts.
forecast_it, ts_it = make_evaluation_predictions(
dataset=test_ds, # Test dataset.
predictor=predictor, # Predictor.
num_samples=100, # Number of sample paths we want for evaluation.
)
forecasts = list(forecast_it)
tss = list(ts_it)
# First entry of the time series list
ts_entry = tss[0]
# First 5 values of the time series (convert from pandas to numpy)
np.array(ts_entry[:5]).reshape(-1,)
# First entry of test_ds
test_ds_entry = next(iter(test_ds))
# First 5 values
test_ds_entry["target"][:5]
# First entry of the forecast list
forecast_entry = forecasts[0]
print(f"Number of sample paths: {forecast_entry.num_samples}")
print(f"Dimension of samples: {forecast_entry.samples.shape}")
print(f"Start date of the forecast window: {forecast_entry.start_date}")
print(f"Frequency of the time series: {forecast_entry.freq}")
print(f"Mean of the future window:\n {forecast_entry.mean}")
print(f"0.5-quantile (median) of the future window:\n {forecast_entry.quantile(0.5)}")
def plot_prob_forecasts(ts_entry, forecast_entry):
plot_length = 150
prediction_intervals = (50.0, 90.0)
legend = ["observations", "median prediction"] + [f"{k}% prediction interval" for k in prediction_intervals][::-1]
fig, ax = plt.subplots(1, 1, figsize=(10, 7))
ts_entry[-plot_length:].plot(ax=ax) # plot the time series
forecast_entry.plot(prediction_intervals=prediction_intervals, color="g")
plt.grid(which="both")
plt.legend(legend, loc="upper left")
plt.show()
plot_prob_forecasts(ts_entry, forecast_entry)
# Compute metrics.
evaluator = Evaluator(quantiles=[0.1, 0.5, 0.9])
agg_metrics, item_metrics = evaluator(iter(tss), iter(forecasts), num_series=len(test_ds))
print(json.dumps(agg_metrics, indent=4))
print(item_metrics.head())
item_metrics.plot(x="MSIS", y="MASE", kind="scatter")
plt.grid(which="both")
plt.show()
#--------------------
# Create your own model.
from gluonts.core.component import validated
from gluonts.dataset.loader import TrainDataLoader
from gluonts.mx import (
as_in_context,
batchify,
copy_parameters,
get_hybrid_forward_input_names,
GluonEstimator,
RepresentableBlockPredictor,
)
from gluonts.transform import (
ExpectedNumInstanceSampler,
Transformation,
InstanceSplitter,
TestSplitSampler,
SelectFields,
Chain
)
# Point forecasts with a simple feedforward network.
class MyNetwork(mx.gluon.HybridBlock):
def __init__(self, prediction_length, num_cells, **kwargs):
super().__init__(**kwargs)
self.prediction_length = prediction_length
self.num_cells = num_cells
with self.name_scope():
# Set up a 3 layer neural network that directly predicts the target values.
self.nn = mx.gluon.nn.HybridSequential()
self.nn.add(mx.gluon.nn.Dense(units=self.num_cells, activation="relu"))
self.nn.add(mx.gluon.nn.Dense(units=self.num_cells, activation="relu"))
self.nn.add(mx.gluon.nn.Dense(units=self.prediction_length, activation="softrelu"))
class MyTrainNetwork(MyNetwork):
def hybrid_forward(self, F, past_target, future_target):
prediction = self.nn(past_target)
# Calculate L1 loss with the future_target to learn the median.
return (prediction - future_target).abs().mean(axis=-1)
class MyPredNetwork(MyTrainNetwork):
# The prediction network only receives past_target and returns predictions.
def hybrid_forward(self, F, past_target):
prediction = self.nn(past_target)
return prediction.expand_dims(axis=1)
class MyEstimator(GluonEstimator):
@validated()
def __init__(
self,
prediction_length: int,
context_length: int,
freq: str,
num_cells: int,
batch_size: int = 32,
trainer: Trainer = Trainer()
) -> None:
super().__init__(trainer=trainer, batch_size=batch_size)
self.prediction_length = prediction_length
self.context_length = context_length
self.freq = freq
self.num_cells = num_cells
def create_transformation(self):
return Chain([])
def create_training_data_loader(self, dataset, **kwargs):
instance_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=ExpectedNumInstanceSampler(
num_instances=1,
min_future=self.prediction_length
),
past_length=self.context_length,
future_length=self.prediction_length,
)
input_names = get_hybrid_forward_input_names(MyTrainNetwork)
return TrainDataLoader(
dataset=dataset,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=functools.partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
decode_fn=functools.partial(as_in_context, ctx=self.trainer.ctx),
**kwargs,
)
def create_training_network(self) -> MyTrainNetwork:
return MyTrainNetwork(
prediction_length=self.prediction_length,
num_cells = self.num_cells
)
def create_predictor(
self, transformation: Transformation, trained_network: mx.gluon.HybridBlock
) -> Predictor:
prediction_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
past_length=self.context_length,
future_length=self.prediction_length,
)
prediction_network = MyPredNetwork(
prediction_length=self.prediction_length,
num_cells=self.num_cells
)
copy_parameters(trained_network, prediction_network)
return RepresentableBlockPredictor(
input_transform=transformation + prediction_splitter,
prediction_net=prediction_network,
batch_size=self.trainer.batch_size,
freq=self.freq,
prediction_length=self.prediction_length,
ctx=self.trainer.ctx,
)
estimator = MyEstimator(
prediction_length=custom_ds_metadata["prediction_length"],
context_length=2*custom_ds_metadata["prediction_length"],
freq=custom_ds_metadata["freq"],
num_cells=40,
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
hybridize=False,
num_batches_per_epoch=100
)
)
predictor = estimator.train(train_ds)
forecasts = list(forecast_it)
tss = list(ts_it)
plot_prob_forecasts(tss[0], forecasts[0])
# Probabilistic forecasting.
class MyProbNetwork(mx.gluon.HybridBlock):
def __init__(
self,
prediction_length,
distr_output,
num_cells,
num_sample_paths=100,
**kwargs
) -> None:
super().__init__(**kwargs)
self.prediction_length = prediction_length
self.distr_output = distr_output
self.num_cells = num_cells
self.num_sample_paths = num_sample_paths
self.proj_distr_args = distr_output.get_args_proj()
with self.name_scope():
# Set up a 2 layer neural network that its ouput will be projected to the distribution parameters.
self.nn = mx.gluon.nn.HybridSequential()
self.nn.add(mx.gluon.nn.Dense(units=self.num_cells, activation="relu"))
self.nn.add(mx.gluon.nn.Dense(units=self.prediction_length * self.num_cells, activation="relu"))
class MyProbTrainNetwork(MyProbNetwork):
def hybrid_forward(self, F, past_target, future_target):
# Compute network output.
net_output = self.nn(past_target)
# (batch, prediction_length * nn_features) -> (batch, prediction_length, nn_features).
net_output = net_output.reshape(0, self.prediction_length, -1)
# Project network output to distribution parameters domain.
distr_args = self.proj_distr_args(net_output)
# Compute distribution.
distr = self.distr_output.distribution(distr_args)
# Negative log-likelihood.
loss = distr.loss(future_target)
return loss
class MyProbPredNetwork(MyProbTrainNetwork):
# The prediction network only receives past_target and returns predictions.
def hybrid_forward(self, F, past_target):
# Repeat past target: from (batch_size, past_target_length) to
# (batch_size * num_sample_paths, past_target_length).
repeated_past_target = past_target.repeat(
repeats=self.num_sample_paths, axis=0
)
# Compute network output.
net_output = self.nn(repeated_past_target)
# (batch * num_sample_paths, prediction_length * nn_features) -> (batch * num_sample_paths, prediction_length, nn_features).
net_output = net_output.reshape(0, self.prediction_length, -1)
# Rroject network output to distribution parameters domain.
distr_args = self.proj_distr_args(net_output)
# Compute distribution.
distr = self.distr_output.distribution(distr_args)
# Get (batch_size * num_sample_paths, prediction_length) samples.
samples = distr.sample()
# Reshape from (batch_size * num_sample_paths, prediction_length) to
# (batch_size, num_sample_paths, prediction_length).
return samples.reshape(shape=(-1, self.num_sample_paths, self.prediction_length))
class MyProbEstimator(GluonEstimator):
@validated()
def __init__(
self,
prediction_length: int,
context_length: int,
freq: str,
distr_output: DistributionOutput,
num_cells: int,
num_sample_paths: int = 100,
batch_size: int = 32,
trainer: Trainer = Trainer()
) -> None:
super().__init__(trainer=trainer, batch_size=batch_size)
self.prediction_length = prediction_length
self.context_length = context_length
self.freq = freq
self.distr_output = distr_output
self.num_cells = num_cells
self.num_sample_paths = num_sample_paths
def create_transformation(self):
return Chain([])
def create_training_data_loader(self, dataset, **kwargs):
instance_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=ExpectedNumInstanceSampler(
num_instances=1,
min_future=self.prediction_length
),
past_length=self.context_length,
future_length=self.prediction_length,
)
input_names = get_hybrid_forward_input_names(MyProbTrainNetwork)
return TrainDataLoader(
dataset=dataset,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=functools.partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
decode_fn=functools.partial(as_in_context, ctx=self.trainer.ctx),
**kwargs,
)
def create_training_network(self) -> MyProbTrainNetwork:
return MyProbTrainNetwork(
prediction_length=self.prediction_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_sample_paths=self.num_sample_paths
)
def create_predictor(
self, transformation: Transformation, trained_network: mx.gluon.HybridBlock
) -> Predictor:
prediction_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
past_length=self.context_length,
future_length=self.prediction_length,
)
prediction_network = MyProbPredNetwork(
prediction_length=self.prediction_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_sample_paths=self.num_sample_paths
)
copy_parameters(trained_network, prediction_network)
return RepresentableBlockPredictor(
input_transform=transformation + prediction_splitter,
prediction_net=prediction_network,
batch_size=self.trainer.batch_size,
freq=self.freq,
prediction_length=self.prediction_length,
ctx=self.trainer.ctx,
)
estimator = MyProbEstimator(
prediction_length=custom_ds_metadata["prediction_length"],
context_length=2*custom_ds_metadata["prediction_length"],
freq=custom_ds_metadata["freq"],
distr_output=GaussianOutput(),
num_cells=40,
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
hybridize=False,
num_batches_per_epoch=100
)
)
predictor = estimator.train(train_ds)
forecast_it, ts_it = make_evaluation_predictions(
dataset=test_ds, # Test dataset.
predictor=predictor, # Predictor.
num_samples=100, # Number of sample paths we want for evaluation.
)
forecasts = list(forecast_it)
tss = list(ts_it)
plot_prob_forecasts(tss[0], forecasts[0])
#--------------------
# Add features and scaling.
class MyProbNetwork(mx.gluon.HybridBlock):
def __init__(
self,
prediction_length,
context_length,
distr_output,
num_cells,
num_sample_paths=100,
scaling=True,
**kwargs
) -> None:
super().__init__(**kwargs)
self.prediction_length = prediction_length
self.context_length = context_length
self.distr_output = distr_output
self.num_cells = num_cells
self.num_sample_paths = num_sample_paths
self.proj_distr_args = distr_output.get_args_proj()
self.scaling = scaling
with self.name_scope():
# Set up a 2 layer neural network that its ouput will be projected to the distribution parameters.
self.nn = mx.gluon.nn.HybridSequential()
self.nn.add(mx.gluon.nn.Dense(units=self.num_cells, activation="relu"))
self.nn.add(mx.gluon.nn.Dense(units=self.prediction_length * self.num_cells, activation="relu"))
if scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
def compute_scale(self, past_target, past_observed_values):
# Scale shape is (batch_size, 1).
_, scale = self.scaler(
past_target.slice_axis(
axis=1, begin=-self.context_length, end=None
),
past_observed_values.slice_axis(
axis=1, begin=-self.context_length, end=None
),
)
return scale
class MyProbTrainNetwork(MyProbNetwork):
def hybrid_forward(self, F, past_target, future_target, past_observed_values, past_feat_dynamic_real):
# Compute scale.
scale = self.compute_scale(past_target, past_observed_values)
# Scale target and time features.
past_target_scale = F.broadcast_div(past_target, scale)
past_feat_dynamic_real_scale = F.broadcast_div(past_feat_dynamic_real.squeeze(axis=-1), scale)
# Concatenate target and time features to use them as input to the network.
net_input = F.concat(past_target_scale, past_feat_dynamic_real_scale, dim=-1)
# Compute network output.
net_output = self.nn(net_input)
# (batch, prediction_length * nn_features) -> (batch, prediction_length, nn_features).
net_output = net_output.reshape(0, self.prediction_length, -1)
# Project network output to distribution parameters domain.
distr_args = self.proj_distr_args(net_output)
# Compute distribution.
distr = self.distr_output.distribution(distr_args, scale=scale)
# Negative log-likelihood.
loss = distr.loss(future_target)
return loss
class MyProbPredNetwork(MyProbTrainNetwork):
# The prediction network only receives past_target and returns predictions.
def hybrid_forward(self, F, past_target, past_observed_values, past_feat_dynamic_real):
# Repeat fields: from (batch_size, past_target_length) to
# (batch_size * num_sample_paths, past_target_length).
repeated_past_target = past_target.repeat(
repeats=self.num_sample_paths, axis=0
)
repeated_past_observed_values = past_observed_values.repeat(
repeats=self.num_sample_paths, axis=0
)
repeated_past_feat_dynamic_real = past_feat_dynamic_real.repeat(
repeats=self.num_sample_paths, axis=0
)
# Compute scale.
scale = self.compute_scale(repeated_past_target, repeated_past_observed_values)
# Scale repeated target and time features.
repeated_past_target_scale = F.broadcast_div(repeated_past_target, scale)
repeated_past_feat_dynamic_real_scale = F.broadcast_div(repeated_past_feat_dynamic_real.squeeze(axis=-1), scale)
# Concatenate target and time features to use them as input to the network.
net_input = F.concat(repeated_past_target_scale, repeated_past_feat_dynamic_real_scale, dim=-1)
# Compute network oputput.
net_output = self.nn(net_input)
# (batch * num_sample_paths, prediction_length * nn_features) -> (batch * num_sample_paths, prediction_length, nn_features).
net_output = net_output.reshape(0, self.prediction_length, -1)
# Project network output to distribution parameters domain.
distr_args = self.proj_distr_args(net_output)
# Pompute distribution.
distr = self.distr_output.distribution(distr_args, scale=scale)
# Get (batch_size * num_sample_paths, prediction_length) samples.
samples = distr.sample()
# Reshape from (batch_size * num_sample_paths, prediction_length) to
# (batch_size, num_sample_paths, prediction_length).
return samples.reshape(shape=(-1, self.num_sample_paths, self.prediction_length))
class MyProbEstimator(GluonEstimator):
@validated()
def __init__(
self,
prediction_length: int,
context_length: int,
freq: str,
distr_output: DistributionOutput,
num_cells: int,
num_sample_paths: int = 100,
scaling: bool = True,
batch_size: int = 32,
trainer: Trainer = Trainer()
) -> None:
super().__init__(trainer=trainer, batch_size=batch_size)
self.prediction_length = prediction_length
self.context_length = context_length
self.freq = freq
self.distr_output = distr_output
self.num_cells = num_cells
self.num_sample_paths = num_sample_paths
self.scaling = scaling
def create_transformation(self):
# Feature transformation that the model uses for input.
return AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
)
def create_training_data_loader(self, dataset, **kwargs):
instance_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=ExpectedNumInstanceSampler(
num_instances=1,
min_future=self.prediction_length
),
past_length=self.context_length,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_DYNAMIC_REAL,
FieldName.OBSERVED_VALUES,
],
)
input_names = get_hybrid_forward_input_names(MyProbTrainNetwork)
return TrainDataLoader(
dataset=dataset,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=functools.partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
decode_fn=functools.partial(as_in_context, ctx=self.trainer.ctx),
**kwargs,
)
def create_training_network(self) -> MyProbTrainNetwork:
return MyProbTrainNetwork(
prediction_length=self.prediction_length,
context_length=self.context_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_sample_paths=self.num_sample_paths,
scaling=self.scaling
)
def create_predictor(
self, transformation: Transformation, trained_network: mx.gluon.HybridBlock
) -> Predictor:
prediction_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
past_length=self.context_length,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_DYNAMIC_REAL,
FieldName.OBSERVED_VALUES,
],
)
prediction_network = MyProbPredNetwork(
prediction_length=self.prediction_length,
context_length=self.context_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_sample_paths=self.num_sample_paths,
scaling=self.scaling
)
copy_parameters(trained_network, prediction_network)
return RepresentableBlockPredictor(
input_transform=transformation + prediction_splitter,
prediction_net=prediction_network,
batch_size=self.trainer.batch_size,
freq=self.freq,
prediction_length=self.prediction_length,
ctx=self.trainer.ctx,
)
estimator = MyProbEstimator(
prediction_length=custom_ds_metadata["prediction_length"],
context_length=2*custom_ds_metadata["prediction_length"],
freq=custom_ds_metadata["freq"],
distr_output=GaussianOutput(),
num_cells=40,
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
hybridize=False,
num_batches_per_epoch=100
)
)
predictor = estimator.train(train_ds)
forecast_it, ts_it = make_evaluation_predictions(
dataset=test_ds, # Test dataset.
predictor=predictor, # Predictor.
num_samples=100, # Number of sample paths we want for evaluation.
)
forecasts = list(forecast_it)
tss = list(ts_it)
plot_prob_forecasts(tss[0], forecasts[0])
#--------------------
# From feedforward to RNN.
class MyProbRNN(mx.gluon.HybridBlock):
def __init__(self,
prediction_length,
context_length,
distr_output,
num_cells,
num_layers,
num_sample_paths=100,
scaling=True,
**kwargs
) -> None:
super().__init__(**kwargs)
self.prediction_length = prediction_length
self.context_length = context_length
self.distr_output = distr_output
self.num_cells = num_cells
self.num_layers = num_layers
self.num_sample_paths = num_sample_paths
self.proj_distr_args = distr_output.get_args_proj()
self.scaling = scaling
with self.name_scope():
self.rnn = mx.gluon.rnn.HybridSequentialRNNCell()
for k in range(self.num_layers):
cell = mx.gluon.rnn.LSTMCell(hidden_size=self.num_cells)
cell = mx.gluon.rnn.ResidualCell(cell) if k > 0 else cell
self.rnn.add(cell)
if scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
def compute_scale(self, past_target, past_observed_values):
# Scale is computed on the context length last units of the past target
# scale shape is (batch_size, 1, *target_shape).
_, scale = self.scaler(
past_target.slice_axis(
axis=1, begin=-self.context_length, end=None
),
past_observed_values.slice_axis(
axis=1, begin=-self.context_length, end=None
),
)
return scale
def unroll_encoder(
self,
F,
past_target,
past_observed_values,
future_target=None,
future_observed_values=None
):
# Overall target field.
# Input target from -(context_length + prediction_length + 1) to -1.
if future_target is not None: # during training
target_in = F.concat(
past_target, future_target, dim=-1
).slice_axis(
axis=1, begin=-(self.context_length + self.prediction_length + 1), end=-1
)
# Overall observed_values field.
# Input observed_values corresponding to target_in.
observed_values_in = F.concat(
past_observed_values, future_observed_values, dim=-1
).slice_axis(
axis=1, begin=-(self.context_length + self.prediction_length + 1), end=-1
)
rnn_length = self.context_length + self.prediction_length
else: # During inference.
target_in = past_target.slice_axis(
axis=1, begin=-(self.context_length + 1), end=-1
)
# Overall observed_values field.
# Input observed_values corresponding to target_in.
observed_values_in = past_observed_values.slice_axis(
axis=1, begin=-(self.context_length + 1), end=-1
)
rnn_length = self.context_length
# Compute scale.
scale = self.compute_scale(target_in, observed_values_in)
# Scale target_in.
target_in_scale = F.broadcast_div(target_in, scale)
# Compute network output.
net_output, states = self.rnn.unroll(
inputs=target_in_scale,
length=rnn_length,
layout="NTC",
merge_outputs=True,
)
return net_output, states, scale
class MyProbTrainRNN(MyProbRNN):
def hybrid_forward(
self,
F,
past_target,
future_target,
past_observed_values,
future_observed_values
):
net_output, _, scale = self.unroll_encoder(
F, past_target, past_observed_values, future_target, future_observed_values
)
# Output target from -(context_length + prediction_length) to end.
target_out = F.concat(
past_target, future_target, dim=-1
).slice_axis(
axis=1, begin=-(self.context_length + self.prediction_length), end=None
)
# Project network output to distribution parameters domain.
distr_args = self.proj_distr_args(net_output)
# Compute distribution
distr = self.distr_output.distribution(distr_args, scale=scale)
# Negative log-likelihood.
loss = distr.loss(target_out)
return loss
class MyProbPredRNN(MyProbTrainRNN):
def sample_decoder(self, F, past_target, states, scale):
# Repeat fields: from (batch_size, past_target_length) to
# (batch_size * num_sample_paths, past_target_length).
repeated_states = [
s.repeat(repeats=self.num_sample_paths, axis=0)
for s in states
]
repeated_scale = scale.repeat(repeats=self.num_sample_paths, axis=0)
# First decoder input is the last value of the past_target, i.e.,
# the previous value of the first time step we want to forecast.
decoder_input = past_target.slice_axis(
axis=1, begin=-1, end=None
).repeat(
repeats=self.num_sample_paths, axis=0
)
# List with samples at each time step.
future_samples = []
# For each future time step we draw new samples for this time step and update the state
# the drawn samples are the inputs to the rnn at the next time step.
for k in range(self.prediction_length):
rnn_outputs, repeated_states = self.rnn.unroll(
inputs=decoder_input,
length=1,
begin_state=repeated_states,
layout="NTC",
merge_outputs=True,
)
# Project network output to distribution parameters domain.
distr_args = self.proj_distr_args(rnn_outputs)
# Compute distribution.
distr = self.distr_output.distribution(distr_args, scale=repeated_scale)
# Draw samples (batch_size * num_samples, 1).
new_samples = distr.sample()
# Append the samples of the current time step.
future_samples.append(new_samples)
# Update decoder input for the next time step.
decoder_input = new_samples
samples = F.concat(*future_samples, dim=1)
# (batch_size, num_samples, prediction_length).
return samples.reshape(shape=(-1, self.num_sample_paths, self.prediction_length))
def hybrid_forward(self, F, past_target, past_observed_values):
# Unroll encoder over context_length.
net_output, states, scale = self.unroll_encoder(
F, past_target, past_observed_values
)
samples = self.sample_decoder(F, past_target, states, scale)
return samples
class MyProbRNNEstimator(GluonEstimator):
@validated()
def __init__(
self,
prediction_length: int,
context_length: int,
freq: str,
distr_output: DistributionOutput,
num_cells: int,
num_layers: int,
num_sample_paths: int = 100,
scaling: bool = True,
batch_size: int = 32,
trainer: Trainer = Trainer()
) -> None:
super().__init__(trainer=trainer, batch_size=batch_size)
self.prediction_length = prediction_length
self.context_length = context_length
self.freq = freq
self.distr_output = distr_output
self.num_cells = num_cells
self.num_layers = num_layers
self.num_sample_paths = num_sample_paths
self.scaling = scaling
def create_transformation(self):
# Feature transformation that the model uses for input.
return AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
)
def create_training_data_loader(self, dataset, **kwargs):
instance_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=ExpectedNumInstanceSampler(
num_instances=1,
min_future=self.prediction_length,
),
past_length=self.context_length + 1,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_DYNAMIC_REAL,
FieldName.OBSERVED_VALUES,
],
)
input_names = get_hybrid_forward_input_names(MyProbTrainRNN)
return TrainDataLoader(
dataset=dataset,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=functools.partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
decode_fn=functools.partial(as_in_context, ctx=self.trainer.ctx),
**kwargs,
)
def create_training_network(self) -> MyProbTrainRNN:
return MyProbTrainRNN(
prediction_length=self.prediction_length,
context_length=self.context_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_layers=self.num_layers,
num_sample_paths=self.num_sample_paths,
scaling=self.scaling
)
def create_predictor(
self, transformation: Transformation, trained_network: mx.gluon.HybridBlock
) -> Predictor:
prediction_splitter = InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
past_length=self.context_length + 1,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_DYNAMIC_REAL,
FieldName.OBSERVED_VALUES,
],
)
prediction_network = MyProbPredRNN(
prediction_length=self.prediction_length,
context_length=self.context_length,
distr_output=self.distr_output,
num_cells=self.num_cells,
num_layers=self.num_layers,
num_sample_paths=self.num_sample_paths,
scaling=self.scaling
)
copy_parameters(trained_network, prediction_network)
return RepresentableBlockPredictor(
input_transform=transformation + prediction_splitter,
prediction_net=prediction_network,
batch_size=self.trainer.batch_size,
freq=self.freq,
prediction_length=self.prediction_length,
ctx=self.trainer.ctx,
)
estimator = MyProbRNNEstimator(
prediction_length=24,
context_length=48,
freq="1H",
num_cells=40,
num_layers=2,
distr_output=GaussianOutput(),
trainer=Trainer(
ctx="cpu",
epochs=5,
learning_rate=1e-3,
hybridize=False,
num_batches_per_epoch=100
)
)
predictor = estimator.train(train_ds)
forecast_it, ts_it = make_evaluation_predictions(
dataset=test_ds, # Test dataset.
predictor=predictor, # Predictor.
num_samples=100, # Number of sample paths we want for evaluation.
)
forecasts = list(forecast_it)
tss = list(ts_it)
plot_prob_forecasts(tss[0], forecasts[0])