def run_test(env: TrainEnv, predictor: Predictor,
test_dataset: Dataset) -> None:
len_original = maybe_len(test_dataset)
test_dataset = TransformedDataset(
base_dataset=test_dataset,
transformations=[
FilterTransformation(
lambda x: x["target"].shape[-1] > predictor.prediction_length)
],
)
len_filtered = len(test_dataset)
if len_original is not None and len_original > len_filtered:
logger.warning(
f"Not all time-series in the test-channel have "
f"enough data to be used for evaluation. Proceeding with "
f"{len_filtered}/{len_original} "
f"(~{int(len_filtered / len_original * 100)}%) items.")
forecast_it, ts_it = backtest.make_evaluation_predictions(
dataset=test_dataset, predictor=predictor, num_samples=100)
agg_metrics, _item_metrics = Evaluator()(
ts_iterator=ts_it,
fcst_iterator=forecast_it,
num_series=len(test_dataset),
)
# we only log aggregate metrics for now as item metrics may be very large
for name, score in agg_metrics.items():
logger.info(f"#test_score ({env.current_host}, {name}): {score}")
def create_validation_data_loader(
self,
data: Dataset,
**kwargs,
) -> DataLoader:
input_names = get_hybrid_forward_input_names(DeepStateTrainingNetwork)
with env._let(max_idle_transforms=maybe_len(data) or 0):
instance_splitter = self._create_instance_splitter("validation")
return ValidationDataLoader(
dataset=data,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
)
def run_test(
env: TrainEnv, predictor: Predictor, test_dataset: Dataset
) -> None:
len_original = maybe_len(test_dataset)
test_dataset = TransformedDataset(
test_dataset,
FilterTransformation(
lambda x: x["target"].shape[-1] > predictor.prediction_length
),
)
len_filtered = len(test_dataset)
if len_original is not None and len_original > len_filtered:
logger.warning(
f"Not all time-series in the test-channel have "
f"enough data to be used for evaluation. Proceeding with "
f"{len_filtered}/{len_original} "
f"(~{int(len_filtered / len_original * 100)}%) items."
)
forecast_it, ts_it = backtest.make_evaluation_predictions(
dataset=test_dataset, predictor=predictor, num_samples=100
)
if isinstance(predictor, RepresentableBlockPredictor) and isinstance(
predictor.forecast_generator, QuantileForecastGenerator
):
quantiles = predictor.forecast_generator.quantiles
logger.info(f"Using quantiles `{quantiles}` for evaluation.")
evaluator = Evaluator(quantiles=quantiles)
else:
evaluator = Evaluator()
agg_metrics, item_metrics = evaluator(
ts_iterator=ts_it,
fcst_iterator=forecast_it,
num_series=len(test_dataset),
)
# we only log aggregate metrics for now as item metrics may be very large
for name, score in agg_metrics.items():
logger.info(f"#test_score ({env.current_host}, {name}): {score}")
# store metrics
with open(env.path.model / "agg_metrics.json", "w") as agg_metric_file:
json.dump(agg_metrics, agg_metric_file)
with open(env.path.model / "item_metrics.csv", "w") as item_metrics_file:
item_metrics.to_csv(item_metrics_file, index=False)
def create_training_data_loader(
self,
data: Dataset,
**kwargs,
) -> DataLoader:
with env._let(max_idle_transforms=maybe_len(data) or 0):
train_transform = (self._create_instance_splitter("training") +
self._create_post_split_transform() +
SelectFields(["past_target", "valid_length"]))
return TrainDataLoader(
train_transform.apply(Cyclic(data)),
batch_size=self.batch_size,
stack_fn=self._stack_fn(),
decode_fn=partial(as_in_context, ctx=self.trainer.ctx),
)
def create_training_data_loader(
self,
data: Dataset,
**kwargs,
) -> DataLoader:
input_names = get_hybrid_forward_input_names(GPVARTrainingNetwork)
with env._let(max_idle_transforms=maybe_len(data) or 0):
instance_splitter = self._create_instance_splitter("training")
return TrainDataLoader(
dataset=data,
transform=instance_splitter + SelectFields(input_names),
batch_size=self.batch_size,
stack_fn=partial(batchify, ctx=self.trainer.ctx, dtype=self.dtype),
decode_fn=partial(as_in_context, ctx=self.trainer.ctx),
**kwargs,
)
def create_validation_data_loader(
self,
data: Dataset,
**kwargs,
) -> DataLoader:
with env._let(max_idle_transforms=maybe_len(data) or 0):
validation_transform = (
self._create_instance_splitter("validation")
+ self._create_post_split_transform()
+ SelectFields(["past_target", "valid_length"])
)
return ValidationDataLoader(
validation_transform.apply(data),
batch_size=self.batch_size,
stack_fn=self._stack_fn(),
)
def generate_forecasts(
predictor: Predictor,
dataset: Dataset,
num_samples: int = 100,
parallelize: bool = False,
) -> Tuple[QuantileForecasts, float]:
"""
Generates the predictions of the given predictor for the provided dataset.
The returned prediction object provides the forecasts along with some
metadata.
Args:
predictor: The predictor which is used to make forecasts.
dataset: The GluonTS dataset which is used for testing.
num_samples: The number of samples to use for making predictions.
parallelize: Whether predictions ought to be parallelized.
Returns:
The forecasts for the dataset.
The average latency for generating a single forecast.
"""
if parallelize:
predictor = ParallelizedPredictor(predictor,
num_workers=os.cpu_count())
# First, perform the predictions...
tic = time.time()
forecast_pred, _ = make_evaluation_predictions(dataset, predictor,
num_samples)
# ...and compute the quantiles
quantiles = [f"0.{i+1}" for i in range(9)]
forecasts = []
for i, forecast in tqdm(
enumerate(forecast_pred),
total=maybe_len(dataset),
disable=not env.use_tqdm,
):
result = None
if isinstance(forecast, QuantileForecast):
if forecast.forecast_keys == quantiles:
result = forecast
elif isinstance(forecast, SampleForecast):
quantile_forecast = forecast.to_quantile_forecast(
quantiles) # type: ignore
result = quantile_forecast
if result is None:
# If none of the above checks added a quantile forecast, we resort to a method that
# should work on all types of forecasts
result = QuantileForecast(
forecast_arrays=np.stack(
[forecast.quantile(q) for q in quantiles], axis=0),
start_date=forecast.start_date,
freq=forecast.freq,
forecast_keys=quantiles,
item_id=forecast.item_id,
)
if result.item_id is None:
result.item_id = i
forecasts.append(result)
toc = time.time()
# Then, we compute the prediction latency
latency = (toc - tic) / len(dataset)
if parallelize:
# We observed that N CPUs only brought a speedup of ~N/2
latency = latency * (cast(int, os.cpu_count()) / 2)
# And convert the list of forecasts into a QuantileForecasts object
quantile_forecasts = QuantileForecasts(
values=np.stack([f.forecast_array for f in forecasts]),
start_dates=np.array([f.start_date for f in forecasts]),
item_ids=np.array([str(f.item_id) for f in forecasts]),
freq=to_offset(forecasts[0].freq), # type: ignore
quantiles=forecasts[0].forecast_keys,
)
return quantile_forecasts, latency
def backtest_metrics(
train_dataset: Optional[Dataset],
test_dataset: Dataset,
forecaster: Union[Estimator, Predictor],
evaluator=Evaluator(quantiles=(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8,
0.9)),
num_samples: int = 100,
logging_file: Optional[str] = None,
use_symbol_block_predictor: bool = False,
):
"""
Parameters
----------
train_dataset
Dataset to use for training.
test_dataset
Dataset to use for testing.
forecaster
An estimator or a predictor to use for generating predictions.
evaluator
Evaluator to use.
num_samples
Number of samples to use when generating sample-based forecasts.
logging_file
If specified, information of the backtest is redirected to this file.
use_symbol_block_predictor
Use a :class:`SymbolBlockPredictor` during testing.
Returns
-------
tuple
A tuple of aggregate metrics and per-time-series metrics obtained by
training `forecaster` on `train_dataset` and evaluating the resulting
`evaluator` provided on the `test_dataset`.
"""
if logging_file is not None:
log_formatter = logging.Formatter(
"[%(asctime)s %(levelname)s %(thread)d] %(message)s",
datefmt="%m/%d/%Y %H:%M:%S",
)
logger = logging.getLogger(__name__)
handler = logging.FileHandler(logging_file)
handler.setFormatter(log_formatter)
logger.addHandler(handler)
else:
logger = logging.getLogger(__name__)
if train_dataset is not None:
train_statistics = calculate_dataset_statistics(train_dataset)
serialize_message(logger, train_dataset_stats_key, train_statistics)
test_statistics = calculate_dataset_statistics(test_dataset)
serialize_message(logger, test_dataset_stats_key, test_statistics)
if isinstance(forecaster, Estimator):
serialize_message(logger, estimator_key, forecaster)
assert train_dataset is not None
predictor = forecaster.train(train_dataset)
if isinstance(forecaster, GluonEstimator) and isinstance(
predictor, GluonPredictor):
inference_data_loader = InferenceDataLoader(
dataset=test_dataset,
transform=predictor.input_transform,
batch_size=forecaster.trainer.batch_size,
ctx=forecaster.trainer.ctx,
dtype=forecaster.dtype,
)
if forecaster.trainer.hybridize:
predictor.hybridize(batch=next(iter(inference_data_loader)))
if use_symbol_block_predictor:
predictor = predictor.as_symbol_block_predictor(
batch=next(iter(inference_data_loader)))
else:
predictor = forecaster
forecast_it, ts_it = make_evaluation_predictions(test_dataset,
predictor=predictor,
num_samples=num_samples)
agg_metrics, item_metrics = evaluator(ts_it,
forecast_it,
num_series=maybe_len(test_dataset))
# we only log aggregate metrics for now as item metrics may be very large
for name, value in agg_metrics.items():
serialize_message(logger, f"metric-{name}", value)
if logging_file is not None:
# Close the file handler to avoid letting the file open.
# https://stackoverflow.com/questions/24816456/python-logging-wont-shutdown
logger.removeHandler(handler)
del logger, handler
return agg_metrics, item_metrics
def backtest_metrics(
train_dataset: Optional[Dataset],
test_dataset: Dataset,
forecaster: Union[Estimator, Predictor],
evaluator=Evaluator(
quantiles=(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9)
),
num_samples: int = 100,
logging_file: Optional[str] = None,
use_symbol_block_predictor: Optional[bool] = False,
num_workers: Optional[int] = None,
num_prefetch: Optional[int] = None,
**kwargs,
):
"""
Parameters
----------
train_dataset
Dataset to use for training.
test_dataset
Dataset to use for testing.
forecaster
An estimator or a predictor to use for generating predictions.
evaluator
Evaluator to use.
num_samples
Number of samples to use when generating sample-based forecasts.
logging_file
If specified, information of the backtest is redirected to this file.
use_symbol_block_predictor
Use a :class:`SymbolBlockPredictor` during testing.
num_workers
The number of multiprocessing workers to use for data preprocessing.
By default 0, in which case no multiprocessing will be utilized.
num_prefetch
The number of prefetching batches only works if `num_workers` > 0.
If `prefetch` > 0, it allow worker process to prefetch certain batches before
acquiring data from iterators.
Note that using large prefetching batch will provide smoother bootstrapping performance,
but will consume more shared_memory. Using smaller number may forfeit the purpose of using
multiple worker processes, try reduce `num_workers` in this case.
By default it defaults to `num_workers * 2`.
Returns
-------
tuple
A tuple of aggregate metrics and per-time-series metrics obtained by
training `forecaster` on `train_dataset` and evaluating the resulting
`evaluator` provided on the `test_dataset`.
"""
if logging_file is not None:
log_formatter = logging.Formatter(
"[%(asctime)s %(levelname)s %(thread)d] %(message)s",
datefmt="%m/%d/%Y %H:%M:%S",
)
logger = logging.getLogger(__name__)
handler = logging.FileHandler(logging_file)
handler.setFormatter(log_formatter)
logger.addHandler(handler)
else:
logger = logging.getLogger(__name__)
if train_dataset is not None:
train_statistics = calculate_dataset_statistics(train_dataset)
serialize_message(logger, train_dataset_stats_key, train_statistics)
test_statistics = calculate_dataset_statistics(test_dataset)
serialize_message(logger, test_dataset_stats_key, test_statistics)
if isinstance(forecaster, Estimator):
serialize_message(logger, estimator_key, forecaster)
assert train_dataset is not None
predictor = forecaster.train(train_dataset)
if isinstance(forecaster, GluonEstimator) and isinstance(
predictor, GluonPredictor
):
inference_data_loader = InferenceDataLoader(
dataset=test_dataset,
transform=predictor.input_transform,
batch_size=forecaster.trainer.batch_size,
ctx=forecaster.trainer.ctx,
dtype=forecaster.dtype,
num_workers=num_workers,
num_prefetch=num_prefetch,
**kwargs,
)
if forecaster.trainer.hybridize:
predictor.hybridize(batch=next(iter(inference_data_loader)))
if use_symbol_block_predictor:
predictor = predictor.as_symbol_block_predictor(
batch=next(iter(inference_data_loader))
)
else:
predictor = forecaster
forecast_it, ts_it = make_evaluation_predictions(
test_dataset, predictor=predictor, num_samples=num_samples
)
agg_metrics, item_metrics = evaluator(
ts_it, forecast_it, num_series=maybe_len(test_dataset)
)
# we only log aggregate metrics for now as item metrics may be very large
for name, value in agg_metrics.items():
serialize_message(logger, f"metric-{name}", value)
if logging_file is not None:
# Close the file handler to avoid letting the file open.
# https://stackoverflow.com/questions/24816456/python-logging-wont-shutdown
logger.removeHandler(handler)
del logger, handler
return agg_metrics, item_metrics
def backtest_metrics(
test_dataset: Dataset,
predictor: Predictor,
evaluator=Evaluator(quantiles=(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8,
0.9)),
num_samples: int = 100,
logging_file: Optional[str] = None,
):
"""
Parameters
----------
test_dataset
Dataset to use for testing.
predictor
The predictor to test.
evaluator
Evaluator to use.
num_samples
Number of samples to use when generating sample-based forecasts.
logging_file
If specified, information of the backtest is redirected to this file.
Returns
-------
tuple
A tuple of aggregate metrics and per-time-series metrics obtained by
training `forecaster` on `train_dataset` and evaluating the resulting
`evaluator` provided on the `test_dataset`.
"""
if logging_file is not None:
log_formatter = logging.Formatter(
"[%(asctime)s %(levelname)s %(thread)d] %(message)s",
datefmt="%m/%d/%Y %H:%M:%S",
)
logger = logging.getLogger(__name__)
handler = logging.FileHandler(logging_file)
handler.setFormatter(log_formatter)
logger.addHandler(handler)
else:
logger = logging.getLogger(__name__)
test_statistics = calculate_dataset_statistics(test_dataset)
serialize_message(logger, test_dataset_stats_key, test_statistics)
forecast_it, ts_it = make_evaluation_predictions(test_dataset,
predictor=predictor,
num_samples=num_samples)
agg_metrics, item_metrics = evaluator(ts_it,
forecast_it,
num_series=maybe_len(test_dataset))
# we only log aggregate metrics for now as item metrics may be very large
for name, value in agg_metrics.items():
serialize_message(logger, f"metric-{name}", value)
if logging_file is not None:
# Close the file handler to avoid letting the file open.
# https://stackoverflow.com/questions/24816456/python-logging-wont-shutdown
logger.removeHandler(handler)
del logger, handler
return agg_metrics, item_metrics
def run_test(
env: TrainEnv,
predictor: Predictor,
test_dataset: Dataset,
hyperparameters: dict,
) -> None:
len_original = maybe_len(test_dataset)
test_dataset = FilterTransformation(
lambda x: x["target"].shape[-1] > predictor.prediction_length
).apply(test_dataset)
len_filtered = len(test_dataset)
if len_original is not None and len_original > len_filtered:
logger.warning(
f"Not all time-series in the test-channel have "
f"enough data to be used for evaluation. Proceeding with "
f"{len_filtered}/{len_original} "
f"(~{int(len_filtered / len_original * 100)}%) items."
)
forecast_it, ts_it = backtest.make_evaluation_predictions(
dataset=test_dataset, predictor=predictor, num_samples=100
)
test_quantiles = (
[
Quantile.parse(quantile).name
for quantile in hyperparameters["test_quantiles"]
]
if "test_quantiles" in hyperparameters
else None
)
forecast_generator = getattr(predictor, "forecast_generator", None)
if isinstance(forecast_generator, QuantileForecastGenerator):
predictor_quantiles = forecast_generator.quantiles
if test_quantiles is None:
test_quantiles = predictor_quantiles
elif not set(test_quantiles).issubset(predictor_quantiles):
logger.warning(
f"Some of the evaluation quantiles `{test_quantiles}` are "
f"not in the computed quantile forecasts `{predictor_quantiles}`."
)
test_quantiles = predictor_quantiles
if test_quantiles is not None:
logger.info(f"Using quantiles `{test_quantiles}` for evaluation.")
evaluator = Evaluator(quantiles=test_quantiles)
else:
evaluator = Evaluator()
agg_metrics, item_metrics = evaluator(
ts_iterator=ts_it,
fcst_iterator=forecast_it,
num_series=len(test_dataset),
)
# we only log aggregate metrics for now as item metrics may be very large
for name, score in agg_metrics.items():
logger.info(f"#test_score ({env.current_host}, {name}): {score}")
# store metrics
with open(env.path.model / "agg_metrics.json", "w") as agg_metric_file:
json.dump(agg_metrics, agg_metric_file)
with open(env.path.model / "item_metrics.csv", "w") as item_metrics_file:
item_metrics.to_csv(item_metrics_file, index=False)