def compute_pmdl_weight(df, methods, outcome, target_day, c0=1, mu=0.5):
# FIXME: currently target_day is not used in this function
y = np.array([df[outcome].values[i][-7:] for i in range(len(df))])
weights = {}
for (i, model) in enumerate(methods):
if 'demographic_vars' in model:
demographic_vars = model['demographic_vars']
else:
demographic_vars = []
y_preds = np.zeros(y.shape)
for t in range(1, 8):
df2 = exponential_modeling.leave_t_day_out(df, t + 3 - 1)
df2 = fit_and_predict.fit_and_predict(df2,
outcome=outcome,
method=model['model_type'],
mode='predict_future',
target_day=np.array([3]),
output_key='y_preds',
demographic_vars=demographic_vars)
y_preds[:, (7 - t)] = np.array([df2['y_preds'].values[i][-1] for i in range(len(df))])
# weights[i] = pmdl_weight(np.log(y + 1), np.log(np.maximum(y_preds, 0) + 1))
# weights[i] = pmdl_weight(y, y_preds)
weights[i] = pmdl_weight(np.sqrt(y), np.sqrt(np.maximum(y_preds, 0)), c0=c0, mu=mu)
# weights[i] = pmdl_weight(y**(1/4), (np.maximum(y_preds, 0))**(1/4))
return weights
def add_all_preds(df_county):
"""
add single predictor predictions for the past {ndays} days
"""
for method in methods:
for t in tqdm(range(1, ndays + 1)):
d = today - timedelta(t)
if d < date(2020, 3, 16) and method in ['demographic']:
continue
use_df = exponential_modeling.leave_t_day_out(df_county, 0 + t)
if method != 'ensemble' and method != 'demographic':
use_df = fit_and_predict.fit_and_predict(
use_df,
target_day=np.arange(1, horizon + 1),
outcome=outcome,
method=method,
mode='predict_future',
output_key=f'predicted_{outcome}_{method}_{horizon}')
elif method == 'demographic':
use_df = fit_and_predict.fit_and_predict(
use_df,
target_day=np.arange(1, horizon + 1),
outcome=outcome,
method='shared_exponential',
mode='predict_future',
demographic_vars=very_important_vars,
output_key=f'predicted_{outcome}_{method}_{horizon}')
df_county[
f'all_{outcome}_pred_{d.month}_{d.day}_{method}_{horizon}'] = use_df[
f'predicted_{outcome}_{method}_{horizon}']
return df_county
def previous_prediction_errors(df,
target_day: np.ndarray = np.array([1]),
outcome: str = 'deaths',
methods: list = [advanced_model, linear],
look_back_day: int = 5,
output_key: str = None):
"""
Calculating prediction errors of previous days
Input:
df: pd.DataFrame
target_day: np.ndarray
outcome: str
methods: list
look_back_day: int
returns the prediction errors for the last {look_back_day} days
Output:
list of {len(df)} dictionaries, the keys of each dictionary are days in target_day, and the values are a list of (normalized) l1 error, of length {look_back_day}
"""
# find previous models to run
previous_start_days = defaultdict(list)
for day in target_day:
for back_day in range(look_back_day):
previous_start_days[day + back_day].append(day)
# previous_model_predictions = {}
previous_model_errors = [defaultdict(list) for i in range(len(df))]
prediction_uncertainty = [defaultdict(list) for i in range(len(df))]
for t in previous_start_days:
previous_target_days = previous_start_days[t]
df_old = exponential_modeling.leave_t_day_out(df, t)
previous_model_predictions = fit_and_predict_ensemble(
df_old,
target_day=np.array(previous_target_days),
outcome=outcome,
methods=methods,
mode='predict_future',
output_key='old_predictions',
)['old_predictions'].values # running old prediction models
for i in range(len(df)):
for (j, td) in enumerate(previous_target_days):
pred = previous_model_predictions[i][j]
actual_outcome = df[outcome].iloc[i][td - t - 1]
error = actual_outcome / max(pred, 1) - 1
previous_model_errors[i][td].append(error)
# for i in range(len(df)):
# for td in target_day:
# prediction_uncertainty[i][td] = max(previous_model_errors[i][td])
df[output_key] = previous_model_errors
return df
def fit_and_predict_ensemble(df,
target_day: np.ndarray = np.array([1]),
outcome: str = 'deaths',
methods: list = [shared_exponential, linear],
mode: str = 'predict_future',
output_key: str = None,
verbose: bool = False,
weight_c0: int = 1,
weight_mu: int = 0.5,
debug: bool = False,
expanded_shared_time_truncation=None):
"""
Function for ensemble prediction
Input:
df: pd.DataFrame
target_day: array
outcome: str
method: list of dictionary
each dictionary specify the type and parameters of the model
mode: str
output_key: str
Output:
df with ensemble prediction
"""
if output_key is None:
output_key = f'predicted_{outcome}_ensemble_{target_day[-1]}'
predictions = {}
for (i, model) in enumerate(methods):
if debug:
print(f"[DEBUG] fit_and_predict_ensemble:{i}, {model}")
if 'demographic_vars' in model:
demographic_vars = model['demographic_vars']
else:
demographic_vars = []
predictions[i] = fit_and_predict(
df,
outcome=outcome,
method=model['model_type'],
mode=mode,
target_day=target_day,
output_key=f'y_preds_{i}',
demographic_vars=demographic_vars,
verbose=verbose,
expanded_shared_time_truncation=expanded_shared_time_truncation
)[f'y_preds_{i}'].values
if mode == 'predict_future':
use_df = df
else:
use_df = exponential_modeling.leave_t_day_out(df, target_day[-1])
if debug:
print(f"[DEBUG] fit_and_predict_ensemble: compute weights.")
weights = pmdl_weight.compute_pmdl_weight(use_df,
methods=methods,
outcome=outcome,
target_day=target_day,
c0=weight_c0,
mu=weight_mu)
sum_weights = np.zeros(len(use_df))
for model_index in weights:
sum_weights = sum_weights + np.array(weights[model_index])
# weighted_preds = np.zeros((len(use_df), len(target_day)))
weighted_preds = [np.zeros(len(target_day)) for i in range(len(use_df))]
for i in range(len(df)):
for model_index in weights:
weighted_preds[i] += np.array(
predictions[model_index]
[i]) * weights[model_index][i] / sum_weights[i]
# print out the relative contribution of each model
if verbose:
print('--- Model Contributions ---')
model_weight_counter = Counter()
for model_index in weights:
m_weights = 0
for i in range(len(use_df)):
m_weights += weights[model_index][i] / sum_weights[i]
m_weights = m_weights / len(use_df)
model_weight_counter[model_index] = m_weights
for model_index, weight in model_weight_counter.most_common():
print(str(methods[model_index]) + ': ' + str(weight))
# Make sure predictions are non-decreasing
if debug:
print(f"[DEBUG] fit_and_predict_ensemble: monotonicity constraint.")
monotonic_weighted_preds = []
for preds in weighted_preds:
new_preds = []
for i in range(len(preds)):
if i > 0:
new_preds.append(max(preds[i], preds[i - 1]))
else:
new_preds.append(preds[i])
monotonic_weighted_preds.append(new_preds)
weighted_preds = monotonic_weighted_preds
df[output_key] = weighted_preds
return df