def pcaClusterModel(stations, startDate, endDate, \
features, ncomp=None, \
clusterVars=[], nclusters=1, \
targetVar='TempMax', \
smoothWindow=5, \
lag=1, order=0, ranseed=666, verbose=False):
#
# ******** instead of raw data, first subtract "climatology" from
# ******** all features and then proceed as usual
#
# build regression model to predict "variable" for a single
# station using training data from multiple stations
# between startdate and enddate.
#
# The set of values of each feature at all stations is converted
# to a truncated list of principal components for purposes of
# feature-reduction and reduction of multicolinearity
#
# Clustering is used to train multiple models for different
# partitions of the data
#
# Uses a "Taylor expansion" by combining information from
# several days (higher order time derivatives)
#
# stations: a list of station codes, the first entry is
# the station for which forecast is generated
# features: a list of variables to use as predictors
# ncomp: a list of same length as features containing the
# number of PCA to keep for each feature
# clusterVars: a list of pairs of form ('feature',npc), where
# where npc is the index of the PC to use for
# clustering
# lag: the number of days in the future to forecast
# order: the number of days in the past to include
# (also maximum order of time derivative)
import numpy as np
import wUUtils as Util
import wUPCA as PCA
reload(PCA)
import wUCluster as Clust
import wUClimatology as Climatology
reload(Climatology)
from sklearn import preprocessing
from sklearn import linear_model
# make date list
date_list = Util.dateList(startDate, endDate)
# load target variable
target = Util.loadDailyVariableRange(stations[0], startDate, endDate, \
targetVar, castFloat=True)
# compute climatology for target variable
climatologyTarget = Climatology.makeClimatologies(stations, startDate, endDate, \
[targetVar], smoothWindow)
climatologyTarget = climatologyTarget[0]
# subtract climatology from target variable to get dependent variable
target = Climatology.subtractClimatology(target, date_list, climatologyTarget)
# shift target by lag
target = target[lag:]
# load feature data
featureData = []
for station in stations:
for feature in features:
# print("Adding " + feature + " from " + station)
fd = Util.loadDailyVariableRange(station, startDate, endDate, \
feature, castFloat=True)
featureData.append(fd)
# compute climatologies for features
climatologyFeatures = Climatology.makeClimatologies(stations, startDate, endDate, \
features, smoothWindow)
# subtract climatologies from data
featureData = [Climatology.subtractClimatology(fd, date_list, climatologyFeatures[i/len(stations)]) \
for i, fd in enumerate(featureData)]
# compute PC of featureData
pcaData, transformParams = PCA.pcaConvertOnly(featureData, len(stations), ncomp)
# flatten featureData into single list of lists, while shortening by lag
featureData = [data[:(-lag)] for dataList in pcaData for data in dataList]
# number of PC-transformed features
if ncomp == None:
nfeat = len(stations)*len(features)
else:
nfeat = sum(ncomp)
# add in "derivative" terms
for ideriv in range(1,order+1):
for ii in range(nfeat):
# print("Adding " + str(ideriv) + " derivative of " + feature[jfeat])
fd = np.diff(featureData[ii],n=ideriv)
featureData.append(fd)
# shorten vectors to length of highest order derivative
nrows = len(featureData[-1])
for column in range(len(featureData)):
featureData[column] = featureData[column][-nrows:]
target = target[-nrows:]
# apply clustering
# locate columns to be used for clustering
cols = []
for clusterPair in clusterVars:
ifeat = features.index(clusterPair[0]) # index of feature
col = sum(ncomp[:ifeat]) + clusterPair[1]
cols += [col]
if clusterPair[1] >= ncomp[ifeat]:
print('Requested cluster variable out of range')
print(clusterPair[0] + ' ' + str(clusterPair[1]) + ' >= ' + str(ncomp[ifeat]))
return
print('columns for clustering: ' + str(cols))
clusterData = np.array([featureData[ii] for ii in cols]).T
scaler, clusterer = Clust.computeClusters(clusterData, nclusters, ranseed)
classes = Clust.assignClusters(scaler, clusterer, clusterData)
clusterParams = { \
'scaler': scaler, \
'clusterer': clusterer, \
'nclusters': nclusters, \
'ranseed': ranseed, \
'cols': cols }
# separate data into clusters
featureClusters = []
targetClusters = []
for icl in range(nclusters):
# features
clust = [f for i,f in enumerate(zip(*featureData)) if classes[i]==icl]
featureClusters.append( map(list,zip(*clust)) )
# targetVar
clust = [t for i,t in enumerate(target) if classes[i]==icl]
targetClusters.append(clust)
# train separate regression model for each cluster
regrs = []
for icl in range(nclusters):
# convert features and target to arrays
featureClusters[icl] = (np.array(featureClusters[icl])).T
targetClusters[icl] = np.array(targetClusters[icl])
regr = linear_model.LinearRegression()
regr.fit(featureClusters[icl], targetClusters[icl])
regrs.append(regr)
print('Cluster %d, nrows %d, R^2 %f' \
% (icl, \
len(targetClusters[icl]), \
regr.score(featureClusters[icl],targetClusters[icl])) )
if verbose:
print("\nCluster " + str(icl))
print("Regression coefficients:")
print(" intercept" + ":\t" + str(regr.intercept_))
column = 0
for ideriv in range(order+1):
print(" " + str(ideriv) + "th derivative:")
for ii, feature in enumerate(features):
print(" " + feature)
for jj in range(ncomp[ii]):
print(" PC " + str(jj) + " :\t" + str(regr.coef_[column]))
column += 1
modelParams = {
'stations': stations, \
'startDate': startDate, \
'endDate': endDate, \
'targetVar': targetVar, \
'features': features, \
'clusterVars': clusterVars, \
'clusterParams': clusterParams, \
'classes': classes, \
'regrs': regrs, \
'lag': lag, \
'order': order, \
'transformParams': transformParams, \
'climatologyTarget': climatologyTarget, \
'climatologyFeatures': climatologyFeatures}
return featureData, target, modelParams
def pcaClusterPredict(modelParams, startDate, endDate, actual=True, absolute=False):
# predict targetVar for a single station using
# previously generated regression model
import numpy as np
import wUUtils as Util
import wUCluster as Clust
import wUPCA as PCA
reload(PCA)
import wUClimatology as Climatology
reload(Climatology)
# extract city and feature data
stations = modelParams['stations']
targetVar = modelParams['targetVar']
features = modelParams['features']
regrs = modelParams['regrs']
lag = modelParams['lag']
order = modelParams['order']
transformParams = modelParams['transformParams']
ncomp = transformParams['ncomp']
clusterVars = modelParams['clusterVars']
clusterParams = modelParams['clusterParams']
nclusters = clusterParams['nclusters']
cols = clusterParams['cols']
scaler = clusterParams['scaler']
clusterer = clusterParams['clusterer']
climatologyTarget = modelParams['climatologyTarget']
climatologyFeatures = modelParams['climatologyFeatures']
# build list of dates in datetime format
date_list = Util.dateList(startDate, endDate)
# if actual data available
if actual:
# load target variable data
target = Util.loadDailyVariableRange(stations[0], startDate, endDate, \
targetVar, castFloat=True)
# subtract climatology from target variable to get dependent variable
target = Climatology.subtractClimatology(target, date_list, climatologyTarget)
# shift vector by lag
target = target[lag:]
target = np.array(target)
else:
target = None
# load feature data
featureData = []
for station in stations:
for feature in features:
# print("Adding " + feature + " from " + station)
fd = Util.loadDailyVariableRange(station, startDate, endDate, \
feature, castFloat=True)
featureData.append(fd)
# subtract climatologies from data
featureData = [Climatology.subtractClimatology(fd, date_list, climatologyFeatures[i/len(stations)]) \
for i, fd in enumerate(featureData)]
# compute PC of featureData
pcaData = PCA.pcaPredictOnly(featureData, transformParams)
# flatten featureData into single list of lists, while shortening by lag
featureData = [data[:(-lag)] for dataList in pcaData for data in dataList]
# number of PC-transformed features
nfeat = sum(ncomp)
# add in "derivative" terms
for ideriv in range(1,order+1):
for ii in range(nfeat):
# print("Adding " + str(ideriv) + " derivative of " + feature[jfeat])
fd = np.diff(featureData[ii],n=ideriv)
featureData.append(fd)
# shorten vectors to length of highest order derivative
nrows = len(featureData[-1])
for column in range(len(featureData)):
featureData[column] = featureData[column][-nrows:]
if actual:
target = target[-nrows:]
# shorten date_list (line it up with target)
date_list = date_list[(lag+order):]
# assign points (rows) to clusters
clusterData = np.array([featureData[ii] for ii in cols]).T
classes = Clust.assignClusters(scaler, clusterer, clusterData)
# separate data into clusters
featureClusters = []
dateClusters = []
if actual:
targetClusters = []
for icl in range(nclusters):
# features
clust = [f for i,f in enumerate(zip(*featureData)) if classes[i]==icl]
featureClusters.append( map(list,zip(*clust)) )
if actual:
# targetVar
clust = [t for i,t in enumerate(target) if classes[i]==icl]
targetClusters.append(clust)
# dates
dateClusters.append([t for i,t in enumerate(date_list) if classes[i] == icl])
R2 = []
RMSE = []
preds = []
for icl in range(nclusters):
regr = regrs[icl]
# convert features and target to arrays
featureClusters[icl] = (np.array(featureClusters[icl])).T
# make predictions
if len(featureClusters[icl]) > 0:
preds.append(regr.predict(featureClusters[icl]))
else:
preds.append([])
if actual:
targetClusters[icl] = np.array(targetClusters[icl])
print('Cluster %d, %d rows:' % (icl,len(dateClusters[icl])) )
if len(featureClusters[icl]) > 0:
r2 = regrs[icl].score(featureClusters[icl],targetClusters[icl])
print(' R^2_mean:' + '\t' + str(r2))
rmse = np.sqrt(((preds[icl] - targetClusters[icl])**2).mean())
print(' RMSE:\t' + '\t' + str(rmse))
RMSE.append(rmse)
R2.append(r2)
else:
RMSE.append(None)
R2.append(None)
# assemble predictions into one list
date_list_mixed = np.concatenate(dateClusters).tolist()
pred_mixed = np.concatenate(preds).tolist()
pred = [pr for (d,pr) in sorted(zip(date_list_mixed,pred_mixed))]
if actual:
rmse = np.sqrt(((np.array(pred) - np.array(target))**2).mean())
print('\nOverall performance:')
print(' RMSE:' + '\t' + str(rmse))
modelPerf = {'RMSE': RMSE, 'R2': R2, 'RMSE_total': rmse }
else:
modelPerf = None
if absolute:
# return predictions and target with climatology added back
target = Climatology.addClimatology(target, date_list, climatologyTarget)
pred = Climatology.addClimatology(pred, date_list, climatologyTarget)
return date_list, pred, target, featureData, classes, modelPerf
