def create_transformation(self) -> Transformation:
remove_field_names = []
if not self.use_feat_static_real:
remove_field_names.append(FieldName.FEAT_STATIC_REAL)
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
if not self.use_feat_dynamic_cat:
remove_field_names.append(FieldName.FEAT_DYNAMIC_CAT)
return Chain(
[RemoveFields(field_names=remove_field_names)] +
([SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0]
)] if not self.use_feat_static_cat else []) +
([SetField(output_field=FieldName.FEAT_STATIC_REAL, value=[0.0]
)] if not self.use_feat_static_real else []) +
[
AsNumpyArray(
field=FieldName.FEAT_STATIC_CAT,
expected_ndim=1,
dtype=np.long,
),
AsNumpyArray(
field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1,
dtype=self.dtype,
),
AsNumpyArray(
field=FieldName.TARGET,
# in the following line, we add 1 for the time dimension
expected_ndim=1 + len(self.distr_output.event_shape),
dtype=self.dtype,
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
dtype=self.dtype,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
dtype=self.dtype,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE] +
([FieldName.FEAT_DYNAMIC_REAL] if self.
use_feat_dynamic_real else []) +
([FieldName.FEAT_DYNAMIC_CAT] if self.
use_feat_dynamic_cat else []),
),
])
def create_transformation(self) -> Transformation:
return Chain([
AsNumpyArray(
field=FieldName.TARGET,
expected_ndim=1 + len(self.distr_output.event_shape),
),
# maps the target to (1, T) if the target data is uni
# dimensional
ExpandDimArray(
field=FieldName.TARGET,
axis=0 if self.distr_output.event_shape[0] == 1 else None,
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME],
),
SetFieldIfNotPresent(field=FieldName.FEAT_STATIC_CAT, value=[0.0]),
TargetDimIndicator(
field_name=FieldName.TARGET_DIM_INDICATOR,
target_field=FieldName.TARGET,
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
])
def create_transformation(self) -> transform.Transformation:
return Chain(
[
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=time_features_from_frequency_str(self.freq),
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE],
),
SetFieldIfNotPresent(
field=FieldName.FEAT_STATIC_CAT, value=[0.0]
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
]
)
def create_transformation(self) -> Transformation:
return Chain(
trans=[
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=time_features_from_frequency_str(self.freq),
pred_length=self.prediction_length,
),
SetFieldIfNotPresent(
field=FieldName.FEAT_STATIC_CAT, value=[0.0]
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
transform.InstanceSplitter(
target_field=transform.FieldName.TARGET,
is_pad_field=transform.FieldName.IS_PAD,
start_field=transform.FieldName.START,
forecast_start_field=transform.FieldName.FORECAST_START,
train_sampler=TestSplitSampler(),
time_series_fields=[FieldName.FEAT_TIME],
past_length=self.context_length,
future_length=self.prediction_length,
),
]
)
def create_transformation(self) -> Transformation:
return Chain(
[
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
SetFieldIfNotPresent(
field=FieldName.FEAT_STATIC_CAT, value=[0.0]
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
CanonicalInstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
time_series_fields=[FieldName.FEAT_TIME],
instance_length=self.context_length,
use_prediction_features=True,
prediction_length=self.prediction_length,
),
]
)
def create_transformation(self) -> Transformation:
remove_field_names = [FieldName.FEAT_DYNAMIC_CAT]
if not self.use_feat_static_real:
remove_field_names.append(FieldName.FEAT_STATIC_REAL)
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
return Chain(
[RemoveFields(field_names=remove_field_names)] +
([SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0.0]
)] if not self.use_feat_static_cat else []) +
([SetField(output_field=FieldName.FEAT_STATIC_REAL, value=[0.0]
)] if not self.use_feat_static_real else []) +
[
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
AsNumpyArray(field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1),
AsNumpyArray(
field=FieldName.TARGET,
# in the following line, we add 1 for the time dimension
expected_ndim=1 + len(self.distr_output.event_shape),
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE] +
([FieldName.FEAT_DYNAMIC_REAL] if self.
use_feat_dynamic_real else []),
),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=ExpectedNumInstanceSampler(num_instances=1),
past_length=self.history_length,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_TIME,
FieldName.OBSERVED_VALUES,
],
),
])
def create_transformation(self) -> Transformation:
remove_field_names = [FieldName.FEAT_DYNAMIC_CAT]
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
if not self.use_feat_static_real:
remove_field_names.append(FieldName.FEAT_STATIC_REAL)
return Chain([RemoveFields(field_names=remove_field_names)] + (
[SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0]
)] if not self.use_feat_static_cat else []
) + ([SetField(
output_field=FieldName.FEAT_STATIC_REAL, value=[0.0]
)] if not self.use_feat_static_real else []) + [
AsNumpyArray(
field=FieldName
.TARGET,
expected_ndim=1 +
len(self.distr_output
.event_shape),
),
# maps the target to (1, T)
# if the target data is uni dimensional
ExpandDimArray(
field=FieldName.TARGET,
axis=0 if self.distr_output.event_shape[0] == 1 else None,
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE] +
([FieldName.FEAT_DYNAMIC_REAL] if self.
use_feat_dynamic_real else []),
),
TargetDimIndicator(
field_name="target_dimension_indicator",
target_field=FieldName.TARGET,
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT,
expected_ndim=1,
dtype=np.long),
AsNumpyArray(field=FieldName.FEAT_STATIC_REAL, expected_ndim=1),
])
def create_transformation(self) -> Transformation:
remove_field_names = [
FieldName.FEAT_DYNAMIC_CAT,
FieldName.FEAT_STATIC_REAL,
]
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
return Chain(
[RemoveFields(field_names=remove_field_names)]
+ (
[SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0.0])]
if not self.use_feat_static_cat
else []
)
+ [
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
# gives target the (1, T) layout
ExpandDimArray(field=FieldName.TARGET, axis=0),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
# Unnormalized seasonal features
AddTimeFeatures(
time_features=self.issm.time_features(),
pred_length=self.prediction_length,
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=SEASON_INDICATORS_FIELD,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE]
+ (
[FieldName.FEAT_DYNAMIC_REAL]
if self.use_feat_dynamic_real
else []
),
),
]
)
def create_transformation(self) -> Transformation:
return (AsNumpyArray(field=FieldName.TARGET, expected_ndim=1) +
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=time_features_from_frequency_str(self.freq),
pred_length=self.prediction_length,
) + SetFieldIfNotPresent(field=FieldName.FEAT_STATIC_CAT,
value=[0.0]) +
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1))
def create_transformation(
self, bin_edges: np.ndarray, pred_length: int
) -> transform.Transformation:
return Chain(
[
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=time_features_from_frequency_str(self.freq),
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE],
),
SetFieldIfNotPresent(
field=FieldName.FEAT_STATIC_CAT, value=[0.0]
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=ExpectedNumInstanceSampler(num_instances=1),
past_length=self.context_length,
future_length=pred_length,
output_NTC=False,
time_series_fields=[
FieldName.FEAT_TIME,
FieldName.OBSERVED_VALUES,
],
),
QuantizeScaled(
bin_edges=bin_edges.tolist(),
future_target="future_target",
past_target="past_target",
),
]
)
def create_transformation(self) -> Transformation:
return Chain(
trans=[
AsNumpyArray(
field=FieldName.TARGET, expected_ndim=2, dtype=self.dtype
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
dtype=self.dtype,
),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=self.train_sampler,
time_series_fields=[FieldName.OBSERVED_VALUES],
past_length=self.context_length,
future_length=self.prediction_length,
lead_time=self.lead_time,
output_NTC=False, # output NCT for first layer conv2d
),
]
)
def create_transformation(self) -> Transformation:
return AsNumpyArray(field=FieldName.TARGET,
expected_ndim=2,
dtype=self.dtype) + AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
dtype=self.dtype,
)
def create_transformation(self) -> Transformation:
return Chain(trans=[
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
ForkingSequenceSplitter(
train_sampler=TestSplitSampler(),
enc_len=self.context_length,
dec_len=self.prediction_length,
),
])
def create_transformation(self) -> Transformation:
return Chain([
AsNumpyArray(
field=FieldName.TARGET,
# in the following line, we add 1 for the time dimension
expected_ndim=1 + len(self.distr_output.event_shape),
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE],
),
SetFieldIfNotPresent(field=FieldName.FEAT_STATIC_CAT, value=[0.0]),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=ExpectedNumInstanceSampler(num_instances=1),
past_length=self.history_length,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_TIME,
FieldName.OBSERVED_VALUES,
],
),
])
def create_transformation(self) -> Transformation:
remove_field_names = [FieldName.FEAT_DYNAMIC_CAT]
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
return Chain([
RemoveFields(field_names=remove_field_names),
AsNumpyArray(
field=FieldName.TARGET,
expected_ndim=2,
),
# maps the target to (1, T)
# if the target data is uni dimensional
ExpandDimArray(
field=FieldName.TARGET,
axis=None,
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME] +
([FieldName.FEAT_DYNAMIC_REAL]
if self.use_feat_dynamic_real else []),
),
SetFieldIfNotPresent(field=FieldName.FEAT_STATIC_CAT, value=[0]),
TargetDimIndicator(
field_name="target_dimension_indicator",
target_field=FieldName.TARGET,
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
])
def _create_post_split_transform():
return Chain([
CountTrailingZeros(
new_field="time_remaining",
target_field="past_target",
as_array=True,
),
ToIntervalSizeFormat(target_field="past_target",
discard_first=True),
RenameFields({"future_target": "sparse_future"}),
AsNumpyArray(field="past_target", expected_ndim=2),
SwapAxes(input_fields=["past_target"], axes=(0, 1)),
AddAxisLength(target_field="past_target", axis=0),
])
def create_transformation(self) -> Transformation:
remove_field_names = [
FieldName.FEAT_DYNAMIC_CAT,
FieldName.FEAT_STATIC_REAL,
]
if not self.use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
return Chain(
[RemoveFields(field_names=remove_field_names)]
+ (
[SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0.0])]
if not self.use_feat_static_cat
else []
)
+ [
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
# gives target the (1, T) layout
ExpandDimArray(field=FieldName.TARGET, axis=0),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
# Unnormalized seasonal features
AddTimeFeatures(
time_features=CompositeISSM.seasonal_features(self.freq),
pred_length=self.prediction_length,
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=SEASON_INDICATORS_FIELD,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE]
+ (
[FieldName.FEAT_DYNAMIC_REAL]
if self.use_feat_dynamic_real
else []
),
),
CanonicalInstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
time_series_fields=[
FieldName.FEAT_TIME,
SEASON_INDICATORS_FIELD,
FieldName.OBSERVED_VALUES,
],
allow_target_padding=True,
instance_length=self.past_length,
use_prediction_features=True,
prediction_length=self.prediction_length,
),
]
)
def create_transformation(self) -> Transformation:
transforms = ([AsNumpyArray(field=FieldName.TARGET, expected_ndim=1)] +
([
AsNumpyArray(field=name, expected_ndim=1)
for name in self.static_cardinalities.keys()
]) + [
AsNumpyArray(field=name, expected_ndim=1)
for name in chain(
self.static_feature_dims.keys(),
self.dynamic_cardinalities.keys(),
)
] + [
AsNumpyArray(field=name, expected_ndim=2)
for name in self.dynamic_feature_dims.keys()
] + [
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
])
ts_fields = []
past_ts_fields = []
if self.static_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_STATIC_CAT,
input_fields=list(self.static_cardinalities.keys()),
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_STATIC_CAT,
value=[0.0],
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
])
if self.static_feature_dims:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_STATIC_REAL,
input_fields=list(self.static_feature_dims.keys()),
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_STATIC_REAL,
value=[0.0],
),
AsNumpyArray(field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1),
])
if self.dynamic_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_DYNAMIC_CAT,
input_fields=list(self.dynamic_cardinalities.keys()),
))
ts_fields.append(FieldName.FEAT_DYNAMIC_CAT)
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_DYNAMIC_CAT,
value=[0.0],
),
AsNumpyArray(field=FieldName.FEAT_DYNAMIC_CAT,
expected_ndim=1),
])
input_fields = [FieldName.FEAT_TIME]
if self.dynamic_feature_dims:
input_fields += list(self.dynamic_feature_dims.keys())
transforms.append(
VstackFeatures(
input_fields=input_fields,
output_field=FieldName.FEAT_DYNAMIC_REAL,
))
ts_fields.append(FieldName.FEAT_DYNAMIC_REAL)
if self.past_dynamic_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
input_fields=list(self.past_dynamic_cardinalities.keys()),
))
past_ts_fields.append(FieldName.PAST_FEAT_DYNAMIC + "_cat")
else:
transforms.extend([
SetField(
output_field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
value=[0.0],
),
AsNumpyArray(
field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
expected_ndim=1,
),
])
if self.past_dynamic_feature_dims:
transforms.append(
VstackFeatures(
output_field=FieldName.PAST_FEAT_DYNAMIC_REAL,
input_fields=list(self.past_dynamic_feature_dims.keys()),
))
past_ts_fields.append(FieldName.PAST_FEAT_DYNAMIC_REAL)
else:
transforms.extend([
SetField(
output_field=FieldName.PAST_FEAT_DYNAMIC_REAL,
value=[[0.0]],
),
AsNumpyArray(field=FieldName.PAST_FEAT_DYNAMIC_REAL,
expected_ndim=2),
])
transforms.append(
TFTInstanceSplitter(
train_sampler=ExpectedNumInstanceSampler(
num_instances=self.num_instance_per_series, ),
past_length=self.context_length,
future_length=self.prediction_length,
time_series_fields=ts_fields,
past_time_series_fields=past_ts_fields,
))
return Chain(transforms)
def create_input_transform(
is_train,
prediction_length,
past_length,
use_feat_static_cat,
use_feat_dynamic_real,
freq,
time_features,
extract_tail_chunks_for_train: bool = False,
):
SEASON_INDICATORS_FIELD = "seasonal_indicators"
remove_field_names = [
FieldName.FEAT_DYNAMIC_CAT,
FieldName.FEAT_STATIC_REAL,
]
if not use_feat_dynamic_real:
remove_field_names.append(FieldName.FEAT_DYNAMIC_REAL)
time_features = (
time_features
if time_features is not None
else time_features_from_frequency_str(freq)
)
transform = Chain(
[RemoveFields(field_names=remove_field_names)]
+ (
[SetField(output_field=FieldName.FEAT_STATIC_CAT, value=[0.0])]
if not use_feat_static_cat
else []
)
+ [
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
# gives target the (1, T) layout
ExpandDimArray(field=FieldName.TARGET, axis=0),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
# Unnormalized seasonal features
AddTimeFeatures(
time_features=CompositeISSM.seasonal_features(freq),
pred_length=prediction_length,
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=SEASON_INDICATORS_FIELD,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=time_features,
pred_length=prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE]
+ (
[FieldName.FEAT_DYNAMIC_REAL]
if use_feat_dynamic_real
else []
),
),
CanonicalInstanceSplitter(
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),
time_series_fields=[
FieldName.FEAT_TIME,
SEASON_INDICATORS_FIELD,
FieldName.OBSERVED_VALUES,
],
allow_target_padding=True,
instance_length=past_length,
use_prediction_features=True,
prediction_length=prediction_length,
)
if (is_train and not extract_tail_chunks_for_train)
else CanonicalInstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
instance_sampler=TestSplitSampler(),
time_series_fields=[
FieldName.FEAT_TIME,
SEASON_INDICATORS_FIELD,
FieldName.OBSERVED_VALUES,
],
allow_target_padding=True,
instance_length=past_length,
use_prediction_features=True,
prediction_length=prediction_length,
),
]
)
return transform
def create_transformation(self) -> Transformation:
transforms = ([AsNumpyArray(field=FieldName.TARGET, expected_ndim=1)] +
([
AsNumpyArray(field=name, expected_ndim=1)
for name in self.static_cardinalities.keys()
]) + [
AsNumpyArray(field=name, expected_ndim=1)
for name in chain(
self.static_feature_dims.keys(),
self.dynamic_cardinalities.keys(),
)
] + [
AsNumpyArray(field=name, expected_ndim=2)
for name in self.dynamic_feature_dims.keys()
] + [
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
])
if self.static_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_STATIC_CAT,
input_fields=list(self.static_cardinalities.keys()),
h_stack=True,
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_STATIC_CAT,
value=[0.0],
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
])
if self.static_feature_dims:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_STATIC_REAL,
input_fields=list(self.static_feature_dims.keys()),
h_stack=True,
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_STATIC_REAL,
value=[0.0],
),
AsNumpyArray(field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1),
])
if self.dynamic_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.FEAT_DYNAMIC_CAT,
input_fields=list(self.dynamic_cardinalities.keys()),
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_DYNAMIC_CAT,
value=[[0.0]],
),
AsNumpyArray(
field=FieldName.FEAT_DYNAMIC_CAT,
expected_ndim=2,
),
BroadcastTo(
field=FieldName.FEAT_DYNAMIC_CAT,
ext_length=self.prediction_length,
),
])
input_fields = [FieldName.FEAT_TIME]
if self.dynamic_feature_dims:
input_fields += list(self.dynamic_feature_dims.keys())
transforms.append(
VstackFeatures(
input_fields=input_fields,
output_field=FieldName.FEAT_DYNAMIC_REAL,
))
if self.past_dynamic_cardinalities:
transforms.append(
VstackFeatures(
output_field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
input_fields=list(self.past_dynamic_cardinalities.keys()),
))
else:
transforms.extend([
SetField(
output_field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
value=[[0.0]],
),
AsNumpyArray(
field=FieldName.PAST_FEAT_DYNAMIC + "_cat",
expected_ndim=2,
),
BroadcastTo(field=FieldName.PAST_FEAT_DYNAMIC + "_cat"),
])
if self.past_dynamic_feature_dims:
transforms.append(
VstackFeatures(
output_field=FieldName.PAST_FEAT_DYNAMIC_REAL,
input_fields=list(self.past_dynamic_feature_dims.keys()),
))
else:
transforms.extend([
SetField(
output_field=FieldName.PAST_FEAT_DYNAMIC_REAL,
value=[[0.0]],
),
AsNumpyArray(field=FieldName.PAST_FEAT_DYNAMIC_REAL,
expected_ndim=2),
BroadcastTo(field=FieldName.PAST_FEAT_DYNAMIC_REAL),
])
return Chain(transforms)
def create_transformation(self) -> Transformation:
transforms = []
if self.use_feat_dynamic_real:
transforms.append(
AsNumpyArray(
field=FieldName.FEAT_DYNAMIC_REAL,
expected_ndim=2,
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_DYNAMIC_REAL,
value=[[]] *
(self.context_length + self.prediction_length),
),
AsNumpyArray(
field=FieldName.FEAT_DYNAMIC_REAL,
expected_ndim=2,
),
# SwapAxes(input_fields=[FieldName.FEAT_DYNAMIC_REAL], axes=(0,1)),
])
if self.use_feat_dynamic_cat:
transforms.append(
AsNumpyArray(
field=FieldName.FEAT_DYNAMIC_CAT,
expected_ndim=2,
))
else:
# Manually set dummy dynamic categorical features and split by time
# Unknown issue in dataloader if leave splitting to InstanceSplitter
transforms.extend([
SetField(
output_field="past_" + FieldName.FEAT_DYNAMIC_CAT,
value=[[]] * self.context_length,
),
AsNumpyArray(
field="past_" + FieldName.FEAT_DYNAMIC_CAT,
expected_ndim=2,
),
SetField(
output_field="future_" + FieldName.FEAT_DYNAMIC_CAT,
value=[[]] * self.prediction_length,
),
AsNumpyArray(
field="future_" + FieldName.FEAT_DYNAMIC_CAT,
expected_ndim=2,
),
])
if self.use_feat_static_real:
transforms.append(
AsNumpyArray(
field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1,
))
else:
transforms.extend([
SetField(
output_field=FieldName.FEAT_STATIC_REAL,
value=[],
),
AsNumpyArray(
field=FieldName.FEAT_STATIC_REAL,
expected_ndim=1,
),
])
if self.use_feat_static_cat:
transforms.append(
AsNumpyArray(
field=FieldName.FEAT_STATIC_CAT,
expected_ndim=1,
))
time_series_fields = [FieldName.OBSERVED_VALUES]
if self.use_feat_dynamic_cat:
time_series_fields.append(FieldName.FEAT_DYNAMIC_CAT)
if self.use_feat_dynamic_real or (self.time_features is not None):
time_series_fields.append(FieldName.FEAT_DYNAMIC_REAL)
transforms.extend([
AsNumpyArray(field=FieldName.TARGET, expected_ndim=1),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
AddAgeFeature(
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_AGE,
pred_length=self.prediction_length,
log_scale=True,
),
VstackFeatures(
output_field=FieldName.FEAT_DYNAMIC_REAL,
input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE] +
([FieldName.FEAT_DYNAMIC_REAL]
if self.use_feat_dynamic_real else []),
),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=self.train_sampler,
past_length=self.context_length,
future_length=self.prediction_length,
time_series_fields=time_series_fields,
pick_incomplete=True,
),
])
return Chain(transforms)
def create_transformation(self) -> Transformation:
def use_marginal_transformation(
marginal_transformation: bool, ) -> Transformation:
if marginal_transformation:
return CDFtoGaussianTransform(
target_field=FieldName.TARGET,
observed_values_field=FieldName.OBSERVED_VALUES,
max_context_length=self.conditioning_length,
target_dim=self.target_dim,
)
else:
return RenameFields({
f"past_{FieldName.TARGET}":
f"past_{FieldName.TARGET}_cdf",
f"future_{FieldName.TARGET}":
f"future_{FieldName.TARGET}_cdf",
})
return Chain([
AsNumpyArray(
field=FieldName.TARGET,
expected_ndim=1 + len(self.distr_output.event_shape),
),
# maps the target to (1, T) if the target data is uni
# dimensional
ExpandDimArray(
field=FieldName.TARGET,
axis=0 if self.distr_output.event_shape[0] == 1 else None,
),
AddObservedValuesIndicator(
target_field=FieldName.TARGET,
output_field=FieldName.OBSERVED_VALUES,
),
AddTimeFeatures(
start_field=FieldName.START,
target_field=FieldName.TARGET,
output_field=FieldName.FEAT_TIME,
time_features=self.time_features,
pred_length=self.prediction_length,
),
VstackFeatures(
output_field=FieldName.FEAT_TIME,
input_fields=[FieldName.FEAT_TIME],
),
SetFieldIfNotPresent(field=FieldName.FEAT_STATIC_CAT, value=[0.0]),
TargetDimIndicator(
field_name=FieldName.TARGET_DIM_INDICATOR,
target_field=FieldName.TARGET,
),
AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1),
InstanceSplitter(
target_field=FieldName.TARGET,
is_pad_field=FieldName.IS_PAD,
start_field=FieldName.START,
forecast_start_field=FieldName.FORECAST_START,
train_sampler=ExpectedNumInstanceSampler(num_instances=1),
past_length=self.history_length,
future_length=self.prediction_length,
time_series_fields=[
FieldName.FEAT_TIME,
FieldName.OBSERVED_VALUES,
],
pick_incomplete=self.pick_incomplete,
),
use_marginal_transformation(self.use_marginal_transformation),
SampleTargetDim(
field_name=FieldName.TARGET_DIM_INDICATOR,
target_field=FieldName.TARGET + "_cdf",
observed_values_field=FieldName.OBSERVED_VALUES,
num_samples=self.target_dim_sample,
shuffle=self.shuffle_target_dim,
),
])