def __init__(
self,
num_hidden_dimensions: List[int],
prediction_length: int,
context_length: int,
batch_normalization: bool,
mean_scaling: bool,
distr_output: DistributionOutput,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_hidden_dimensions = num_hidden_dimensions
self.prediction_length = prediction_length
self.context_length = context_length
self.batch_normalization = batch_normalization
self.mean_scaling = mean_scaling
self.distr_output = distr_output
with self.name_scope():
self.distr_args_proj = self.distr_output.get_args_proj()
self.mlp = mx.gluon.nn.HybridSequential()
dims = self.num_hidden_dimensions
for layer_no, units in enumerate(dims[:-1]):
self.mlp.add(mx.gluon.nn.Dense(units=units, activation="relu"))
if self.batch_normalization:
self.mlp.add(mx.gluon.nn.BatchNorm())
self.mlp.add(mx.gluon.nn.Dense(units=prediction_length * dims[-1]))
self.mlp.add(
mx.gluon.nn.HybridLambda(lambda F, o: F.reshape(
o, (-1, prediction_length, dims[-1]))))
self.scaler = MeanScaler() if mean_scaling else NOPScaler()
def __init__(
self,
freq: str,
prediction_length: int,
cardinality: List[int],
embedding_dimension: int,
encoder_mlp_layer: List[int],
decoder_mlp_layer: List[int],
decoder_mlp_static_dim: int,
scaler: Scaler = NOPScaler(),
context_length: Optional[int] = None,
quantiles: List[float] = list([0.1, 0.5, 0.9]),
trainer: Trainer = Trainer(),
num_parallel_samples: int = 100,
) -> None:
encoder = MLPEncoder(layer_sizes=encoder_mlp_layer)
super(MLP2QRForecaster, self).__init__(
freq=freq,
prediction_length=prediction_length,
encoder=encoder,
cardinality=cardinality,
embedding_dimension=embedding_dimension,
decoder_mlp_layer=decoder_mlp_layer,
decoder_mlp_static_dim=decoder_mlp_static_dim,
context_length=context_length,
scaler=scaler,
quantiles=quantiles,
trainer=trainer,
num_parallel_samples=num_parallel_samples,
)
def __init__(
self,
num_layers: int,
num_cells: int,
cell_type: str,
past_length: int,
prediction_length: int,
issm: ISSM,
dropout_rate: float,
cardinality: List[int],
embedding_dimension: int,
scaling: bool = True,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_layers = num_layers
self.num_cells = num_cells
self.cell_type = cell_type
self.past_length = past_length
self.prediction_length = prediction_length
self.issm = issm
self.dropout_rate = dropout_rate
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.num_cat = len(cardinality)
self.scaling = scaling
self.univariate = self.issm.output_dim() == 1
with self.name_scope():
self.prior_mean_model = mx.gluon.nn.Dense(
units=self.issm.latent_dim(), flatten=False)
self.prior_cov_diag_model = mx.gluon.nn.Dense(
units=self.issm.latent_dim(),
activation="sigmoid", # TODO: puot explicit upper bound
flatten=False,
)
self.lstm = mx.gluon.rnn.HybridSequentialRNNCell()
self.lds_proj = LDSArgsProj(output_dim=self.issm.output_dim())
for k in range(num_layers):
cell = mx.gluon.rnn.LSTMCell(hidden_size=num_cells)
cell = mx.gluon.rnn.ResidualCell(cell) if k > 0 else cell
cell = (mx.gluon.rnn.ZoneoutCell(cell,
zoneout_states=dropout_rate)
if dropout_rate > 0.0 else cell)
self.lstm.add(cell)
self.embedder = FeatureEmbedder(
cardinalities=cardinality,
embedding_dims=[embedding_dimension for _ in cardinality],
)
if scaling:
self.scaler = MeanScaler(keepdims=False)
else:
self.scaler = NOPScaler(keepdims=False)
def __init__(
self,
encoder: TransformerEncoder,
decoder: TransformerDecoder,
history_length: int,
context_length: int,
prediction_length: int,
distr_output: DistributionOutput,
cardinality: List[int],
embedding_dimension: int,
lags_seq: List[int],
scaling: bool = True,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.history_length = history_length
self.context_length = context_length
self.prediction_length = prediction_length
self.scaling = scaling
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.distr_output = distr_output
assert len(
set(lags_seq)) == len(lags_seq), "no duplicated lags allowed!"
lags_seq.sort()
self.lags_seq = lags_seq
self.target_shape = distr_output.event_shape
with self.name_scope():
self.proj_dist_args = distr_output.get_args_proj()
self.encoder = encoder
self.decoder = decoder
self.embedder = FeatureEmbedder(
cardinalities=cardinality,
embedding_dims=[embedding_dimension for _ in cardinality],
)
if scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
def __init__(
self,
freq: str,
prediction_length: int,
cardinality: List[int],
embedding_dimension: int,
encoder: Seq2SeqEncoder,
decoder_mlp_layer: List[int],
decoder_mlp_static_dim: int,
scaler: Scaler = NOPScaler(),
context_length: Optional[int] = None,
quantiles: Optional[List[float]] = None,
trainer: Trainer = Trainer(),
num_parallel_samples: int = 100,
) -> None:
assert (prediction_length >
0), "The value of `prediction_length` should be > 0"
assert (context_length is None or context_length > 0
), "The value of `context_length` should be > 0"
assert quantiles is None or all(
0 <= d <= 1 for d in
quantiles), "Elements of `quantiles` should be >= 0 and <= 1"
super().__init__(trainer=trainer)
self.context_length = (context_length if context_length is not None
else prediction_length)
self.prediction_length = prediction_length
self.freq = freq
self.quantiles = (quantiles
if quantiles is not None else [0.1, 0.5, 0.9])
self.encoder = encoder
self.decoder_mlp_layer = decoder_mlp_layer
self.decoder_mlp_static_dim = decoder_mlp_static_dim
self.scaler = scaler
self.embedder = FeatureEmbedder(
cardinalities=cardinality,
embedding_dims=[embedding_dimension for _ in cardinality],
)
self.num_parallel_samples = num_parallel_samples
def __init__(
self,
freq: str,
prediction_length: int,
cardinality: List[int],
embedding_dimension: int,
encoder_rnn_layer: int,
encoder_rnn_num_hidden: int,
decoder_mlp_layer: List[int],
decoder_mlp_static_dim: int,
encoder_rnn_model: str = "lstm",
encoder_rnn_bidirectional: bool = True,
scaler: Scaler = NOPScaler(),
context_length: Optional[int] = None,
quantiles: Optional[List[float]] = None,
trainer: Trainer = Trainer(),
num_parallel_samples: int = 100,
) -> None:
encoder = RNNEncoder(
mode=encoder_rnn_model,
hidden_size=encoder_rnn_num_hidden,
num_layers=encoder_rnn_layer,
bidirectional=encoder_rnn_bidirectional,
use_static_feat=True,
use_dynamic_feat=True,
)
super(RNN2QRForecaster, self).__init__(
freq=freq,
prediction_length=prediction_length,
encoder=encoder,
cardinality=cardinality,
embedding_dimension=embedding_dimension,
decoder_mlp_layer=decoder_mlp_layer,
decoder_mlp_static_dim=decoder_mlp_static_dim,
context_length=context_length,
scaler=scaler,
quantiles=quantiles,
trainer=trainer,
num_parallel_samples=num_parallel_samples,
)
def __init__(
self,
encoder: Seq2SeqEncoder,
enc2dec: Seq2SeqEnc2Dec,
decoder: Seq2SeqDecoder,
quantile_output: QuantileOutput,
context_length: int,
cardinality: List[int],
embedding_dimension: List[int],
scaling: bool = True,
dtype: DType = np.float32,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.encoder = encoder
self.enc2dec = enc2dec
self.decoder = decoder
self.quantile_output = quantile_output
self.context_length = context_length
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.scaling = scaling
self.dtype = dtype
if self.scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
with self.name_scope():
self.quantile_proj = quantile_output.get_quantile_proj()
self.loss = quantile_output.get_loss()
self.embedder = FeatureEmbedder(
cardinalities=cardinality,
embedding_dims=embedding_dimension,
dtype=self.dtype,
)
def __init__(
self,
freq: str,
prediction_length: int,
cardinality: List[int],
embedding_dimension: int,
decoder_mlp_layer: List[int],
decoder_mlp_static_dim: int,
scaler: Scaler = NOPScaler(),
context_length: Optional[int] = None,
quantiles: Optional[List[float]] = None,
trainer: Trainer = Trainer(),
num_parallel_samples: int = 100,
) -> None:
encoder = HierarchicalCausalConv1DEncoder(
dilation_seq=[1, 3, 9],
kernel_size_seq=([3] * len([30, 30, 30])),
channels_seq=[30, 30, 30],
use_residual=True,
use_dynamic_feat=True,
use_static_feat=True,
)
super(CNN2QRForecaster, self).__init__(
freq=freq,
prediction_length=prediction_length,
encoder=encoder,
cardinality=cardinality,
embedding_dimension=embedding_dimension,
decoder_mlp_layer=decoder_mlp_layer,
decoder_mlp_static_dim=decoder_mlp_static_dim,
context_length=context_length,
scaler=scaler,
quantiles=quantiles,
trainer=trainer,
num_parallel_samples=num_parallel_samples,
)
def __init__(
self,
prediction_length: int,
context_length: int,
num_stacks: int,
widths: List[int],
num_blocks: List[int],
num_block_layers: List[int],
expansion_coefficient_lengths: List[int],
sharing: List[bool],
stack_types: List[str],
scale: bool = False,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_stacks = num_stacks
self.widths = widths
self.num_blocks = num_blocks
self.num_block_layers = num_block_layers
self.sharing = sharing
self.expansion_coefficient_lengths = expansion_coefficient_lengths
self.stack_types = stack_types
self.prediction_length = prediction_length
self.context_length = context_length
if scale:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
with self.name_scope():
self.net_blocks: List[NBEATSBlock] = []
# connect all the blocks correctly
for stack_id in range(num_stacks):
for block_id in range(num_blocks[stack_id]):
# in case sharing is enabled for the stack
params = (
self.net_blocks[-1].collect_params()
if (block_id > 0 and sharing[stack_id])
else None
)
# only last one does not have backcast
has_backcast = not (
stack_id == num_stacks - 1
and block_id == num_blocks[num_stacks - 1] - 1
)
if self.stack_types[stack_id] == "G":
net_block = NBEATSGenericBlock(
width=self.widths[stack_id],
num_block_layers=self.num_block_layers[stack_id],
expansion_coefficient_length=self.expansion_coefficient_lengths[
stack_id
],
prediction_length=prediction_length,
context_length=context_length,
has_backcast=has_backcast,
params=params,
)
elif self.stack_types[stack_id] == "S":
net_block = NBEATSSeasonalBlock(
width=self.widths[stack_id],
num_block_layers=self.num_block_layers[stack_id],
expansion_coefficient_length=self.expansion_coefficient_lengths[
stack_id
],
prediction_length=prediction_length,
context_length=context_length,
has_backcast=has_backcast,
params=params,
)
else: # self.stack_types[stack_id] == "T"
net_block = NBEATSTrendBlock(
width=self.widths[stack_id],
num_block_layers=self.num_block_layers[stack_id],
expansion_coefficient_length=self.expansion_coefficient_lengths[
stack_id
],
prediction_length=prediction_length,
context_length=context_length,
has_backcast=has_backcast,
params=params,
)
self.net_blocks.append(net_block)
self.register_child(
net_block, f"block_{stack_id}_{block_id}"
)
def __init__(
self,
num_layers: int,
num_cells: int,
cell_type: str,
history_length: int,
context_length: int,
prediction_length: int,
distr_output_m: DistributionOutput,
distr_output_q: DistributionOutput,
dropout_rate: float,
cardinality: List[int],
embedding_dimension: List[int],
lags_seq: List[int],
scaling: bool = True,
dtype: DType = np.float32,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_layers = num_layers
self.num_cells = num_cells
self.cell_type = cell_type
self.history_length = history_length
self.context_length = context_length
self.prediction_length = prediction_length
self.dropout_rate = dropout_rate
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.num_cat = len(cardinality)
self.scaling = scaling
self.dtype = dtype
assert len(cardinality) == len(
embedding_dimension
), "embedding_dimension should be a list with the same size as cardinality"
assert len(
set(lags_seq)) == len(lags_seq), "no duplicated lags allowed!"
lags_seq.sort()
self.lags_seq = lags_seq
# 2 separate distributions
self.distr_output_m = distr_output_m
self.distr_output_q = distr_output_q
RnnCell = {
"lstm": mx.gluon.rnn.LSTMCell,
"gru": mx.gluon.rnn.GRUCell
}[self.cell_type]
self.target_shape = distr_output_m.event_shape
# TODO: is the following restriction needed?
assert (
len(self.target_shape) <= 1
), "Argument `target_shape` should be a tuple with 1 element at most"
with self.name_scope():
self.proj_distr_args_m = self.distr_output_m.get_args_proj(
prefix="m")
self.proj_distr_args_q = self.distr_output_q.get_args_proj(
prefix="q")
self.rnn = mx.gluon.rnn.HybridSequentialRNNCell()
for k in range(num_layers):
cell = RnnCell(hidden_size=num_cells)
cell = mx.gluon.rnn.ResidualCell(cell) if k > 0 else cell
cell = (mx.gluon.rnn.ZoneoutCell(cell,
zoneout_states=dropout_rate)
if dropout_rate > 0.0 else cell)
self.rnn.add(cell)
self.rnn.cast(dtype=dtype)
self.embedder = FeatureEmbedder(
cardinalities=cardinality,
embedding_dims=embedding_dimension,
dtype=self.dtype,
)
if scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)
def __init__(
self,
num_series: int,
channels: int,
kernel_size: int,
rnn_cell_type: str,
rnn_num_layers: int,
rnn_num_cells: int,
skip_rnn_cell_type: str,
skip_rnn_num_layers: int,
skip_rnn_num_cells: int,
skip_size: int,
ar_window: int,
context_length: int,
lead_time: int,
prediction_length: int,
dropout_rate: float,
output_activation: Optional[str],
scaling: bool,
dtype: DType,
*args,
**kwargs,
) -> None:
super().__init__(*args, **kwargs)
self.num_series = num_series
self.channels = channels
assert (
channels % skip_size == 0
), "number of conv2d `channels` must be divisible by the `skip_size`"
self.skip_size = skip_size
assert (ar_window >
0), "auto-regressive window must be a positive integer"
self.ar_window = ar_window
assert lead_time >= 0, "`lead_time` must be greater than zero"
assert (prediction_length >
0), "`prediction_length` must be greater than zero"
self.prediction_length = prediction_length
self.horizon = lead_time
assert context_length > 0, "`context_length` must be greater than zero"
self.context_length = context_length
if output_activation is not None:
assert output_activation in [
"sigmoid",
"tanh",
], "`output_activation` must be either 'sigmiod' or 'tanh' "
self.output_activation = output_activation
assert rnn_cell_type in [
"gru",
"lstm",
], "`rnn_cell_type` must be either 'gru' or 'lstm' "
assert skip_rnn_cell_type in [
"gru",
"lstm",
], "`skip_rnn_cell_type` must be either 'gru' or 'lstm' "
self.conv_out = context_length - kernel_size + 1
self.conv_skip = self.conv_out // skip_size
assert self.conv_skip > 0, (
"conv2d output size must be greater than or equal to `skip_size`\n"
"Choose a smaller `kernel_size` or bigger `context_length`")
self.channel_skip_count = self.conv_skip * skip_size
self.dtype = dtype
with self.name_scope():
self.cnn = nn.Conv2D(
channels,
(num_series, kernel_size),
activation="relu",
layout="NCHW",
in_channels=1,
) # NC1T
self.cnn.cast(dtype)
self.dropout = nn.Dropout(dropout_rate)
self.rnn = self._create_rnn_layer(rnn_num_cells, rnn_num_layers,
rnn_cell_type,
dropout_rate) # NTC
self.rnn.cast(dtype)
self.skip_rnn_num_cells = skip_rnn_num_cells
self.skip_rnn = self._create_rnn_layer(
skip_rnn_num_cells,
skip_rnn_num_layers,
skip_rnn_cell_type,
dropout_rate,
) # NTC
self.skip_rnn.cast(dtype)
# TODO: add temporal attention option
self.fc = nn.Dense(num_series, dtype=dtype)
self.ar_fc = nn.Dense(prediction_length,
dtype=dtype,
flatten=False)
if scaling:
self.scaler = MeanScaler(axis=2, keepdims=True)
else:
self.scaler = NOPScaler(axis=2, keepdims=True)
def __init__(
self,
num_layers: int,
num_cells: int,
cell_type: str,
past_length: int,
prediction_length: int,
issm: ISSM,
dropout_rate: float,
cardinality: List[int],
embedding_dimension: List[int],
scaling: bool = True,
noise_std_bounds: ParameterBounds = ParameterBounds(1e-6, 1.0),
prior_cov_bounds: ParameterBounds = ParameterBounds(1e-6, 1.0),
innovation_bounds: ParameterBounds = ParameterBounds(1e-6, 0.01),
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_layers = num_layers
self.num_cells = num_cells
self.cell_type = cell_type
self.past_length = past_length
self.prediction_length = prediction_length
self.issm = issm
self.dropout_rate = dropout_rate
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.num_cat = len(cardinality)
self.scaling = scaling
assert len(cardinality) == len(
embedding_dimension
), "embedding_dimension should be a list with the same size as cardinality"
self.univariate = self.issm.output_dim() == 1
self.noise_std_bounds = noise_std_bounds
self.prior_cov_bounds = prior_cov_bounds
self.innovation_bounds = innovation_bounds
with self.name_scope():
self.prior_mean_model = mx.gluon.nn.Dense(
units=self.issm.latent_dim(), flatten=False
)
self.prior_cov_diag_model = mx.gluon.nn.Dense(
units=self.issm.latent_dim(),
activation="sigmoid",
flatten=False,
)
self.lstm = mx.gluon.rnn.HybridSequentialRNNCell()
self.lds_proj = LDSArgsProj(
output_dim=self.issm.output_dim(),
noise_std_bounds=self.noise_std_bounds,
innovation_bounds=self.innovation_bounds,
)
for k in range(num_layers):
cell = mx.gluon.rnn.LSTMCell(hidden_size=num_cells)
cell = mx.gluon.rnn.ResidualCell(cell) if k > 0 else cell
cell = (
mx.gluon.rnn.ZoneoutCell(cell, zoneout_states=dropout_rate)
if dropout_rate > 0.0
else cell
)
self.lstm.add(cell)
self.embedder = FeatureEmbedder(
cardinalities=cardinality, embedding_dims=embedding_dimension
)
if scaling:
self.scaler = MeanScaler(keepdims=False)
else:
self.scaler = NOPScaler(keepdims=False)
def __init__(
self,
num_layers: int,
num_cells: int,
cell_type: str,
history_length: int,
context_length: int,
prediction_length: int,
distr_output: DistributionOutput,
dropout_rate: float,
lags_seq: List[int],
target_dim: int,
conditioning_length: int,
cardinality: List[int] = [1],
embedding_dimension: int = 1,
scaling: bool = True,
**kwargs,
) -> None:
super().__init__(**kwargs)
self.num_layers = num_layers
self.num_cells = num_cells
self.cell_type = cell_type
self.history_length = history_length
self.context_length = context_length
self.prediction_length = prediction_length
self.dropout_rate = dropout_rate
self.cardinality = cardinality
self.embedding_dimension = embedding_dimension
self.num_cat = len(cardinality)
self.target_dim = target_dim
self.scaling = scaling
self.target_dim_sample = target_dim
self.conditioning_length = conditioning_length
assert len(set(lags_seq)) == len(
lags_seq
), "no duplicated lags allowed!"
lags_seq.sort()
self.lags_seq = lags_seq
self.distr_output = distr_output
self.target_dim = target_dim
with self.name_scope():
self.proj_dist_args = distr_output.get_args_proj()
residual = True
self.rnn = make_rnn_cell(
cell_type=cell_type,
num_cells=num_cells,
num_layers=num_layers,
residual=residual,
dropout_rate=dropout_rate,
)
self.embed_dim = 1
self.embed = mx.gluon.nn.Embedding(
input_dim=self.target_dim, output_dim=self.embed_dim
)
if scaling:
self.scaler = MeanScaler(keepdims=True)
else:
self.scaler = NOPScaler(keepdims=True)