def sklearn_random_forest_ts_tscv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
)
try:
filename = 'Model_RandomForest_ts_tscv.sav'
random_forest_ts_tscv = joblib.load("./models/RandomForest_Model/" +
str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
# Training the model incl. Cross Validation
df_parameters = pd.DataFrame()
folds = list(range(1, 6))
# Determine hyperparameter combinations
# max_depth = [8, 9, 10, 11, 12]
# n_estimators = [100, 120, 140]
# max_leaf_nodes = [60, 70, 80]
# max_samples = [0.1, 0.2, 0.3, 0.5, 0.6, 0.7, 0.8, 0.9, 0.99]
# final values
max_depth = [10]
n_estimators = [120]
max_leaf_nodes = [80]
max_samples = [0.5]
for depth in list(range(len(max_depth))):
for number_trees in list(range(len(n_estimators))):
for node in list(range(len(max_leaf_nodes))):
for sample in list(range(len(max_samples))):
# important: fold needs to be the last for-loop to be able to compute the means of Pseudo R^2 across the folds
for fold in list(range(len(folds))):
X_train_cv, Y_train_cv, X_test_cv, Y_test_cv = get_sample_for_cv(
folds[
-1], # specify the number of total folds, last index of the list
# specifiy the current fold
folds[fold],
X_train, # DataFrame X_train, which was created with the function train_test_split_ts
Y_train
) # DataFrame Y_train, which was created with the function train_test_split_ts
# to evaluate the prediction quality, we use the R2 measure
# as a benchmark, we initially calculated the mean value and the residual sum of squares of the target variable for the specific fold
Y_train_mean_cv = Y_train_cv.mean()
""" print("Y_train_cv type: ", type(
Y_train_cv), "\tValue: ", Y_train_cv, "\n",
"Y_train_mean_cv type: ", type(Y_train_mean_cv), "\tValue: ", Y_train_mean_cv) """
# print(((Y_test_cv-Y_train_mean_cv)**2).sum())
Y_train_meandev_cv = ((Y_train_cv -
Y_train_mean_cv)**2).sum()
Y_test_meandev_cv = ((Y_test_cv -
Y_train_mean_cv)**2).sum()
# initialize model
RForreg = RandomForestRegressor(
max_depth=max_depth[depth],
n_estimators=n_estimators[number_trees],
max_leaf_nodes=max_leaf_nodes[node],
max_samples=max_samples[sample],
random_state=0)
# train the model
RForreg.fit(X_train_cv, Y_train_cv["cnt"])
# Make predictions based on the traing set
Y_train_pred_cv = RForreg.predict(X_train_cv)
Y_train_dev_cv = ((Y_train_cv["cnt"] -
Y_train_pred_cv)**2).sum()
r2_cv = 1 - Y_train_dev_cv / Y_train_meandev_cv
# Evaluate the result by applying the model to the test set
Y_test_pred_cv = RForreg.predict(X_test_cv)
Y_test_dev_cv = ((Y_test_cv["cnt"] -
Y_test_pred_cv)**2).sum()
pseudor2_cv = 1 - Y_test_dev_cv / Y_test_meandev_cv
# Append results to dataframe
new_row = {
'fold': folds[fold],
'max_depth': max_depth[depth],
'n_estimators': n_estimators[number_trees],
'max_leaf_nodes': max_leaf_nodes[node],
'max_samples': max_samples[sample],
'R2': r2_cv,
'PseudoR2': pseudor2_cv
}
# Calculate means to find the best hyperparameters across all folds
n_folds = folds[-1]
i = 0
index = 0
mean_max = 0
while i < len(df_parameters):
if df_parameters.iloc[i:i + n_folds,
0].mean() > mean_max:
mean_max = df_parameters.iloc[i:i +
n_folds,
0].mean()
index = i
i += n_folds
else:
i += n_folds
df_parameters = df_parameters.append(
new_row, ignore_index=True)
# best parameters based on mean of PseudoR^2
# only the hyperparameters are included here, therefore the index starts at 3
best_parameters = pd.Series(
df_parameters.iloc[index, 3:])
# Initialize the model and the regressor with the best hyperparameters
random_forest_ts_tscv = RandomForestRegressor(
max_depth=int(best_parameters['max_depth']),
n_estimators=int(best_parameters['n_estimators']),
max_leaf_nodes=int(best_parameters['max_leaf_nodes']),
max_samples=best_parameters['max_samples'],
random_state=0)
# train the model with the hyperparameters
random_forest_ts_tscv.fit(X_train, Y_train.values.ravel())
joblib.dump(
random_forest_ts_tscv,
"./models/RandomForest_Model/Model_RandomForest_ts_tscv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev,
random_forest_ts_tscv)
return r2.values[0], pseudor2.values[0]
def sklearn_random_forest_rs_gridcv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
rs="_rs")
try:
filename = 'Model_RandomForest_rs_gridcv.sav'
random_forest_rs_gridcv = joblib.load("./models/RandomForest_Model/" +
str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
# Training the model incl. Cross Validation
# Initialize RandomForestRegressor
RForregCV = RandomForestRegressor(random_state=0)
# Determine hyperparameter combinations
# param_grid = { 'max_depth': [8, 9, 10, 11, 12, 13],
# 'n_estimators': [80, 100, 120],
# 'max_leaf_nodes': [60, 70, 80],
# 'max_samples': [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 0.99]}
# final values
param_grid = {
'max_depth': [12],
'n_estimators': [120],
'max_leaf_nodes': [80],
'max_samples': [0.3]
}
# Cross Validation
CV_rfmodel = GridSearchCV(estimator=RForregCV,
param_grid=param_grid,
cv=5)
CV_rfmodel.fit(X_train, Y_train.values.ravel())
# Final training
random_forest_rs_gridcv = RForregCV.set_params(
**CV_rfmodel.best_params_)
random_forest_rs_gridcv.fit(X_train, Y_train.values.ravel())
# Save model
joblib.dump(
random_forest_rs_gridcv,
"./models/RandomForest_Model/Model_RandomForest_rs_gridcv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev,
random_forest_rs_gridcv)
return r2.values[0], pseudor2.values[0]
def catboost_regressor_ts_gridcv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
)
cat_var = [
"season", "yr", "mnth", "hr", "holiday", "weekday", "workingday",
"weathersit"
]
for v in cat_var:
X_train[v] = X_train[v].astype("int64")
X_test[v] = X_test[v].astype("int64")
model = CatBoostRegressor(loss_function='RMSE',
depth=10,
learning_rate=0.05,
iterations=1000,
od_type='Iter',
od_wait=10)
try:
model.load_model("./models/catboost/catboost_model_ts_gridcv")
print("Model loaded!")
except:
if not os.path.exists("./models/catboost"):
os.makedirs("./models/catboost")
model.fit(X_train,
Y_train,
use_best_model=True,
cat_features=[
"season", "yr", "mnth", "hr", "holiday", "weekday",
"workingday", "weathersit", "rush_hour"
],
eval_set=(X_test, Y_test),
verbose=True,
plot=True)
model.save_model("./models/catboost/catboost_model_ts_gridcv",
format="cbm")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, model)
return r2.values[0], pseudor2.values[0]
def catboost_regressor_ts_tscv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
)
cat_var = [
"season", "yr", "mnth", "hr", "holiday", "weekday", "workingday",
"weathersit"
]
for v in cat_var:
X_train[v] = X_train[v].astype("int64")
X_test[v] = X_test[v].astype("int64")
model = CatBoostRegressor(loss_function='RMSE',
depth=6,
learning_rate=0.2,
iterations=200,
od_type='Iter',
od_wait=10)
try:
model.load_model("./models/catboost/catboost_model_ts_tscv")
print("Model loaded!")
except:
if not os.path.exists("./models/catboost"):
os.makedirs("./models/catboost")
df_parameters = pd.DataFrame()
folds = list(range(1, 6))
depths = [6, 8, 10]
learning_rates = [0.01, 0.05, 0.1, 0.2, 0.3]
iterations = [30, 50, 100, 200, 400, 600, 800, 1000]
for depth in list(range(len(depths))):
for learning_rate in list(range(len(learning_rates))):
for iteration in list(range(len(iterations))):
# important: fold needs to be the last for-loop to be able to compute the means of Pseudo R^2 across the folds
for fold in list(range(len(folds))):
X_train_cv, Y_train_cv, X_test_cv, Y_test_cv = get_sample_for_cv(
folds[
-1], # specify the number of total folds, last index of the list
# specifiy the current fold
folds[fold],
X_train, # DataFrame X_train, which was created with the function train_test_split_ts
Y_train
) # DataFrame Y_train, which was created with the function train_test_split_ts
# to evaluate the prediction quality, we use the R2 measure
# as a benchmark, we initially calculated the mean value and the residual sum of squares of the target variable for the specific fold
Y_train_mean_cv = Y_train_cv.mean()
# remove error-causing header
Y_train_cv = Y_train_cv.iloc[:, 0]
Y_test_cv = Y_test_cv.iloc[:, 0]
Y_train_meandev_cv = sum(
(Y_train_cv - float(Y_train_mean_cv))**2)
Y_test_meandev_cv = sum(
(Y_test_cv - float(Y_train_mean_cv))**2)
# initialize model
cat_var = [
"season", "yr", "mnth", "hr", "holiday", "weekday",
"workingday", "weathersit", "rush_hour"
]
for v in cat_var:
X_train_cv[v] = X_train_cv[v].astype("int64")
X_test_cv[v] = X_test_cv[v].astype("int64")
model = CatBoostRegressor(
loss_function='RMSE',
depth=depths[depth],
learning_rate=learning_rates[learning_rate],
iterations=iterations[iteration],
od_type='Iter',
od_wait=10)
# train the model
model.fit(X_train_cv,
Y_train_cv,
use_best_model=True,
cat_features=[
"season", "yr", "mnth", "hr", "holiday",
"weekday", "workingday", "weathersit",
"rush_hour"
],
eval_set=(X_test_cv, Y_test_cv),
verbose=True,
plot=True)
# Make predictions based on the traing set
Y_train_pred_cv = model.predict(X_train_cv)
Y_train_dev_cv = sum((Y_train_cv - Y_train_pred_cv)**2)
r2_cv = 1 - Y_train_dev_cv / Y_train_meandev_cv
# Evaluate the result by applying the model to the test set
Y_test_pred_cv = model.predict(X_test_cv)
Y_test_dev_cv = sum((Y_test_cv - Y_test_pred_cv)**2)
pseudor2_cv = 1 - Y_test_dev_cv / Y_test_meandev_cv
# Append results to dataframe
new_row = {
'fold': folds[fold],
'max_depth': depths[depth],
'iterations': iterations[iteration],
'learning_rate': learning_rates[learning_rate],
'R2': r2_cv,
'PseudoR2': pseudor2_cv
}
# Calculate means to find the best hyperparameters across all folds
n_folds = folds[-1]
i = 0
index = 0
mean_max = 0
while i < len(df_parameters):
if df_parameters.iloc[i:i + n_folds,
0].mean() > mean_max:
mean_max = df_parameters.iloc[i:i + n_folds,
0].mean()
index = i
i += n_folds
else:
i += n_folds
df_parameters = df_parameters.append(new_row,
ignore_index=True)
# best parameters based on mean of PseudoR^2
# only the hyperparameters are included here, therefore the index starts at 3
best_parameters = pd.Series(df_parameters.iloc[index,
3:])
model = CatBoostRegressor(
loss_function='RMSE',
depth=best_parameters["max_depth"],
learning_rate=best_parameters["learning_rate"],
iterations=best_parameters["iterations"],
od_type='Iter',
od_wait=10)
model.fit(X_train,
Y_train,
use_best_model=True,
cat_features=[
"season", "yr", "mnth", "hr", "holiday", "weekday",
"workingday", "weathersit", "rush_hour"
],
eval_set=(X_test, Y_test),
verbose=True,
plot=True)
model.save_model("./models/catboost/catboost_model_ts_tscv",
format="cbm")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, model)
return r2.values[0], pseudor2.values[0]
def sklearn_support_vector_regression_rs_gridcv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
rs="_rs", nn="_NN_SVR")
try:
filename = "Model_SVR_rs_gridcv.sav"
SVR_regr_CV_model = joblib.load("./models/SVR_files/" + str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
### MODEL CREATION ###
# initialize SVR
# SVR_regr_CV = SVR(max_iter=25000)
## HYPERPARAMETER OPTIMIZATION ###
# 1st RandomizedSearchCV parameters:
# param_grid = {
# "degree": [2, 4, 6]
# "C": [1, 2, 4, 6],
# "epsilon": [0.0, 0.05, 0.1],
# "gamma": [1., 2., 3.],
# "kernel": ["poly", "rbf"]
# }
# best parameters: {'kernel': 'rbf', 'gamma': 1.0, 'epsilon': 0.0, 'degree': 2, 'C': 1}
# 2nd RandomizedSearchCV parameters:
# param_grid = {
# "C": [0.5, 1, 1.5],
# "epsilon": [0.0, 0.01, 0.03],
# "gamma": ["scale", "auto", 0., 1.],
# "kernel": ["rbf"]
# }
# best parameters: {'kernel': 'rbf', 'gamma': 1.0, 'epsilon': 0.01, 'C': 1.5}
# 3nd RandomizedSearchCV parameters:
# param_grid = {
# "C": [1.25, 1.5, 1.75],
# "epsilon": [0.005, 0.01, 0.02],
# "gamma": [0.75, 1.0, 1.25],
# "kernel": ["rbf"]
# }
# best parameters: {'kernel': 'rbf', 'gamma': 1.0, 'epsilon': 0.01, 'C': 1.75}
## TRAINING ON OPTIMAL PARAMETERS ###
# set optimal parameters
SVR_regr_CV_model = SVR(C=1.75,
epsilon=0.01,
gamma=1.0,
kernel="rbf",
max_iter=25000)
SVR_regr_CV_model.fit(X_train, Y_train.values.ravel())
# store model
if not os.path.exists("./models/SVR_files"):
os.makedirs("./models/SVR_files")
joblib.dump(SVR_regr_CV_model,
"./models/SVR_files/Model_SVR_rs_gridcv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, SVR_regr_CV_model)
return r2.values[0], pseudor2.values[0]
def sklearn_neural_net_multilayerperceptron_ts_tscv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
nn="_NN_SVR")
try:
filename = "Model_MLP_ts_tscv.sav"
NN_regr_CV_model = joblib.load("./models/NN_MLP_files/" +
str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
### FIND OPTIMAL PARAMETERS ###
# 1st CV parameters:
# param_grid = {
# "hidden_layer_sizes": [(50,), (100,), (50, 25,)],
# "activation": ["tanh", "relu"],
# "alpha": [0.015, 0.02, 0.025],
# }
# best parameters: {hidden_layer_sizes=(50, 25,), alpha=0.015, activation=”relu”}
# see procedure below
# # Training the model incl. Cross Validation
# df_parameters = pd.DataFrame()
# folds = list(range(1, 6))
# hidden_layer_sizes = [(50,), (100,), (50, 25,)]
# activations = ["tanh", "relu"]
# alphas = [0.015, 0.02, 0.025]
# for size in list(range(len(hidden_layer_sizes))):
# for activation in list(range(len(activations))):
# for alpha in list(range(len(alphas))):
# # important: fold needs to be the last for-loop to be able to compute the means of Pseudo R^2 across the folds
# for fold in list(range(len(folds))):
# X_train_cv, Y_train_cv, X_test_cv, Y_test_cv = get_sample_for_cv_NN_SVR(folds[-1], # specify the number of total folds, last index of the list
# # specifiy the current fold
# folds[fold],
# X_train, # DataFrame X_train, which was created with the function train_test_split_ts
# Y_train) # DataFrame Y_train, which was created with the function train_test_split_ts
# # to evaluate the prediction quality, we use the R2 measure
# # as a benchmark, we initially calculated the mean value and the residual sum of squares of the target variable for the specific fold
# Y_train_mean_cv = Y_train_cv.mean()
# # remove-error-causing header
# Y_train_cv_for_meandev = Y_train_cv.iloc[:,0]
# Y_test_cv_for_meandev = Y_test_cv.iloc[:,0]
# Y_train_meandev_cv = sum((Y_train_cv_for_meandev - float(Y_train_mean_cv))**2)
# Y_test_meandev_cv = sum((Y_test_cv_for_meandev - float(Y_train_mean_cv))**2)
# # initialize model
# NN_regr_CV_model = MLPRegressor(solver= "lbfgs",
# max_iter = 10000,
# random_state=0,
# hidden_layer_sizes=hidden_layer_sizes[size],
# activation=activations[activation],
# alpha=alphas[alpha],
# )
# # train the model
# NN_regr_CV_model.fit(X_train_cv, Y_train_cv.values.ravel())
# # Make predictions based on the traing set
# Y_train_pred_cv = NN_regr_CV_model.predict(X_train_cv)
# Y_train_dev_cv = sum(
# (Y_train_cv_for_meandev-Y_train_pred_cv)**2)
# r2_cv = 1 - Y_train_dev_cv/Y_train_meandev_cv
# # Evaluate the result by applying the model to the test set
# Y_test_pred_cv = NN_regr_CV_model.predict(X_test_cv)
# Y_test_dev_cv = sum(
# (Y_test_cv_for_meandev-Y_test_pred_cv)**2)
# pseudor2_cv = 1 - Y_test_dev_cv/Y_test_meandev_cv
# # Append results to dataframe
# new_row = {'fold': folds[fold],
# 'hidden_layer_sizes': hidden_layer_sizes[size],
# 'activations': activations[activation],
# 'alphas': alphas[alpha],
# 'R2': r2_cv,
# 'PseudoR2': pseudor2_cv}
# # Calculate means to find the best hyperparameters across all folds
# n_folds = folds[-1]
# i = 0
# index = 0
# mean_max = 0
# while i < len(df_parameters):
# if df_parameters.iloc[i:i+n_folds, 1].mean() > mean_max:
# mean_max = df_parameters.iloc[i:i +
# n_folds, 1].mean()
# index = i
# i += n_folds
# else:
# i += n_folds
# df_parameters = df_parameters.append(
# new_row, ignore_index=True)
# # best parameters based on mean of PseudoR^2
# # only the hyperparameters are included here, therefore the index starts at 2
# best_parameters = pd.Series(
# df_parameters.iloc[index, 2:])
# print(df_parameters)
# # Initialize the model and the regressor with the best hyperparameters
# NN_regr_CV_model = MLPRegressor(solver= "lbfgs",
# max_iter = 10000,
# random_state=0,
# hidden_layer_sizes=(best_parameters['hidden_layer_sizes']),
# activation=(
# best_parameters['activations']),
# alpha=
# best_parameters['alphas']
# )
### TRAINING ON OPTIMAL PARAMETERS ###
# set optimal parameters
NN_regr_CV_model = MLPRegressor(solver="lbfgs",
max_iter=10000,
random_state=0,
hidden_layer_sizes=(
50,
25,
),
activation='relu',
alpha=0.015)
NN_regr_CV_model.fit(X_train, Y_train.values.ravel())
# store model
if not os.path.exists("./models/NN_MLP_files"):
os.makedirs("./models/NN_MLP_files")
joblib.dump(NN_regr_CV_model,
"./models/NN_MLP_files/Model_MLP_ts_tscv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, NN_regr_CV_model)
return r2.values[0], pseudor2.values[0]
def sklearn_neural_net_multilayerperceptron_ts_gridcv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
nn="_NN_SVR")
try:
filename = "Model_MLP_ts_gridcv.sav"
NN_regr_CV_model = joblib.load("./models/NN_MLP_files/" +
str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
### MODEL CREATION ###
# initialize MLPRegressor (lbfgs solver used due to its efficiency)
# NN_regr_CV = MLPRegressor(
# solver='lbfgs', max_iter=10000, random_state=0)
### HYPERPARAMETER OPTIMIZATION ###
# 1st RandomizedSearchCV parameters:
# param_grid = {
# "hidden_layer_sizes": [(50,), (100,), (50, 25,), (50, 50,)],
# "activation": ["tanh", "relu"],
# "alpha": [0.01, 0.02, 0.04, 0.05],
# }
# best parameters: {'hidden_layer_sizes': (50, 25), 'alpha': 0.02, 'activation': 'tanh'}
# 2nd RandomizedSearchCV parameters:
# param_grid = {
# "hidden_layer_sizes": [(50, 25,), (75, 25,), (75, 50,)],
# "activation": ["tanh", "relu"],
# "alpha": [0.015, 0.02, 0.025],
# }
# best parameters: {'hidden_layer_sizes': (50, 25), 'alpha': 0.02, 'activation': 'tanh'}
### TRAINING ON OPTIMAL PARAMETERS ###
# set optimal parameters
NN_regr_CV_model = MLPRegressor(solver="lbfgs",
max_iter=10000,
random_state=0,
hidden_layer_sizes=(50, 25),
activation='tanh',
alpha=0.02)
NN_regr_CV_model.fit(X_train, Y_train.values.ravel())
# store model
if not os.path.exists("./models/NN_MLP_files"):
os.makedirs("./models/NN_MLP_files")
joblib.dump(NN_regr_CV_model,
"./models/NN_MLP_files/Model_MLP_ts_gridcv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, NN_regr_CV_model)
return r2.values[0], pseudor2.values[0]
def sklearn_support_vector_regression_ts_tscv():
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
nn="_NN_SVR")
try:
filename = "Model_SVR_ts_tscv.sav"
SVR_regr_CV_model = joblib.load("./models/SVR_files/" + str(filename))
logger.info("Model is loaded!\n")
except:
logger.info("Model is creating!\n")
# ## FIND OPTIMAL PARAMETERS ###
# 1st CV parameters:
# param_grid = {
# "C": [1.25, 1.5, 1.75],
# "epsilon": [0.005, 0.01, 0.02],
# "gamma": [0.75, 1.0, 1.25],
# "kernel": ["rbf"]
# }
# best parameters: C=0.5, epsilon=0.03, gamma=0.5, kernel=”rbf”
# see procedure below
# Training the model incl. Cross Validation
# df_parameters = pd.DataFrame()
# folds = list(range(1, 6))
# C = [1.25, 1.5, 1.75]
# epsilon = [0.005, 0.01, 0.02]
# gamma = [0.75, 1.0, 1.25]
# # kernel is rbf by default (poly not taken into account based on previous performance)
# for c in list(range(len(C))):
# for eps in list(range(len(epsilon))):
# for g in list(range(len(gamma))):
# # important: fold needs to be the last for-loop to be able to compute the means of Pseudo R^2 across the folds
# for fold in list(range(len(folds))):
# X_train_cv, Y_train_cv, X_test_cv, Y_test_cv = get_sample_for_cv_NN_SVR(folds[-1], # specify the number of total folds, last index of the list
# # specifiy the current fold
# folds[fold],
# X_train, # DataFrame X_train, which was created with the function train_test_split_ts
# Y_train) # DataFrame Y_train, which was created with the function train_test_split_ts
# # to evaluate the prediction quality, we use the R2 measure
# # as a benchmark, we initially calculated the mean value and the residual sum of squares of the target variable for the specific fold
# Y_train_mean_cv = Y_train_cv.mean()
# # remove-error-causing header
# Y_train_cv_for_meandev = Y_train_cv.iloc[:,0]
# Y_test_cv_for_meandev = Y_test_cv.iloc[:,0]
# Y_train_meandev_cv = sum((Y_train_cv_for_meandev - float(Y_train_mean_cv))**2)
# Y_test_meandev_cv = sum((Y_test_cv_for_meandev - float(Y_train_mean_cv))**2)
# # initialize model
# SVR_regr_CV_model = SVR(max_iter = 25000,
# C = C[c],
# epsilon =epsilon[eps],
# gamma = gamma[g]
# )
# # train the model
# SVR_regr_CV_model.fit(X_train_cv, Y_train_cv.values.ravel())
# # Make predictions based on the traing set
# Y_train_pred_cv = SVR_regr_CV_model.predict(X_train_cv)
# Y_train_dev_cv = sum(
# (Y_train_cv_for_meandev-Y_train_pred_cv)**2)
# r2_cv = 1 - Y_train_dev_cv/Y_train_meandev_cv
# # Evaluate the result by applying the model to the test set
# Y_test_pred_cv = SVR_regr_CV_model.predict(X_test_cv)
# Y_test_dev_cv = sum(
# (Y_test_cv_for_meandev-Y_test_pred_cv)**2)
# pseudor2_cv = 1 - Y_test_dev_cv/Y_test_meandev_cv
# # Append results to dataframe
# new_row = {'fold': folds[fold],
# 'C': C[c],
# 'epsilon': epsilon[eps],
# 'gamma': gamma[g],
# 'R2': r2_cv,
# 'PseudoR2': pseudor2_cv}
# # Calculate means to find the best hyperparameters across all folds
# n_folds = folds[-1]
# i = 0
# index = 0
# mean_max = 0
# while i < len(df_parameters):
# if df_parameters.iloc[i:i+n_folds, 1].mean() > mean_max:
# mean_max = df_parameters.iloc[i:i +
# n_folds, 1].mean()
# index = i
# i += n_folds
# else:
# i += n_folds
# df_parameters = df_parameters.append(
# new_row, ignore_index=True)
# # best parameters based on mean of PseudoR^2
# best_parameters = pd.Series(
# df_parameters.iloc[index])
# # Initialize the model and the regressor with the best hyperparameters
# SVR_regr_CV_model = SVR(max_iter = 25000,
# C=(best_parameters['C']),
# epsilon=(
# best_parameters['epsilon']),
# gamma=
# best_parameters['gamma']
# )
# SVR_regr_CV_model.fit(X_train, Y_train.values.ravel())
### TRAINING ON OPTIMAL PARAMETERS ###
# set optimal parameters
SVR_regr_CV_model = SVR(max_iter=25000,
C=0.5,
epsilon=0.03,
gamma=0.5,
kernel='rbf')
SVR_regr_CV_model.fit(X_train, Y_train.values.ravel())
# store model
if not os.path.exists("./models/SVR_files"):
os.makedirs("./models/SVR_files")
joblib.dump(SVR_regr_CV_model,
"./models/SVR_files/Model_SVR_ts_tscv.sav")
r2, pseudor2 = r_squared_metrics(X_train, X_test, Y_train, Y_train_meandev,
Y_test, Y_test_meandev, SVR_regr_CV_model)
return r2.values[0], pseudor2.values[0]
import pandas as pd
import numpy as np
from data_partitioning import train_test_split_ts, get_sample_for_cv
from model_helpers import (import_train_test_calc, r_squared_metrics)
from logger import logger
import os
from sklearn.model_selection import train_test_split
from sklearn.model_selection import GridSearchCV
from sklearn.ensemble import RandomForestRegressor
import pickle
import joblib
import matplotlib.pyplot as plt
# Create initial train_test_split
df, min_max, Y_train, Y_test, X_train, X_test, Y_train_mean, Y_train_meandev, Y_test_meandev = import_train_test_calc(
)
# Split Trainig set once more for an initial visualization of the hyperparameters to avoid overfitting
train_size = 0.8
index = round(len(df) * train_size)
df_2 = df.iloc[:index]
df_2 = df.drop(['datetime'], axis=1)
X_train_2, Y_train_2, X_test_2, Y_test_2 = train_test_split_ts(
df_2, train_size=train_size)
# to evaluate the prediction quality, we will use the R2 measure
# as a benchmark, we initially calculated the mean value and the residual sum of squares of the target variable
Y_train_2_mean = Y_train_2.values.ravel().mean()
print("Y_train_2_mean =", Y_train_2_mean)
Y_train_2_meandev = ((Y_train_2.values.ravel() - Y_train_2_mean)**2).sum()
print("Y_train_2_meandev =", Y_train_2_meandev)
