def test_long_eval_discard_indivisible(self):
g = ops.Graph()
with g.as_default():
model = ar_model.ARModel(periodicities=2,
num_features=1,
num_time_buckets=10,
input_window_size=2,
output_window_size=2)
raw_features = {
TrainEvalFeatures.TIMES: [[1, 3, 5, 7, 11]],
TrainEvalFeatures.VALUES: [[[1.], [2.], [3.], [4.], [5.]]]
}
model.initialize_graph()
raw_evaluation = model.define_loss(
raw_features, mode=estimator_lib.ModeKeys.EVAL)
with session.Session() as sess:
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(sess, coord=coordinator)
variables.global_variables_initializer().run()
raw_evaluation_evaled = sess.run(raw_evaluation)
self.assertAllEqual([[7, 11]],
raw_evaluation_evaled.prediction_times)
for feature_name in raw_evaluation.predictions:
self.assertAllEqual(
[
1, 2, 1
], # batch, window, num_features. The window has two cut
# off for the first input window and one discarded so
# that the remainder is divisible into output windows.
raw_evaluation_evaled.predictions[feature_name].shape)
coordinator.request_stop()
coordinator.join()
def test_long_eval(self):
g = ops.Graph()
with g.as_default():
model = ar_model.ARModel(periodicities=2,
num_features=1,
num_time_buckets=10,
input_window_size=2,
output_window_size=1)
raw_features = {
TrainEvalFeatures.TIMES: [[1, 3, 5, 7, 11]],
TrainEvalFeatures.VALUES: [[[1.], [2.], [3.], [4.], [5.]]]
}
chunked_features, _ = test_utils.AllWindowInputFn(
time_series_reader=input_pipeline.NumpyReader(raw_features),
window_size=3)()
model.initialize_graph()
with variable_scope.variable_scope("armodel") as scope:
raw_evaluation = model.define_loss(
raw_features, mode=estimator_lib.ModeKeys.EVAL)
with variable_scope.variable_scope(scope, reuse=True):
chunked_evaluation = model.define_loss(
chunked_features, mode=estimator_lib.ModeKeys.EVAL)
with session.Session() as sess:
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(sess, coord=coordinator)
variables.global_variables_initializer().run()
raw_evaluation_evaled, chunked_evaluation_evaled = sess.run(
[raw_evaluation, chunked_evaluation])
self.assertAllClose(chunked_evaluation_evaled.loss,
raw_evaluation_evaled.loss)
last_chunk_evaluation_state = [
state[-1, None]
for state in chunked_evaluation_evaled.end_state
]
for last_chunk_state_member, raw_state_member in zip(
last_chunk_evaluation_state,
raw_evaluation_evaled.end_state):
self.assertAllClose(last_chunk_state_member,
raw_state_member)
self.assertAllEqual([[5, 7, 11]],
raw_evaluation_evaled.prediction_times)
for feature_name in raw_evaluation.predictions:
self.assertAllEqual(
[
1, 3, 1
], # batch, window, num_features. The window size has 2
# cut off for the first input_window.
raw_evaluation_evaled.predictions[feature_name].shape)
self.assertAllClose(
np.reshape(
chunked_evaluation_evaled.
predictions[feature_name], [-1]),
np.reshape(
raw_evaluation_evaled.predictions[feature_name],
[-1]))
coordinator.request_stop()
coordinator.join()
def _estimator_fn(model_dir, exogenous_feature_columns):
return estimators.TimeSeriesRegressor(model=ar_model.ARModel(
periodicities=10,
input_window_size=10,
output_window_size=6,
num_features=1,
exogenous_feature_columns=exogenous_feature_columns,
prediction_model_factory=functools.partial(
ar_model.LSTMPredictionModel, num_units=10)),
config=_SeedRunConfig(),
model_dir=model_dir)
def _ar_lstm_regressor(
model_dir, head_type, exogenous_feature_columns):
return ts_estimators.TimeSeriesRegressor(
model=ar_model.ARModel(
periodicities=10, input_window_size=10, output_window_size=6,
num_features=5,
exogenous_feature_columns=exogenous_feature_columns,
prediction_model_factory=functools.partial(
ar_model.LSTMPredictionModel,
num_units=10)),
head_type=head_type,
model_dir=model_dir)
def test_predictions_direct_lstm(self):
g = ops.Graph()
with g.as_default():
model = ar_model.ARModel(
periodicities=2,
num_features=1,
num_time_buckets=10,
input_window_size=2,
output_window_size=2,
prediction_model_factory=functools.partial(
ar_model.LSTMPredictionModel, num_units=16))
with session.Session():
predicted_values = model.predict({
PredictionFeatures.TIMES: [[4, 6, 10]],
PredictionFeatures.STATE_TUPLE:
([[1, 2]], [[[1.], [2.]]], [[[], []]])
})
variables.global_variables_initializer().run()
self.assertAllEqual(predicted_values["mean"].eval().shape,
[1, 3, 1])
def __init__(self,
periodicities,
input_window_size,
output_window_size,
model_dir=None,
num_features=1,
extra_feature_columns=None,
num_timesteps=10,
loss=ar_model.ARModel.NORMAL_LIKELIHOOD_LOSS,
num_units=128,
optimizer="Adam",
config=None):
"""Initialize the Estimator.
Args:
periodicities: periodicities of the input data, in the same units as the
time feature (for example 24 if feeding hourly data with a daily
periodicity, or 60 * 24 if feeding minute-level data with daily
periodicity). Note this can be a single value or a list of values for
multiple periodicities.
input_window_size: Number of past time steps of data to look at when doing
the regression.
output_window_size: Number of future time steps to predict. Note that
setting this value to > 1 empirically seems to give a better fit.
model_dir: Directory to save model parameters, graph and etc. This can
also be used to load checkpoints from the directory into a estimator to
continue training a previously saved model.
num_features: The dimensionality of the time series (default value is one
for univariate, more than one for multivariate).
extra_feature_columns: A list of `tf.feature_column`s (for example
`tf.feature_column.embedding_column`) corresponding to features which
provide extra information to the model but are not part of the series to
be predicted.
num_timesteps: Number of buckets into which to divide (time %
periodicity). This value multiplied by the number of periodicities is
the number of time features added to the model.
loss: Loss function to use for training. Currently supported values are
SQUARED_LOSS and NORMAL_LIKELIHOOD_LOSS. Note that for
NORMAL_LIKELIHOOD_LOSS, we train the covariance term as well. For
SQUARED_LOSS, the evaluation loss is reported based on un-scaled
observations and predictions, while the training loss is computed on
normalized data.
num_units: The size of the hidden state in the encoder and decoder LSTM
cells.
optimizer: string, `tf.compat.v1.train.Optimizer` object, or callable that
defines the optimizer algorithm to use for training. Defaults to the
Adam optimizer with a learning rate of 0.01.
config: Optional `estimator.RunConfig` object to configure the runtime
settings.
"""
optimizer = optimizers.get_optimizer_instance(optimizer,
learning_rate=0.01)
model = ar_model.ARModel(
periodicities=periodicities,
input_window_size=input_window_size,
output_window_size=output_window_size,
num_features=num_features,
exogenous_feature_columns=extra_feature_columns,
num_time_buckets=num_timesteps,
loss=loss,
prediction_model_factory=functools.partial(
ar_model.LSTMPredictionModel, num_units=num_units))
state_manager = state_management.FilteringOnlyStateManager()
super(LSTMAutoRegressor,
self).__init__(model=model,
state_manager=state_manager,
optimizer=optimizer,
model_dir=model_dir,
config=config,
head_type=ts_head_lib.OneShotPredictionHead)
def __init__(self,
periodicities,
input_window_size,
output_window_size,
num_features,
exogenous_feature_columns=None,
num_time_buckets=10,
loss=ar_model.ARModel.NORMAL_LIKELIHOOD_LOSS,
hidden_layer_sizes=None,
anomaly_prior_probability=None,
anomaly_distribution=None,
optimizer=None,
model_dir=None,
config=None):
"""Initialize the Estimator.
Args:
periodicities: periodicities of the input data, in the same units as the
time feature. Note this can be a single value or a list of values for
multiple periodicities.
input_window_size: Number of past time steps of data to look at when doing
the regression.
output_window_size: Number of future time steps to predict. Note that
setting it to > 1 empirically seems to give a better fit.
num_features: The dimensionality of the time series (one for univariate,
more than one for multivariate).
exogenous_feature_columns: A list of `tf.feature_column`s (for example
`tf.feature_column.embedding_column`) corresponding to exogenous
features which provide extra information to the model but are not part
of the series to be predicted. Passed to
`tf.compat.v1.feature_column.input_layer`.
num_time_buckets: Number of buckets into which to divide (time %
periodicity) for generating time based features.
loss: Loss function to use for training. Currently supported values are
SQUARED_LOSS and NORMAL_LIKELIHOOD_LOSS. Note that for
NORMAL_LIKELIHOOD_LOSS, we train the covariance term as well. For
SQUARED_LOSS, the evaluation loss is reported based on un-scaled
observations and predictions, while the training loss is computed on
normalized data.
hidden_layer_sizes: list of sizes of hidden layers.
anomaly_prior_probability: If specified, constructs a mixture model under
which anomalies (modeled with `anomaly_distribution`) have this prior
probability. See `AnomalyMixtureARModel`.
anomaly_distribution: May not be specified unless
anomaly_prior_probability is specified and is not None. Controls the
distribution of anomalies under the mixture model. Currently either
`ar_model.AnomalyMixtureARModel.GAUSSIAN_ANOMALY` or
`ar_model.AnomalyMixtureARModel.CAUCHY_ANOMALY`. See
`AnomalyMixtureARModel`. Defaults to `GAUSSIAN_ANOMALY`.
optimizer: The optimization algorithm to use when training, inheriting
from tf.train.Optimizer. Defaults to Adagrad with step size 0.1.
model_dir: See `Estimator`.
config: See `Estimator`.
Raises:
ValueError: For invalid combinations of arguments.
"""
if optimizer is None:
optimizer = train.AdagradOptimizer(0.1)
if anomaly_prior_probability is None and anomaly_distribution is not None:
raise ValueError("anomaly_prior_probability is required if "
"anomaly_distribution is specified.")
if anomaly_prior_probability is None:
if anomaly_distribution is None:
anomaly_distribution = ar_model.AnomalyMixtureARModel.GAUSSIAN_ANOMALY
model = ar_model.ARModel(
periodicities=periodicities,
num_features=num_features,
prediction_model_factory=functools.partial(
ar_model.FlatPredictionModel,
hidden_layer_sizes=hidden_layer_sizes),
exogenous_feature_columns=exogenous_feature_columns,
num_time_buckets=num_time_buckets,
input_window_size=input_window_size,
output_window_size=output_window_size,
loss=loss)
else:
if loss != ar_model.ARModel.NORMAL_LIKELIHOOD_LOSS:
raise ValueError(
"AnomalyMixtureARModel only supports "
"ar_model.ARModel.NORMAL_LIKELIHOOD_LOSS for its loss argument."
)
model = ar_model.AnomalyMixtureARModel(
periodicities=periodicities,
input_window_size=input_window_size,
output_window_size=output_window_size,
num_features=num_features,
prediction_model_factory=functools.partial(
ar_model.FlatPredictionModel,
hidden_layer_sizes=hidden_layer_sizes),
exogenous_feature_columns=exogenous_feature_columns,
num_time_buckets=num_time_buckets,
anomaly_prior_probability=anomaly_prior_probability,
anomaly_distribution=anomaly_distribution)
state_manager = state_management.FilteringOnlyStateManager()
super(ARRegressor, self).__init__(model=model,
state_manager=state_manager,
optimizer=optimizer,
model_dir=model_dir,
config=config)
