def setup_method(self, method):
# super().setup_method(method)
train_data = pd.DataFrame(data=np.random.randn(64, 4))
val_data = pd.DataFrame(data=np.random.randn(16, 4))
test_data = pd.DataFrame(data=np.random.randn(16, 4))
future_seq_len = 1
past_seq_len = 6
# use roll method in time_sequence
tsft = TimeSequenceFeatureTransformer()
self.x_train, self.y_train = tsft._roll_train(
train_data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
self.x_val, self.y_val = tsft._roll_train(
val_data, past_seq_len=past_seq_len, future_seq_len=future_seq_len)
self.x_test = tsft._roll_test(test_data, past_seq_len=past_seq_len)
self.config = {
'epochs': 1,
"lr": 0.001,
"lstm_1_units": 16,
"dropout_1": 0.2,
"lstm_2_units": 10,
"dropout_2": 0.2,
"batch_size": 32,
}
self.model = VanillaLSTM(check_optional_config=False,
future_seq_len=future_seq_len)
def test_evaluate(self):
train_data = pd.DataFrame(data=np.random.randn(64, 4))
val_data = pd.DataFrame(data=np.random.randn(16, 4))
future_seq_len = 1
past_seq_len = 6
# use roll method in time_sequence
tsft = TimeSequenceFeatureTransformer()
x_train, y_train = tsft._roll_train(train_data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
x_val, y_val = tsft._roll_train(val_data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
config = {
'epochs': 1,
"lr": 0.001,
"lstm_1_units": 16,
"dropout_1": 0.2,
"lstm_2_units": 10,
"dropout_2": 0.2,
"batch_size": 32,
}
model = VanillaLSTM(check_optional_config=False,
future_seq_len=future_seq_len)
model.fit_eval(x_train, y_train, **config)
print("evaluate:", model.evaluate(x_val, y_val))
def test_predict(self):
train_data = pd.DataFrame(data=np.random.randn(64, 4))
test_data = pd.DataFrame(data=np.random.randn(16, 4))
future_seq_len = 1
past_seq_len = 6
# use roll method in time_sequence
tsft = TimeSequenceFeatureTransformer()
x_train, y_train = tsft._roll_train(train_data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
x_test = tsft._roll_test(test_data, past_seq_len=past_seq_len)
config = {
'epochs': 2,
"lr": 0.001,
"lstm_1_units": 16,
"dropout_1": 0.2,
"lstm_2_units": 10,
"dropout_2": 0.2,
"batch_size": 32,
}
model = VanillaLSTM(check_optional_config=False,
future_seq_len=future_seq_len)
model.fit_eval(x_train, y_train, **config)
y_pred = model.predict(x_test)
assert y_pred.shape == (x_test.shape[0], 1)
class TestZouwuModelMTNetForecaster(TestCase):
def setUp(self):
tf.keras.backend.clear_session()
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
def tearDown(self):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(
data=np.random.randn(64, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_forecast_mtnet(self):
# TODO hacking to fix a bug
target_dim = 1
model = MTNetForecaster(target_dim=target_dim,
feature_dim=self.x_train.shape[-1],
long_series_num=self.long_num,
series_length=self.time_step)
x_train_long, x_train_short = model.preprocess_input(self.x_train)
x_val_long, x_val_short = model.preprocess_input(self.x_val)
x_test_long, x_test_short = model.preprocess_input(self.x_test)
model.fit([x_train_long, x_train_short],
self.y_train,
validation_data=([x_val_long, x_val_short], self.y_val),
batch_size=32,
distributed=False)
assert model.evaluate([x_val_long, x_val_short], self.y_val)
predict_result = model.predict([x_test_long, x_test_short])
assert predict_result.shape == (self.x_test.shape[0], target_dim)
class TestZouwuModelLSTMForecaster(TestCase):
def setUp(self):
tf.keras.backend.clear_session()
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
def tearDown(self):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(
data=np.random.randn(64, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_forecast_lstm(self):
# TODO hacking to fix a bug
model = LSTMForecaster(target_dim=1,
feature_dim=self.x_train.shape[-1])
model.fit(self.x_train,
self.y_train,
validation_data=(self.x_val, self.y_val),
batch_size=8,
distributed=False)
model.evaluate(self.x_val, self.y_val)
model.predict(self.x_test)
def test_save_restore(self):
train_data = pd.DataFrame(data=np.random.randn(64, 4))
test_data = pd.DataFrame(data=np.random.randn(16, 4))
future_seq_len = 1
past_seq_len = 6
# use roll method in time_sequence
tsft = TimeSequenceFeatureTransformer()
x_train, y_train = tsft._roll_train(train_data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
x_test = tsft._roll_test(test_data, past_seq_len=past_seq_len)
config = {
'epochs': 2,
"lr": 0.001,
"lstm_1_units": 16,
"dropout_1": 0.2,
"lstm_2_units": 10,
"dropout_2": 0.2,
"batch_size": 32,
}
dirname = tempfile.mkdtemp(prefix="automl_test_vanilla")
try:
model = VanillaLSTM(check_optional_config=False,
future_seq_len=future_seq_len)
model.fit_eval(x_train, y_train, **config)
predict_before = model.predict(x_test)
model_path = os.path.join(dirname, "testmodel.h5")
config_path = os.path.join(dirname, "local_config.json")
model.save(model_path=model_path, config_path=config_path)
local_config = load_config(config_path)
config.update(local_config)
model.restore(model_path=model_path, **config)
predict_after = model.predict(x_test)
assert np.allclose(predict_before, predict_after)
finally:
shutil.rmtree(dirname)
class TestSeq2Seq(ZooTestCase):
def setup_method(self, method):
# super().setup_method(method)
self.train_data = pd.DataFrame(data=np.random.randn(64, 4))
self.val_data = pd.DataFrame(data=np.random.randn(16, 4))
self.test_data = pd.DataFrame(data=np.random.randn(16, 4))
self.past_seq_len = 6
self.future_seq_len_1 = 1
self.future_seq_len_2 = 2
# use roll method in time_sequence
self.feat = TimeSequenceFeatureTransformer()
self.config = {'batch_size': 32, 'epochs': 1}
self.model_1 = LSTMSeq2Seq(check_optional_config=False,
future_seq_len=self.future_seq_len_1)
self.model_2 = LSTMSeq2Seq(check_optional_config=False,
future_seq_len=self.future_seq_len_2)
self.fitted = False
self.predict_1 = None
self.predict_2 = None
def teardown_method(self, method):
pass
def test_fit_eval_1(self):
x_train_1, y_train_1 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_1)
print("fit_eval_future_seq_len_1:",
self.model_1.fit_eval(x_train_1, y_train_1, **self.config))
assert self.model_1.past_seq_len == 6
assert self.model_1.feature_num == 4
assert self.model_1.future_seq_len == 1
assert self.model_1.target_col_num == 1
def test_fit_eval_2(self):
x_train_2, y_train_2 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
print("fit_eval_future_seq_len_2:",
self.model_2.fit_eval(x_train_2, y_train_2, **self.config))
assert self.model_2.future_seq_len == 2
self.fitted = True
def test_evaluate_1(self):
x_train_1, y_train_1 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_1)
x_val_1, y_val_1 = self.feat._roll_train(
self.val_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_1)
self.model_1.fit_eval(x_train_1, y_train_1, **self.config)
print("evaluate_future_seq_len_1:",
self.model_1.evaluate(x_val_1, y_val_1, metric=['mse', 'r2']))
def test_evaluate_2(self):
x_train_2, y_train_2 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
x_val_2, y_val_2 = self.feat._roll_train(
self.val_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
self.model_2.fit_eval(x_train_2, y_train_2, **self.config)
print("evaluate_future_seq_len_2:",
self.model_2.evaluate(x_val_2, y_val_2, metric=['mse', 'r2']))
def test_predict_1(self):
x_train_1, y_train_1 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_1)
x_test_1 = self.feat._roll_test(self.test_data,
past_seq_len=self.past_seq_len)
self.model_1.fit_eval(x_train_1, y_train_1, **self.config)
predict_1 = self.model_1.predict(x_test_1)
assert predict_1.shape == (x_test_1.shape[0], self.future_seq_len_1)
def test_predict_2(self):
x_train_2, y_train_2 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
x_test_2 = self.feat._roll_test(self.test_data,
past_seq_len=self.past_seq_len)
self.model_2.fit_eval(x_train_2, y_train_2, **self.config)
predict_2 = self.model_2.predict(x_test_2)
assert predict_2.shape == (x_test_2.shape[0], self.future_seq_len_2)
def test_save_restore_1(self):
x_train_1, y_train_1 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_1)
x_test_1 = self.feat._roll_test(self.test_data,
past_seq_len=self.past_seq_len)
self.model_1.fit_eval(x_train_1, y_train_1, **self.config)
predict_1_before = self.model_1.predict(x_test_1)
new_model_1 = LSTMSeq2Seq(check_optional_config=False)
dirname = tempfile.mkdtemp(prefix="automl_test_feature")
try:
save(dirname, model=self.model_1)
restore(dirname, model=new_model_1, config=self.config)
predict_1_after = new_model_1.predict(x_test_1)
assert_array_almost_equal(predict_1_before, predict_1_after, decimal=2), \
"Prediction values are not the same after restore: " \
"predict before is {}, and predict after is {}".format(predict_1_before,
predict_1_after)
new_config = {'epochs': 1}
new_model_1.fit_eval(x_train_1, y_train_1, **new_config)
finally:
shutil.rmtree(dirname)
def test_save_restore_2(self):
x_train_2, y_train_2 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
x_test_2 = self.feat._roll_test(self.test_data,
past_seq_len=self.past_seq_len)
self.model_2.fit_eval(x_train_2, y_train_2, **self.config)
predict_2_before = self.model_2.predict(x_test_2)
new_model_2 = LSTMSeq2Seq(check_optional_config=False)
dirname = tempfile.mkdtemp(prefix="automl_test_feature")
try:
save(dirname, model=self.model_2)
restore(dirname, model=new_model_2, config=self.config)
predict_2_after = new_model_2.predict(x_test_2)
assert_array_almost_equal(predict_2_before, predict_2_after, decimal=2), \
"Prediction values are not the same after restore: " \
"predict before is {}, and predict after is {}".format(predict_2_before,
predict_2_after)
new_config = {'epochs': 2}
new_model_2.fit_eval(x_train_2, y_train_2, **new_config)
finally:
shutil.rmtree(dirname)
def test_predict_with_uncertainty(self, ):
x_train_2, y_train_2 = self.feat._roll_train(
self.train_data,
past_seq_len=self.past_seq_len,
future_seq_len=self.future_seq_len_2)
x_test_2 = self.feat._roll_test(self.test_data,
past_seq_len=self.past_seq_len)
self.model_2.fit_eval(x_train_2, y_train_2, mc=True, **self.config)
prediction, uncertainty = self.model_2.predict_with_uncertainty(
x_test_2, n_iter=2)
assert prediction.shape == (x_test_2.shape[0], self.future_seq_len_2)
assert uncertainty.shape == (x_test_2.shape[0], self.future_seq_len_2)
assert np.any(uncertainty)
new_model_2 = LSTMSeq2Seq(check_optional_config=False)
dirname = tempfile.mkdtemp(prefix="automl_test_feature")
try:
save(dirname, model=self.model_2)
restore(dirname, model=new_model_2, config=self.config)
prediction, uncertainty = new_model_2.predict_with_uncertainty(
x_test_2, n_iter=2)
assert prediction.shape == (x_test_2.shape[0],
self.future_seq_len_2)
assert uncertainty.shape == (x_test_2.shape[0],
self.future_seq_len_2)
assert np.any(uncertainty)
finally:
shutil.rmtree(dirname)
class TestZouwuModelForecast(ZooTestCase):
def setup_method(self, method):
tf.keras.backend.clear_session()
# super(TestZouwuModelForecast, self).setup_method(method)
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
def teardown_method(self, method):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(
data=np.random.randn(64, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_forecast_lstm(self):
# TODO hacking to fix a bug
model = LSTMForecaster(target_dim=1,
feature_dim=self.x_train.shape[-1])
model.fit(self.x_train,
self.y_train,
validation_data=(self.x_val, self.y_val),
batch_size=8,
distributed=False)
model.evaluate(self.x_val, self.y_val)
model.predict(self.x_test)
def test_forecast_mtnet(self):
# TODO hacking to fix a bug
model = MTNetForecaster(target_dim=1,
feature_dim=self.x_train.shape[-1],
long_series_num=self.long_num,
series_length=self.time_step)
x_train_long, x_train_short = model.preprocess_input(self.x_train)
x_val_long, x_val_short = model.preprocess_input(self.x_val)
x_test_long, x_test_short = model.preprocess_input(self.x_test)
model.fit([x_train_long, x_train_short],
self.y_train,
validation_data=([x_val_long, x_val_short], self.y_val),
batch_size=32,
distributed=False)
model.evaluate([x_val_long, x_val_short], self.y_val)
model.predict([x_test_long, x_test_short])
def test_forecast_tcmf(self):
from zoo.zouwu.model.forecast import TCMFForecaster
import tempfile
model = TCMFForecaster(max_y_iterations=1,
init_FX_epoch=1,
max_FX_epoch=1,
max_TCN_epoch=1,
alt_iters=2)
horizon = np.random.randint(1, 50)
# construct data
id = np.arange(300)
data = np.random.rand(300, 480)
input = dict({'data': data})
with self.assertRaises(Exception) as context:
model.fit(input)
self.assertTrue("key `y` doesn't exist in x" in str(context.exception))
input = dict({'id': id, 'y': data})
with self.assertRaises(Exception) as context:
model.is_distributed()
self.assertTrue('You should run fit before calling is_distributed()' in
str(context.exception))
model.fit(input)
assert not model.is_distributed()
with self.assertRaises(Exception) as context:
model.fit(input)
self.assertTrue('This model has already been fully trained' in str(
context.exception))
with self.assertRaises(Exception) as context:
model.fit(input, incremental=True)
self.assertTrue(
'NotImplementedError' in context.exception.__class__.__name__)
with tempfile.TemporaryDirectory() as tempdirname:
model.save(tempdirname)
loaded_model = TCMFForecaster.load(tempdirname, distributed=False)
yhat = model.predict(x=None, horizon=horizon)
yhat_loaded = loaded_model.predict(x=None, horizon=horizon)
yhat_id = yhat_loaded["id"]
assert (yhat_id == id).all()
yhat = yhat["prediction"]
yhat_loaded = yhat_loaded["prediction"]
assert yhat.shape == (300, horizon)
assert (yhat == yhat_loaded).all()
target_value = np.random.rand(300, horizon)
target_value = dict({"y": target_value})
model.evaluate(x=None, target_value=target_value, metric=['mse'])
def test_forecast_tcmf_without_id(self):
from zoo.zouwu.model.forecast import TCMFForecaster
import tempfile
model = TCMFForecaster(max_y_iterations=1,
init_FX_epoch=1,
max_FX_epoch=1,
max_TCN_epoch=1,
alt_iters=2)
horizon = np.random.randint(1, 50)
# construct data
id = np.arange(200)
data = np.random.rand(300, 480)
input = dict({'y': "abc"})
with self.assertRaises(Exception) as context:
model.fit(input)
self.assertTrue(
"the value of y should be an ndarray" in str(context.exception))
input = dict({'id': id, 'y': data})
with self.assertRaises(Exception) as context:
model.fit(input)
self.assertTrue(
"the length of the id array should be equal to the number of" in
str(context.exception))
input = dict({'y': data})
model.fit(input)
assert not model.is_distributed()
with self.assertRaises(Exception) as context:
model.fit(input)
self.assertTrue('This model has already been fully trained' in str(
context.exception))
with tempfile.TemporaryDirectory() as tempdirname:
model.save(tempdirname)
loaded_model = TCMFForecaster.load(tempdirname, distributed=False)
yhat = model.predict(x=None, horizon=horizon)
yhat_loaded = loaded_model.predict(x=None, horizon=horizon)
assert "id" not in yhat_loaded
yhat = yhat["prediction"]
yhat_loaded = yhat_loaded["prediction"]
assert yhat.shape == (300, horizon)
assert (yhat == yhat_loaded).all()
target_value = np.random.rand(300, horizon)
target_value_fake = dict({"data": target_value})
with self.assertRaises(Exception) as context:
model.evaluate(x=None,
target_value=target_value_fake,
metric=['mse'])
self.assertTrue("key y doesn't exist in y" in str(context.exception))
target_value = dict({"y": target_value})
model.evaluate(x=None, target_value=target_value, metric=['mse'])
def test_forecast_tcmf_xshards(self):
from zoo.zouwu.model.forecast import TCMFForecaster
from zoo.orca import OrcaContext
import zoo.orca.data.pandas
import tempfile
OrcaContext.pandas_read_backend = "pandas"
def preprocessing(df, id_name, y_name):
id = df.index
data = df.to_numpy()
result = dict({id_name: id, y_name: data})
return result
def postprocessing(pred_results, output_dt_col_name):
id_arr = pred_results["id"]
pred_results = pred_results["prediction"]
pred_results = np.concatenate(
(np.expand_dims(id_arr, axis=1), pred_results), axis=1)
final_df = pd.DataFrame(pred_results,
columns=["id"] + output_dt_col_name)
final_df.id = final_df.id.astype("int")
final_df = final_df.set_index("id")
final_df.columns.name = "datetime"
final_df = final_df.unstack().reset_index().rename(
{0: "prediction"}, axis=1)
return final_df
def get_pred(d):
return d["prediction"]
model = TCMFForecaster(max_y_iterations=1,
init_FX_epoch=1,
max_FX_epoch=1,
max_TCN_epoch=1,
alt_iters=2)
with tempfile.NamedTemporaryFile() as temp:
data = np.random.rand(300, 480)
df = pd.DataFrame(data)
df.to_csv(temp.name)
shard = zoo.orca.data.pandas.read_csv(temp.name)
shard.cache()
shard_train = shard.transform_shard(preprocessing, 'id', 'data')
with self.assertRaises(Exception) as context:
model.fit(shard_train)
self.assertTrue("key `y` doesn't exist in x" in str(context.exception))
shard_train = shard.transform_shard(preprocessing, 'cid', 'y')
with self.assertRaises(Exception) as context:
model.fit(shard_train)
self.assertTrue(
"key `id` doesn't exist in x" in str(context.exception))
with self.assertRaises(Exception) as context:
model.is_distributed()
self.assertTrue('You should run fit before calling is_distributed()' in
str(context.exception))
shard_train = shard.transform_shard(preprocessing, 'id', 'y')
model.fit(shard_train)
assert model.is_distributed()
with self.assertRaises(Exception) as context:
model.fit(shard_train)
self.assertTrue('This model has already been fully trained' in str(
context.exception))
with self.assertRaises(Exception) as context:
model.fit(shard_train, incremental=True)
self.assertTrue(
'NotImplementedError' in context.exception.__class__.__name__)
with tempfile.TemporaryDirectory() as tempdirname:
model.save(tempdirname + "/model")
loaded_model = TCMFForecaster.load(tempdirname + "/model",
distributed=True)
horizon = np.random.randint(1, 50)
yhat_shard_origin = model.predict(x=None, horizon=horizon)
yhat_list_origin = yhat_shard_origin.collect()
yhat_list_origin = list(map(get_pred, yhat_list_origin))
yhat_shard = loaded_model.predict(x=None, horizon=horizon)
yhat_list = yhat_shard.collect()
yhat_list = list(map(get_pred, yhat_list))
yhat_origin = np.concatenate(yhat_list_origin)
yhat = np.concatenate(yhat_list)
assert yhat.shape == (300, horizon)
assert (yhat == yhat_origin).all()
output_dt_col_name = pd.date_range(start='2020-05-01',
periods=horizon,
freq='H').to_list()
yhat_df_shards = yhat_shard.transform_shard(postprocessing,
output_dt_col_name)
final_df_list = yhat_df_shards.collect()
final_df = pd.concat(final_df_list)
final_df.sort_values("datetime", inplace=True)
assert final_df.shape == (300 * horizon, 3)
OrcaContext.pandas_read_backend = "spark"
class TestZouwuModelForecast(ZooTestCase):
def setup_method(self, method):
tf.keras.backend.clear_session()
# super(TestZouwuModelForecast, self).setup_method(method)
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
def teardown_method(self, method):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(
data=np.random.randn(64, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_forecast_lstm(self):
# TODO hacking to fix a bug
model = LSTMForecaster(horizon=1, feature_dim=self.x_train.shape[-1])
model.fit(self.x_train,
self.y_train,
validation_data=(self.x_val, self.y_val),
batch_size=8,
distributed=False)
model.evaluate(self.x_val, self.y_val)
model.predict(self.x_test)
def test_forecast_mtnet(self):
# TODO hacking to fix a bug
model = MTNetForecaster(horizon=1,
feature_dim=self.x_train.shape[-1],
lb_long_steps=self.long_num,
lb_long_stepsize=self.time_step)
x_train_long, x_train_short = model.preprocess_input(self.x_train)
x_val_long, x_val_short = model.preprocess_input(self.x_val)
x_test_long, x_test_short = model.preprocess_input(self.x_test)
model.fit([x_train_long, x_train_short],
self.y_train,
validation_data=([x_val_long, x_val_short], self.y_val),
batch_size=32,
distributed=False)
model.evaluate([x_val_long, x_val_short], self.y_val)
model.predict([x_test_long, x_test_short])
class TestZouwuModelForecast(ZooTestCase):
def setup_method(self, method):
tf.keras.backend.clear_session()
# super(TestZouwuModelForecast, self).setup_method(method)
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
def teardown_method(self, method):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(
data=np.random.randn(64, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_forecast_lstm(self):
# TODO hacking to fix a bug
model = LSTMForecaster(target_dim=1,
feature_dim=self.x_train.shape[-1])
model.fit(self.x_train,
self.y_train,
validation_data=(self.x_val, self.y_val),
batch_size=8,
distributed=False)
model.evaluate(self.x_val, self.y_val)
model.predict(self.x_test)
def test_forecast_mtnet(self):
# TODO hacking to fix a bug
model = MTNetForecaster(target_dim=1,
feature_dim=self.x_train.shape[-1],
lb_long_steps=self.long_num,
lb_long_stepsize=self.time_step)
x_train_long, x_train_short = model.preprocess_input(self.x_train)
x_val_long, x_val_short = model.preprocess_input(self.x_val)
x_test_long, x_test_short = model.preprocess_input(self.x_test)
model.fit([x_train_long, x_train_short],
self.y_train,
validation_data=([x_val_long, x_val_short], self.y_val),
batch_size=32,
distributed=False)
model.evaluate([x_val_long, x_val_short], self.y_val)
model.predict([x_test_long, x_test_short])
def test_forecast_tcmf(self):
from zoo.zouwu.model.forecast import TCMFForecaster
model = TCMFForecaster(max_y_iterations=1,
init_XF_epoch=1,
max_FX_epoch=1,
max_TCN_epoch=1,
alt_iters=2)
x = np.random.rand(300, 480)
model.fit(x)
model.predict(x=None, horizon=24)
target_value = np.random.rand(300, 24)
model.evaluate(x=None, target_value=target_value, metric=['mse'])
class TestMTNetKeras(ZooTestCase):
def setup_method(self, method):
tf.keras.backend.clear_session()
self.ft = TimeSequenceFeatureTransformer()
self.create_data()
self.model = MTNetKeras()
self.config = {"long_num": self.long_num,
"time_step": self.time_step,
"ar_window": np.random.randint(1, 3),
"cnn_height": np.random.randint(1, 3),
"epochs": 1}
def teardown_method(self, method):
pass
def create_data(self):
def gen_train_sample(data, past_seq_len, future_seq_len):
data = pd.DataFrame(data)
x, y = self.ft._roll_train(data,
past_seq_len=past_seq_len,
future_seq_len=future_seq_len
)
return x, y
def gen_test_sample(data, past_seq_len):
test_data = pd.DataFrame(data)
x = self.ft._roll_test(test_data, past_seq_len=past_seq_len)
return x
self.long_num = 6
self.time_step = 2
look_back = (self.long_num + 1) * self.time_step
look_forward = 1
self.x_train, self.y_train = gen_train_sample(data=np.random.randn(
64, 4), past_seq_len=look_back, future_seq_len=look_forward)
self.x_val, self.y_val = gen_train_sample(data=np.random.randn(16, 4),
past_seq_len=look_back,
future_seq_len=look_forward)
self.x_test = gen_test_sample(data=np.random.randn(16, 4),
past_seq_len=look_back)
def test_fit_evaluate(self):
self.model.fit_eval(self.x_train, self.y_train,
validation_data=(self.x_val, self.y_val),
**self.config)
self.model.evaluate(self.x_val, self.y_val)
def test_save_restore(self):
self.model.fit_eval(self.x_train, self.y_train,
validation_data=(self.x_val, self.y_val),
**self.config)
y_pred = self.model.predict(self.x_test)
assert y_pred.shape == (self.x_test.shape[0], self.y_train.shape[1])
dirname = "tmp"
restored_model = MTNetKeras()
try:
save(dirname, model=self.model)
restore(dirname, model=restored_model, config=self.config)
predict_after = restored_model.predict(self.x_test)
assert_array_almost_equal(y_pred, predict_after, decimal=2), \
"Prediction values are not the same after restore: " \
"predict before is {}, and predict after is {}".format(y_pred, predict_after)
restored_model.fit_eval(self.x_train, self.y_train, epochs=1)
restored_model.evaluate(self.x_val, self.y_val)
finally:
shutil.rmtree("tmp")
def test_predict_with_uncertainty(self):
self.model.fit_eval(self.x_train, self.y_train,
validation_data=(self.x_val, self.y_val),
mc=True,
**self.config)
pred, uncertainty = self.model.predict_with_uncertainty(self.x_test, n_iter=2)
assert pred.shape == (self.x_test.shape[0], self.y_train.shape[1])
assert uncertainty.shape == pred.shape
assert np.any(uncertainty)
