def main(scoring, features, response, output_file):
estimators = get_estimators()
results = []
names = []
X_unscaled = read_processed_data(features)
X = X_unscaled
# X = rescale_data(X_unscaled)
y = read_processed_data(response)
kfold = KFold(n_splits=10, random_state=7)
# Use cv = kfold if using kfold validation or cv = LeaveOneOut() for Leave One Out
cv = kfold
title = "Scoring metrics: {}\n\n".format(scoring)
with open(output_file, 'a+') as fh:
fh.write(title)
for name, estimator in estimators:
cv_results = cross_val_score(estimator, X, y, cv=cv, scoring=scoring)
results.append(cv_results)
names.append(name)
msg = "{}: Mean: {:.3f} Std: {:.3f}\n".format(
name, cv_results.mean(), cv_results.std())
with open(output_file, 'a+') as fh:
fh.write(msg)
def main(output_file, features, response, scaler='standardized'):
X = read_processed_data(features)
y = read_processed_data(response)
estimators = []
if scaler == 'standardized':
estimators.append(('standardized', StandardScaler()))
elif scaler == 'minmax':
estimators.append(('minmax', MinMaxScaler()))
else:
pass
estimators.append(('lda', LinearDiscriminantAnalysis()))
model = Pipeline(estimators)
model.fit(X, y)
# Evaluate pipeline
kfold = KFold(n_splits=10, random_state=7)
cv = kfold
results = cross_val_score(model, X, y, cv=cv)
print(results.mean())
joblib.dump(model, output_file)
test_data = read_processed_data('data/processed/features.npy')[0:5,]
print(model.predict(test_data))
def main(scoring, features, response, output_file):
estimators = get_estimators()
results = []
names = []
title = "Scoring metrics: {}\n\n".format(scoring)
X = read_processed_data(features)
y = read_processed_data(response)
kfold = KFold(n_splits=10, random_state=7)
cv = kfold # or cv=LeaveOneOut()
with open(output_file, 'a+') as fh:
fh.write(title)
for name, estimator in estimators:
cv_results = cross_val_score(estimator, X, y, cv=cv, scoring=scoring)
results.append(cv_results)
names.append(name)
y_pred = cross_val_predict(estimator, X, y, cv=cv)
cls_rpt = classification_report(y, y_pred)
conf_mat = confusion_matrix(y, y_pred)
conf_mat = np.array2string(conf_mat)
msg = "{}: Mean: {:.3f} Std: {:.3f}\n".format(
name, cv_results.mean(), cv_results.std())
with open(output_file, 'a+') as fh:
fh.write(msg)
fh.write('\n')
fh.write(conf_mat)
fh.write('\n')
fh.write(cls_rpt)
fh.write('\n')
def main(features, response):
X = read_processed_data(features)
y = read_processed_data(response)
estimators = []
estimators.append(('standardize', StandardScaler()))
estimators.append(('LR', LinearDiscriminantAnalysis()))
model = Pipeline(estimators)
kfold = KFold(n_splits=10, random_state=7)
cv = kfold
results = cross_val_score(model, X, y, cv=cv)
print(results.mean())
def tune_knn(features, response, output_tuning_results, output_tuned_model):
estimator = KNeighborsClassifier()
n_neighbor_range = list(range(1, 31))
weights = ['uniform', 'distance']
param_grid = dict(n_neighbors=n_neighbor_range, weights=weights)
grid = GridSearchCV(estimator, param_grid, cv=10, scoring='accuracy')
X = read_processed_data(features)
y = read_processed_data(response)
grid.fit(X, y)
tuning_results = 'Best score: {}\nBest estimator: {}\nBest params: {}\n'.format(
grid.best_score_, grid.best_params_, grid.best_estimator_)
with open(output_tuning_results, 'w') as fh:
fh.write(tuning_results)
joblib.dump(grid.best_estimator_, output_tuned_model)
def main(input_file, output_file, frequency, scenario, regr_vars, multiplier,
baseline, look_back, look_ahead, test_year):
df = read_processed_data(input_file)
X, y = generate_data(df,
freq=frequency,
scenario=scenario,
regr_vars=regr_vars,
multiplier=multiplier,
baseline=baseline,
look_back=look_back,
look_ahead=look_ahead)
trainX, trainY, testX, testY = split_train_test(
X,
y,
test_year=test_year,
save_data=True,
pname='data/processed/CatBoost/')
print("Generated data for CatBoost")
print('Using as training features: ', trainX.columns)
print('Training model...')
model = CatBoostModel()
model.train(trainX, trainY)
model.save_model(output_file)
model.make_predictions(testX, save_to='data/output/CatBoost/preds.pkl')
def main(input_file, output_file):
print("Training model")
dframe = read_processed_data(input_file)
model = RandomForestModel()
model.train(dframe)
model.save(output_file)
def main(input_file, output_file, iterations, scenario, regr_vars, multiplier,
baseline, look_back, look_ahead, test_year):
df = read_processed_data(input_file)
X, y = generate_data(df,
freq='D',
scenario=scenario,
regr_vars=regr_vars,
multiplier=multiplier,
baseline=baseline,
look_back=look_back,
look_ahead=look_ahead)
trainX, trainY, testX, testY = split_train_test(
X, y, test_year=test_year, save_data=True, pname='data/processed/GPC/')
print("Generated data for GPC")
print('Training model...')
x_data_dim = trainX.size(-1)
model = GPClassificationModel(data_dim=x_data_dim)
# Cuda the model and likelihood function
model = GPClassificationModel(data_dim=x_data_dim).cuda()
likelihood = gpytorch.likelihoods.BernoulliLikelihood().cuda()
# Find optimal model hyperparameters
model.train()
likelihood.train()
# Use the Adam optimizer
optimizer = torch.optim.Adam(model.parameters(), lr=0.1)
# "Loss" for GPs - the marginal log likelihood
# n_data refers to the amount of training data
mll = gpytorch.mlls.VariationalELBO(likelihood,
model,
num_data=trainY.numel())
# Training function
def train(num_iter=iterations):
for i in range(num_iter):
optimizer.zero_grad()
output = model(trainX)
loss = -mll(output, trainY)
loss.backward()
print('Iter %d/%d - Loss: %.3f' % (i + 1, num_iter, loss.item()))
optimizer.step()
train()
model.save(output_file)
print("Saved model to: ", output_file)
model.make_predictions(testX,
testY,
likelihood,
save_to='data/output/GPC/preds.pkl')
def main(input_file, output_file, hist_keys, regr_vars, test_year, n_epochs):
df = read_processed_data(input_file)
X, y = generate_data(df,
freq='D',
regr_vars=regr_vars,
hist_keys=hist_keys,
hist_steps=2)
trainX, trainY, testX, testY = split_train_test(X, y, test_year=test_year)
print("Generated data for LSTM")
print('Training model...')
model = Model(dict(features=5, forecast_horizon=1)).cuda()
model.batch_train(trainX, trainY, n_epochs=n_epochs, lr=0.0005)
model.save(output_file)
def main(input_file, output_file, scenario, regr_vars, multiplier, baseline,
look_back, look_ahead, test_year):
df = read_processed_data(input_file)
X, y= generate_data(df, freq='D', scenario=scenario, regr_vars = regr_vars,
multiplier = multiplier, baseline= baseline,
look_back = look_back, look_ahead = look_ahead)
trainX, trainY, testX, testY = split_train_test(X, y, test_year=test_year,
save_data = True,
pname = 'data/processed/GPR/')
print("Generated data for GPR")
print('Training model...')
model = GPRegressionModel()
model.train(trainX, trainY)
model.save(output_file)
model.make_predictions(testX, save_to = 'data/output/GPR/preds.pkl')
def test_feature_and_response_shape():
features = read_processed_data('data/processed/features.npy')
response = read_processed_data('data/processed/response.npy')
assert features.shape == (768, 8)
assert response.shape == (768, )
